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Code Activity
1,955 Commits 46 Branches 26 Tags
ec3a54f91aa2ffed8f2d36d2988db903be7f1c2d
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65 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
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
Chia-hung Tai
cbd69fb0ed The limit threshold in Taiwan stock market is also 10%. (#1391) 
* The limit threshold in Taiwan stock market is also 10%.

* Warning limit_threshold when it is None.
 2022-12-12 21:37:01 +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
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
Huoran Li
2752bdc92c Migrate NeuTrader to Qlib RL (#1169) 
* 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>
 2022-08-01 09:56:07 +08:00
Huoran Li
23c657a7a2 Backtest Mypy (#1130) 
* Done

* Fix test errors

* Revert profit_attribution.py

* Minor

* A minor update on collect_data type hint

* Resolve PR comments

* Use black to format code

* Fix CI errors
 2022-06-28 22:16:46 +08:00
Huoran Li
89972f6c6f Refine backtest codes (#1120) 
* Refine backtest code

* Keep working

* Minor

* Resolve PR comments

* Fix import error

* Fix import error
 2022-06-10 12:14:48 +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
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
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
SunsetWolf
dfc0ed3c01 fix_typo (#790) 
Signed-off-by: unknown <lv.linlang@qq.com>
 2021-12-31 22:14:47 +08:00
you-n-g
e99f00b445 Add method parameter for volume (#734) 2021-12-09 10:45:25 +08:00
Pengrong Zhu
c276de4040 Fix backtest (#719) 
* 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>
 2021-12-07 19:04:23 +08:00
Dong Zhou
c6bb11fe56 avoid trade without enough cash 2021-10-25 05:46:19 +00:00
Dong Zhou
3d7ebd1fe0 add back trade_val 2021-10-22 10:13:15 +00:00
Dong Zhou
7313b4dad0 fix impact cost 2021-10-22 08:58:37 +00:00
Dong Zhou
b70caff522 add doc 2021-10-22 08:49:20 +00:00
Dong Zhou
96b422a906 support market impact cost 2021-10-22 08:44:47 +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
wangwenxi.handsome
919380597b close and reindex 2021-09-02 09:56:38 +08:00
Young
9a74471ab6 Pass basic tests 2021-09-02 09:56:38 +08:00
Young
d39c8de800 draft design 2021-09-02 09:56:38 +08:00
wangwenxi.handsome
43a8f502ed fix bug 2021-09-02 09:56:38 +08:00
wangwenxi.handsome
25f54ddaeb new high freq struc 2021-09-02 09:56:38 +08:00
wangwenxi.handsome
d9ad8ff791 index_data 2021-09-02 09:56:38 +08:00
wangwenxi.handsome
f111e34bd2 align interface 2021-09-02 09:56:38 +08:00
wangwenxi.handsome
f67b99a30e update exchange 2021-09-02 09:56:38 +08:00
wangwenxi-handsome
735153a50d Cash Update (#559) 
* fix negative cash

* update order test

* fix bug

* update file_order_test
 2021-08-12 23:44:22 +08:00
wangwenxi.handsome
7c858803f0 add position test 2021-08-08 14:32:33 +00:00
wangwenxi.handsome
74e1ee6921 update position and negative cash 2021-08-06 04:34:30 +00:00
Young
8e87950292 Print volume limitation log 2021-08-04 11:04:28 +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
fcca242807 add cash settlement mechanism 2021-07-26 17:14:41 +00:00
wangwenxi.handsome
301e0477ec Merge branch 'nested_decision_exe' of https://github.com/wangwenxi-handsome/qlib into nested_decision_exe 2021-07-23 05:52:09 +00:00
wangwenxi.handsome
0ec6b87d39 fix little bug 2021-07-23 05:50:41 +00:00
you-n-g
bbba9600a1 Merge branch 'nested_decision_exe' into nested_decision_exe 2021-07-23 12:15:45 +08:00
wangwenxi.handsome
2c8a3ded08 high_performance_data_structure 2021-07-22 15:20:03 +00:00
Young
4e862f7d1f add print cash in verbose mode and code format 2021-07-20 05:13:05 +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
wangwenxi.handsome
2b8d4dc3c2 callable 2021-07-16 14:09:36 +00:00
wangwenxi.handsome
6ad52e8cf5 black and doc 2021-07-16 13:55:49 +00:00
wangwenxi.handsome
567841e1c6 get qlib data in exchange 2021-07-16 12:56:49 +00:00
wangwenxi.handsome
110141ddac add doc 2021-07-16 09:17:29 +00:00
wangwenxi.handsome
65b44349cd add PandasQuote 2021-07-16 08:29:32 +00:00
Young
571d27cba7 exchange support expression buy sell limit 2021-07-14 13:07:14 +00:00
Young
17d8b8a7cc fix calculating base_price 2021-07-09 08:16:01 +00:00
Young
0c946cffd6 add supporting setting trade unit in exchange 2021-07-07 10:47:54 +00:00