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1,901 Commits 46 Branches 26 Tags
76f2fb1a1aef17915bf702cb213bb77da7e98e31
Commit Graph

88 Commits

Author SHA1 Message Date
Cadenza-Li
76f2fb1a1a Add ipynb format check (#1439) 
* Update test_qlib_from_source.yml

* add ipynb format check to workflow

* test ipynb CI

* modify nbqa check path

* add pylint flake8 mypy check to ipynb

* check ipynb with black and pylint

* reformat .ipynb files

* format line length

nbqa black . -l 120

* update nbqa .ipynb format CI

* format old ipynb files

* add nbconvert check to CI

* adjust CI order to avoid repeating download data
 2023-02-21 09:23:22 +08:00
YQ Tsui
2f5ce3dc01 Plot enhancement (#1390) 
* horizontally put the bar figures

* 1) use rangebreaks to handle gaps in datetime axis instead of make them string; 2) allow simultaneously plot rankic in ic_figure

* pylint improvement

* fix black lint

* better axis formatting

* default not show gaps

* resolve doc built error

* fix pylint

* Update qlib/contrib/report/analysis_model/analysis_model_performance.py

More detailed description

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* Update qlib/contrib/report/analysis_model/analysis_model_performance.py

for Python backward compatibility

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* add doc string

* fix black

* 1) limit numpy version as numba support for 1.24+ has not been released; 2) no need to use custom numba version for pytest.

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-12-31 07:58:41 +08:00
Linlang
756bd0f65b Fix ZScoreNorm processor bug (#1398) 
* fix_ZScoreNorm_bug

* fix_CI_error

* fix_CI_error

* add_test_processor

* fix_pylint_error

* fix_some_error_and_optimize_code

* modify_terrible_code

* optimize_code

* optimize_code
 2022-12-30 20:42:37 +08:00
Linlang
c4ee9ff882 Fixed log_param error (#1362) 
* fix_qrun_error

* add_description
 2022-11-20 14:18:35 +08:00
you-n-g
994f89319d Optimize the implementation of uri & Fix async log bug (#1364) 
* Optimize the implementation of uri

* remove redundant func

* Set the right order of _set_client_uri

* Update qlib/workflow/expm.py

* Simplify client & add test.Add docs; Fix async bug

* Fix comments & pylint

* Improve README
 2022-11-18 13:11:31 +08:00
Lewen Wang
e182124e75 Add docs for qlib.rl (#1322) 
* Add docs for qlib.rl

* Update docs for qlib.rl

* Add homepage introduct to RL framework

* Update index Link

* Fix Icon

* typo

* Update catelog

* Update docs for qlib.rl

* Update docs for qlib.rl

* Update figure

* Update docs for qlib.rl

* Update setup.py

* FIx setup.py

* Update docs and fix some typos

* Fix the reference to RL docs

* Update framework.svg

* Update framework.svg

* Update framework.svg

* Update docs for qlibrl.

* Update docs for qlibrl.

* Update docs for Qlibrl.

* Update docs for qlibrl.

* Update docs for qlibrl.

* Update docs for qlibrl.

* Add new framework

* Update jpg

* Update framework.svg

* Update framework.svg

* Update Qlib framework and description

* Update grammar

* Update README.md

* Update README.md

* Update docs/component/rl.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* Update docs/component/rl.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* Update docs for qlib.rl

* Change theme for docs.

* Update docs for qlib.rl

* Update docs for qlib.rl

* Update docs for qlib.rl

* Update docs for qlib.rl.

* Update docs for qlib.rl

* Update docs for qlib.rl

* Update docs for qlib.rl

Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-11-10 21:10:44 +08:00
Linlang
08de1a1874 fix_CI_error (#1325) 2022-10-22 17:32:56 +08:00
Linlang
1861c8edaf optimize_CI (#1314) 2022-10-20 08:38:05 +08:00
Linlang
50d74b5560 split_CI (#1141) 2022-06-28 10:17:29 +08:00
Linlang
e874ef2bc1 change_datasource (#1109) 
* change_datasource

* split_test_data_and_complete_data

* fix_CI
 2022-05-31 19:35:49 +08:00
you-n-g
a02ac95538 add gym (#1104) 2022-05-21 23:50:18 +08:00
Yuge Zhang
9a40fd3cdc Qlib RL framework (stage 1) - single-asset order execution (#1076) 
* rl init

* aux info

* Reward config

* update

* simple

* update saoe init

* update simulator and seed

* minor

* minor

* update sim

* checkpoint

* obs

* Update interpreter

* init qlib simulator

* checkpoint

* Refine codebase

* checkpoint

* checkpoint

* Add one test

* More tests

* Simulator checkpoint

* checkpoint

* First-step tested

* Checkpoint

* Update data_queue API

* Checkpoint

* Update test

* Move files

* Checkpoint

* Single-quote -> double-quote

* Fix finite env tests

* Tested with mypy

* pep-574

* No call for env done

* Update finite env docs

* Fix csv writer

* Refine tester

* Update logger

* Add another logger test

* Checkpoint

* Add network sanity test

* steps per episode is not correct

* Cleanup code, ready for PR

* Reformat with black

* Fix pylint for py37

* Fix lint

* Fix lint

* Fix flake

* update mypy command

* mypy

* Update exclude pattern

* Use pyproject.toml

* test

* .

* .

* Refactor pipeline

* .

* defaults run bash

* .

* Revert and skip follow_imports

* Fix toml issue

* fix mypy

* .

* .

* .

* Fix install

* Minor fix

* Fix test

* Fix test

* Remove requirements

* Revert

* fix tests

* Fix lint

* .

* .

* .

* .

* .

* update install from source command

* .

* Fix data download

* .

* .

* .

* .

* .

* .

* Fix py37

* Ignore tests on non-linux

* resolve comments

* fix tests

* resolve comments

* some typo

* style updates

* More comments

* fix dummy

* add warning

* Align precision in some system

* Added some impl notes

Co-authored-by: Young <afe.young@gmail.com>
 2022-05-21 18:19:24 +08:00
you-n-g
9d0a8f61d1 Make sepdf more like DataFrame (#1080) 2022-04-28 19:13:45 +08:00
you-n-g
e1271a83f7 Update setup.py (#1048) 2022-04-14 20:41:06 +08:00
Wangwuyi123
85e7cdcac3 Update setup.py (#1043) 2022-04-12 16:26:55 +08:00
Young
243e516cf1 Add pre-commit 2022-03-25 16:56:02 +08:00
Chia-hung Tai
73d90f7f44 Add lightgbm min version. (#995) 
See https://github.com/microsoft/LightGBM/pull/4604
 2022-03-21 08:00:28 +08:00
bxdd
faa99f30fa Support Point-in-time Data Operation (#343) 
* add period ops class

* black format

* add pit data read

* fix bug in period ops

* update ops runnable

* update PIT test example

* black format

* update PIT test

* update tets_PIT

* update code format

* add check_feature_exist

* black format

* optimize the PIT Algorithm

* fix bug

* update example

* update test_PIT name

* add pit collector

* black format

* fix bugs

* fix try

* fix bug & add dump_pit.py

* Successfully run and understand PIT

* Add some docs and remove a bug

* mv crypto collector

* black format

* Run succesfully after merging master

* Pass test and fix code

* remove useless PIT code

* fix PYlint

* Rename

Co-authored-by: Young <afe.young@gmail.com>
 2022-03-10 14:27:52 +08:00
you-n-g
1a0ac1ab6d Remove arctic from Qlib core to Contrib (#865) 
* Remove arctic from Qlib core to Contrib

* fix empty df bug
 2022-01-19 10:39:37 +08:00
luocy16
2bb8a4ce0e Supporting Arctic Backend Provider & Orderbook, Tick Data Example (#744) 
* change weight_decay & batchsize

* del weight_decay

* big weight_decay

* mid weight_decay

* small layer

* 2 layer

* full layer

* no weight decay

* divide into two data source

* change parse field

* delete some debug

* add Toperator

* new format of arctic

* fix cache bug to arctic read

* fix connection problem

* add some operator

* final version for arcitc

* clear HZ cache

* remove not used function

* add topswrappers

* successfully import data and run first test

* A simpler version to support arctic

* Successfully run all high-freq expressions

* Black format and fix add docs

* Add docs for download and test data

* update scripts and docs

* Add docs

* fix bug

* Refine docs

* fix test bug

* fix CI error

* clean code

Co-authored-by: bxdd <bxddream@gmail.com>
Co-authored-by: wangwenxi.handsome <wangwenxi.handsome@gmail.com>
Co-authored-by: Young <afe.young@gmail.com>
 2022-01-18 09:13:11 +08:00
Chia-hung Tai
e843e021a2 Use encoding="utf-8" in open. (#773) 2021-12-25 18:00:56 +08:00
Arthur Cui
125922b77a solve VERSION.txt bug (#732) 
* solve VERSION.txt bug

* back to main version

* change setup and init to follow pypi type

* add read function

* solve black format

Co-authored-by: DefangCui <170007807@pku.edu.cn>
 2021-12-12 12:02:20 +08:00
upgradvisor-bot
7cb1f7cee0 Hyperopt upgrade (#741) 
* Upgrade hyperopt

* Do not use newly added progress bar

Co-authored-by: Raphael Sofaer <rsofaer@gmail.com>
 2021-12-11 12:37:08 +08:00
Young
3a152f9b8b fix CI 2021-10-03 14:58:37 +08:00
wangwenxi-handsome
3760a18a8d Merge nested main (#597) 
* MVP for Indian Stocks in qlib using yahooquery

* cleaned with black

* cleaned with black

* add YahooNormalizeIN and YahooNormalizeIN1d

* cleaned the code

* added 1min for IN and also updated readme

* update comments

* fix comments

* recorder support upload both raw file and directory

* fix comments

* Update README.md

* Fix docs of QlibRecorder

* sort index after loader (#538)

make sure the fetch method is based on a index-sorted pd.DataFrame

* refactor online serving rolling api

* refactor TRA

* format by black

* fix horizon

* fix TRA when use single head

* clean up

* improve pretrain

* update README

* fix tra when logdir is None

* fix tra when logdir is None

* Update strategy.py

* Update README.md

* Update README.md

* Conda Suggestion

* code standard docs

* Update ensemble.py (#560)

* Fix CI  Bug (#575)


Co-authored-by: yuxwang <anduinnn@foxmail.com>

* Update gen.py (#576)

* Fix multi-process loop calls (#574)

* check lexsort in the 'lazy_sort_index' function (#566)

* check lexsort

* check lexsort

* lexsort comment

* lexsort comment

* Delete .DS_Store

* Update README.md

* bug fix & use oracle transport pretrain

* mend

* Add `backend_freq_config` parameter, support multi-freq uri

* Add sample_config to QlibDataLoader, support multi-freq

* add multi-freq example

* get_cls_kwargs renamed get_callable_kwargs

* support multi-freq uri

* Add inst_processors to D.features

* Fix typo

* Fix the index type of the multi-freq example

* Fix duplicate mlflow directories in tests

* Add DataPathManager to QlibConfig && modify inst_processors to supports list only

* Modify the default value in the multi_freq example

* Modify client-server mode and dataset-cache to disable inst_processor

* Add wheel package to github CI

* fix comment

* Update FAQ.rst

* Update README.md

Fix wrong link

* Update the docs of TaskManager (#586)

* Update manage.py

* update yaml

* update run_all_model

* Modify the Feature to be case sensitive (#589)

* update README

* remove verbose

* fix spell bug

* fix typos (#592)

* Update Release Note

* fix portfolio bug

* Add calendar support for resample

* add freq kwargs

* test.yml: Remove redundant code (#595)

* Supporting shared processor (#596)

* Supporting shared processor

* fix readonly reverse bug

* remove pytests dependency

* with fit bug

* fix parameter error

* fix comments

* Fix undefined names in Python code (#599)

* Update pytorch_tabnet.py

$ `flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics`
```
./qlib/qlib/contrib/model/pytorch_tabnet.py:567:38: F821 undefined name 'inp'
            self.independ.append(GLU(inp, out_dim, vbs=vbs))
                                     ^
./qlib/examples/model_rolling/task_manager_rolling.py:75:18: F821 undefined name 'task_train'
        run_task(task_train, self.task_pool, experiment_name=self.experiment_name)
                 ^
2     F821 undefined name 'task_train'
2
```

* Fix undefined names in Python code

* from qlib.model.trainer import task_train

* update seed

* fix some docstring

* add comments

* Fix SimpleDatasetCache

* Update setup.py

updated classifiers

* Update setup.py

change to matplotlib==3.3

* Update python-publish.yml

added python 3.9

* updategrade version number

* Update model list

* fix the type of filter_pipe

* fix comment

* fix record_temp

* update cvxpy version

* Update code_standard.rst (#587)

* Update code_standard.rst

* Update docs/developer/code_standard.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* Add file lock for MLflowExpManager (#619)

* fix torch version

* Share version number (#620)

* Update initialization.rst (#622)

* Update initialization.rst

* Update docs/start/initialization.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* Update docs/start/initialization.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* fix bugs for running previous exmaple

* fix deal amount bug

* update change doc (#623)

* Add files via upload

* Update README.md

* Update README.md

* Update README.md

* Delete change doc.gif

* Add files via upload

* Update README.md

* Delete change doc.gif

* Add files via upload

* Delete change doc.gif

* Add files via upload

* Update README.md

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* update doc

* simplify run all model

* fix run all model bug

* Fix Models (#483)

* fix gat dataset

* fix tft model

* Update tft.py

* Fix tft.py

Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com>

* type and skip empty exp

* fix model yaml config

* fix tft import bug

* skip empty result

* fix model and yaml bug

* fix wrong generate parameter

* Modify multi-freq example (#626)

* modify the example of multi-freq

* add Copyright

* add a comment to average_ops.py

* modify the example of multi-freq

* add comment to multi_freq_handler.py

* add the Ref expression description to multi_freq_handler.py

* add expression description to multi_freq_handler.py

* update images

* fix workflow and update framework

Co-authored-by: Gaurav <2796gaurav@gmail.com>
Co-authored-by: 2796gaurav <17353992+2796gaurav@users.noreply.github.com>
Co-authored-by: bxdd <bxd98@126.com>
Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
Co-authored-by: Dong Zhou <Zhou.Dong@microsoft.com>
Co-authored-by: ZhangTP1996 <ztp18@mails.tsinghua.edu.cn>
Co-authored-by: demon143 <59681577+demon143@users.noreply.github.com>
Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com>
Co-authored-by: yuxwang <anduinnn@foxmail.com>
Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com>
Co-authored-by: Mark Zhao <50850474+markzhao98@users.noreply.github.com>
Co-authored-by: cslwqxx <cslwqxx@users.noreply.github.com>
Co-authored-by: Dong Zhou <evanzd@users.noreply.github.com>
Co-authored-by: SaintMalik <37118134+saintmalik@users.noreply.github.com>
Co-authored-by: Christian Clauss <cclauss@me.com>
Co-authored-by: Anurag Kumar <mailanu98@gmail.com>
Co-authored-by: demon143 <785696300@qq.com>
 2021-10-01 02:15:30 +08:00
you-n-g
d445f28e5f Merge branch 'main' into nested_decision_exe 2021-07-23 12:38:20 +08:00
Young
d5059e609f change to dev version 2021-07-12 02:49:25 +00:00
Young
215f7e0d22 update version for release 0.7.0 2021-07-11 14:34:44 +00:00
bxdd
1517a9eb91 add default executor config & update bug in indicator 2021-06-24 13:59:10 +00:00
bxdd
bf16e1ab47 update Order with dataclass 2021-06-01 16:19:01 +08:00
lzh222333
2b7ffa100f Merge remote-tracking branch 'microsoft/main' into online_srv 2021-04-29 05:23:42 +00:00
lzh222333
42f510024c update collector 2021-04-27 04:12:08 +00:00
zhupr
e15ea06122 Fix ClientProvider not supporting LocalInstrumentProvider && online using the latest python-socketio 2021-04-25 23:50:29 +08:00
lzh222333
d66d4ec93d Merge branch 'main' into online_srv 2021-03-23 11:20:02 +08:00
Young
1e5cf1c174 init version of online serving and rolling 2021-02-26 09:14:40 +00:00
Jactus
dc4aa67503 Black format 2021-02-22 11:42:36 +08:00
Charles Young
2f9d45e03a Reformat code with black. 2021-02-22 10:29:29 +08:00
Charles Young
164687d54b Add scikit-learn to dependencies. 2021-02-22 10:13:08 +08:00
Jactus
06158fb621 Update readme and setup.py 2021-02-04 16:09:36 +08:00
Young
bf748ba4b7 update version number to dev 2021-02-03 05:11:39 +00:00
Young
0da9b909f6 update version number 2021-02-02 09:48:41 +00:00
Jactus
5f87fc32ad Fix CI 2021-02-02 17:35:07 +08:00
Young
97d354fa73 update version for releasing 2021-02-02 09:24:33 +00:00
zhupr
1eaf09cce1 version removed .dev 2021-01-26 16:29:26 +08:00
zhupr
7579f4b4c0 Merge remote-tracking branch 'qlib/main' into save_inst 2021-01-26 16:14:11 +08:00
zhupr
1a1c45981c US stock code supports Windows 2021-01-26 16:06:38 +08:00
王雪
570bb272eb fix setup error 
why required pymongo
 2021-01-18 19:37:24 +08:00
Jactus
054ffa29f6 Update readme 2021-01-13 19:19:48 +08:00
Jactus
ea96c9e22d Update docs and support Python 3.9 2021-01-13 19:19:48 +08:00
Young
e2bdef7ffe update version number to dev 2020-12-12 10:09:18 +00:00