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Code Activity
1,717 Commits 46 Branches 26 Tags
b7988e6428ea99ce3c865eb5bb313760e26f8131
Commit Graph

1021 Commits

Author SHA1 Message Date
you-n-g
b7988e6428 Add backtest example to online simulation (#984) 2022-03-19 01:53:14 +08:00
Chauncey
f2a5ecd98a Fix comment typo (#987) 2022-03-17 19:25:15 +08:00
you-n-g
2681c61c60 Fix log object bug (#977) 2022-03-14 17:33:13 +08:00
Chia-hung Tai
776b0c5bb4 Skip idx.is_lexsorted() when pandas version is larger than 1.3.0. (#973) 
* Skip idx.is_lexsorted() when pandas version is larger than 1.3.0. The future warning is annoying.

* Skip idx.is_lexsorted() when pandas version is larger than 1.3.0. The future warning is annoying.

* Rewrite code.
 2022-03-13 23:24:54 +08:00
Chia-hung Tai
829ad9f5e9 Use callback in LGBM.train. (#974) 2022-03-13 11:20:18 +08:00
you-n-g
921c13cc90 safe remove file and more friendly log (#967) 
* save remove file and more friendly log

* fix pylint
 2022-03-13 11:11:41 +08:00
you-n-g
2ed806c846 Remove redundant import [fix pylint] (#962) 2022-03-11 12:15:37 +08:00
Jiabao Qu
d2f0bebf60 feat: add instrument context to inst_processor (#959) 
* feat: add context to data loader

* refactor: add instrument to interface of InstProcessor

Co-authored-by: Jiabao Qu <qujiabao@logiocean.com>
 2022-03-11 12:15:13 +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
Chia-hung Tai
3a911bc09b Add REG_TW. (#955) 2022-03-08 23:48:27 +08:00
you-n-g
90be21bb40 Change to Dev Version 2022-03-08 22:32:28 +08:00
Young
7540b1257b update version 2022-03-08 22:21:24 +08:00
Chao Wang
9e3d0249f7 fix bug (#950) 
fix bug in  elif isinstance(self.N, float) and 0 < self.N < 1:
 2022-03-06 23:42:31 +08:00
cuicorey
2ac964c470 Fix error message in position.py (#922) 
* Update position.py

* Update position.py

fix CI error
 2022-03-06 23:42:02 +08:00
Chia-hung Tai
07f0d4f599 [930] Fix typo HasingStockStorage to HashingStockStorage. (#947) 2022-03-04 12:40:04 +08:00
Chia-hung Tai
4dc66932d5 [931] Remove mutable default argument. (#932) 2022-02-28 18:37:46 +08:00
you-n-g
528f74af09 performance mprovement (#921) 
* performance mprovement

* memory refine
 2022-02-19 18:36:23 +08:00
you-n-g
cfc3e886ed Add data analysis feature for report (#918) 
* Add data analysis feature for report

* better display
 2022-02-17 08:24:42 +08:00
you-n-g
60d45ad770 Enhance pytorch nn (#917) 
* enhance pytorch_nn

* fix dim bug

* Black format

* Fix pylint error
 2022-02-15 19:22:48 +08:00
you-n-g
3274e16c95 Support Reweighter for HighFreq Model (#908) 2022-02-07 21:45:53 +08:00
you-n-g
357ee74b6f Update pytorch_lstm_ts.py 2022-02-07 00:05:49 +08:00
aurora5161
5da5cf5175 add weight param (#907) 2022-02-06 22:34:00 +08:00
Young
6a946761cf Black(new version) Format 2022-02-06 22:33:16 +08:00
SunsetWolf
144e1e2459 Fix pylint (#888) 
* add_pylint_to_workflow

* fix-pylint

* fix_pylinterror

* fix-issue
 2022-01-26 19:27:24 +08:00
you-n-g
635632e4ed Update handler processors docs (#879) 
* Update handler.py

* Update handler.py

* Update handler.py
 2022-01-25 11:28:23 +08:00
you-n-g
01afd06e18 fix workflow bug (#882) 
* fix workflow bug

* Fix output of pytorch NN

* Fix parameter bug
 2022-01-22 10:18:37 +08:00
you-n-g
da48f42f3f Make the logic of handler Clear (#877) 2022-01-20 22:36:28 +08:00
you-n-g
f979dcf5e8 Update __init__.py 2022-01-20 22:35:57 +08:00
you-n-g
97aa16a078 Update __init__.py 2022-01-20 02:02:56 +08:00
you-n-g
d9b9386032 Update __init__.py 2022-01-20 01:49:53 +08:00
Young
b86a30aae7 Bump to 0.8.2 2022-01-20 01:43:26 +08:00
you-n-g
2c5a4691f3 fall back error (#875) 2022-01-20 01:39:24 +08:00
you-n-g
54344c4426 Update config.py (#871) 2022-01-19 19:51:36 +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
you-n-g
bdf1fb29a6 Fix pytorch_nn.py step bug (#864) 
* Update pytorch_nn.py

* Update pytorch_nn.py
 2022-01-18 22:39:19 +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
Pengrong Zhu
2aee9e0145 Add future calendar collector (#795) 
* fix Windows mount

* add future_calendar_collector

* update docs

Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-01-16 10:14:27 +08:00
you-n-g
a62e2ec4de Update __init__.py 2022-01-15 23:07:31 +08:00
Young
e7954bdb32 update version 2022-01-15 22:49:14 +08:00
you-n-g
d0113ea7df pylint code refine & Fix nested example (#848) 
* refine code by CI

* fix argument error

* fix nested eample
 2022-01-14 09:09:21 +08:00
Jiabao Qu
8261965015 fix: highfreq_gdbt_model of prepare data (#846) 
Co-authored-by: Jiabao Qu <qujiabao@logiocean.com>
 2022-01-12 21:36:23 +08:00
Jiabao Qu
6f71f8a46b chore: remove hard code input dimension of model pytorch_tcts (#843) 
Co-authored-by: Jiabao Qu <qujiabao@logiocean.com>
 2022-01-12 19:12:20 +08:00
Chia-hung Tai
edd8badeaf [840] - Test case for operators. (#841) 
* [840] - Test case for operators.

* Move import to the head of file and add test_setting.
 2022-01-11 18:44:15 +08:00
Young
19689024d4 Fix exp uri CI bug 2022-01-10 17:29:27 +08:00
you-n-g
cf35562e84 DDG-DA paper code (#743) 
* Merge data selection to main

* Update trainer for reweighter

* Typos fixed.

* update data selection interface

* successfully run exp after refactor some interface

* data selection share handler &  trainer

* fix meta model time series bug

* fix online workflow set_uri bug

* fix set_uri bug

* updawte ds docs and delay trainer bug

* docs

* resume reweighter

* add reweighting result

* fix qlib model import

* make recorder more friendly

* fix experiment workflow bug

* commit for merging master incase of conflictions

* Successful run DDG-DA with a single command

* remove unused code

* asdd more docs

* Update README.md

* Update & fix some bugs.

* Update configuration & remove debug functions

* Update README.md

* Modfify horizon from code rather than yaml

* Update performance in README.md

* fix part comments

* Remove unfinished TCTS.

* Fix some details.

* Update meta docs

* Update README.md of the benchmarks_dynamic

* Update README.md files

* Add README.md to the rolling_benchmark baseline.

* Refine the docs and link

* Rename README.md in benchmarks_dynamic.

* Remove comments.

* auto download data

Co-authored-by: wendili-cs <wendili.academic@qq.com>
Co-authored-by: demon143 <785696300@qq.com>
 2022-01-10 16:52:37 +08:00
Chia-hung Tai
184ce34a34 [807] Move the REG_CONSTANT/EPS to constant.py. (#811) 
* [807] Move the REG_CONSTANT to constant.py.

* import REG_US.

* Move EPS to constant.py.
 2022-01-09 21:39:46 +08:00
Chia-hung Tai
bcf18c14de Fix typos and comments. (#815) 
* Fix typos and comments.

* Add comma before and.
 2022-01-09 21:13:25 +08:00
Chia-hung Tai
6c1332f604 Fix some warnings in log.py. (#805) 
* Fix some warnings in log.py.

* Fix typo and using black format.

* Fix black.

* Rename dict_ to attrs
 2022-01-06 15:36:00 +08:00
you-n-g
03cce8c908 Some Optimization of online code (#784) 
* Some Optimization of online code

* more flexible updater and load_object & fix p*_uri

* make recorder more friendly

* remove unused import
 2022-01-03 15:52:03 +08:00
安阁锐
e76b409d9a Fix $volume normalization issue (#792) 
* Fix $volume normalization issue

Fix: https://github.com/microsoft/qlib/issues/765

* black formatting

black formatting

* black formatting

black formatting

* black formatting

black formatting
 2022-01-01 23:44:17 +08:00