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Code Activity
1,544 Commits 46 Branches 26 Tags
9639a8cac913f5e43ee3aa3f9495bfb7dd7b11ed
Commit Graph

364 Commits

Author SHA1 Message Date
Pengrong Zhu
9639a8cac9 add default protocol_version (#677) 
* add default protocol_version

* add comment to serial.Serializable.get_backend
 2021-11-10 14:37:18 +08:00
you-n-g
7800dd4ec9 Merge pull request #650 from microsoft/backtest_improve 
Improve the backtest design and APIs
 2021-11-08 09:10:33 +08:00
Young
3fa48d7017 simplify record tmp 2021-11-05 12:57:14 +00:00
fengcunguang
f0b9a807ea Add A New Baseline: TCN (#668) 2021-11-04 20:30:52 +08:00
Mark Zhao
5ee2d9496b GPU identification bug fix for GATs (#669) 
* check lexsort

* check lexsort

* lexsort comment

* lexsort comment

* fix GPU identification bug
 2021-11-03 14:41:46 +08:00
Young
82f8ff9066 Update seperate dataframe 2021-11-01 00:51:21 +08:00
you-n-g
e41c0ac90a Adjusting gbdt.py's parameter (#660) 
* Update gbdt.py

* Update gbdt.py

* Update gbdt.py
 2021-10-28 19:43:05 +08:00
Young
5fa56703ae add handler pickle attr, enhance init_instance_by_config 2021-10-26 23:32:33 +08:00
Young
a58bc03a8e add sepdf(make mini project only rely on qlib) 2021-10-21 13:15:02 +00:00
Young
4efb0a75c1 Being compatible with previous Qlib version 2021-10-16 16:43:38 +00:00
Young
052aad7982 simplify signal parameter 2021-10-15 14:48:31 +00:00
Young
12f05c7182 Merge branch 'backtest_improve' of github.com:microsoft/qlib into backtest_improve 2021-10-15 11:27:33 +00:00
Young
ac08468330 Make static prediction easier 2021-10-15 11:21:03 +00:00
Dong Zhou
df9745f134 support empty order 2021-10-15 09:07:03 +00:00
Dong Zhou
2e49a5f7c0 fix order generator 2021-10-15 07:04:47 +00:00
you-n-g
3ab5721448 Fix OrderGenerator's return value 2021-10-15 14:28:08 +08:00
you-n-g
6a94b45503 Update order_generator.py 2021-10-15 13:52:55 +08:00
you-n-g
334b92ace7 Checking dataset empty (#647) 
* Checking dataset empty

* add dataset checker
 2021-10-14 23:35:12 +08:00
Lewen Wang
17ea44e0cf Update TCTS. (#643) 
* Update TCTS.

* Update TCTS README.

* Update TCTS README.

* Update TCTS.

Co-authored-by: lewwang <lwwang@microsoft.com>
 2021-10-12 10:08:48 +08:00
you-n-g
e99224e5c2 Update benchmark based on new backtest (#634) 
* free random seed

* update model baselines

* more robust for parameters
 2021-10-07 22:57:19 +08:00
Young
873129aa9b update fix CI tests bugs 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
wangwenxi.handsome
3ff1d91d61 add __init__ 2021-08-02 07:45:03 +00:00
wangwenxi.handsome
f5db0e1b05 fix vol limit bug 2021-08-02 03:49:03 +00:00
wangwenxi.handsome
0f2d85d098 volume limit update 2021-08-01 16:03:08 +00:00
wangwenxi.handsome
5c2ddac7f0 volume limit 2021-07-31 09:31:01 +00:00
Young
73f5cc0a2b add suspend check in twap 2021-07-29 04:11:18 +00:00
Young
ab3c4a2c05 new twap (more even) 2021-07-28 03:11:56 +00:00
v-mingzhehan
0b607da690 Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy 2021-07-27 14:32:36 +00:00
Young
0d41ca26ab fix data format bug & twap peeking strategy 2021-07-27 14:17:59 +00:00
Young
fcca242807 add cash settlement mechanism 2021-07-26 17:14:41 +00:00
Young
bdebe12cf2 support empty benchmark 
Empty benchmark could accelerate the learning process
 2021-07-26 06:14:57 +00:00
you-n-g
d445f28e5f Merge branch 'main' into nested_decision_exe 2021-07-23 12:38:20 +08:00
Ying-Tao Luo
e006ef40ad Update pytorch_localformer_ts.py 2021-07-22 11:05:39 +08:00
Young
59d4bc9394 update run_all_model and black format 2021-07-22 11:05:39 +08:00
Ying-Tao Luo
bee031af68 Add files via upload 2021-07-22 11:05:39 +08:00
Ying-Tao Luo
35840606a8 Update pytorch_localformer.py 2021-07-22 11:05:39 +08:00
Ying-Tao Luo
096ef5a62b Update pytorch_transformer.py 
Have passed black
 2021-07-22 11:05:39 +08:00
Ying-Tao Luo
dd0eebed53 Update pytorch_localformer.py 
Have passed black.
 2021-07-22 11:05:39 +08:00
Ying-Tao Luo
7b20abeda1 Add files via upload 
Add naive transformer model and a improved transformer model.
 2021-07-22 11:05:39 +08:00
Young
4e862f7d1f add print cash in verbose mode and code format 2021-07-20 05:13:05 +00:00
v-mingzhehan
62583ea6ec Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy 2021-07-19 04:18:17 +00:00
Young
92f2891664 fix order factor setting issue 
Move the factor setting from init phase to dealing phase.
 2021-07-19 02:37:44 +00:00
v-mingzhehan
5f50614dbc Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy 2021-07-17 16:31:31 +00:00
Young
5241b2f918 Merge branch 'nested_decision_exe' of github.com:microsoft/qlib into nested_decision_exe 2021-07-16 03:17:54 +00:00
Young
344f4f69d2 add data calendar API and refine order cal api 2021-07-16 03:11:07 +00:00
v-mingzhehan
870f834577 Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy 2021-07-15 08:31:39 +00:00
Young
94b456714d refactor index_range to trade_range 2021-07-15 08:02:09 +00:00
Young
cbd52b7905 align range limit 2021-07-09 08:17:10 +00:00
Young
eada8640b9 align range limit 2021-07-09 08:12:13 +00:00