* Init model for both dataset
* Remove some deprecated code
* Add model template;
* We must align with previous results
* We choose another mode as the initial version
* Almost success to run GRU
* Successfully run training
* Passed general_nn test
* gru test
* Alignment test passed
* comment
* fix readme & minor errors
* general nn updates & benchmarks
* Update examples/benchmarks/GeneralPtNN/workflow_config_gru2mlp.yaml
---------
Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* download orderbook data
* fix CI error
* fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* test fix CI error
* optimize get_data code
* optimize get_data code
* optimize get_data code
* optimize README
---------
Co-authored-by: Linlang <v-linlanglv@microsoft.com>
* Intermediate version
* Fix yaml template & Successfully run rolling
* Be compatible with benchmark
* Get same results with previous linear model
* Black formatting
* Update black
* Update the placeholder mechanism
* Update CI
* Update CI
* Upgrade Black
* Fix CI and simplify code
* Fix CI
* Move the data processing caching mechanism into utils.
* Adjusting DDG-DA
* Organize import
* wip
* wip
* wip
* Fix naming errors
* Backtest test passed
* Why training stuck?
* Minor
* Refine train configs
* Use dummy in training
* Remove pickle_dataframe
* CI
* CI
* Add more strict condition to filter orders
* Pass test
* Add TODO in example
---------
Co-authored-by: Young <afe.young@gmail.com>
* 1) check limit_up/down should consider direction; 2) fix some typo, typehint etc
* fix error
* Update test_all_pipeline.py
Believe it's just some arbitrary number.
The excess return is expected to change when trading logic changes.
* add flag forbid_all_trade_at_limit to keep previous behivour for backward compatibility
* 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
* Refine several todos
* CI issues
* Remove Dropna limitation of `quote_df` in Exchange (#1334)
* Remove Dropna limitation of `quote_df` of Exchange
* Impreove docstring
* Fix type error when expression is specified (#1335)
* Refine fill_missing_data()
* Remove several TODO comments
* Add back env for interpreters
* Change Literal import
* Resolve PR comments
* Move to SAOEState
* Add Trainer.get_policy_state_dict()
* Mypy issue
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* Add REG_US and REG_TW into test case: test_utils.py.
* Fix black.
* Trigger checks.
* Add REG_US and REG_TW into test case: test_utils.py.
* Fix black.
* Trigger checks.
* RL backtest with simulator
* Minor modification in init_qlib
* Cherry pick PR 1302
* Resolve PR comments
* Fix missing data processing
* Minor bugfix
* Add TODOs and docs
* Add a comment
* Refine previous version RL codes
* Polish utils/__init__.py
* Draft
* Use | instead of Union
* Simulator & action interpreter
* Test passed
* Migrate to SAOEState & new qlib interpreter
* Black format
* . Revert file_storage change
* Refactor file structure & renaming functions
* Enrich test cases
* Add QlibIntradayBacktestData
* Test interpreter
* Black format
* .
.
.
* Rename receive_execute_result()
* Use indicator to simplify state update
* Format code
* Modify data path
* Adjust file structure
* Minor change
* Add copyright message
* Format code
* Rename util functions
* Add CI
* Pylint issue
* Remove useless code to pass pylint
* Pass mypy
* Mypy issue
* mypy issue
* mypy issue
* Revert "mypy issue"
This reverts commit 8eb1b0174e.
* mypy issue
* mypy issue
* Fix the numpy version incompatible bug
* Fix a minor typing issue
* Try to skip python 3.7 test for qlib simulator
* Resolve PR comments by Yuge; solve several CI issues.
* Black issue
* Fix a low-level type error
* Change data name
* Resolve PR comments. Leave TODOs in the code base.
Co-authored-by: Young <afe.young@gmail.com>
* add ChangeInstrument to ops
Adding Change instrument OP. This op allows one to use features of a different instrument.
* Update __init__.py
update parse_field to accommodate ChangeInstrument
* Propose test
* Add test case and fix bug
* Update ops.py
* Update ops.py
* simplify the operator further
* implement abstract method
* fix arg bug
* clean test
Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* 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>
* modify FileStorage to support multiple freqs
* modify backtest's sample documentation
* change the logging level of read data exception from error to debug
* fix the backtest exception when volume is 0 or np.nan
* fix test_storage.py
* add backtest_daily
* modify backtest_daily's docstring
* add __repr__/__str__ to Position
* fix the bug of nested_decision_execution example
Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
