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1,993 Commits 46 Branches 26 Tags
e2879d9b1e9a7ac2bf115a593d5a968a1aa8cd38
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1169 Commits

Author SHA1 Message Date
Young
e2879d9b1e We choose another mode as the initial version 2024-07-10 05:42:27 +00:00
Young
0f9312593d Remove some deprecated code 2024-07-09 09:11:06 +00:00
Young
4405cb784f Init model for both dataset 2024-07-08 06:11:51 +00:00
you-n-g
a7d5a9b500 Nested data loader (#1822) 
* nested data loader

* Amend

* add data loder test

* fix pylint error

* fix pytest error

* fix pytest error

* delete comments

* Update qlib/contrib/data/handler.py

---------

Co-authored-by: Linlang <Lv.Linlang@hotmail.com>
 2024-07-05 15:44:16 +08:00
you-n-g
5190332c7e Add some misc features. (#1816) 
* Normal mod

* Black linting

* Linting
 2024-06-26 18:34:00 +08:00
cyncyw
cde80206e4 Update index_data.py for datatype conversion and alignment (#1813) 
* Update index_data.py for data convertion and alignment

* Update qlib/utils/index_data.py

* Update qlib/utils/index_data.py

* fix linting

---------

Co-authored-by: taozhiwang <taozhiwa@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2024-06-24 15:34:48 +08:00
陈屹华
ebc0ca893e Fix TSDataSampler Slicing Bug #1716 (#1803) 
* Fix TSDataSampler Slicing Bug #1716

* Fix TSDataSampler Slicing Bug #1716

* Fix TSDataSampler Slicing Bug #1716

* Fix TSDataSampler Slicing Bug with simplyer implmentation#1716
 with Simplified Implementation

* Refactor: Fix CI errors by addressing pylint formatting issues

* Refactor: Remove extraneous whitespace for improved code formatting with Black
 2024-06-21 09:25:23 +08:00
Lee Yuntong
3a348aec9f Fix typo (#1811) 
Co-authored-by: LeeYuntong <nukuihayu@outlook.com>
 2024-06-20 18:12:07 +08:00
Lee Yuntong
37b908792b Fix typo (#1809) 
Co-authored-by: LeeYuntong <nukuihayu@outlook.com>
 2024-06-19 17:31:57 +08:00
raikiriww
73ec0f4003 Add "mse" metric option to ALSTM.metric_fn (#1810) 2024-06-19 17:31:47 +08:00
block-gpt
7db83d84b7 Update utils.py for typo (#1751) 
Fix typo

Co-authored-by: Linlang <Lv.Linlang@hotmail.com>
 2024-06-01 19:33:23 +08:00
igeni
907c888c23 changed concat of strings to f-strings and redundant type conversion was removed (#1767) 
Co-authored-by: Linlang <Lv.Linlang@hotmail.com>
 2024-05-28 12:13:12 +08:00
Linlang
02fe6b6974 bump verison 2024-05-24 16:38:48 +08:00
Linlang
b892b21045 update version 2024-05-24 15:14:49 +08:00
Linlang
155f80323c fix get data error (#1793) 
* fix get data error

* fix get v0 data error

* optimize get_data code

* fix pylint error

* add comments
 2024-05-24 12:59:50 +08:00
playfund
2ae4be426a Delete redundant copy() code to speed up (#1732) 
Delete redundant copy() code to speed up

Co-authored-by: Linlang Lv (iSoftStone Information) <v-lvlinlang@microsoft.com>
 2024-05-17 18:45:07 +08:00
Chuan Xu
b1e0e77c97 Fix the bug of reading string NA as NaN in the function exists_qlib_data. (#1736) 
* Fix the bug of reading NA string as NaN in exists_qlib_data.

* Fix the .gitignore file.

* Update the fix and add some comments.

* format with black

---------

Co-authored-by: Chuan Xu <chuan.xu@sas.com>
Co-authored-by: Linlang Lv (iSoftStone Information) <v-lvlinlang@microsoft.com>
 2024-05-10 13:09:39 +08:00
Linlang
3779b5186a bump version (#1784) 
Co-authored-by: Linlang Lv (iSoftStone Information) <v-lvlinlang@microsoft.com>
 2024-05-08 13:50:55 +08:00
Young
194284b1ac Update version 2024-05-07 14:15:35 +08:00
Linlang
39f88daaa7 download orderbook data (#1754) 
* 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>
 2024-03-07 14:41:21 +08:00
Fivele-Li
69e28ceab8 suppress the SettingWithCopyWarning of pandas (#1513) 
* df value is set as expected, suppress the warning;

* depress warning with pandas option_context

---------

Co-authored-by: Cadenza-Li <362237642@qq.com>
 2023-09-01 18:12:49 +08:00
Di
5387ea5c1f Add exploration noise to rl training collector (#1481) 
* Update vessel.py

Add exploration_noise=True  to training collector

* Update vessel.py

Reformat
 2023-08-18 17:41:02 +08:00
Di
05d67b3828 Add multi pass portfolio analysis record (#1546) 
* Add multi pass port ana record

* Add list function

* Add documentation and support <MODEL> tag

* Add drop in replacement example

* reformat

* Change according to comments

* update format

* Update record_temp.py

Fix type hint

* Update record_temp.py
 2023-08-04 17:41:12 +08:00
you-n-g
1a32ba1806 Bump Version & Fix CI (#1606) 
* Bump Version & Fix CI

* Update test_qlib_from_pip.yml
 2023-07-18 20:54:15 +08:00
you-n-g
842b8e8563 Update __init__.py 2023-07-18 19:28:17 +08:00
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
Yang
3e074c8435 fix download token (#1577) 2023-07-06 12:38:52 +08:00
you-n-g
b1e7b19a3d Update __init__.py 2023-06-27 11:55:40 +08:00
you-n-g
27f476b311 Update __init__.py 2023-06-26 00:00:46 +08:00
Linlang
21f0b394e7 change get_data url (#1558) 
* change_url

* fix_CI

* fix_CI_2

* fix_CI_3

* fix_CI_4

* fix_CI_5

* fix_CI_6

* fix_CI_7

* fix_CI_8

* fix_CI_9

* fix_CI_10

* fix_CI_11

* fix_CI_12

* fix_CI_13

* fix_CI_13

* fix_CI_14

* fix_CI_15

* fix_CI_16

* fix_CI_17

* fix_CI_18

* fix_CI_19

* fix_CI_20

* fix_CI_21

* fix_CI_22

* fix_CI_23

* fix_CI_24

* fix_CI_25

* fix_CI_26

* fix_CI_27

* fix_get_data_error

* fix_get_data_error2

* modify_get_data

* modify_get_data2

* modify_get_data3

* modify_get_data4

* fix_CI_28

* fix_CI_29

* fix_CI_30

---------

Co-authored-by: Linlang <v-linlanglv@microsoft.com>
 2023-06-25 23:39:11 +08:00
you-n-g
0e9ac9dce7 Fix CI (#1529) 2023-05-31 08:39:52 +08:00
yaxuan999
efffb2819a added KRNN and Sandwich models and their example results based on Alpha360 (#1414) 
* Update README.md

updated the result of KRNN and Sandwich models based on Alpha360

* Update README.md

* Update README.md

* Add files via upload

* Update README.md

* Update README.md

* Update README.md

* Add files via upload

* Delete pytorch_krnn.py

* Delete pytorch_sandwich.py

* Add files via upload

* Update pytorch_sandwich.py

* Update pytorch_krnn.py

* Update pytorch_sandwich.py

* Update pytorch_krnn.py

* Update README.md

* Update README.md

* Update requirements.txt

* Update requirements.txt

* Update README.md

* Update README.md

* Update pytorch_sandwich.py

* Update link on index

---------

Co-authored-by: Young <afe.young@gmail.com>
 2023-05-26 18:42:58 +08:00
Fivele-Li
19a0eb78bc Fix TCN model input dimension mismatch (#1520) 
* transpose dimension 1 and 2 to match nn.Conv1d input

* 1.update TCN benchmarks;
2.Emphasize updating the benchmark table;

* replace specific version with main

---------

Co-authored-by: lijinhui <362237642@qq.com>
 2023-05-26 14:44:34 +08:00
Huoran Li
8d60a6a02b Resolve RL FIXMES (#1503) 
* Solve several small FIXMEs left in RL

* Add TODO in example

* Minor bugfix

* black
 2023-05-17 16:57:08 +08:00
Fivele-Li
7234308651 Add base config in yml (#1500) 
* path on Windows contains double '/' which may cause open file failed.

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* add baseConfig in yml,user can add new keys or update/drop keys in baseConfig;

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* pip release version 23.1 on Apr.15 2023, CI failed to run, Please refer to #1495 ofr detailed logs. The pip version has been temporarily fixed to 23.0.1.

* 1.Search for baseConfig in multiple directories;
2.Add user instructions in qrun;

* fix format with black

* 1.modify baseConfig key to BASE_CONFIG_PATH;
2.only find config file in absolute path and relative path;

* load BASE_CONFIG_PATH on absolute path & relative path;

* fix Lint with black

---------

Co-authored-by: lijinhui <362237642@qq.com>
 2023-05-12 17:35:37 +08:00
Chaoying
acf5df27ce Add support for redis password (#1508) 2023-05-08 16:17:15 +08:00
Chaoying
37a59f28d3 Fix deprecated syntax in numpy (#1507) 
* Fix deprecated syntax in numpy

* Replace np.bool with bool
 2023-05-08 16:17:02 +08:00
YQ Tsui
b084c352f5 provide dtype to empty series to surpress warning; fix type (#1449) 2023-05-05 17:47:44 +08:00
Maksim Zayakin
9e22e5168b Remove unused DNNModelPytorch params (#1470) 
* Remove lr_decay and lr_decay_steps params

More flexible way to pass a scheduler (via callable function) is already
supported

* remove lr_decay and lr_decay_steps from mlp workflow configs
 2023-04-28 17:48:40 +08:00
Huoran Li
7f1e8c5206 Refine Qlib RL data format (#1480) 
* 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>
 2023-04-26 21:14:30 +08:00
Fivele-Li
46264dfec9 normpath for Windows (#1495) 
* path on Windows contains double '/' which may cause open file failed.

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* locate import numpy error

* pip release version 23.1 on Apr.15 2023, CI failed to run, Please refer to #1495 ofr detailed logs. The pip version has been temporarily fixed to 23.0.1.

---------

Co-authored-by: lijinhui <362237642@qq.com>
 2023-04-26 16:26:12 +08:00
you-n-g
32c3070b73 Refine DDG-DA (#1472) 
* Run ddg-da successfully

* Support include valid; More parameters

* Support L2 reg & visualization

* Blackformat

* Enable fill_method

* Support specify handler & optim dataset

* Fix Pylint
 2023-04-07 15:00:21 +08:00
you-n-g
40de67265a Update Docs about some concepts in DataHandler (#1485) 2023-04-07 10:02:16 +08:00
BookSword
d010219ba6 Merge branch 'main' into bugfix 2023-03-23 16:11:19 +08:00
BookSword
4fc8a5f25f merge 2023-03-23 16:05:09 +08:00
Linlang
0e8bfcb5d3 fix_pylint_w0719 (#1463) 
* fix_pylint_w0719

* remove_fixme
 2023-03-17 19:25:49 +08:00
you-n-g
e457ca8511 Improve annotation & documentation for handler (#1312) 
* Improve annotation & documentation for handler

* Add type
 2023-03-15 21:15:40 +08:00
Huoran Li
653c082e7a Order execution open source (#1447) 
* Waiting for bin data

* Complete readme

* CI

* Add inst filter by time

* Update qlib/data/dataset/processor.py

* typo

* Fix time filter bug

* Add Filter and set Universe

* Complete data pipeline

* Fix Provider Logger Info Args

* Add DQN; a minor bugfix in ppo reward.

* update readme. modify assertion logic in strategy check.

* Fix Doc issues and fix black

* Fix pylint Error

---------

Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
 2023-03-13 12:06:28 +08:00
you-n-g
f98e04ca9d Fix Field Name Error 2023-03-03 16:28:47 +08:00
Huoran Li
5eb5ac1f1f RL backtest pipeline on 5-min data (#1417) 
* Workflow runnable

* CI

* Slight changes to make the workflow runnable. The changes of handler/provider should be reverted before merging.

* Train experiment successful

* Refine handler & provider

* test passed

* Ready to test on server

* Minor

* Test passed

* TWAP training

* Add PPOReward

* Add a FIXME

* Refine PPO reward according to PR comments

* Minor

* Resolve PR comments

* CI issues

* CI issues

* CI issues
 2023-02-13 12:43:22 +08:00