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1,943 Commits 46 Branches 26 Tags
cf0119a42abf53d23e2fcd8affc0a0f241d85332
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85 Commits

Author SHA1 Message Date
you-n-g
be4646b4b7 Adjust rolling api (#1594) 
* 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
 2023-07-14 12:16:12 +08:00
YQ Tsui
5e3924d7a6 fix some typo in doc/comments (#1389) 
* fix typo in docstrings

* fix typo

* fix typo

* fix black lint

* fix black lint
 2022-12-11 14:29:16 +08:00
Maxim Smolskiy
5b73b80293 Fix the Errors/Warnings when building Qlib's documentation (#1381) 
* Fix the Errors/Warnings when building Qlib's documentation

* Fix

* Fix

* Empty

* Test CI

* Add doc compiling checking to CI

* Fix

* Tries to be consistent with Makefile

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2022-12-05 09:29:03 +08:00
YQ Tsui
cc01812c62 Fix typos and grammar errors in docstrings and comments (#1366) 
* fix gramma error in doc strings

* fix typos in exchange.py

* fix typos and gramma errors

* fix typo and rename function param to avoid shading python keyword

* remove redundant parathesis; pass kwargs to parent class

* fix pyblack

* further correction

* assign -> be assigned to
 2022-11-20 14:15:59 +08:00
Maxim Smolskiy
b51e881be3 Fix the Errors with unexpected indentation when building Qlib's documentation (#1352) 
* Fix ERROR: Unexpected indentation in qlib/data/dataset/handler.py

* Fix ERROR: Unexpected indentation in qlib/data/dataset/__init__.py

* Fix ERROR: Unexpected indentation in ../qlib/data/cache.py

* Fix ERROR: Unexpected indentation in qlib/model/meta/task.py

* Fix ERROR: Unexpected indentation in qlib/model/meta/dataset.py

* Fix ERROR: Unexpected indentation in qlib/workflow/online/manager.py

* Fix ERROR: Unexpected indentation in qlib/workflow/online/update.py

* Fix ERROR: Unexpected indentation in /qlib/workflow/__init__.py

* Fix ERROR: Unexpected indentation in qlib/data/base.py

* Fix ERROR: Unexpected indentation in qlib/data/dataset/loader.py

* Fix ERROR: Unexpected indentation in qlib/contrib/evaluate.py

* Fix ERROR: Unexpected indentation in qlib/workflow/record_temp.py

* Fix ERROR: Unexpected indentation in qlib/workflow/task/gen.py

* Fix ERROR: Unexpected indentation in qlib/strategy/base.py

* Fix qlib/data/dataset/handler.py

* Retest
 2022-11-15 08:49:36 +08:00
Huoran Li
35794846ff Refine RL todos (#1332) 
* 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>
 2022-11-10 21:10:11 +08:00
Linlang Lv (iSoftStone)
30e457119c add_pre-commit_and_flake8_to_CI 2022-03-25 16:56:02 +08:00
you-n-g
2681c61c60 Fix log object bug (#977) 2022-03-14 17:33:13 +08:00
Chia-hung Tai
4dc66932d5 [931] Remove mutable default argument. (#932) 2022-02-28 18:37:46 +08:00
Young
6a946761cf Black(new version) Format 2022-02-06 22:33:16 +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
SunsetWolf
dfc0ed3c01 fix_typo (#790) 
Signed-off-by: unknown <lv.linlang@qq.com>
 2021-12-31 22:14:47 +08:00
you-n-g
ae83f9056f docs improvement (#730) 2021-12-07 21:45:29 +08:00
Pengrong Zhu
d224ea447e Fix high-freq data (#702) 
* fix the collector.py yahoo 1min factor calculation

* fix HFSignalRecord
 2021-11-20 15:03:53 +08:00
Young
1e410c99be Support auto skip flawed data 2021-11-13 07:44:26 +00:00
you-n-g
f2771f1beb Callable Exp (#683) 2021-11-12 14:56:22 +08:00
Young
3fa48d7017 simplify record tmp 2021-11-05 12:57:14 +00:00
Young
28fe4d4bb4 update file strategy test 2021-10-03 14:58:37 +08:00
Young
873129aa9b update fix CI tests bugs 2021-10-03 14:58:37 +08:00
Young
4099050935 Merge remote-tracking branch 'origin/main' into nested_decision_exe 2021-09-30 18:41:15 +00:00
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
b9809a4c33 make the prediction update more friendly (#609) 
* make the prediction update more friendly

* Update test_storage.py

* LabelUpdater

* Update test_storage.py

* Update test_storage.py

* Update test_storage.py

* Update test_storage.py

* Update setup.py

* Update workflow_config_lightgbm_Alpha158.yaml

* Update workflow_config_lightgbm_Alpha158.yaml

* Update workflow_config_lightgbm_Alpha158.yaml

* Update workflow_config_lightgbm_Alpha158.yaml

* Update workflow_config_lightgbm_Alpha158.yaml

* Update setup.py

* Update setup.py

* test CI only

* test CI only

* Update workflow_config_lightgbm_Alpha158.yaml

* Update setup.py

* fix "Segmentation fault" in macos

* Update test.yml

github action no longer supported ubuntu-16.04

* Update api.rst

update doc with new_lable

* Update api.rst

Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com>
Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com>
 2021-09-30 20:54:44 +08:00
you-n-g
1fb50d521b Merge branch 'main' into nested_decision_exe 2021-07-07 17:30:31 +08:00
Lewen Wang
ace7484304 Update TCTS. (#495) 
* Update TCTS Model.

Co-authored-by: lewwang <lwwang@microsoft.com>
 2021-07-04 16:45:05 +08:00
Young
b41267fa59 successful run random order gen in day script 2021-06-28 17:47:30 +08:00
bxdd
1517a9eb91 add default executor config & update bug in indicator 2021-06-24 13:59:10 +00:00
bxdd
ab97e82484 fix bug in Exchange 2021-06-22 15:03:05 +08:00
bxdd
4ac6e6e246 fix account bug & update indicator_analysis & fix some comments 2021-06-22 02:42:09 +08:00
bxdd
f78e90171b fix comments & add VAStrategy & add trade indicator 2021-06-14 21:32:18 +08:00
bxdd
4085b447aa move backtest to core, fix calendar bugs, add some docstring 2021-05-27 21:14:39 +08:00
bxdd
2ad61f12b3 rename var in backtest 2021-05-27 17:03:53 +08:00
bxdd
ee74489c37 solve the conflict 2021-05-25 02:53:44 +08:00
bxdd
75fcb3800d Merge branch 'qlib_highfreq_backtest' of github.com:bxdd/qlib into bxdd-qlib_highfreq_backtest 2021-05-25 02:40:34 +08:00
bxdd
0c6e505455 fix comments 2021-05-25 02:38:34 +08:00
you-n-g
dda509da0b Update record_temp.py 2021-05-19 15:02:04 +08:00
bxdd
07eaada31e fix comments 2021-05-13 00:33:57 +08:00
bxdd
621cb243c2 fix some comments and add docstring 2021-05-12 02:17:39 +08:00
bxdd
e30df11a0b solve the conflict 2021-04-30 23:23:56 +08:00
bxdd
d297a493b8 fix bugs 2021-04-30 22:56:21 +08:00
bxdd
a109df3f46 fix bug in recorder 2021-04-30 01:06:05 +08:00
lzh222333
2b7ffa100f Merge remote-tracking branch 'microsoft/main' into online_srv 2021-04-29 05:23:42 +00:00
bxdd
f404a031f3 black format 2021-04-29 02:29:29 +08:00
bxdd
49cdaf8f5d update port_ana_record 2021-04-29 02:28:22 +08:00
bxdd
86a6f565e8 trade_account support multi bar report 2021-04-29 02:15:34 +08:00
Jactus
4ebf684794 Update workflow logging 2021-04-16 15:35:11 +08:00
you-n-g
a3a2b5ae0b Merge pull request #358 from javaThonc/high_freq_demp 
update high freq demo
 2021-04-14 20:05:07 +08:00
Young
a366c11d67 Update features for hyb nn 2021-04-09 13:48:01 +00:00
Young
71605794a2 Merge branch 'online_srv_wd' into online_srv 2021-04-07 05:17:07 +00:00
Young
1dbb561744 Fix some API(for lb nn) 2021-04-07 03:53:56 +00:00
D-X-Y
9d04ae4676 Add MultiSegRecord in contrib.workflow and decouple its tests from test_all_pipeline 2021-03-28 00:33:59 -07:00