fixed pytest error in CI

* #854 implement first data health checker draft

* #854 added support for qlib's data format, implemented factor check, reformatted summary

* adaptation current dataset

* format with black

* add data health check to docs

* fix sphinx error

* fix pylint error

* update code

* format with black

* format with pylint

---------

Co-authored-by: Linlang <Lv.Linlang@hotmail.com>

.dockerignore

@@ -0,0 +1,8 @@
+__pycache__
+*.pyc
+*.pyo
+*.pyd
+.Python
+.env
+.git
+

.github/workflows/python-publish.yml

@@ -12,70 +12,54 @@ jobs:
     runs-on: ${{ matrix.os }}
     strategy:
       matrix:
-        os: [windows-latest, macos-11]
+        os: [windows-latest, macos-13, macos-latest]
-        # FIXME:  macos-latest will raise error now.
+        python-version: ["3.8", "3.9", "3.10", "3.11", "3.12"]
-        # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
+        exclude:
-        python-version: [3.7, 3.8]
+          - os: macos-13
+            python-version: "3.11"
+          - os: macos-13
+            python-version: "3.12"
 
     steps:
-    - uses: actions/checkout@v2
+    - uses: actions/checkout@v3
-    #  This is because on macos systems you can install pyqlib using
-    # `pip install pyqlib` installs, it does not recognize the
-    # `pyqlib-<version>-cp38-cp38-macosx_11_0_x86_64.whl` and `pyqlib-<veresion>-cp38-cp37m-macosx_11_0_x86_64.whl`.
-    # So we limit the version of python, in order to generate a version of qlib that is usable for macos: `pyqlib-<veresion>-cp38-cp37m 
-    # `pyqlib-<version>-cp38-cp38-macosx_10_15_x86_64.whl` and `pyqlib-<veresion>-cp38-cp37m-macosx_10_15_x86_64.whl`.
-    # Python 3.7.16, 3.8.16  can build macosx_10_15.  But  Python 3.7.17, 3.8.17  can build macosx_11_0
     - name: Set up Python ${{ matrix.python-version }}
-      if: matrix.os == 'macos-11' && matrix.python-version == '3.7'
+      uses: actions/setup-python@v4
-      uses: actions/setup-python@v2
-      with:
-        python-version: "3.7.16"
-    - name: Set up Python ${{ matrix.python-version }}
-      if: matrix.os == 'macos-11' && matrix.python-version == '3.8'
-      uses: actions/setup-python@v2
-      with:
-        python-version: "3.8.16"
-    - name: Set up Python ${{ matrix.python-version }}
-      if: matrix.os != 'macos-11'
-      uses: actions/setup-python@v2
       with:
         python-version: ${{ matrix.python-version }}
     - name: Install dependencies
       run: |
-        python -m pip install --upgrade pip
+        make dev
-        pip install setuptools wheel twine
     - name: Build wheel on ${{ matrix.os }}
       run: |
-        pip install numpy
+        make build
-        pip install cython
+    - name: Upload to PyPi
-        python setup.py bdist_wheel
-    - name: Build and publish
       env:
         TWINE_USERNAME: __token__
         TWINE_PASSWORD: ${{ secrets.PYPI_TOKEN }}
       run: |
-        twine upload dist/*
+        twine check dist/*.whl
+        twine upload dist/*.whl --verbose
 
   deploy_with_manylinux:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v2
+    - uses: actions/checkout@v3
+    - name: Set up Python ${{ matrix.python-version }}
+      uses: actions/setup-python@v4
+      with:
+        python-version: ${{ matrix.python-version }}
     - name: Build wheel on Linux
-      uses: RalfG/python-wheels-manylinux-build@v0.3.1-manylinux2010_x86_64
+      uses: RalfG/python-wheels-manylinux-build@v0.7.1-manylinux2014_x86_64
       with:
-        # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
+        python-versions: 'cp38-cp38 cp39-cp39 cp310-cp310 cp311-cp311 cp312-cp312'
-        python-versions: 'cp37-cp37m cp38-cp38'
         build-requirements: 'numpy cython'
-    - name: Set up Python
-      uses: actions/setup-python@v2
-      with:
-        python-version: 3.7
     - name: Install dependencies
       run: |
-        pip install twine
+        python -m pip install twine
-    - name: Build and publish
+    - name: Upload to PyPi
       env:
         TWINE_USERNAME: __token__
         TWINE_PASSWORD: ${{ secrets.PYPI_TOKEN }}
       run: |
-        twine upload dist/pyqlib-*-manylinux*.whl
+        twine check dist/pyqlib-*-manylinux*.whl
+        twine upload dist/pyqlib-*-manylinux*.whl --verbose

.github/workflows/test_qlib_from_pip.yml

@@ -13,28 +13,17 @@ jobs:
     runs-on: ${{ matrix.os }}
     strategy:
       matrix:
-        # Since macos-latest changed from 12.7.4 to 14.4.1,
+        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-13, macos-14, macos-15]
-        # the minimum python version that matches a 14.4.1 version of macos is 3.10,
+        # In github action, using python 3.7, pip install will not match the latest version of the package.
-        # so we limit the macos version to macos-12.
+        # Also, python 3.7 is no longer supported from macos-14, and will be phased out from macos-13 in the near future.
-        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-11, macos-12]
+        # All things considered, we have removed python 3.7.
-        # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
+        python-version: ["3.8", "3.9", "3.10", "3.11", "3.12"]
-        python-version: [3.7, 3.8]
 
     steps:
     - name: Test qlib from pip
       uses: actions/checkout@v3
 
-    # Since version 3.7 of python for MacOS is installed in CI, version 3.7.17, this version causes "_bz not found error".
-    # So we make the version number of python 3.7 for MacOS more specific.
-    # refs: https://github.com/actions/setup-python/issues/682
     - name: Set up Python ${{ matrix.python-version }}
-      if: (matrix.os == 'macos-latest' && matrix.python-version == '3.7') || (matrix.os == 'macos-11' && matrix.python-version == '3.7')
-      uses: actions/setup-python@v4
-      with:
-        python-version: "3.7.16"
-
-    - name: Set up Python ${{ matrix.python-version }}
-      if: (matrix.os != 'macos-latest' || matrix.python-version != '3.7') && (matrix.os != 'macos-11' || matrix.python-version != '3.7')
       uses: actions/setup-python@v4
       with:
         python-version: ${{ matrix.python-version }}
@@ -42,16 +31,19 @@ jobs:
     - name: Update pip to the latest version
       run: |
         python -m pip install --upgrade pip
+      
+    # Will cancel this step when the next qlib version is released. The current qlib version is: 0.9.6
+    - name: Installing pywinpt for windows
+      if: ${{ matrix.os == 'windows-latest' }}
+      run: |
+        python -m pip install pywinpty --only-binary=:all:
 
     - name: Qlib installation test
       run: |
-        # 2024-05-30 scs has released a new version: 3.2.4.post2,
-        # This will cause the CI to fail, so we have limited the version of scs for now.
-        python -m pip install "scs<=3.2.4"
         python -m pip install pyqlib
 
     - name: Install Lightgbm for MacOS
-      if: ${{ matrix.os == 'macos-11' || matrix.os == 'macos-latest' }}
+      if: ${{ matrix.os == 'macos-13' || matrix.os == 'macos-14' || matrix.os == 'macos-15' }}
       run: |
         /bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Microsoft/qlib/main/.github/brew_install.sh)"
         HOMEBREW_NO_AUTO_UPDATE=1 brew install lightgbm
@@ -68,8 +60,5 @@ jobs:
         cd qlib
 
     - name: Test workflow by config
-      # On macos-11 system, it will lead to "Segmentation fault: 11" error,
-      # which may be caused by the excessive memory overhead of macos-11 system, so we disable macos-11 temporarily here.
-      if: ${{ matrix.os != 'macos-11' }}
       run: |
         qrun examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml

.github/workflows/test_qlib_from_source.yml

@@ -14,28 +14,17 @@ jobs:
     runs-on: ${{ matrix.os }}
     strategy:
       matrix:
-        # Since macos-latest changed from 12.7.4 to 14.4.1,
+        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-13, macos-14, macos-15]
-        # the minimum python version that matches a 14.4.1 version of macos is 3.10,
+        # In github action, using python 3.7, pip install will not match the latest version of the package.
-        # so we limit the macos version to macos-12.
+        # Also, python 3.7 is no longer supported from macos-14, and will be phased out from macos-13 in the near future.
-        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-11, macos-12]
+        # All things considered, we have removed python 3.7.
-        # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
+        python-version: ["3.8", "3.9", "3.10", "3.11", "3.12"]
-        python-version: [3.7, 3.8]
 
     steps:
     - name: Test qlib from source
       uses: actions/checkout@v3
 
-    # Since version 3.7 of python for MacOS is installed in CI, version 3.7.17, this version causes "_bz not found error".
-    # So we make the version number of python 3.7 for MacOS more specific.
-    # refs: https://github.com/actions/setup-python/issues/682
     - name: Set up Python ${{ matrix.python-version }}
-      if: (matrix.os == 'macos-latest' && matrix.python-version == '3.7') || (matrix.os == 'macos-11' && matrix.python-version == '3.7')
-      uses: actions/setup-python@v4
-      with:
-        python-version: "3.7.16"
-
-    - name: Set up Python ${{ matrix.python-version }}
-      if: (matrix.os != 'macos-latest' || matrix.python-version != '3.7') && (matrix.os != 'macos-11' || matrix.python-version != '3.7')
       uses: actions/setup-python@v4
       with:
         python-version: ${{ matrix.python-version }}
@@ -45,7 +34,7 @@ jobs:
         python -m pip install --upgrade pip
 
     - name: Installing pytorch for macos
-      if: ${{ matrix.os == 'macos-11' || matrix.os == 'macos-latest' }}
+      if: ${{ matrix.os == 'macos-13' || matrix.os == 'macos-14' || matrix.os == 'macos-15' }}
       run: |
         python -m pip install torch torchvision torchaudio
 
@@ -61,87 +50,33 @@ jobs:
 
     - name: Set up Python tools
       run: |
-        python -m pip install --upgrade cython
+        make dev
-        python -m pip install -e .[dev]
 
     - name: Lint with Black
-      # Python 3.7 will use a black with low level. So we use python with higher version for black check
-      if: (matrix.python-version != '3.7')
       run: |
-        pip install -U black  # follow the latest version of black, previous Qlib dependency will downgrade black
+        make black
-        black . -l 120 --check --diff
 
     - name: Make html with sphinx
       # Since read the docs builds on ubuntu 22.04, we only need to test that the build passes on ubuntu 22.04.
       if: ${{ matrix.os == 'ubuntu-22.04' }}
       run: |
-        cd docs
+        make docs-gen
-        sphinx-build -W --keep-going -b html . _build
-        cd ..
 
-    # Check Qlib with pylint
-    # TODO: These problems we will solve in the future. Important among them are: W0221, W0223, W0237, E1102
-      # C0103: invalid-name
-      # C0209: consider-using-f-string
-      # R0402: consider-using-from-import
-      # R1705: no-else-return
-      # R1710: inconsistent-return-statements
-      # R1725: super-with-arguments
-      # R1735: use-dict-literal
-      # W0102: dangerous-default-value
-      # W0212: protected-access
-      # W0221: arguments-differ
-      # W0223: abstract-method
-      # W0231: super-init-not-called
-      # W0237: arguments-renamed
-      # W0612: unused-variable
-      # W0621: redefined-outer-name
-      # W0622: redefined-builtin
-      # FIXME: specify exception type
-      # W0703: broad-except
-      # W1309: f-string-without-interpolation
-      # E1102: not-callable
-      # E1136: unsubscriptable-object
-    # References for parameters: https://github.com/PyCQA/pylint/issues/4577#issuecomment-1000245962
-    # We use sys.setrecursionlimit(2000) to make the recursion depth larger to ensure that pylint works properly (the default recursion depth is 1000).
     - name: Check Qlib with pylint
       run: |
-        pylint --disable=C0104,C0114,C0115,C0116,C0301,C0302,C0411,C0413,C1802,R0401,R0801,R0902,R0903,R0911,R0912,R0913,R0914,R0915,R1720,W0105,W0123,W0201,W0511,W0613,W1113,W1514,E0401,E1121,C0103,C0209,R0402,R1705,R1710,R1725,R1735,W0102,W0212,W0221,W0223,W0231,W0237,W0612,W0621,W0622,W0703,W1309,E1102,E1136 --const-rgx='[a-z_][a-z0-9_]{2,30}$' qlib --init-hook "import astroid; astroid.context.InferenceContext.max_inferred = 500; import sys; sys.setrecursionlimit(2000)"
+        make pylint
-        pylint --disable=C0104,C0114,C0115,C0116,C0301,C0302,C0411,C0413,C1802,R0401,R0801,R0902,R0903,R0911,R0912,R0913,R0914,R0915,R1720,W0105,W0123,W0201,W0511,W0613,W1113,W1514,E0401,E1121,C0103,C0209,R0402,R1705,R1710,R1725,R1735,W0102,W0212,W0221,W0223,W0231,W0237,W0246,W0612,W0621,W0622,W0703,W1309,E1102,E1136 --const-rgx='[a-z_][a-z0-9_]{2,30}$' scripts --init-hook "import astroid; astroid.context.InferenceContext.max_inferred = 500; import sys; sys.setrecursionlimit(2000)"
 
-    # The following flake8 error codes were ignored:
-      # E501 line too long
-        # Description: We have used black to limit the length of each line to 120.
-      # F541 f-string is missing placeholders
-        # Description: The same thing is done when using pylint for detection.
-      # E266 too many leading '#' for block comment
-        # Description: To make the code more readable, a lot of "#" is used.
-        # This error code appears centrally in:
-          # qlib/backtest/executor.py
-          # qlib/data/ops.py
-          # qlib/utils/__init__.py
-      # E402 module level import not at top of file
-        # Description: There are times when module level import is not available at the top of the file.
-      # W503 line break before binary operator
-        # Description: Since black formats the length of each line of code, it has to perform a line break when a line of arithmetic is too long.
-      # E731 do not assign a lambda expression, use a def
-        # Description: Restricts the use of lambda expressions, but at some point lambda expressions are required.
-      # E203 whitespace before ':'
-        # Description: If there is whitespace before ":", it cannot pass the black check.
     - name: Check Qlib with flake8
       run: |
-        flake8 --ignore=E501,F541,E266,E402,W503,E731,E203 --per-file-ignores="__init__.py:F401,F403" qlib
+        make flake8
 
-    # https://github.com/python/mypy/issues/10600
     - name: Check Qlib with mypy
       run: |
-        mypy qlib --install-types --non-interactive || true
+        make mypy
-        mypy qlib --verbose
     
     - name: Check Qlib ipynb with nbqa
       run: |
-        nbqa black . -l 120 --check --diff
+        make nbqa
-        nbqa pylint . --disable=C0104,C0114,C0115,C0116,C0301,C0302,C0411,C0413,C1802,R0401,R0801,R0902,R0903,R0911,R0912,R0913,R0914,R0915,R1720,W0105,W0123,W0201,W0511,W0613,W1113,W1514,E0401,E1121,C0103,C0209,R0402,R1705,R1710,R1725,R1735,W0102,W0212,W0221,W0223,W0231,W0237,W0612,W0621,W0622,W0703,W1309,E1102,E1136,W0719,W0104,W0404,C0412,W0611,C0410 --const-rgx='[a-z_][a-z0-9_]{2,30}$'
 
     - name: Test data downloads
       run: |
@@ -149,7 +84,7 @@ jobs:
         python scripts/get_data.py download_data --file_name rl_data.zip --target_dir tests/.data/rl
 
     - name: Install Lightgbm for MacOS
-      if: ${{ matrix.os == 'macos-11' || matrix.os == 'macos-latest' }}
+      if: ${{ matrix.os == 'macos-13' || matrix.os == 'macos-14' || matrix.os == 'macos-15' }}
       run: |
         /bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Microsoft/qlib/main/.github/brew_install.sh)"
         HOMEBREW_NO_AUTO_UPDATE=1 brew install lightgbm
@@ -159,18 +94,11 @@ jobs:
         brew unlink libomp
         brew install libomp.rb
 
-    # Run after data downloads
     - name: Check Qlib ipynb with nbconvert
-      # Running the nbconvert check on a macos-11 system results in a "Kernel died" error, so we've temporarily disabled macos-11 here.
-      if: ${{ matrix.os != 'macos-11' }}
       run: |
-        # add more ipynb files in future
+        make nbconvert
-        jupyter nbconvert --to notebook --execute examples/workflow_by_code.ipynb
 
     - name: Test workflow by config (install from source)
-      # On macos-11 system, it will lead to "Segmentation fault: 11" error,
-      # which may be caused by the excessive memory overhead of macos-11 system, so we disable macos-11 temporarily here.
-      if: ${{ matrix.os != 'macos-11' }}
       run: |
         python -m pip install numba
         python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml

.github/workflows/test_qlib_from_source_slow.yml

@@ -14,44 +14,31 @@ jobs:
     runs-on: ${{ matrix.os }}
     strategy:
       matrix:
-        # Since macos-latest changed from 12.7.4 to 14.4.1,
+        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-13, macos-14, macos-15]
-        # the minimum python version that matches a 14.4.1 version of macos is 3.10,
+        # In github action, using python 3.7, pip install will not match the latest version of the package.
-        # so we limit the macos version to macos-12.
+        # Also, python 3.7 is no longer supported from macos-14, and will be phased out from macos-13 in the near future.
-        os: [windows-latest, ubuntu-20.04, ubuntu-22.04, macos-11, macos-12]
+        # All things considered, we have removed python 3.7.
-        # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
+        python-version: ["3.8", "3.9", "3.10", "3.11", "3.12"]
-        python-version: [3.7, 3.8]
 
     steps:
     - name: Test qlib from source slow
       uses: actions/checkout@v3
 
-    # Since version 3.7 of python for MacOS is installed in CI, version 3.7.17, this version causes "_bz not found error".
-    # So we make the version number of python 3.7 for MacOS more specific.
-    # refs: https://github.com/actions/setup-python/issues/682
     - name: Set up Python ${{ matrix.python-version }}
-      if: (matrix.os == 'macos-latest' && matrix.python-version == '3.7') || (matrix.os == 'macos-11' && matrix.python-version == '3.7')
-      uses: actions/setup-python@v4
-      with:
-        python-version: "3.7.16"
-
-    - name: Set up Python ${{ matrix.python-version }}
-      if: (matrix.os != 'macos-latest' || matrix.python-version != '3.7') && (matrix.os != 'macos-11' || matrix.python-version != '3.7')
       uses: actions/setup-python@v4
       with:
         python-version: ${{ matrix.python-version }}
 
     - name: Set up Python tools
       run: |
-        python -m pip install --upgrade pip
+        make dev
-        pip install --upgrade cython numpy
-        pip install -e .[dev]
 
     - name: Downloads dependencies data
       run: |
         python scripts/get_data.py qlib_data --name qlib_data_simple --target_dir ~/.qlib/qlib_data/cn_data --interval 1d --region cn
 
     - name: Install Lightgbm for MacOS
-      if: ${{ matrix.os == 'macos-11' || matrix.os == 'macos-latest' }}
+      if: ${{ matrix.os == 'macos-13' || matrix.os == 'macos-14' || matrix.os == 'macos-15' }}
       run: |
         /bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Microsoft/qlib/main/.github/brew_install.sh)"
         HOMEBREW_NO_AUTO_UPDATE=1 brew install lightgbm

.gitignore

@@ -48,4 +48,5 @@ tags
 *.swp
 
 ./pretrain
-.idea/
+.idea/
+.aider*

.readthedocs.yaml

@@ -9,7 +9,7 @@ version: 2
 build:
   os: ubuntu-22.04
   tools:
-    python: "3.7"
+    python: "3.8"
 
 # Build documentation in the docs/ directory with Sphinx
 sphinx:

Dockerfile

@@ -0,0 +1,31 @@
+FROM continuumio/miniconda3:latest
+
+WORKDIR /qlib
+
+COPY . .
+
+RUN apt-get update && \
+    apt-get install -y build-essential
+
+RUN conda create --name qlib_env python=3.8 -y
+RUN echo "conda activate qlib_env" >> ~/.bashrc
+ENV PATH /opt/conda/envs/qlib_env/bin:$PATH
+
+RUN python -m pip install --upgrade pip
+
+RUN python -m pip install numpy==1.23.5
+RUN python -m pip install pandas==1.5.3
+RUN python -m pip install importlib-metadata==5.2.0
+RUN python -m pip install "cloudpickle<3"
+RUN python -m pip install scikit-learn==1.3.2
+
+RUN python -m pip install cython packaging tables matplotlib statsmodels
+RUN python -m pip install pybind11 cvxpy
+
+ARG IS_STABLE="yes"
+
+RUN if [ "$IS_STABLE" = "yes" ]; then \
+        python -m pip install pyqlib; \
+    else \
+        python setup.py install; \
+    fi

MANIFEST.in

@@ -1 +1,6 @@
-include qlib/VERSION.txt
+exclude tests/*
+include qlib/*
+include qlib/*/*
+include qlib/*/*/*
+include qlib/*/*/*/*
+include qlib/*/*/*/*/*

Makefile

@@ -0,0 +1,209 @@
+.PHONY: clean deepclean prerequisite dependencies lightgbm rl develop lint docs package test analysis all install dev black pylint flake8 mypy nbqa nbconvert lint build upload docs-gen
+#You can modify it according to your terminal
+SHELL := /bin/bash
+
+########################################################################################
+# Variables
+########################################################################################
+
+# Documentation target directory, will be adapted to specific folder for readthedocs.
+PUBLIC_DIR := $(shell [ "$$READTHEDOCS" = "True" ] && echo "$$READTHEDOCS_OUTPUT/html" || echo "public")
+
+SO_DIR := qlib/data/_libs
+SO_FILES := $(wildcard $(SO_DIR)/*.so)
+
+ifeq ($(OS),Windows_NT)
+    IS_WINDOWS = true
+else
+    IS_WINDOWS = false
+endif
+
+########################################################################################
+# Development Environment Management
+########################################################################################
+# Remove common intermediate files.
+clean:
+	-rm -rf \
+		$(PUBLIC_DIR) \
+		qlib/data/_libs/*.cpp \
+		qlib/data/_libs/*.so \
+		mlruns \
+		public \
+		build \
+		.coverage \
+		.mypy_cache \
+		.pytest_cache \
+		.ruff_cache \
+		Pipfile* \
+		coverage.xml \
+		dist \
+		release-notes.md
+
+	find . -name '*.egg-info' -print0 | xargs -0 rm -rf
+	find . -name '*.pyc' -print0 | xargs -0 rm -f
+	find . -name '*.swp' -print0 | xargs -0 rm -f
+	find . -name '.DS_Store' -print0 | xargs -0 rm -f
+	find . -name '__pycache__' -print0 | xargs -0 rm -rf
+
+# Remove pre-commit hook, virtual environment alongside itermediate files.
+deepclean: clean
+	if command -v pre-commit > /dev/null 2>&1; then pre-commit uninstall --hook-type pre-push; fi
+	if command -v pipenv >/dev/null 2>&1 && pipenv --venv >/dev/null 2>&1; then pipenv --rm; fi
+
+# Prerequisite section
+# What this code does is compile two Cython modules, rolling and expanding, using setuptools and Cython,
+# and builds them as binary expansion modules that can be imported directly into Python.
+# Since pyproject.toml can't do that, we compile it here.
+
+# pywinpty as a dependency of jupyter on windows, if you use pip install pywinpty installation,
+# will first download the tar.gz file, and then locally compiled and installed,
+# this will lead to some unnecessary trouble, so we choose to install the compiled whl file, to avoid trouble.
+prerequisite:
+	@if [ -n "$(SO_FILES)" ]; then \
+		echo "Shared library files exist, skipping build."; \
+	else \
+		echo "No shared library files found, building..."; \
+		pip install --upgrade setuptools wheel; \
+		python -m pip install cython numpy; \
+		python -c "from setuptools import setup, Extension; from Cython.Build import cythonize; import numpy; extensions = [Extension('qlib.data._libs.rolling', ['qlib/data/_libs/rolling.pyx'], language='c++', include_dirs=[numpy.get_include()]), Extension('qlib.data._libs.expanding', ['qlib/data/_libs/expanding.pyx'], language='c++', include_dirs=[numpy.get_include()])]; setup(ext_modules=cythonize(extensions, language_level='3'), script_args=['build_ext', '--inplace'])"; \
+	fi
+
+	@if [ "$(IS_WINDOWS)" = "true" ]; then \
+		python -m pip install pywinpty --only-binary=:all:; \
+	fi
+
+# Install the package in editable mode.
+dependencies:
+	python -m pip install -e .
+
+lightgbm:
+	python -m pip install lightgbm --prefer-binary
+
+rl:
+	python -m pip install -e .[rl]
+
+develop:
+	python -m pip install -e .[dev]
+
+lint:
+	python -m pip install -e .[lint]
+
+docs:
+	python -m pip install -e .[docs]
+
+package:
+	python -m pip install -e .[package]
+
+test:
+	python -m pip install -e .[test]
+
+analysis:
+	python -m pip install -e .[analysis]
+
+all:
+	python -m pip install -e .[pywinpty,dev,lint,docs,package,test,analysis,rl]
+
+install: prerequisite dependencies
+
+dev: prerequisite all
+
+########################################################################################
+# Lint and pre-commit
+########################################################################################
+
+# Check lint with black.
+black:
+	black . -l 120 --check --diff
+
+# Check code folder with pylint.
+# TODO: These problems we will solve in the future. Important among them are: W0221, W0223, W0237, E1102
+# 	C0103: invalid-name
+# 	C0209: consider-using-f-string
+# 	R0402: consider-using-from-import
+# 	R1705: no-else-return
+# 	R1710: inconsistent-return-statements
+# 	R1725: super-with-arguments
+# 	R1735: use-dict-literal
+# 	W0102: dangerous-default-value
+# 	W0212: protected-access
+# 	W0221: arguments-differ
+# 	W0223: abstract-method
+# 	W0231: super-init-not-called
+# 	W0237: arguments-renamed
+# 	W0612: unused-variable
+# 	W0621: redefined-outer-name
+# 	W0622: redefined-builtin
+# 	FIXME: specify exception type
+# 	W0703: broad-except
+# 	W1309: f-string-without-interpolation
+# 	E1102: not-callable
+# 	E1136: unsubscriptable-object
+# 	W4904: deprecated-class
+# 	R0917: too-many-positional-arguments
+# 	E1123: unexpected-keyword-arg
+# References for disable error: https://pylint.pycqa.org/en/latest/user_guide/messages/messages_overview.html
+# We use sys.setrecursionlimit(2000) to make the recursion depth larger to ensure that pylint works properly (the default recursion depth is 1000).
+# References for parameters: https://github.com/PyCQA/pylint/issues/4577#issuecomment-1000245962
+pylint:
+	pylint --disable=C0104,C0114,C0115,C0116,C0301,C0302,C0411,C0413,C1802,R0401,R0801,R0902,R0903,R0911,R0912,R0913,R0914,R0915,R0917,R1720,W0105,W0123,W0201,W0511,W0613,W1113,W1514,W4904,E0401,E1121,C0103,C0209,R0402,R1705,R1710,R1725,R1730,R1735,W0102,W0212,W0221,W0223,W0231,W0237,W0612,W0621,W0622,W0703,W1309,E1102,E1136 --const-rgx='[a-z_][a-z0-9_]{2,30}' qlib --init-hook="import astroid; astroid.context.InferenceContext.max_inferred = 500; import sys; sys.setrecursionlimit(2000)"
+	pylint --disable=C0104,C0114,C0115,C0116,C0301,C0302,C0411,C0413,C1802,R0401,R0801,R0902,R0903,R0911,R0912,R0913,R0914,R0915,R0917,R1720,W0105,W0123,W0201,W0511,W0613,W1113,W1514,E0401,E1121,E1123,C0103,C0209,R0402,R1705,R1710,R1725,R1735,W0102,W0212,W0221,W0223,W0231,W0237,W0246,W0612,W0621,W0622,W0703,W1309,E1102,E1136 --const-rgx='[a-z_][a-z0-9_]{2,30}' scripts --init-hook="import astroid; astroid.context.InferenceContext.max_inferred = 500; import sys; sys.setrecursionlimit(2000)"
+
+# Check code with flake8.
+# The following flake8 error codes were ignored:
+# E501 line too long
+# 	Description: We have used black to limit the length of each line to 120.
+# F541 f-string is missing placeholders
+# 	Description: The same thing is done when using pylint for detection.
+# E266 too many leading '#' for block comment
+# 	Description: To make the code more readable, a lot of "#" is used.
+#         This error code appears centrally in:
+# 			qlib/backtest/executor.py
+# 			qlib/data/ops.py
+# 			qlib/utils/__init__.py
+# E402 module level import not at top of file
+# 	Description: There are times when module level import is not available at the top of the file.
+# W503 line break before binary operator
+# 	Description: Since black formats the length of each line of code, it has to perform a line break when a line of arithmetic is too long.
+# E731 do not assign a lambda expression, use a def
+# 	Description: Restricts the use of lambda expressions, but at some point lambda expressions are required.
+# E203 whitespace before ':'
+# 	Description: If there is whitespace before ":", it cannot pass the black check.
+flake8:
+	flake8 --ignore=E501,F541,E266,E402,W503,E731,E203 --per-file-ignores="__init__.py:F401,F403" qlib
+
+# Check code with mypy.
+# https://github.com/python/mypy/issues/10600
+mypy:
+	mypy qlib --install-types --non-interactive
+	mypy qlib --verbose
+
+# Check ipynb with nbqa.
+nbqa:
+	nbqa black . -l 120 --check --diff
+	nbqa pylint . --disable=C0104,C0114,C0115,C0116,C0301,C0302,C0411,C0413,C1802,R0401,R0801,R0902,R0903,R0911,R0912,R0913,R0914,R0915,R1720,W0105,W0123,W0201,W0511,W0613,W1113,W1514,E0401,E1121,C0103,C0209,R0402,R1705,R1710,R1725,R1735,W0102,W0212,W0221,W0223,W0231,W0237,W0612,W0621,W0622,W0703,W1309,E1102,E1136,W0719,W0104,W0404,C0412,W0611,C0410 --const-rgx='[a-z_][a-z0-9_]{2,30}'
+
+# Check ipynb with nbconvert.(Run after data downloads)
+# TODO: Add more ipynb files in future
+nbconvert:
+	jupyter nbconvert --to notebook --execute examples/workflow_by_code.ipynb
+
+lint: black pylint flake8 mypy nbqa
+
+########################################################################################
+# Package
+########################################################################################
+
+# Build the package.
+build:
+	python -m build --wheel
+
+# Upload the package.
+upload:
+	python -m twine upload dist/*
+
+########################################################################################
+# Documentation
+########################################################################################
+
+docs-gen:
+	python -m sphinx.cmd.build -W docs $(PUBLIC_DIR)

README.md

@@ -8,9 +8,30 @@
 [![Join the chat at https://gitter.im/Microsoft/qlib](https://badges.gitter.im/Microsoft/qlib.svg)](https://gitter.im/Microsoft/qlib?utm_source=badge&utm_medium=badge&utm_campaign=pr-badge&utm_content=badge)
 
 ## :newspaper: **What's NEW!**     :sparkling_heart: 
+
 Recent released features
+
+### Introducing <a href="https://github.com/microsoft/RD-Agent"><img src="docs/_static/img/rdagent_logo.png" alt="RD_Agent" style="height: 2em"></a>: LLM-Based Autonomous Evolving Agents for Industrial Data-Driven R&D
+
+We are excited to announce the release of **RD-Agent**📢, a powerful tool that supports automated factor mining and model optimization in quant investment R&D.
+
+RD-Agent is now available on [GitHub](https://github.com/microsoft/RD-Agent), and we welcome your star🌟!
+
+To learn more, please visit our [♾️Demo page](https://rdagent.azurewebsites.net/). Here, you will find demo videos in both English and Chinese to help you better understand the scenario and usage of RD-Agent.
+
+We have prepared several demo videos for you:
+| Scenario | Demo video (English) | Demo video (中文) |
+| --                      | ------    | ------    |
+| Quant Factor Mining | [Link](https://rdagent.azurewebsites.net/factor_loop?lang=en) | [Link](https://rdagent.azurewebsites.net/factor_loop?lang=zh) |
+| Quant Factor Mining from reports | [Link](https://rdagent.azurewebsites.net/report_factor?lang=en) | [Link](https://rdagent.azurewebsites.net/report_factor?lang=zh) |
+| Quant Model Optimization | [Link](https://rdagent.azurewebsites.net/model_loop?lang=en) | [Link](https://rdagent.azurewebsites.net/model_loop?lang=zh) |
+
+***
+
 | Feature | Status |
 | --                      | ------    |
+| BPQP for End-to-end learning | 📈Coming soon!([Under review](https://github.com/microsoft/qlib/pull/1863)) |
+| 🔥LLM-driven Auto Quant Factory🔥 | 🚀 Released in [♾️RD-Agent](https://github.com/microsoft/RD-Agent) on Aug 8, 2024 |
 | KRNN and Sandwich models | :chart_with_upwards_trend: [Released](https://github.com/microsoft/qlib/pull/1414/) on May 26, 2023 |
 | Release Qlib v0.9.0 | :octocat: [Released](https://github.com/microsoft/qlib/releases/tag/v0.9.0) on Dec 9, 2022 |
 | RL Learning Framework | :hammer: :chart_with_upwards_trend: Released on Nov 10, 2022. [#1332](https://github.com/microsoft/qlib/pull/1332), [#1322](https://github.com/microsoft/qlib/pull/1322), [#1316](https://github.com/microsoft/qlib/pull/1316),[#1299](https://github.com/microsoft/qlib/pull/1299),[#1263](https://github.com/microsoft/qlib/pull/1263), [#1244](https://github.com/microsoft/qlib/pull/1244), [#1169](https://github.com/microsoft/qlib/pull/1169), [#1125](https://github.com/microsoft/qlib/pull/1125), [#1076](https://github.com/microsoft/qlib/pull/1076)|
@@ -132,17 +153,17 @@ Here is a quick **[demo](https://terminalizer.com/view/3f24561a4470)** shows how
 ## Installation
 
 This table demonstrates the supported Python version of `Qlib`:
-|               | install with pip           | install from source  | plot |
+|               | install with pip      | install from source  |        plot        |
-| ------------- |:---------------------:|:--------------------:|:----:|
+| ------------- |:---------------------:|:--------------------:|:------------------:|
-| Python 3.7    | :heavy_check_mark:    | :heavy_check_mark:   | :heavy_check_mark: |
 | Python 3.8    | :heavy_check_mark:    | :heavy_check_mark:   | :heavy_check_mark: |
-| Python 3.9    | :x:                   | :heavy_check_mark:   | :x: |
+| Python 3.9    | :heavy_check_mark:    | :heavy_check_mark:   | :heavy_check_mark: |
+| Python 3.10   | :heavy_check_mark:    | :heavy_check_mark:   | :heavy_check_mark: |
+| Python 3.11   | :heavy_check_mark:    | :heavy_check_mark:   | :heavy_check_mark: |
+| Python 3.12   | :heavy_check_mark:    | :heavy_check_mark:   | :heavy_check_mark: |
 
 **Note**: 
 1. **Conda** is suggested for managing your Python environment. In some cases, using Python outside of a `conda` environment may result in missing header files, causing the installation failure of certain packages.
-1. Please pay attention that installing cython in Python 3.6 will raise some error when installing ``Qlib`` from source. If users use Python 3.6 on their machines, it is recommended to *upgrade* Python to version 3.7 or use `conda`'s Python to install ``Qlib`` from source.
+2. Please pay attention that installing cython in Python 3.6 will raise some error when installing ``Qlib`` from source. If users use Python 3.6 on their machines, it is recommended to *upgrade* Python to version 3.8 or higher, or use `conda`'s Python to install ``Qlib`` from source.
-1. For Python 3.9, `Qlib` supports running workflows such as training models, doing backtest and plot most of the related figures (those included in [notebook](examples/workflow_by_code.ipynb)). However, plotting for the *model performance* is not supported for now and we will fix this when the dependent packages are upgraded in the future.
-1. `Qlib`Requires `tables` package, `hdf5` in tables does not support python3.9. 
 
 ### Install with pip
 Users can easily install ``Qlib`` by pip according to the following command.
@@ -160,7 +181,7 @@ Also, users can install the latest dev version ``Qlib`` by the source code accor
 
   ```bash
   pip install numpy
-  pip install --upgrade  cython
+  pip install --upgrade cython
   ```
 
 * Clone the repository and install ``Qlib`` as follows.
@@ -168,7 +189,6 @@ Also, users can install the latest dev version ``Qlib`` by the source code accor
     git clone https://github.com/microsoft/qlib.git && cd qlib
     pip install .  # `pip install -e .[dev]` is recommended for development. check details in docs/developer/code_standard_and_dev_guide.rst
     ```
-  **Note**:  You can install Qlib with `python setup.py install` as well. But it is not the recommended approach. It will skip `pip` and cause obscure problems. For example, **only** the command ``pip install .`` **can** overwrite the stable version installed by ``pip install pyqlib``, while the command ``python setup.py install`` **can't**.
 
 **Tips**: If you fail to install `Qlib` or run the examples in your environment,  comparing your steps and the [CI workflow](.github/workflows/test_qlib_from_source.yml) may help you find the problem.
 
@@ -176,9 +196,9 @@ Also, users can install the latest dev version ``Qlib`` by the source code accor
 
 ## Data Preparation
 ❗ Due to more restrict data security policy. The offical dataset is disabled temporarily. You can try [this data source](https://github.com/chenditc/investment_data/releases) contributed by the community.
-Here is an example to download the data updated on 20220720.
+Here is an example to download the latest data.
 ```bash
-wget https://github.com/chenditc/investment_data/releases/download/20220720/qlib_bin.tar.gz
+wget https://github.com/chenditc/investment_data/releases/latest/download/qlib_bin.tar.gz
 mkdir -p ~/.qlib/qlib_data/cn_data
 tar -zxvf qlib_bin.tar.gz -C ~/.qlib/qlib_data/cn_data --strip-components=2
 rm -f qlib_bin.tar.gz
@@ -244,6 +264,16 @@ We recommend users to prepare their own data if they have a high-quality dataset
       * *trading_date*: start of trading day
       * *end_date*: end of trading day(not included)
 
+### Checking the health of the data
+  * We provide a script to check the health of the data, you can run the following commands to check whether the data is healthy or not.
+    ```
+    python scripts/check_data_health.py check_data --qlib_dir ~/.qlib/qlib_data/cn_data
+    ```
+  * Of course, you can also add some parameters to adjust the test results, such as this.
+    ```
+    python scripts/check_data_health.py check_data --qlib_dir ~/.qlib/qlib_data/cn_data --missing_data_num 30055 --large_step_threshold_volume 94485 --large_step_threshold_price 20
+    ```
+  * If you want more information about `check_data_health`, please refer to the [documentation](https://qlib.readthedocs.io/en/latest/component/data.html#checking-the-health-of-the-data).
 
 <!-- 
 - Run the initialization code and get stock data:
@@ -272,6 +302,38 @@ We recommend users to prepare their own data if they have a high-quality dataset
   ```
  -->
 
+## Docker images
+1. Pulling a docker image from a docker hub repository
+    ```bash
+    docker pull pyqlib/qlib_image_stable:stable
+    ```
+2. Start a new Docker container
+    ```bash
+    docker run -it --name <container name> -v <Mounted local directory>:/app qlib_image_stable
+    ```
+3. At this point you are in the docker environment and can run the qlib scripts. An example:
+    ```bash
+    >>> python scripts/get_data.py qlib_data --name qlib_data_simple --target_dir ~/.qlib/qlib_data/cn_data --interval 1d --region cn
+    >>> python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
+    ```
+4. Exit the container
+    ```bash
+    >>> exit
+    ```
+5. Restart the container
+    ```bash
+    docker start -i -a <container name>
+    ```
+6. Stop the container
+    ```bash
+    docker stop <container name>
+    ```
+7. Delete the container
+    ```bash
+    docker rm <container name>
+    ```
+8. If you want to know more information, please refer to the [documentation](https://qlib.readthedocs.io/en/latest/developer/how_to_build_image.html).
+
 ## Auto Quant Research Workflow
 Qlib provides a tool named `qrun` to run the whole workflow automatically (including building dataset, training models, backtest and evaluation). You can start an auto quant research workflow and have a graphical reports analysis according to the following steps: 
 
@@ -305,22 +367,22 @@ Qlib provides a tool named `qrun` to run the whole workflow automatically (inclu
     ```
     Here are detailed documents for `qrun` and [workflow](https://qlib.readthedocs.io/en/latest/component/workflow.html).
 
-2. Graphical Reports Analysis: Run `examples/workflow_by_code.ipynb` with `jupyter notebook` to get graphical reports
+2. Graphical Reports Analysis: First, run `python -m pip install .[analysis]` to install the required dependencies. Then run `examples/workflow_by_code.ipynb` with `jupyter notebook` to get graphical reports. 
     - Forecasting signal (model prediction) analysis
       - Cumulative Return of groups
-      ![Cumulative Return](http://fintech.msra.cn/images_v070/analysis/analysis_model_cumulative_return.png?v=0.1)
+      ![Cumulative Return](https://github.com/microsoft/qlib/blob/main/docs/_static/img/analysis/analysis_model_cumulative_return.png)
       - Return distribution
-      ![long_short](http://fintech.msra.cn/images_v070/analysis/analysis_model_long_short.png?v=0.1)
+      ![long_short](https://github.com/microsoft/qlib/blob/main/docs/_static/img/analysis/analysis_model_long_short.png)
       - Information Coefficient (IC)
-      ![Information Coefficient](http://fintech.msra.cn/images_v070/analysis/analysis_model_IC.png?v=0.1)
+      ![Information Coefficient](https://github.com/microsoft/qlib/blob/main/docs/_static/img/analysis/analysis_model_IC.png)
-      ![Monthly IC](http://fintech.msra.cn/images_v070/analysis/analysis_model_monthly_IC.png?v=0.1)
+      ![Monthly IC](https://github.com/microsoft/qlib/blob/main/docs/_static/img/analysis/analysis_model_monthly_IC.png)
-      ![IC](http://fintech.msra.cn/images_v070/analysis/analysis_model_NDQ.png?v=0.1)
+      ![IC](https://github.com/microsoft/qlib/blob/main/docs/_static/img/analysis/analysis_model_NDQ.png)
       - Auto Correlation of forecasting signal (model prediction)
-      ![Auto Correlation](http://fintech.msra.cn/images_v070/analysis/analysis_model_auto_correlation.png?v=0.1)
+      ![Auto Correlation](https://github.com/microsoft/qlib/blob/main/docs/_static/img/analysis/analysis_model_auto_correlation.png)
 
     - Portfolio analysis
       - Backtest return
-      ![Report](http://fintech.msra.cn/images_v070/analysis/report.png?v=0.1)
+      ![Report](https://github.com/microsoft/qlib/blob/main/docs/_static/img/analysis/report.png)
       <!-- 
       - Score IC
       ![Score IC](docs/_static/img/score_ic.png)
@@ -499,7 +561,7 @@ Qlib data are stored in a compact format, which is efficient to be combined into
 Join IM discussion groups:
 |[Gitter](https://gitter.im/Microsoft/qlib)|
 |----|
-|![image](http://fintech.msra.cn/images_v070/qrcode/gitter_qr.png)|
+|![image](https://github.com/microsoft/qlib/blob/main/docs/_static/img/qrcode/gitter_qr.png)|
 
 # Contributing
 We appreciate all contributions and thank all the contributors!

build_docker_image.sh

@@ -0,0 +1,31 @@
+#!/bin/bash
+
+docker_user="your_dockerhub_username"
+
+read -p "Do you want to build the nightly version of the qlib image? (default is stable) (yes/no): " answer;
+answer=$(echo "$answer" | tr '[:upper:]' '[:lower:]')
+
+if [ "$answer" = "yes" ]; then
+    # Build the nightly version of the qlib image
+    docker build --build-arg IS_STABLE=no -t qlib_image -f ./Dockerfile .
+    image_tag="nightly"
+else
+    # Build the stable version of the qlib image
+    docker build -t qlib_image -f ./Dockerfile .
+    image_tag="stable"
+fi
+
+read -p "Is it uploaded to docker hub? (default is no) (yes/no): " answer;
+answer=$(echo "$answer" | tr '[:upper:]' '[:lower:]')
+
+if [ "$answer" = "yes" ]; then
+    # Log in to Docker Hub
+    # If you are a new docker hub user, please verify your email address before proceeding with this step.
+    docker login
+    # Tag the Docker image
+    docker tag qlib_image "$docker_user/qlib_image:$image_tag"
+    # Push the Docker image to Docker Hub
+    docker push "$docker_user/qlib_image:$image_tag"
+else
+    echo "Not uploaded to docker hub."
+fi

docs/component/data.rst

@@ -197,6 +197,57 @@ After conversion, users can find their Qlib format data in the directory `~/.qli
     In the convention of `Qlib` data processing, `open, close, high, low, volume, money and factor` will be set to NaN if the stock is suspended.
     If you want to use your own alpha-factor which can't be calculate by OCHLV, like PE, EPS and so on, you could add it to the CSV files with OHCLV together and then dump it to the Qlib format data.
 
+Checking the health of the data
+-------------------------------
+
+``Qlib`` provides a script to check the health of the data.
+
+- The main points to check are as follows
+
+    - Check if any data is missing in the DataFrame.
+
+    - Check if there are any large step changes above the threshold in the OHLCV columns.
+
+    - Check if any of the required columns (OLHCV) are missing in the DataFrame.
+
+    - Check if the 'factor' column is missing in the DataFrame.
+
+- You can run the following commands to check whether the data is healthy or not.
+
+    for daily data:
+        .. code-block:: bash
+
+            python scripts/check_data_health.py check_data --qlib_dir ~/.qlib/qlib_data/cn_data
+
+    for 1min data:
+        .. code-block:: bash
+
+            python scripts/check_data_health.py check_data --qlib_dir ~/.qlib/qlib_data/cn_data_1min --freq 1min
+
+- Of course, you can also add some parameters to adjust the test results.
+
+    - The available parameters are these.
+
+        - freq: Frequency of data.
+
+        - large_step_threshold_price: Maximum permitted price change
+
+        - large_step_threshold_volume: Maximum permitted volume change.
+
+        - missing_data_num: Maximum value for which data is allowed to be null.
+
+- You can run the following commands to check whether the data is healthy or not.
+
+    for daily data:
+        .. code-block:: bash
+
+            python scripts/check_data_health.py check_data --qlib_dir ~/.qlib/qlib_data/cn_data --missing_data_num 30055 --large_step_threshold_volume 94485 --large_step_threshold_price 20
+
+    for 1min data:
+        .. code-block:: bash
+
+            python scripts/check_data_health.py check_data --qlib_dir ~/.qlib/qlib_data/cn_data --freq 1min --missing_data_num 35806 --large_step_threshold_volume 3205452000000 --large_step_threshold_price 0.91
+
 Stock Pool (Market)
 -------------------
 

docs/component/highfreq.rst

@@ -25,7 +25,7 @@ The design of the framework is shown in the yellow part in the middle of the fig
 
 The frequency of the trading algorithm, decision content and execution environment can be customized by users (e.g. intraday trading, daily-frequency trading, weekly-frequency trading), and the execution environment can be nested with finer-grained trading algorithm and execution environment inside (i.e. sub-workflow in the figure, e.g. daily-frequency orders can be turned into finer-grained decisions by splitting orders within the day). The flexibility of the nested decision execution framework makes it easy for users to explore the effects of combining different levels of trading strategies and break down the optimization barriers between different levels of the trading algorithm.
 
-The optimization for the nested decision execution framework can be implemented with the support of `QlibRL <https://qlib.readthedocs.io/en/latest/component/rl.html>`_. To know more about how to use the QlibRL, go to API Reference: `RL API <../reference/api.html#rl>`_. 
+The optimization for the nested decision execution framework can be implemented with the support of `QlibRL <./rl/overall.html>`_. To know more about how to use the QlibRL, go to API Reference: `RL API <../reference/api.html#rl>`_. 
 
 Example
 =======

docs/conf.py

@@ -123,7 +123,6 @@ html_logo = "_static/img/logo/1.png"
 html_theme_options = {
     "logo_only": True,
     "collapse_navigation": False,
-    "display_version": False,
     "navigation_depth": 4,
 }
 

docs/developer/how_to_build_image.rst

@@ -0,0 +1,81 @@
+.. _docker_image:
+
+==================
+Build Docker Image
+==================
+
+Dockerfile
+==========
+
+There is a **Dockerfile** file in the root directory of the project from which you can build the docker image. There are two build methods in Dockerfile to choose from.
+When executing the build command, use the ``--build-arg`` parameter to control the image version. The ``--build-arg`` parameter defaults to ``yes``, which builds the ``stable`` version of the qlib image.
+
+1.For the ``stable`` version, use ``pip install pyqlib`` to build the qlib image.
+
+.. code-block:: bash
+
+    docker build --build-arg IS_STABLE=yes -t <image name> -f ./Dockerfile .
+
+.. code-block:: bash
+
+    docker build -t <image name> -f ./Dockerfile .
+
+2. For the ``nightly`` version, use current source code to build the qlib image.
+
+.. code-block:: bash
+
+    docker build --build-arg IS_STABLE=no -t <image name> -f ./Dockerfile .
+
+Auto build of qlib images
+=========================
+
+1. There is a **build_docker_image.sh** file in the root directory of your project, which can be used to automatically build docker images and upload them to your docker hub repository(Optional, configuration required).
+
+.. code-block:: bash
+
+    sh build_docker_image.sh
+    >>> Do you want to build the nightly version of the qlib image? (default is stable) (yes/no):
+    >>> Is it uploaded to docker hub? (default is no) (yes/no):
+
+2. If you want to upload the built image to your docker hub repository, you need to edit your **build_docker_image.sh** file first, fill in ``docker_user`` in the file, and then execute this file.
+
+How to use qlib images
+======================
+1. Start a new Docker container
+
+.. code-block:: bash
+
+    docker run -it --name <container name> -v <Mounted local directory>:/app <image name>
+
+2. At this point you are in the docker environment and can run the qlib scripts. An example:
+
+.. code-block:: bash
+
+    >>> python scripts/get_data.py qlib_data --name qlib_data_simple --target_dir ~/.qlib/qlib_data/cn_data --interval 1d --region cn
+    >>> python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
+
+3. Exit the container
+
+.. code-block:: bash
+
+    >>> exit
+
+4. Restart the container
+
+.. code-block:: bash
+
+    docker start -i -a <container name>
+
+5. Stop the container
+
+.. code-block:: bash
+
+    docker stop -i -a <container name>
+
+6. Delete the container
+
+.. code-block:: bash
+
+    docker rm <container name>
+
+7. For more information on using docker see the `docker documentation <https://docs.docker.com/reference/cli/docker/>`_.

docs/index.rst

@@ -61,6 +61,7 @@ Document Structure
    :caption: FOR DEVELOPERS:
 
    Code Standard & Development Guidance <developer/code_standard_and_dev_guide.rst>
+   How to build image <developer/how_to_build_image.rst>
 
 .. toctree::
    :maxdepth: 3

examples/benchmarks/GeneralPtNN/README.md

@@ -0,0 +1,19 @@
+
+
+# Introduction
+
+What is GeneralPtNN
+- Fix previous design that fail to support both Time-series and tabular data
+- Now you can just replace the Pytorch model structure to run a NN model.
+
+We provide an example to demonstrate the effectiveness of the current design.
+- `workflow_config_gru.yaml` align with previous results [GRU(Kyunghyun Cho, et al.)](../README.md#Alpha158-dataset)
+  - `workflow_config_gru2mlp.yaml` to demonstrate we can convert config from time-series to tabular data with minimal changes
+    - You only have to change the net & dataset class to make the conversion.
+- `workflow_config_mlp.yaml` achieved similar functionality with [MLP](../README.md#Alpha158-dataset)
+
+# TODO
+
+- We will align existing models to current design.
+
+- The result of `workflow_config_mlp.yaml` is different with the result of [MLP](../README.md#Alpha158-dataset) since GeneralPtNN has a different stopping method compared to previous implementations. Specificly, GeneralPtNN controls training according to epoches, whereas previous methods controlled by max_steps. 

examples/benchmarks/GeneralPtNN/workflow_config_gru.yaml

@@ -0,0 +1,100 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi300
+benchmark: &benchmark SH000300
+data_handler_config: &data_handler_config
+    start_time: 2008-01-01
+    end_time: 2020-08-01
+    fit_start_time: 2008-01-01
+    fit_end_time: 2014-12-31
+    instruments: *market
+    infer_processors:
+        - class: FilterCol
+          kwargs:
+              fields_group: feature
+              col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", 
+                            "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5", 
+                            "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"
+                        ]
+        - class: RobustZScoreNorm
+          kwargs:
+              fields_group: feature
+              clip_outlier: true
+        - class: Fillna
+          kwargs:
+              fields_group: feature
+    learn_processors:
+        - class: DropnaLabel
+        - class: CSRankNorm
+          kwargs:
+              fields_group: label
+    label: ["Ref($close, -2) / Ref($close, -1) - 1"] 
+
+port_analysis_config: &port_analysis_config
+    strategy:
+        class: TopkDropoutStrategy
+        module_path: qlib.contrib.strategy
+        kwargs:
+            signal: <PRED>
+            topk: 50
+            n_drop: 5
+    backtest:
+        start_time: 2017-01-01
+        end_time: 2020-08-01
+        account: 100000000
+        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
+task:
+    model:
+        class: GeneralPTNN
+        module_path: qlib.contrib.model.pytorch_general_nn
+        kwargs:
+            n_epochs: 200
+            lr: 2e-4
+            early_stop: 10
+            batch_size: 800
+            metric: loss
+            loss: mse
+            n_jobs: 20
+            GPU: 0
+            pt_model_uri: "qlib.contrib.model.pytorch_gru_ts.GRUModel"
+            pt_model_kwargs: {
+                "d_feat": 20,
+                "hidden_size": 64,
+                "num_layers": 2,
+                "dropout": 0.,
+            }
+    dataset:
+        class: TSDatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha158
+                module_path: qlib.contrib.data.handler
+                kwargs: *data_handler_config
+            segments:
+                train: [2008-01-01, 2014-12-31]
+                valid: [2015-01-01, 2016-12-31]
+                test: [2017-01-01, 2020-08-01]
+            step_len: 20
+    record: 
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            model: <MODEL>
+            dataset: <DATASET>
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            ana_long_short: False
+            ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            config: *port_analysis_config

examples/benchmarks/GeneralPtNN/workflow_config_gru2mlp.yaml

@@ -0,0 +1,93 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi300
+benchmark: &benchmark SH000300
+data_handler_config: &data_handler_config
+    start_time: 2008-01-01
+    end_time: 2020-08-01
+    fit_start_time: 2008-01-01
+    fit_end_time: 2014-12-31
+    instruments: *market
+    infer_processors:
+        - class: FilterCol
+          kwargs:
+              fields_group: feature
+              col_list: ["RESI5", "WVMA5", "RSQR5", "KLEN", "RSQR10", "CORR5", "CORD5", "CORR10", 
+                            "ROC60", "RESI10", "VSTD5", "RSQR60", "CORR60", "WVMA60", "STD5", 
+                            "RSQR20", "CORD60", "CORD10", "CORR20", "KLOW"
+                        ]
+        - class: RobustZScoreNorm
+          kwargs:
+              fields_group: feature
+              clip_outlier: true
+        - class: Fillna
+          kwargs:
+              fields_group: feature
+    learn_processors:
+        - class: DropnaLabel
+        - class: CSRankNorm
+          kwargs:
+              fields_group: label
+    label: ["Ref($close, -2) / Ref($close, -1) - 1"] 
+
+port_analysis_config: &port_analysis_config
+    strategy:
+        class: TopkDropoutStrategy
+        module_path: qlib.contrib.strategy
+        kwargs:
+            signal: <PRED>
+            topk: 50
+            n_drop: 5
+    backtest:
+        start_time: 2017-01-01
+        end_time: 2020-08-01
+        account: 100000000
+        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
+task:
+    model:
+        class: GeneralPTNN
+        module_path: qlib.contrib.model.pytorch_general_nn
+        kwargs:
+            lr: 1e-3
+            n_epochs: 1
+            batch_size: 800
+            loss: mse
+            optimizer: adam
+            pt_model_uri: "qlib.contrib.model.pytorch_nn.Net"
+            pt_model_kwargs: 
+                input_dim: 20
+                layers: [20,]
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha158
+                module_path: qlib.contrib.data.handler
+                kwargs: *data_handler_config
+            segments:
+                train: [2008-01-01, 2014-12-31]
+                valid: [2015-01-01, 2016-12-31]
+                test: [2017-01-01, 2020-08-01]
+    record: 
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            model: <MODEL>
+            dataset: <DATASET>
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            ana_long_short: False
+            ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            config: *port_analysis_config

examples/benchmarks/GeneralPtNN/workflow_config_mlp.yaml

@@ -0,0 +1,98 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi300
+benchmark: &benchmark SH000300
+data_handler_config: &data_handler_config
+    start_time: 2008-01-01
+    end_time: 2020-08-01
+    fit_start_time: 2008-01-01
+    fit_end_time: 2014-12-31
+    instruments: *market
+    infer_processors: [
+        {
+            "class" : "DropCol", 
+            "kwargs":{"col_list": ["VWAP0"]}
+        },
+        {
+             "class" : "CSZFillna", 
+             "kwargs":{"fields_group": "feature"}
+        }
+    ]
+    learn_processors: [
+        {
+            "class" : "DropCol", 
+            "kwargs":{"col_list": ["VWAP0"]}
+        },
+        {
+            "class" : "DropnaProcessor", 
+            "kwargs":{"fields_group": "feature"}
+        },
+        "DropnaLabel",
+        {
+            "class": "CSZScoreNorm", 
+            "kwargs": {"fields_group": "label"}
+        }
+    ]
+    process_type: "independent"
+
+port_analysis_config: &port_analysis_config
+    strategy:
+        class: TopkDropoutStrategy
+        module_path: qlib.contrib.strategy
+        kwargs:
+            signal: <PRED>
+            topk: 50
+            n_drop: 5
+    backtest:
+        start_time: 2017-01-01
+        end_time: 2020-08-01
+        account: 100000000
+        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
+task:
+    model:
+        class: GeneralPTNN
+        module_path: qlib.contrib.model.pytorch_general_nn
+        kwargs:
+            # FIXME: wrong parameters.
+            lr: 2e-3
+            batch_size: 8192
+            loss: mse
+            weight_decay: 0.0002
+            optimizer: adam
+            pt_model_uri: "qlib.contrib.model.pytorch_nn.Net"
+            pt_model_kwargs: 
+                input_dim: 157
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha158
+                module_path: qlib.contrib.data.handler
+                kwargs: *data_handler_config
+            segments:
+                train: [2008-01-01, 2014-12-31]
+                valid: [2015-01-01, 2016-12-31]
+                test: [2017-01-01, 2020-08-01]
+    record: 
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            model: <MODEL>
+            dataset: <DATASET>
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            ana_long_short: False
+            ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            config: *port_analysis_config

examples/benchmarks/TRA/example.py

@@ -1,14 +1,15 @@
 import argparse
 
 import qlib
-import ruamel.yaml as yaml
+from ruamel.yaml import YAML
 from qlib.utils import init_instance_by_config
 
 
 def main(seed, config_file="configs/config_alstm.yaml"):
     # set random seed
     with open(config_file) as f:
-        config = yaml.safe_load(f)
+        yaml = YAML(typ="safe", pure=True)
+        config = yaml.load(f)
 
     # seed_suffix = "/seed1000" if "init" in config_file else f"/seed{seed}"
     seed_suffix = ""

examples/benchmarks_dynamic/README.md

@@ -7,7 +7,7 @@ The table below shows the performances of different solutions on different forec
 ## Alpha158 Dataset
 Here is the [crowd sourced version of qlib data](data_collector/crowd_source/README.md): https://github.com/chenditc/investment_data/releases
 ```bash
-wget https://github.com/chenditc/investment_data/releases/download/20220720/qlib_bin.tar.gz
+wget https://github.com/chenditc/investment_data/releases/latest/download/qlib_bin.tar.gz
 mkdir -p ~/.qlib/qlib_data/cn_data
 tar -zxvf qlib_bin.tar.gz -C ~/.qlib/qlib_data/cn_data --strip-components=2
 rm -f qlib_bin.tar.gz

examples/data_demo/data_cache_demo.py

@@ -1,16 +1,16 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 """
-    The motivation of this demo
+The motivation of this demo
-    - To show the data modules of Qlib is Serializable, users can dump processed data to disk to avoid duplicated data preprocessing
+- To show the data modules of Qlib is Serializable, users can dump processed data to disk to avoid duplicated data preprocessing
 """
 
 from copy import deepcopy
 from pathlib import Path
 import pickle
 from pprint import pprint
+from ruamel.yaml import YAML
 import subprocess
-import yaml
 from qlib.log import TimeInspector
 
 from qlib import init
@@ -30,7 +30,8 @@ if __name__ == "__main__":
         subprocess.run(f"qrun {config_path}", shell=True)
 
     # 2) dump handler
-    task_config = yaml.safe_load(config_path.open())
+    yaml = YAML(typ="safe", pure=True)
+    task_config = yaml.load(config_path.open())
     hd_conf = task_config["task"]["dataset"]["kwargs"]["handler"]
     pprint(hd_conf)
     hd: DataHandlerLP = init_instance_by_config(hd_conf)

examples/data_demo/data_mem_resuse_demo.py

@@ -1,18 +1,17 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 """
-    The motivation of this demo
+The motivation of this demo
-    - To show the data modules of Qlib is Serializable, users can dump processed data to disk to avoid duplicated data preprocessing
+- To show the data modules of Qlib is Serializable, users can dump processed data to disk to avoid duplicated data preprocessing
 """
 
 from copy import deepcopy
 from pathlib import Path
 import pickle
 from pprint import pprint
+from ruamel.yaml import YAML
 import subprocess
 
-import yaml
-
 from qlib import init
 from qlib.data.dataset.handler import DataHandlerLP
 from qlib.log import TimeInspector
@@ -29,7 +28,8 @@ if __name__ == "__main__":
     exp_name = "data_mem_reuse_demo"
 
     config_path = DIRNAME.parent / "benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml"
-    task_config = yaml.safe_load(config_path.open())
+    yaml = YAML(typ="safe", pure=True)
+    task_config = yaml.load(config_path.open())
 
     # 1) without using processed data in memory
     with TimeInspector.logt("The original time without reusing processed data in memory:"):

examples/orderbook_data/create_dataset.py

@@ -1,10 +1,10 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 """
-    NOTE:
+NOTE:
-    - This scripts is a demo to import example data import Qlib
+- This scripts is a demo to import example data import Qlib
-    - !!!!!!!!!!!!!!!TODO!!!!!!!!!!!!!!!!!!!:
+- !!!!!!!!!!!!!!!TODO!!!!!!!!!!!!!!!!!!!:
-        - Its structure is not well designed and very ugly, your contribution is welcome to make importing dataset easier
+    - Its structure is not well designed and very ugly, your contribution is welcome to make importing dataset easier
 """
 from datetime import date, datetime as dt
 import os

examples/run_all_model.py

@@ -6,7 +6,6 @@ import sys
 import fire
 import time
 import glob
-import yaml
 import shutil
 import signal
 import inspect
@@ -15,6 +14,7 @@ import functools
 import statistics
 import subprocess
 from datetime import datetime
+from ruamel.yaml import YAML
 from pathlib import Path
 from operator import xor
 from pprint import pprint
@@ -188,7 +188,8 @@ def gen_and_save_md_table(metrics, dataset):
 # read yaml, remove seed kwargs of model, and then save file in the temp_dir
 def gen_yaml_file_without_seed_kwargs(yaml_path, temp_dir):
     with open(yaml_path, "r") as fp:
-        config = yaml.safe_load(fp)
+        yaml = YAML(typ="safe", pure=True)
+        config = yaml.load(fp)
     try:
         del config["task"]["model"]["kwargs"]["seed"]
     except KeyError:

examples/workflow_by_code.py

@@ -1,7 +1,7 @@
 #  Copyright (c) Microsoft Corporation.
 #  Licensed under the MIT License.
 """
-Qlib provides two kinds of interfaces. 
+Qlib provides two kinds of interfaces.
 (1) Users could define the Quant research workflow by a simple configuration.
 (2) Qlib is designed in a modularized way and supports creating research workflow by code just like building blocks.
 

pyproject.toml

@@ -1,2 +1,94 @@
 [build-system]
-requires = ["setuptools", "numpy", "Cython"]
+requires = ["setuptools", "cython", "numpy>=1.24.0"]
+build-backend = "setuptools.build_meta"
+
+[project]
+classifiers = [
+  "Operating System :: POSIX :: Linux",
+  "Operating System :: Microsoft :: Windows",
+  "Operating System :: MacOS",
+  "License :: OSI Approved :: MIT License",
+  "Development Status :: 3 - Alpha",
+  "Programming Language :: Python",
+  "Programming Language :: Python :: 3",
+  "Programming Language :: Python :: 3.8",
+  "Programming Language :: Python :: 3.9",
+  "Programming Language :: Python :: 3.10",
+  "Programming Language :: Python :: 3.11",
+  "Programming Language :: Python :: 3.12",
+]
+name = "pyqlib"
+dynamic = ["version"]
+description = "A Quantitative-research Platform"
+requires-python = ">=3.8.0"
+readme = {file = "README.md", content-type = "text/markdown"}
+
+dependencies = [
+  "pyyaml",
+  "numpy",
+  "pandas",
+  "mlflow",
+  "filelock>=3.16.0",
+  "redis",
+  "dill",
+  "fire",
+  "ruamel.yaml>=0.17.38",
+  "python-redis-lock",
+  "tqdm",
+  "pymongo",
+  "loguru",
+  "lightgbm",
+  "gym",
+  "cvxpy",
+  "joblib",
+  "matplotlib",
+  "jupyter",
+  "nbconvert",
+]
+
+[project.optional-dependencies]
+dev = [
+  "pytest",
+  "statsmodels",
+]
+# On macos-13 system, when using python version greater than or equal to 3.10,
+# pytorch can't fully support Numpy version above 2.0, so, when you want to install torch,
+# it will limit the version of Numpy less than 2.0.
+rl = [
+  "tianshou<=0.4.10",
+  "torch",
+  "numpy<2.0.0",
+]
+lint = [
+  "black",
+  "pylint",
+  "mypy<1.5.0",
+  "flake8",
+  "nbqa",
+]
+docs = [
+  "sphinx",
+  "sphinx_rtd_theme",
+  "readthedocs_sphinx_ext",
+]
+package = [
+  "twine",
+  "build",
+]
+# test_pit dependency packages
+test = [
+  "yahooquery",
+  "baostock",
+  "akshare",
+]
+analysis = [
+  "plotly",
+]
+
+[tool.setuptools]
+packages = [
+  "qlib",
+]
+
+[project.scripts]
+qrun = "qlib.workflow.cli:run"

qlib/__init__.py

@@ -2,11 +2,11 @@
 # Licensed under the MIT License.
 from pathlib import Path
 
-__version__ = "0.9.5.99"
+__version__ = "0.9.6.99"
 __version__bak = __version__  # This version is backup for QlibConfig.reset_qlib_version
 import os
 from typing import Union
-import yaml
+from ruamel.yaml import YAML
 import logging
 import platform
 import subprocess
@@ -176,7 +176,8 @@ def init_from_yaml_conf(conf_path, **kwargs):
         config = {}
     else:
         with open(conf_path) as f:
-            config = yaml.safe_load(f)
+            yaml = YAML(typ="safe", pure=True)
+            config = yaml.load(f)
     config.update(kwargs)
     default_conf = config.pop("default_conf", "client")
     init(default_conf, **config)
@@ -272,7 +273,8 @@ def auto_init(**kwargs):
         logger = get_module_logger("Initialization")
         conf_pp = pp / "config.yaml"
         with conf_pp.open() as f:
-            conf = yaml.safe_load(f)
+            yaml = YAML(typ="safe", pure=True)
+            conf = yaml.load(f)
 
         conf_type = conf.get("conf_type", "origin")
         if conf_type == "origin":

qlib/backtest/high_performance_ds.py

@@ -278,7 +278,7 @@ class BaseSingleMetric:
         raise NotImplementedError(f"Please implement the `empty` method")
 
     def add(self, other: BaseSingleMetric, fill_value: float = None) -> BaseSingleMetric:
-        """Replace np.NaN with fill_value in two metrics and add them."""
+        """Replace np.nan with fill_value in two metrics and add them."""
 
         raise NotImplementedError(f"Please implement the `add` method")
 
@@ -412,7 +412,7 @@ class BaseOrderIndicator:
         metrics : Union[str, List[str]]
             all metrics needs to be sumed.
         fill_value : float, optional
-            fill np.NaN with value. By default None.
+            fill np.nan with value. By default None.
         """
 
         raise NotImplementedError(f"Please implement the 'sum_all_indicators' method")

qlib/backtest/report.py

@@ -325,9 +325,9 @@ class Indicator:
 
     def _update_order_fulfill_rate(self) -> None:
         def func(deal_amount, amount):
-            # deal_amount is np.NaN or None when there is no inner decision. So full fill rate is 0.
+            # deal_amount is np.nan or None when there is no inner decision. So full fill rate is 0.
             tmp_deal_amount = deal_amount.reindex(amount.index, 0)
-            tmp_deal_amount = tmp_deal_amount.replace({np.NaN: 0})
+            tmp_deal_amount = tmp_deal_amount.replace({np.nan: 0})
             return tmp_deal_amount / amount
 
         self.order_indicator.transfer(func, "ffr")
@@ -354,8 +354,8 @@ class Indicator:
         )
 
         def func(trade_price, deal_amount):
-            # trade_price is np.NaN instead of inf when deal_amount is zero.
+            # trade_price is np.nan instead of inf when deal_amount is zero.
-            tmp_deal_amount = deal_amount.replace({0: np.NaN})
+            tmp_deal_amount = deal_amount.replace({0: np.nan})
             return trade_price / tmp_deal_amount
 
         self.order_indicator.transfer(func, "trade_price")
@@ -425,7 +425,11 @@ class Indicator:
         assert isinstance(price_s, idd.SingleData)
         price_s = price_s.loc[(price_s > 1e-08).data.astype(bool)]
         # NOTE ~(price_s < 1e-08) is different from price_s >= 1e-8
-        #   ~(np.NaN < 1e-8) -> ~(False)  -> True
+        #   ~(np.nan < 1e-8) -> ~(False)  -> True
+
+        # if price_s is empty
+        if price_s.empty:
+            return None, None
 
         assert isinstance(price_s, idd.SingleData)
         if agg == "vwap":

qlib/config.py

@@ -173,7 +173,11 @@ _default_config = {
                 "filters": ["field_not_found"],
             }
         },
-        "loggers": {"qlib": {"level": logging.DEBUG, "handlers": ["console"]}},
+        # Normally this should be set to `False` to avoid duplicated logging [1].
+        # However, due to bug in pytest, it requires log message to propagate to root logger to be captured by `caplog` [2].
+        # [1] https://github.com/microsoft/qlib/pull/1661
+        # [2] https://github.com/pytest-dev/pytest/issues/3697
+        "loggers": {"qlib": {"level": logging.DEBUG, "handlers": ["console"], "propagate": False}},
         # To let qlib work with other packages, we shouldn't disable existing loggers.
         # Note that this param is default to True according to the documentation of logging.
         "disable_existing_loggers": False,

qlib/contrib/data/handler.py

@@ -58,7 +58,7 @@ class Alpha360(DataHandlerLP):
         fit_end_time=None,
         filter_pipe=None,
         inst_processors=None,
-        **kwargs
+        **kwargs,
     ):
         infer_processors = check_transform_proc(infer_processors, fit_start_time, fit_end_time)
         learn_processors = check_transform_proc(learn_processors, fit_start_time, fit_end_time)
@@ -83,7 +83,7 @@ class Alpha360(DataHandlerLP):
             data_loader=data_loader,
             learn_processors=learn_processors,
             infer_processors=infer_processors,
-            **kwargs
+            **kwargs,
         )
 
     def get_label_config(self):
@@ -109,7 +109,7 @@ class Alpha158(DataHandlerLP):
         process_type=DataHandlerLP.PTYPE_A,
         filter_pipe=None,
         inst_processors=None,
-        **kwargs
+        **kwargs,
     ):
         infer_processors = check_transform_proc(infer_processors, fit_start_time, fit_end_time)
         learn_processors = check_transform_proc(learn_processors, fit_start_time, fit_end_time)
@@ -134,7 +134,7 @@ class Alpha158(DataHandlerLP):
             infer_processors=infer_processors,
             learn_processors=learn_processors,
             process_type=process_type,
-            **kwargs
+            **kwargs,
         )
 
     def get_feature_config(self):

qlib/contrib/model/catboost_model.py

@@ -33,7 +33,7 @@ class CatBoostModel(Model, FeatureInt):
         verbose_eval=20,
         evals_result=dict(),
         reweighter=None,
-        **kwargs
+        **kwargs,
     ):
         df_train, df_valid = dataset.prepare(
             ["train", "valid"],

qlib/contrib/model/double_ensemble.py

@@ -31,7 +31,7 @@ class DEnsembleModel(Model, FeatureInt):
         sub_weights=None,
         epochs=100,
         early_stopping_rounds=None,
-        **kwargs
+        **kwargs,
     ):
         self.base_model = base_model  # "gbm" or "mlp", specifically, we use lgbm for "gbm"
         self.num_models = num_models  # the number of sub-models

qlib/contrib/model/pytorch_adarnn.py

@@ -56,7 +56,7 @@ class ADARNN(Model):
         n_splits=2,
         GPU=0,
         seed=None,
-        **_
+        **_,
     ):
         # Set logger.
         self.logger = get_module_logger("ADARNN")
@@ -154,10 +154,7 @@ class ADARNN(Model):
         self.model.train()
         criterion = nn.MSELoss()
         dist_mat = torch.zeros(self.num_layers, self.len_seq).to(self.device)
-        len_loader = np.inf
+        out_weight_list = None
-        for loader in train_loader_list:
-            if len(loader) < len_loader:
-                len_loader = len(loader)
         for data_all in zip(*train_loader_list):
             #  for data_all in zip(*train_loader_list):
             self.train_optimizer.zero_grad()
@@ -571,6 +568,7 @@ class TransferLoss:
         Returns:
             [tensor] -- transfer loss
         """
+        loss = None
         if self.loss_type in ("mmd_lin", "mmd"):
             mmdloss = MMD_loss(kernel_type="linear")
             loss = mmdloss(X, Y)

qlib/contrib/model/pytorch_add.py

@@ -63,7 +63,7 @@ class ADD(Model):
         mu=0.05,
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("ADD")

qlib/contrib/model/pytorch_alstm.py

@@ -52,7 +52,7 @@ class ALSTM(Model):
         optimizer="adam",
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("ALSTM")

qlib/contrib/model/pytorch_alstm_ts.py

@@ -56,7 +56,7 @@ class ALSTM(Model):
         n_jobs=10,
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("ALSTM")

qlib/contrib/model/pytorch_gats.py

@@ -56,7 +56,7 @@ class GATs(Model):
         optimizer="adam",
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("GATs")

qlib/contrib/model/pytorch_gats_ts.py

@@ -73,7 +73,7 @@ class GATs(Model):
         GPU=0,
         n_jobs=10,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("GATs")

qlib/contrib/model/pytorch_general_nn.py

@@ -0,0 +1,358 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+from __future__ import division
+from __future__ import print_function
+
+from torch.utils.data import DataLoader
+
+
+import numpy as np
+import pandas as pd
+from typing import Union
+import copy
+
+import torch
+import torch.optim as optim
+
+from qlib.data.dataset.weight import Reweighter
+
+from .pytorch_utils import count_parameters
+from ...model.base import Model
+from ...data.dataset import DatasetH, TSDatasetH
+from ...data.dataset.handler import DataHandlerLP
+from ...utils import (
+    init_instance_by_config,
+    get_or_create_path,
+)
+from ...log import get_module_logger
+
+from ...model.utils import ConcatDataset
+
+
+class GeneralPTNN(Model):
+    """
+    Motivation:
+        We want to provide a Qlib General Pytorch Model Adaptor
+        You can reuse it for all kinds of Pytorch models.
+        It should include the training and predict process
+
+    Parameters
+    ----------
+    d_feat : int
+        input dimension for each time step
+    metric: str
+        the evaluation metric used in early stop
+    optimizer : str
+        optimizer name
+    GPU : str
+        the GPU ID(s) used for training
+    """
+
+    def __init__(
+        self,
+        n_epochs=200,
+        lr=0.001,
+        metric="",
+        batch_size=2000,
+        early_stop=20,
+        loss="mse",
+        weight_decay=0.0,
+        optimizer="adam",
+        n_jobs=10,
+        GPU=0,
+        seed=None,
+        pt_model_uri="qlib.contrib.model.pytorch_gru_ts.GRUModel",
+        pt_model_kwargs={
+            "d_feat": 6,
+            "hidden_size": 64,
+            "num_layers": 2,
+            "dropout": 0.0,
+        },
+    ):
+        # Set logger.
+        self.logger = get_module_logger("GeneralPTNN")
+        self.logger.info("GeneralPTNN pytorch version...")
+
+        # set hyper-parameters.
+        self.n_epochs = n_epochs
+        self.lr = lr
+        self.metric = metric
+        self.batch_size = batch_size
+        self.early_stop = early_stop
+        self.optimizer = optimizer.lower()
+        self.loss = loss
+        self.weight_decay = weight_decay
+        self.device = torch.device("cuda:%d" % (GPU) if torch.cuda.is_available() and GPU >= 0 else "cpu")
+        self.n_jobs = n_jobs
+        self.seed = seed
+
+        self.pt_model_uri, self.pt_model_kwargs = pt_model_uri, pt_model_kwargs
+        self.dnn_model = init_instance_by_config({"class": pt_model_uri, "kwargs": pt_model_kwargs})
+
+        self.logger.info(
+            "GeneralPTNN parameters setting:"
+            "\nn_epochs : {}"
+            "\nlr : {}"
+            "\nmetric : {}"
+            "\nbatch_size : {}"
+            "\nearly_stop : {}"
+            "\noptimizer : {}"
+            "\nloss_type : {}"
+            "\ndevice : {}"
+            "\nn_jobs : {}"
+            "\nuse_GPU : {}"
+            "\nweight_decay : {}"
+            "\nseed : {}"
+            "\npt_model_uri: {}"
+            "\npt_model_kwargs: {}".format(
+                n_epochs,
+                lr,
+                metric,
+                batch_size,
+                early_stop,
+                optimizer.lower(),
+                loss,
+                self.device,
+                n_jobs,
+                self.use_gpu,
+                weight_decay,
+                seed,
+                pt_model_uri,
+                pt_model_kwargs,
+            )
+        )
+
+        if self.seed is not None:
+            np.random.seed(self.seed)
+            torch.manual_seed(self.seed)
+
+        self.logger.info("model:\n{:}".format(self.dnn_model))
+        self.logger.info("model size: {:.4f} MB".format(count_parameters(self.dnn_model)))
+
+        if optimizer.lower() == "adam":
+            self.train_optimizer = optim.Adam(self.dnn_model.parameters(), lr=self.lr, weight_decay=weight_decay)
+        elif optimizer.lower() == "gd":
+            self.train_optimizer = optim.SGD(self.dnn_model.parameters(), lr=self.lr, weight_decay=weight_decay)
+        else:
+            raise NotImplementedError("optimizer {} is not supported!".format(optimizer))
+
+        self.fitted = False
+        self.dnn_model.to(self.device)
+
+    @property
+    def use_gpu(self):
+        return self.device != torch.device("cpu")
+
+    def mse(self, pred, label, weight):
+        loss = weight * (pred - label) ** 2
+        return torch.mean(loss)
+
+    def loss_fn(self, pred, label, weight=None):
+        mask = ~torch.isnan(label)
+
+        if weight is None:
+            weight = torch.ones_like(label)
+
+        if self.loss == "mse":
+            return self.mse(pred[mask], label[mask], weight[mask])
+
+        raise ValueError("unknown loss `%s`" % self.loss)
+
+    def metric_fn(self, pred, label):
+        mask = torch.isfinite(label)
+
+        if self.metric in ("", "loss"):
+            return -self.loss_fn(pred[mask], label[mask])
+
+        raise ValueError("unknown metric `%s`" % self.metric)
+
+    def _get_fl(self, data: torch.Tensor):
+        """
+        get feature and label from data
+        - Handle the different data shape of time series and tabular data
+
+        Parameters
+        ----------
+        data : torch.Tensor
+            input data which maybe 3 dimension or 2 dimension
+            - 3dim: [batch_size, time_step, feature_dim]
+            - 2dim: [batch_size, feature_dim]
+
+        Returns
+        -------
+        Tuple[torch.Tensor, torch.Tensor]
+        """
+        if data.dim() == 3:
+            # it is a time series dataset
+            feature = data[:, :, 0:-1].to(self.device)
+            label = data[:, -1, -1].to(self.device)
+        elif data.dim() == 2:
+            # it is a tabular dataset
+            feature = data[:, 0:-1].to(self.device)
+            label = data[:, -1].to(self.device)
+        else:
+            raise ValueError("Unsupported data shape.")
+        return feature, label
+
+    def train_epoch(self, data_loader):
+        self.dnn_model.train()
+
+        for data, weight in data_loader:
+            feature, label = self._get_fl(data)
+
+            pred = self.dnn_model(feature.float())
+            loss = self.loss_fn(pred, label, weight.to(self.device))
+
+            self.train_optimizer.zero_grad()
+            loss.backward()
+            torch.nn.utils.clip_grad_value_(self.dnn_model.parameters(), 3.0)
+            self.train_optimizer.step()
+
+    def test_epoch(self, data_loader):
+        self.dnn_model.eval()
+
+        scores = []
+        losses = []
+
+        for data, weight in data_loader:
+            feature, label = self._get_fl(data)
+
+            with torch.no_grad():
+                pred = self.dnn_model(feature.float())
+                loss = self.loss_fn(pred, label, weight.to(self.device))
+                losses.append(loss.item())
+
+                score = self.metric_fn(pred, label)
+                scores.append(score.item())
+
+        return np.mean(losses), np.mean(scores)
+
+    def fit(
+        self,
+        dataset: Union[DatasetH, TSDatasetH],
+        evals_result=dict(),
+        save_path=None,
+        reweighter=None,
+    ):
+        ists = isinstance(dataset, TSDatasetH)  # is this time series dataset
+
+        dl_train = dataset.prepare("train", col_set=["feature", "label"], data_key=DataHandlerLP.DK_L)
+        dl_valid = dataset.prepare("valid", col_set=["feature", "label"], data_key=DataHandlerLP.DK_L)
+        if dl_train.empty or dl_valid.empty:
+            raise ValueError("Empty data from dataset, please check your dataset config.")
+
+        if reweighter is None:
+            wl_train = np.ones(len(dl_train))
+            wl_valid = np.ones(len(dl_valid))
+        elif isinstance(reweighter, Reweighter):
+            wl_train = reweighter.reweight(dl_train)
+            wl_valid = reweighter.reweight(dl_valid)
+        else:
+            raise ValueError("Unsupported reweighter type.")
+
+        # Preprocess for data.  To align to Dataset Interface for DataLoader
+        if ists:
+            dl_train.config(fillna_type="ffill+bfill")  # process nan brought by dataloader
+            dl_valid.config(fillna_type="ffill+bfill")  # process nan brought by dataloader
+        else:
+            # If it is a tabular, we convert the dataframe to numpy to be indexable by DataLoader
+            dl_train = dl_train.values
+            dl_valid = dl_valid.values
+
+        train_loader = DataLoader(
+            ConcatDataset(dl_train, wl_train),
+            batch_size=self.batch_size,
+            shuffle=True,
+            num_workers=self.n_jobs,
+            drop_last=True,
+        )
+        valid_loader = DataLoader(
+            ConcatDataset(dl_valid, wl_valid),
+            batch_size=self.batch_size,
+            shuffle=False,
+            num_workers=self.n_jobs,
+            drop_last=True,
+        )
+        del dl_train, dl_valid, wl_train, wl_valid
+
+        save_path = get_or_create_path(save_path)
+
+        stop_steps = 0
+        train_loss = 0
+        best_score = -np.inf
+        best_epoch = 0
+        evals_result["train"] = []
+        evals_result["valid"] = []
+
+        # train
+        self.logger.info("training...")
+        self.fitted = True
+
+        for step in range(self.n_epochs):
+            self.logger.info("Epoch%d:", step)
+            self.logger.info("training...")
+            self.train_epoch(train_loader)
+            self.logger.info("evaluating...")
+            train_loss, train_score = self.test_epoch(train_loader)
+            val_loss, val_score = self.test_epoch(valid_loader)
+            self.logger.info("train %.6f, valid %.6f" % (train_score, val_score))
+            evals_result["train"].append(train_score)
+            evals_result["valid"].append(val_score)
+
+            if step == 0:
+                best_param = copy.deepcopy(self.dnn_model.state_dict())
+            if val_score > best_score:
+                best_score = val_score
+                stop_steps = 0
+                best_epoch = step
+                best_param = copy.deepcopy(self.dnn_model.state_dict())
+            else:
+                stop_steps += 1
+                if stop_steps >= self.early_stop:
+                    self.logger.info("early stop")
+                    break
+
+        self.logger.info("best score: %.6lf @ %d" % (best_score, best_epoch))
+        self.dnn_model.load_state_dict(best_param)
+        torch.save(best_param, save_path)
+
+        if self.use_gpu:
+            torch.cuda.empty_cache()
+
+    def predict(
+        self,
+        dataset: Union[DatasetH, TSDatasetH],
+        batch_size=None,
+        n_jobs=None,
+    ):
+        if not self.fitted:
+            raise ValueError("model is not fitted yet!")
+
+        dl_test = dataset.prepare("test", col_set=["feature", "label"], data_key=DataHandlerLP.DK_I)
+
+        if isinstance(dataset, TSDatasetH):
+            dl_test.config(fillna_type="ffill+bfill")  # process nan brought by dataloader
+            index = dl_test.get_index()
+        else:
+            # If it is a tabular, we convert the dataframe to numpy to be indexable by DataLoader
+            index = dl_test.index
+            dl_test = dl_test.values
+
+        test_loader = DataLoader(dl_test, batch_size=self.batch_size, num_workers=self.n_jobs)
+        self.dnn_model.eval()
+        preds = []
+
+        for data in test_loader:
+            feature, _ = self._get_fl(data)
+            feature = feature.to(self.device)
+
+            with torch.no_grad():
+                pred = self.dnn_model(feature.float()).detach().cpu().numpy()
+
+            preds.append(pred)
+
+        preds_concat = np.concatenate(preds)
+        if preds_concat.ndim != 1:
+            preds_concat = preds_concat.ravel()
+
+        return pd.Series(preds_concat, index=index)

qlib/contrib/model/pytorch_gru.py

@@ -52,7 +52,7 @@ class GRU(Model):
         optimizer="adam",
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("GRU")
@@ -317,7 +317,6 @@ class GRU(Model):
 
 
 class GRUModel(nn.Module):
-
     def __init__(self, d_feat=6, hidden_size=64, num_layers=2, dropout=0.0):
         super().__init__()
 

qlib/contrib/model/pytorch_gru_ts.py

@@ -54,7 +54,7 @@ class GRU(Model):
         n_jobs=10,
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("GRU")

qlib/contrib/model/pytorch_hist.py

@@ -59,7 +59,7 @@ class HIST(Model):
         optimizer="adam",
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("HIST")
@@ -256,7 +256,7 @@ class HIST(Model):
             raise ValueError("Empty data from dataset, please check your dataset config.")
 
         if not os.path.exists(self.stock2concept):
-            url = "http://fintech.msra.cn/stock_data/downloads/qlib_csi300_stock2concept.npy"
+            url = "https://github.com/SunsetWolf/qlib_dataset/releases/download/v0/qlib_csi300_stock2concept.npy"
             urllib.request.urlretrieve(url, self.stock2concept)
 
         stock_index = np.load(self.stock_index, allow_pickle=True).item()

qlib/contrib/model/pytorch_igmtf.py

@@ -55,7 +55,7 @@ class IGMTF(Model):
         optimizer="adam",
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("IGMTF")

qlib/contrib/model/pytorch_krnn.py

@@ -255,7 +255,7 @@ class KRNN(Model):
         optimizer="adam",
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("KRNN")

qlib/contrib/model/pytorch_localformer.py

@@ -44,7 +44,7 @@ class LocalformerModel(Model):
         n_jobs=10,
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # set hyper-parameters.
         self.d_model = d_model

qlib/contrib/model/pytorch_localformer_ts.py

@@ -42,7 +42,7 @@ class LocalformerModel(Model):
         n_jobs=10,
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # set hyper-parameters.
         self.d_model = d_model

qlib/contrib/model/pytorch_lstm.py

@@ -51,7 +51,7 @@ class LSTM(Model):
         optimizer="adam",
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("LSTM")

qlib/contrib/model/pytorch_lstm_ts.py

@@ -53,7 +53,7 @@ class LSTM(Model):
         n_jobs=10,
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("LSTM")

qlib/contrib/model/pytorch_sandwich.py

@@ -35,7 +35,7 @@ class SandwichModel(nn.Module):
         rnn_layers,
         dropout,
         device,
-        **params
+        **params,
     ):
         """Build a Sandwich model
 
@@ -129,7 +129,7 @@ class Sandwich(Model):
         optimizer="adam",
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("Sandwich")

qlib/contrib/model/pytorch_sfm.py

@@ -212,7 +212,7 @@ class SFM(Model):
         optimizer="gd",
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("SFM")

qlib/contrib/model/pytorch_tcn.py

@@ -56,7 +56,7 @@ class TCN(Model):
         optimizer="adam",
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("TCN")

qlib/contrib/model/pytorch_tcn_ts.py

@@ -54,7 +54,7 @@ class TCN(Model):
         n_jobs=10,
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("TCN")

qlib/contrib/model/pytorch_tcts.py

@@ -58,7 +58,7 @@ class TCTS(Model):
         mode="soft",
         seed=None,
         lowest_valid_performance=0.993,
-        **kwargs
+        **kwargs,
     ):
         # Set logger.
         self.logger = get_module_logger("TCTS")

qlib/contrib/model/pytorch_transformer.py

@@ -43,7 +43,7 @@ class TransformerModel(Model):
         n_jobs=10,
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # set hyper-parameters.
         self.d_model = d_model

qlib/contrib/model/pytorch_transformer_ts.py

@@ -41,7 +41,7 @@ class TransformerModel(Model):
         n_jobs=10,
         GPU=0,
         seed=None,
-        **kwargs
+        **kwargs,
     ):
         # set hyper-parameters.
         self.d_model = d_model

qlib/contrib/model/xgboost.py

@@ -28,7 +28,7 @@ class XGBModel(Model, FeatureInt):
         verbose_eval=20,
         evals_result=dict(),
         reweighter=None,
-        **kwargs
+        **kwargs,
     ):
         df_train, df_valid = dataset.prepare(
             ["train", "valid"],
@@ -63,7 +63,7 @@ class XGBModel(Model, FeatureInt):
             early_stopping_rounds=early_stopping_rounds,
             verbose_eval=verbose_eval,
             evals_result=evals_result,
-            **kwargs
+            **kwargs,
         )
         evals_result["train"] = list(evals_result["train"].values())[0]
         evals_result["valid"] = list(evals_result["valid"].values())[0]

qlib/contrib/online/manager.py

@@ -4,10 +4,10 @@
 # pylint: skip-file
 # flake8: noqa
 
-import yaml
 import pathlib
 import pandas as pd
 import shutil
+from ruamel.yaml import YAML
 from ...backtest.account import Account
 from .user import User
 from .utils import load_instance, save_instance
@@ -110,7 +110,8 @@ class UserManager:
             raise ValueError("User data for {} already exists".format(user_id))
 
         with config_file.open("r") as fp:
-            config = yaml.safe_load(fp)
+            yaml = YAML(typ="safe", pure=True)
+            config = yaml.load(fp)
         # load model
         model = init_instance_by_config(config["model"])
 

qlib/contrib/online/utils.py

@@ -6,8 +6,8 @@
 
 import pathlib
 import pickle
-import yaml
 import pandas as pd
+from ruamel.yaml import YAML
 from ...data import D
 from ...config import C
 from ...log import get_module_logger
@@ -91,7 +91,8 @@ def prepare(um, today, user_id, exchange_config=None):
     dates.append(get_next_trading_date(dates[-1], future=True))
     if exchange_config:
         with pathlib.Path(exchange_config).open("r") as fp:
-            exchange_paras = yaml.safe_load(fp)
+            yaml = YAML(typ="safe", pure=True)
+            exchange_paras = yaml.load(fp)
     else:
         exchange_paras = {}
     trade_exchange = Exchange(trade_dates=dates, **exchange_paras)

qlib/contrib/report/graph.py

@@ -176,7 +176,7 @@ class HeatmapGraph(BaseGraph):
                 x=self._df.columns,
                 y=self._df.index,
                 z=self._df.values.tolist(),
-                **self._graph_kwargs
+                **self._graph_kwargs,
             )
         ]
         return _data
@@ -213,7 +213,7 @@ class SubplotsGraph:
         sub_graph_layout: dict = None,
         sub_graph_data: list = None,
         subplots_kwargs: dict = None,
-        **kwargs
+        **kwargs,
     ):
         """
 
@@ -355,7 +355,7 @@ class SubplotsGraph:
                         df=self._df.loc[:, [column_name]],
                         name_dict={column_name: temp_name},
                         graph_kwargs=_graph_kwargs,
-                    )
+                    ),
                 )
             else:
                 raise TypeError()

qlib/contrib/rolling/base.py

@@ -2,11 +2,11 @@
 # Licensed under the MIT License.
 from copy import deepcopy
 from pathlib import Path
+from ruamel.yaml import YAML
 from typing import List, Optional, Union
 
 import fire
 import pandas as pd
-import yaml
 
 from qlib import auto_init
 from qlib.log import get_module_logger
@@ -117,7 +117,8 @@ class Rolling:
 
     def _raw_conf(self) -> dict:
         with self.conf_path.open("r") as f:
-            return yaml.safe_load(f)
+            yaml = YAML(typ="safe", pure=True)
+            return yaml.load(f)
 
     def _replace_handler_with_cache(self, task: dict):
         """

qlib/contrib/strategy/rule_strategy.py

@@ -326,8 +326,10 @@ class SBBStrategyEMA(SBBStrategyBase):
         if instruments is None:
             warnings.warn("`instruments` is not set, will load all stocks")
             self.instruments = "all"
-        if isinstance(instruments, str):
+        elif isinstance(instruments, str):
             self.instruments = D.instruments(instruments)
+        elif isinstance(instruments, List):
+            self.instruments = instruments
         self.freq = freq
         super(SBBStrategyEMA, self).__init__(
             outer_trade_decision, level_infra, common_infra, trade_exchange=trade_exchange, **kwargs

qlib/contrib/torch.py

@@ -1,9 +1,9 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 """
-    This module is not a necessary part of Qlib.
+This module is not a necessary part of Qlib.
-    They are just some tools for convenience
+They are just some tools for convenience
-    It is should not imported into the core part of qlib
+It is should not imported into the core part of qlib
 """
 import torch
 import numpy as np

qlib/contrib/tuner/config.py

@@ -4,9 +4,9 @@
 # pylint: skip-file
 # flake8: noqa
 
-import yaml
 import copy
 import os
+from ruamel.yaml import YAML
 
 
 class TunerConfigManager:
@@ -16,7 +16,8 @@ class TunerConfigManager:
         self.config_path = config_path
 
         with open(config_path) as fp:
-            config = yaml.safe_load(fp)
+            yaml = YAML(typ="safe", pure=True)
+            config = yaml.load(fp)
         self.config = copy.deepcopy(config)
 
         self.pipeline_ex_config = PipelineExperimentConfig(config.get("experiment", dict()), self)

qlib/data/dataset/loader.py

@@ -41,6 +41,7 @@ class DataLoader(abc.ABC):
         ----------
         instruments : str or dict
             it can either be the market name or the config file of instruments generated by InstrumentProvider.
+            If the value of instruments is None, it means that no filtering is done.
         start_time : str
             start of the time range.
         end_time : str
@@ -50,6 +51,11 @@ class DataLoader(abc.ABC):
         -------
         pd.DataFrame:
             data load from the under layer source
+
+        Raise
+        -----
+        KeyError:
+            if the instruments filter is not supported, raise KeyError
         """
 
 
@@ -320,7 +326,13 @@ class NestedDataLoader(DataLoader):
     def load(self, instruments=None, start_time=None, end_time=None) -> pd.DataFrame:
         df_full = None
         for dl in self.data_loader_l:
-            df_current = dl.load(instruments, start_time, end_time)
+            try:
+                df_current = dl.load(instruments, start_time, end_time)
+            except KeyError:
+                warnings.warn(
+                    "If the value of `instruments` cannot be processed, it will set instruments to None to get all the data."
+                )
+                df_current = dl.load(instruments=None, start_time=start_time, end_time=end_time)
             if df_full is None:
                 df_full = df_current
             else:

qlib/data/dataset/storage.py

@@ -104,15 +104,24 @@ class HashingStockStorage(BaseHandlerStorage):
         """
 
         stock_selector = slice(None)
+        time_selector = slice(None)  # by default not filter by time.
 
         if level is None:
+            # For directly applying.
             if isinstance(selector, tuple) and self.stock_level < len(selector):
+                # full selector format
                 stock_selector = selector[self.stock_level]
+                time_selector = selector[1 - self.stock_level]
             elif isinstance(selector, (list, str)) and self.stock_level == 0:
+                # only stock selector
                 stock_selector = selector
         elif level in ("instrument", self.stock_level):
             if isinstance(selector, tuple):
+                # NOTE: How could the stock level selector be a tuple?
                 stock_selector = selector[0]
+                raise TypeError(
+                    "I forget why would this case appear. But I think it does not make sense. So we raise a error for that case."
+                )
             elif isinstance(selector, (list, str)):
                 stock_selector = selector
 
@@ -120,7 +129,7 @@ class HashingStockStorage(BaseHandlerStorage):
             raise TypeError(f"stock selector must be type str|list, or slice(None), rather than {stock_selector}")
 
         if stock_selector == slice(None):
-            return self.hash_df
+            return self.hash_df, time_selector
 
         if isinstance(stock_selector, str):
             stock_selector = [stock_selector]
@@ -129,7 +138,7 @@ class HashingStockStorage(BaseHandlerStorage):
         for each_stock in sorted(stock_selector):
             if each_stock in self.hash_df:
                 select_dict[each_stock] = self.hash_df[each_stock]
-        return select_dict
+        return select_dict, time_selector
 
     def fetch(
         self,
@@ -138,10 +147,13 @@ class HashingStockStorage(BaseHandlerStorage):
         col_set: Union[str, List[str]] = DataHandler.CS_ALL,
         fetch_orig: bool = True,
     ) -> pd.DataFrame:
-        fetch_stock_df_list = list(self._fetch_hash_df_by_stock(selector=selector, level=level).values())
+        fetch_stock_df_list, time_selector = self._fetch_hash_df_by_stock(selector=selector, level=level)
+        fetch_stock_df_list = list(fetch_stock_df_list.values())
         for _index, stock_df in enumerate(fetch_stock_df_list):
             fetch_col_df = fetch_df_by_col(df=stock_df, col_set=col_set)
-            fetch_index_df = fetch_df_by_index(df=fetch_col_df, selector=selector, level=level, fetch_orig=fetch_orig)
+            fetch_index_df = fetch_df_by_index(
+                df=fetch_col_df, selector=time_selector, level="datetime", fetch_orig=fetch_orig
+            )
             fetch_stock_df_list[_index] = fetch_index_df
         if len(fetch_stock_df_list) == 0:
             index_names = ("instrument", "datetime") if self.stock_level == 0 else ("datetime", "instrument")

qlib/data/filter.py

@@ -164,6 +164,7 @@ class SeriesDFilter(BaseDFilter):
         timestamp = []
         _lbool = None
         _ltime = None
+        _cur_start = None
         for _ts, _bool in timestamp_series.items():
             # there is likely to be NAN when the filter series don't have the
             # bool value, so we just change the NAN into False

qlib/rl/contrib/naive_config_parser.py

@@ -7,8 +7,7 @@ import shutil
 import sys
 import tempfile
 from importlib import import_module
-
+from ruamel.yaml import YAML
-import yaml
 
 
 DELETE_KEY = "_delete_"
@@ -57,7 +56,8 @@ def parse_backtest_config(path: str) -> dict:
                 del sys.modules[tmp_module_name]
             else:
                 with open(tmp_config_file.name) as input_stream:
-                    config = yaml.safe_load(input_stream)
+                    yaml = YAML(typ="safe", pure=True)
+                    config = yaml.load(input_stream)
 
     if "_base_" in config:
         base_file_name = config.pop("_base_")

qlib/rl/contrib/train_onpolicy.py

@@ -8,12 +8,12 @@ import random
 import sys
 import warnings
 from pathlib import Path
+from ruamel.yaml import YAML
 from typing import cast, List, Optional
 
 import numpy as np
 import pandas as pd
 import torch
-import yaml
 from qlib.backtest import Order
 from qlib.backtest.decision import OrderDir
 from qlib.constant import ONE_MIN
@@ -263,6 +263,7 @@ if __name__ == "__main__":
     args = parser.parse_args()
 
     with open(args.config_path, "r") as input_stream:
-        config = yaml.safe_load(input_stream)
+        yaml = YAML(typ="safe", pure=True)
+        config = yaml.load(input_stream)
 
     main(config, run_training=not args.no_training, run_backtest=args.run_backtest)

qlib/rl/trainer/trainer.py

@@ -200,7 +200,7 @@ class Trainer:
 
         if ckpt_path is not None:
             _logger.info("Resuming states from %s", str(ckpt_path))
-            self.load_state_dict(torch.load(ckpt_path))
+            self.load_state_dict(torch.load(ckpt_path, weights_only=False))
         else:
             self.initialize()
 

qlib/utils/__init__.py

@@ -10,7 +10,6 @@ import os
 import re
 import copy
 import json
-import yaml
 import redis
 import bisect
 import struct
@@ -25,6 +24,7 @@ import pandas as pd
 from pathlib import Path
 from typing import List, Union, Optional, Callable
 from packaging import version
+from ruamel.yaml import YAML
 from .file import (
     get_or_create_path,
     save_multiple_parts_file,
@@ -244,12 +244,13 @@ def parse_config(config):
     if not isinstance(config, str):
         return config
     # Check whether config is file
+    yaml = YAML(typ="safe", pure=True)
     if os.path.exists(config):
         with open(config, "r") as f:
-            return yaml.safe_load(f)
+            return yaml.load(f)
     # Check whether the str can be parsed
     try:
-        return yaml.safe_load(config)
+        return yaml.load(config)
     except BaseException as base_exp:
         raise ValueError("cannot parse config!") from base_exp
 
@@ -799,6 +800,7 @@ def fill_placeholder(config: dict, config_extend: dict):
                     )
         return value
 
+    item_keys = None
     while top < tail:
         now_item = item_queue[top]
         top += 1

qlib/utils/index_data.py

@@ -44,7 +44,7 @@ def concat(data_list: Union[SingleData], axis=0) -> MultiData:
         all_index_map = dict(zip(all_index, range(len(all_index))))
 
         # concat all
-        tmp_data = np.full((len(all_index), len(data_list)), np.NaN)
+        tmp_data = np.full((len(all_index), len(data_list)), np.nan)
         for data_id, index_data in enumerate(data_list):
             assert isinstance(index_data, SingleData)
             now_data_map = [all_index_map[index] for index in index_data.index]
@@ -64,7 +64,7 @@ def sum_by_index(data_list: Union[SingleData], new_index: list, fill_value=0) ->
     new_index : list
         the new_index of new SingleData.
     fill_value : float
-        fill the missing values or replace np.NaN.
+        fill the missing values or replace np.nan.
 
     Returns
     -------
@@ -444,7 +444,7 @@ class IndexData(metaclass=index_data_ops_creator):
         return self.__class__(~self.data.astype(bool), *self.indices)
 
     def abs(self):
-        """get the abs of data except np.NaN."""
+        """get the abs of data except np.nan."""
         tmp_data = np.absolute(self.data)
         return self.__class__(tmp_data, *self.indices)
 
@@ -566,8 +566,8 @@ class SingleData(IndexData):
                 f"The indexes of self and other do not meet the requirements of the four arithmetic operations"
             )
 
-    def reindex(self, index: Index, fill_value=np.NaN) -> SingleData:
+    def reindex(self, index: Index, fill_value=np.nan) -> SingleData:
-        """reindex data and fill the missing value with np.NaN.
+        """reindex data and fill the missing value with np.nan.
 
         Parameters
         ----------
@@ -615,7 +615,7 @@ class SingleData(IndexData):
         return pd.Series(self.data, index=self.index)
 
     def __repr__(self) -> str:
-        return str(pd.Series(self.data, index=self.index))
+        return str(pd.Series(self.data, index=self.index.tolist()))
 
 
 class MultiData(IndexData):
@@ -651,4 +651,4 @@ class MultiData(IndexData):
             )
 
     def __repr__(self) -> str:
-        return str(pd.DataFrame(self.data, index=self.index, columns=self.columns))
+        return str(pd.DataFrame(self.data, index=self.index.tolist(), columns=self.columns.tolist()))

qlib/utils/paral.py

@@ -1,6 +1,7 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 
+import threading
 from functools import partial
 from threading import Thread
 from typing import Callable, Text, Union
@@ -9,7 +10,7 @@ from joblib import Parallel, delayed
 from joblib._parallel_backends import MultiprocessingBackend
 import pandas as pd
 
-from queue import Queue
+from queue import Empty, Queue
 import concurrent
 
 from qlib.config import C, QlibConfig
@@ -85,7 +86,17 @@ class AsyncCaller:
 
     def run(self):
         while True:
-            data = self._q.get()
+            # NOTE:
+            # atexit will only trigger when all the threads ended. So it may results in deadlock.
+            # So the child-threading should actively watch the status of main threading to stop itself.
+            main_thread = threading.main_thread()
+            if not main_thread.is_alive():
+                break
+            try:
+                data = self._q.get(timeout=1)
+            except Empty:
+                # NOTE: avoid deadlock. make checking main thread possible
+                continue
             if data == self.STOP_MARK:
                 break
             data()

qlib/workflow/cli.py

@@ -7,7 +7,7 @@ import sys
 
 import fire
 from jinja2 import Template, meta
-import ruamel.yaml as yaml
+from ruamel.yaml import YAML
 
 import qlib
 from qlib.config import C
@@ -104,7 +104,8 @@ def workflow(config_path, experiment_name="workflow", uri_folder="mlruns"):
     """
     # Render the template
     rendered_yaml = render_template(config_path)
-    config = yaml.safe_load(rendered_yaml)
+    yaml = YAML(typ="safe", pure=True)
+    config = yaml.load(rendered_yaml)
 
     base_config_path = config.get("BASE_CONFIG_PATH", None)
     if base_config_path:
@@ -126,7 +127,8 @@ def workflow(config_path, experiment_name="workflow", uri_folder="mlruns"):
                 raise FileNotFoundError(f"Can't find the BASE_CONFIG file: {base_config_path}")
 
         with open(path) as fp:
-            base_config = yaml.safe_load(fp)
+            yaml = YAML(typ="safe", pure=True)
+            base_config = yaml.load(fp)
         logger.info(f"Load BASE_CONFIG_PATH succeed: {path.resolve()}")
         config = update_config(base_config, config)
 

qlib/workflow/expm.py

@@ -8,6 +8,7 @@ from mlflow.exceptions import MlflowException, RESOURCE_ALREADY_EXISTS, ErrorCod
 from mlflow.entities import ViewType
 import os
 from typing import Optional, Text
+from pathlib import Path
 
 from .exp import MLflowExperiment, Experiment
 from ..config import C
@@ -233,7 +234,7 @@ class ExpManager:
             # So we supported it in the interface wrapper
             pr = urlparse(self.uri)
             if pr.scheme == "file":
-                with FileLock(os.path.join(pr.netloc, pr.path, "filelock")):  # pylint: disable=E0110
+                with FileLock(Path(os.path.join(pr.netloc, pr.path.lstrip("/"), "filelock"))):  # pylint: disable=E0110
                     return self.create_exp(experiment_name), True
             # NOTE: for other schemes like http, we double check to avoid create exp conflicts
             try:
@@ -421,7 +422,11 @@ class MLflowExpManager(ExpManager):
 
     def list_experiments(self):
         # retrieve all the existing experiments
-        exps = self.client.list_experiments(view_type=ViewType.ACTIVE_ONLY)
+        mlflow_version = int(mlflow.__version__.split(".", maxsplit=1)[0])
+        if mlflow_version >= 2:
+            exps = self.client.search_experiments(view_type=ViewType.ACTIVE_ONLY)
+        else:
+            exps = self.client.list_experiments(view_type=ViewType.ACTIVE_ONLY)  # pylint: disable=E1101
         experiments = dict()
         for exp in exps:
             experiment = MLflowExperiment(exp.experiment_id, exp.name, self.uri)

qlib/workflow/recorder.py

@@ -9,6 +9,7 @@ import shutil
 import pickle
 import tempfile
 import subprocess
+import platform
 from pathlib import Path
 from datetime import datetime
 
@@ -316,7 +317,10 @@ class MLflowRecorder(Recorder):
         This function will return the directory path of this recorder.
         """
         if self.artifact_uri is not None:
-            local_dir_path = Path(self.artifact_uri.lstrip("file:")) / ".."
+            if platform.system() == "Windows":
+                local_dir_path = Path(self.artifact_uri.lstrip("file:").lstrip("/")).parent
+            else:
+                local_dir_path = Path(self.artifact_uri.lstrip("file:")).parent
             local_dir_path = str(local_dir_path.resolve())
             if os.path.isdir(local_dir_path):
                 return local_dir_path

scripts/README.md

@@ -71,6 +71,6 @@ qlib.init(provider_uri=provider_uri, region=REG_CN)
 ## Use Crowd Sourced Data
 The is also a [crowd sourced version of qlib data](data_collector/crowd_source/README.md): https://github.com/chenditc/investment_data/releases
 ```bash
-wget https://github.com/chenditc/investment_data/releases/download/20220720/qlib_bin.tar.gz
+wget https://github.com/chenditc/investment_data/releases/latest/download/qlib_bin.tar.gz
 tar -zxvf qlib_bin.tar.gz -C ~/.qlib/qlib_data/cn_data --strip-components=2
 ```

scripts/check_data_health.py

@@ -0,0 +1,203 @@
+from loguru import logger
+import os
+from typing import Optional
+
+import fire
+import pandas as pd
+import qlib
+from tqdm import tqdm
+
+from qlib.data import D
+
+
+class DataHealthChecker:
+    """Checks a dataset for data completeness and correctness. The data will be converted to a pd.DataFrame and checked for the following problems:
+    - any of the columns ["open", "high", "low", "close", "volume"] are missing
+    - any data is missing
+    - any step change in the OHLCV columns is above a threshold (default: 0.5 for price, 3 for volume)
+    - any factor is missing
+    """
+
+    def __init__(
+        self,
+        csv_path=None,
+        qlib_dir=None,
+        freq="day",
+        large_step_threshold_price=0.5,
+        large_step_threshold_volume=3,
+        missing_data_num=0,
+    ):
+        assert csv_path or qlib_dir, "One of csv_path or qlib_dir should be provided."
+        assert not (csv_path and qlib_dir), "Only one of csv_path or qlib_dir should be provided."
+
+        self.data = {}
+        self.problems = {}
+        self.freq = freq
+        self.large_step_threshold_price = large_step_threshold_price
+        self.large_step_threshold_volume = large_step_threshold_volume
+        self.missing_data_num = missing_data_num
+
+        if csv_path:
+            assert os.path.isdir(csv_path), f"{csv_path} should be a directory."
+            files = [f for f in os.listdir(csv_path) if f.endswith(".csv")]
+            for filename in tqdm(files, desc="Loading data"):
+                df = pd.read_csv(os.path.join(csv_path, filename))
+                self.data[filename] = df
+
+        elif qlib_dir:
+            qlib.init(provider_uri=qlib_dir)
+            self.load_qlib_data()
+
+    def load_qlib_data(self):
+        instruments = D.instruments(market="all")
+        instrument_list = D.list_instruments(instruments=instruments, as_list=True, freq=self.freq)
+        required_fields = ["$open", "$close", "$low", "$high", "$volume", "$factor"]
+        for instrument in instrument_list:
+            df = D.features([instrument], required_fields, freq=self.freq)
+            df.rename(
+                columns={
+                    "$open": "open",
+                    "$close": "close",
+                    "$low": "low",
+                    "$high": "high",
+                    "$volume": "volume",
+                    "$factor": "factor",
+                },
+                inplace=True,
+            )
+            self.data[instrument] = df
+        print(df)
+
+    def check_missing_data(self) -> Optional[pd.DataFrame]:
+        """Check if any data is missing in the DataFrame."""
+        result_dict = {
+            "instruments": [],
+            "open": [],
+            "high": [],
+            "low": [],
+            "close": [],
+            "volume": [],
+        }
+        for filename, df in self.data.items():
+            missing_data_columns = df.isnull().sum()[df.isnull().sum() > self.missing_data_num].index.tolist()
+            if len(missing_data_columns) > 0:
+                result_dict["instruments"].append(filename)
+                result_dict["open"].append(df.isnull().sum()["open"])
+                result_dict["high"].append(df.isnull().sum()["high"])
+                result_dict["low"].append(df.isnull().sum()["low"])
+                result_dict["close"].append(df.isnull().sum()["close"])
+                result_dict["volume"].append(df.isnull().sum()["volume"])
+
+        result_df = pd.DataFrame(result_dict).set_index("instruments")
+        if not result_df.empty:
+            return result_df
+        else:
+            logger.info(f"✅ There are no missing data.")
+            return None
+
+    def check_large_step_changes(self) -> Optional[pd.DataFrame]:
+        """Check if there are any large step changes above the threshold in the OHLCV columns."""
+        result_dict = {
+            "instruments": [],
+            "col_name": [],
+            "date": [],
+            "pct_change": [],
+        }
+        for filename, df in self.data.items():
+            affected_columns = []
+            for col in ["open", "high", "low", "close", "volume"]:
+                if col in df.columns:
+                    pct_change = df[col].pct_change(fill_method=None).abs()
+                    threshold = self.large_step_threshold_volume if col == "volume" else self.large_step_threshold_price
+                    if pct_change.max() > threshold:
+                        large_steps = pct_change[pct_change > threshold]
+                        result_dict["instruments"].append(filename)
+                        result_dict["col_name"].append(col)
+                        result_dict["date"].append(large_steps.index.to_list()[0][1].strftime("%Y-%m-%d"))
+                        result_dict["pct_change"].append(pct_change.max())
+                        affected_columns.append(col)
+
+        result_df = pd.DataFrame(result_dict).set_index("instruments")
+        if not result_df.empty:
+            return result_df
+        else:
+            logger.info(f"✅ There are no large step changes in the OHLCV column above the threshold.")
+            return None
+
+    def check_required_columns(self) -> Optional[pd.DataFrame]:
+        """Check if any of the required columns (OLHCV) are missing in the DataFrame."""
+        required_columns = ["open", "high", "low", "close", "volume"]
+        result_dict = {
+            "instruments": [],
+            "missing_col": [],
+        }
+        for filename, df in self.data.items():
+            if not all(column in df.columns for column in required_columns):
+                missing_required_columns = [column for column in required_columns if column not in df.columns]
+                result_dict["instruments"].append(filename)
+                result_dict["missing_col"] += missing_required_columns
+
+        result_df = pd.DataFrame(result_dict).set_index("instruments")
+        if not result_df.empty:
+            return result_df
+        else:
+            logger.info(f"✅ The columns (OLHCV) are complete and not missing.")
+            return None
+
+    def check_missing_factor(self) -> Optional[pd.DataFrame]:
+        """Check if the 'factor' column is missing in the DataFrame."""
+        result_dict = {
+            "instruments": [],
+            "missing_factor_col": [],
+            "missing_factor_data": [],
+        }
+        for filename, df in self.data.items():
+            if "000300" in filename or "000903" in filename or "000905" in filename:
+                continue
+            if "factor" not in df.columns:
+                result_dict["instruments"].append(filename)
+                result_dict["missing_factor_col"].append(True)
+            if df["factor"].isnull().all():
+                if filename in result_dict["instruments"]:
+                    result_dict["missing_factor_data"].append(True)
+                else:
+                    result_dict["instruments"].append(filename)
+                    result_dict["missing_factor_col"].append(False)
+                    result_dict["missing_factor_data"].append(True)
+
+        result_df = pd.DataFrame(result_dict).set_index("instruments")
+        if not result_df.empty:
+            return result_df
+        else:
+            logger.info(f"✅ The `factor` column already exists and is not empty.")
+            return None
+
+    def check_data(self):
+        check_missing_data_result = self.check_missing_data()
+        check_large_step_changes_result = self.check_large_step_changes()
+        check_required_columns_result = self.check_required_columns()
+        check_missing_factor_result = self.check_missing_factor()
+        if (
+            check_large_step_changes_result is not None
+            or check_large_step_changes_result is not None
+            or check_required_columns_result is not None
+            or check_missing_factor_result is not None
+        ):
+            print(f"\nSummary of data health check ({len(self.data)} files checked):")
+            print("-------------------------------------------------")
+            if isinstance(check_missing_data_result, pd.DataFrame):
+                logger.warning(f"There is missing data.")
+                print(check_missing_data_result)
+            if isinstance(check_large_step_changes_result, pd.DataFrame):
+                logger.warning(f"The OHLCV column has large step changes.")
+                print(check_large_step_changes_result)
+            if isinstance(check_required_columns_result, pd.DataFrame):
+                logger.warning(f"Columns (OLHCV) are missing.")
+                print(check_required_columns_result)
+            if isinstance(check_missing_factor_result, pd.DataFrame):
+                logger.warning(f"The factor column does not exist or is empty")
+                print(check_missing_factor_result)
+
+
+if __name__ == "__main__":
+    fire.Fire(DataHealthChecker)

scripts/data_collector/br_index/requirements.txt

@@ -28,7 +28,7 @@ termcolor==1.1.0
 tqdm==4.63.0
 trio==0.20.0
 trio-websocket==0.9.2
-urllib3==1.26.8
+urllib3==1.26.19
 wget==3.2
 wsproto==1.1.0
 yahooquery==2.2.15

scripts/data_collector/cn_index/collector.py

@@ -23,7 +23,9 @@ from data_collector.utils import get_calendar_list, get_trading_date_by_shift, d
 from data_collector.utils import get_instruments
 
 
-NEW_COMPANIES_URL = "https://csi-web-dev.oss-cn-shanghai-finance-1-pub.aliyuncs.com/static/html/csindex/public/uploads/file/autofile/cons/{index_code}cons.xls"
+NEW_COMPANIES_URL = (
+    "https://oss-ch.csindex.com.cn/static/html/csindex/public/uploads/file/autofile/cons/{index_code}cons.xls"
+)
 
 
 INDEX_CHANGES_URL = "https://www.csindex.com.cn/csindex-home/search/search-content?lang=cn&searchInput=%E5%85%B3%E4%BA%8E%E8%B0%83%E6%95%B4%E6%B2%AA%E6%B7%B1300%E5%92%8C%E4%B8%AD%E8%AF%81%E9%A6%99%E6%B8%AF100%E7%AD%89%E6%8C%87%E6%95%B0%E6%A0%B7%E6%9C%AC&pageNum={page_num}&pageSize={page_size}&sortField=date&dateRange=all&contentType=announcement"

scripts/data_collector/crowd_source/README.md

@@ -16,9 +16,9 @@ The packaged docker runtime is hosted on dockerhub: https://hub.docker.com/repos
 
 ## How to use it in qlib
 ### Option 1: Download release bin data
-User can download data in qlib bin format and use it directly: https://github.com/chenditc/investment_data/releases/tag/20220720
+User can download data in qlib bin format and use it directly: https://github.com/chenditc/investment_data/releases/latest
 ```bash
-wget https://github.com/chenditc/investment_data/releases/download/20220720/qlib_bin.tar.gz
+wget https://github.com/chenditc/investment_data/releases/latest/download/qlib_bin.tar.gz
 tar -zxvf qlib_bin.tar.gz -C ~/.qlib/qlib_data/cn_data --strip-components=2
 ```
 

scripts/data_collector/utils.py

@@ -13,6 +13,7 @@ import functools
 from pathlib import Path
 from typing import Iterable, Tuple, List
 
+import akshare as ak
 import numpy as np
 import pandas as pd
 from loguru import logger
@@ -202,18 +203,9 @@ def get_hs_stock_symbols() -> list:
         -------
             {600000.ss, 600001.ss, 600002.ss, 600003.ss, ...}
         """
-        url = "http://99.push2.eastmoney.com/api/qt/clist/get?pn=1&pz=10000&po=1&np=1&fs=m:0+t:6,m:0+t:80,m:1+t:2,m:1+t:23,m:0+t:81+s:2048&fields=f12"
+        stock_info_a_code_name_df = ak.stock_info_a_code_name()
-        try:
+        stock_codes = stock_info_a_code_name_df["code"].tolist()
-            resp = requests.get(url, timeout=None)
+        _symbols = [code for code in stock_codes if code and code.strip()]
-            resp.raise_for_status()
-        except requests.exceptions.HTTPError as e:
-            raise requests.exceptions.HTTPError(f"Request to {url} failed with status code {resp.status_code}") from e
-
-        try:
-            _symbols = [_v["f12"] for _v in resp.json()["data"]["diff"]]
-        except Exception as e:
-            logger.warning("An error occurred while extracting data from the response.")
-            raise
 
         if len(_symbols) < 3900:
             raise ValueError("The complete list of stocks is not available.")

scripts/data_collector/yahoo/README.md

@@ -50,12 +50,6 @@ pip install -r requirements.txt
     python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data_1min --region cn --interval 1min
     # us 1d
     python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/us_data --region us --interval 1d
-    # us 1min
-    python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/us_data_1min --region us --interval 1min
-    # in 1d
-    python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/in_data --region in --interval 1d
-    # in 1min
-    python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/in_data_1min --region in --interval 1min
     ```
 
 ### Collector *YahooFinance* data to qlib

setup.py

@@ -1,9 +1,6 @@
-# Copyright (c) Microsoft Corporation.
+from setuptools import setup, Extension
-# Licensed under the MIT License.
-import os
 import numpy
-
+import os
-from setuptools import find_packages, setup, Extension
 
 
 def read(rel_path: str) -> str:
@@ -20,185 +17,25 @@ def get_version(rel_path: str) -> str:
     raise RuntimeError("Unable to find version string.")
 
 
-# Package meta-data.
+NUMPY_INCLUDE = numpy.get_include()
-NAME = "pyqlib"
-DESCRIPTION = "A Quantitative-research Platform"
-REQUIRES_PYTHON = ">=3.5.0"
 
 VERSION = get_version("qlib/__init__.py")
 
-# Detect Cython
-try:
-    import Cython
 
-    ver = Cython.__version__
-    _CYTHON_INSTALLED = ver >= "0.28"
-except ImportError:
-    _CYTHON_INSTALLED = False
-
-if not _CYTHON_INSTALLED:
-    print("Required Cython version >= 0.28 is not detected!")
-    print('Please run "pip install --upgrade cython" first.')
-    exit(-1)
-
-# What packages are required for this module to be executed?
-# `estimator` may depend on other packages. In order to reduce dependencies, it is not written here.
-REQUIRED = [
-    "numpy>=1.12.0, <1.24",
-    "pandas>=0.25.1",
-    "scipy>=1.7.3",
-    "requests>=2.18.0",
-    "sacred>=0.7.4",
-    "python-socketio",
-    "redis>=3.0.1",
-    "python-redis-lock>=3.3.1",
-    "schedule>=0.6.0",
-    "cvxpy>=1.0.21",
-    "hyperopt==0.1.2",
-    "fire>=0.3.1",
-    "statsmodels",
-    "xlrd>=1.0.0",
-    "plotly>=4.12.0",
-    "matplotlib>=3.3",
-    "tables>=3.6.1",
-    "pyyaml>=5.3.1",
-    # To ensure stable operation of the experiment manager, we have limited the version of mlflow,
-    # and we need to verify whether version 2.0 of mlflow can serve qlib properly.
-    "mlflow>=1.12.1, <=1.30.0",
-    # mlflow 1.30.0 requires packaging<22, so we limit the packaging version, otherwise the CI will fail.
-    "packaging<22",
-    "tqdm",
-    "loguru",
-    "lightgbm>=3.3.0",
-    "tornado",
-    "joblib>=0.17.0",
-    # With the upgrading of ruamel.yaml to 0.18, the safe_load method was deprecated,
-    # which would cause qlib.workflow.cli to not work properly,
-    # and no good replacement has been found, so the version of ruamel.yaml has been restricted for now.
-    # Refs: https://pypi.org/project/ruamel.yaml/
-    "ruamel.yaml<=0.17.36",
-    "pymongo==3.7.2",  # For task management
-    "scikit-learn>=0.22",
-    "dill",
-    "dataclasses;python_version<'3.7'",
-    "filelock",
-    "jinja2",
-    "gym",
-    # Installing the latest version of protobuf for python versions below 3.8 will cause unit tests to fail.
-    "protobuf<=3.20.1;python_version<='3.8'",
-    "cryptography",
-]
-
-# Numpy include
-NUMPY_INCLUDE = numpy.get_include()
-
-here = os.path.abspath(os.path.dirname(__file__))
-
-with open(os.path.join(here, "README.md"), encoding="utf-8") as f:
-    long_description = f.read()
-
-
-# Cython Extensions
-extensions = [
-    Extension(
-        "qlib.data._libs.rolling",
-        ["qlib/data/_libs/rolling.pyx"],
-        language="c++",
-        include_dirs=[NUMPY_INCLUDE],
-    ),
-    Extension(
-        "qlib.data._libs.expanding",
-        ["qlib/data/_libs/expanding.pyx"],
-        language="c++",
-        include_dirs=[NUMPY_INCLUDE],
-    ),
-]
-
-# Where the magic happens:
 setup(
-    name=NAME,
     version=VERSION,
-    license="MIT Licence",
+    ext_modules=[
-    url="https://github.com/microsoft/qlib",
+        Extension(
-    description=DESCRIPTION,
+            "qlib.data._libs.rolling",
-    long_description=long_description,
+            ["qlib/data/_libs/rolling.pyx"],
-    long_description_content_type="text/markdown",
+            language="c++",
-    python_requires=REQUIRES_PYTHON,
+            include_dirs=[NUMPY_INCLUDE],
-    packages=find_packages(exclude=("tests",)),
+        ),
-    # if your package is a single module, use this instead of 'packages':
+        Extension(
-    # py_modules=['qlib'],
+            "qlib.data._libs.expanding",
-    entry_points={
+            ["qlib/data/_libs/expanding.pyx"],
-        # 'console_scripts': ['mycli=mymodule:cli'],
+            language="c++",
-        "console_scripts": [
+            include_dirs=[NUMPY_INCLUDE],
-            "qrun=qlib.workflow.cli:run",
+        ),
-        ],
-    },
-    ext_modules=extensions,
-    install_requires=REQUIRED,
-    extras_require={
-        "dev": [
-            "coverage",
-            "pytest>=3",
-            "sphinx",
-            "sphinx_rtd_theme",
-            "pre-commit",
-            # CI dependencies
-            "wheel",
-            "setuptools",
-            "black",
-            # Version 3.0 of pylint had problems with the build process, so we limited the version of pylint.
-            "pylint<=2.17.6",
-            # Using the latest versions(0.981 and 0.982) of mypy,
-            # the error "multiprocessing.Value()" is detected in the file "qlib/rl/utils/data_queue.py",
-            # If this is fixed in a subsequent version of mypy, then we will revert to the latest version of mypy.
-            # References: https://github.com/python/typeshed/issues/8799
-            "mypy<0.981",
-            "flake8",
-            "nbqa",
-            "jupyter",
-            "nbconvert",
-            # The 5.0.0 version of importlib-metadata removed the deprecated endpoint,
-            # which prevented flake8 from working properly, so we restricted the version of importlib-metadata.
-            # To help ensure the dependencies of flake8 https://github.com/python/importlib_metadata/issues/406
-            "importlib-metadata<5.0.0",
-            "readthedocs_sphinx_ext",
-            "cmake",
-            "lxml",
-            "baostock",
-            "yahooquery",
-            # 2024-05-30 scs has released a new version: 3.2.4.post2,
-            # this version, causes qlib installation to fail, so we've limited the scs version a bit for now.
-            "scs<=3.2.4",
-            "beautifulsoup4",
-            # In version 0.4.11 of tianshou, the code:
-            # logits, hidden = self.actor(batch.obs, state=state, info=batch.info)
-            # was changed in PR787,
-            # which causes pytest errors(AttributeError: 'dict' object has no attribute 'info') in CI,
-            # so we restricted the version of tianshou.
-            # References:
-            # https://github.com/thu-ml/tianshou/releases
-            "tianshou<=0.4.10",
-            "gym>=0.24",  # If you do not put gym at the end, gym will degrade causing pytest results to fail.
-        ],
-        "rl": [
-            "tianshou<=0.4.10",
-            "torch",
-        ],
-    },
-    include_package_data=True,
-    classifiers=[
-        # Trove classifiers
-        # Full list: https://pypi.python.org/pypi?%3Aaction=list_classifiers
-        # 'License :: OSI Approved :: MIT License',
-        "Operating System :: POSIX :: Linux",
-        "Operating System :: Microsoft :: Windows",
-        "Operating System :: MacOS",
-        "License :: OSI Approved :: MIT License",
-        "Development Status :: 3 - Alpha",
-        "Programming Language :: Python",
-        "Programming Language :: Python :: 3",
-        "Programming Language :: Python :: 3.7",
-        "Programming Language :: Python :: 3.8",
-        "Programming Language :: Python :: 3.9",
     ],
 )

tests/data_mid_layer_tests/test_dataloader.py

@@ -7,14 +7,16 @@ import qlib
 from pathlib import Path
 
 sys.path.append(str(Path(__file__).resolve().parent))
-from qlib.data.dataset.loader import NestedDataLoader
+from qlib.data.dataset.loader import NestedDataLoader, QlibDataLoader
+from qlib.data.dataset.handler import DataHandlerLP
 from qlib.contrib.data.loader import Alpha158DL, Alpha360DL
+from qlib.data import D
 
 
 class TestDataLoader(unittest.TestCase):
 
     def test_nested_data_loader(self):
-        qlib.init()
+        qlib.init(kernels=1)
         nd = NestedDataLoader(
             dataloader_l=[
                 {
@@ -28,7 +30,7 @@ class TestDataLoader(unittest.TestCase):
         )
         # Of course you can use StaticDataLoader
 
-        dataset = nd.load()
+        dataset = nd.load(start_time="2020-01-01", end_time="2020-01-31")
 
         assert dataset is not None
 
@@ -44,6 +46,35 @@ class TestDataLoader(unittest.TestCase):
         assert "LABEL0" in columns_list
 
         # Then you can use it wth DataHandler;
+        # NOTE: please note that the data processors are missing!!!  You should add based on your requirements
+
+        """
+        dataset.to_pickle("test_df.pkl")
+        nested_data_loader = NestedDataLoader(
+            dataloader_l=[
+                {
+                    "class": "qlib.contrib.data.loader.Alpha158DL",
+                    "kwargs": {"config": {"label": (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])}},
+                },
+                {
+                    "class": "qlib.contrib.data.loader.Alpha360DL",
+                },
+                {
+                    "class": "qlib.data.dataset.loader.StaticDataLoader",
+                    "kwargs": {"config": "test_df.pkl"},
+                },
+            ]
+        )
+        data_handler_config = {
+            "start_time": "2008-01-01",
+            "end_time": "2020-08-01",
+            "instruments": "csi300",
+            "data_loader": nested_data_loader,
+        }
+        data_handler = DataHandlerLP(**data_handler_config)
+        data = data_handler.fetch()
+        print(data)
+        """
 
 
 if __name__ == "__main__":

tests/dependency_tests/test_mlflow.py

@@ -1,6 +1,7 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 import unittest
+import platform
 import mlflow
 import time
 from pathlib import Path
@@ -26,7 +27,10 @@ class MLflowTest(unittest.TestCase):
             _ = mlflow.tracking.MlflowClient(tracking_uri=str(self.TMP_PATH))
         end = time.time()
         elapsed = end - start
-        self.assertLess(elapsed, 1e-2)  # it can be done in less than 10ms
+        if platform.system() == "Linux":
+            self.assertLess(elapsed, 1e-2)  # it can be done in less than 10ms
+        else:
+            self.assertLess(elapsed, 2e-2)
         print(elapsed)
 
 

tests/misc/test_index_data.py

@@ -70,7 +70,7 @@ class IndexDataTest(unittest.TestCase):
         print(sd.loc[:"c"])
 
     def test_corner_cases(self):
-        sd = idd.MultiData([[1, 2], [3, np.NaN]], index=["foo", "bar"], columns=["f", "g"])
+        sd = idd.MultiData([[1, 2], [3, np.nan]], index=["foo", "bar"], columns=["f", "g"])
         print(sd)
 
         self.assertTrue(np.isnan(sd.loc["bar", "g"]))

tests/model/test_general_nn.py

@@ -0,0 +1,80 @@
+import unittest
+from qlib.tests import TestAutoData
+
+
+class TestNN(TestAutoData):
+    def test_both_dataset(self):
+        try:
+            from qlib.contrib.model.pytorch_general_nn import GeneralPTNN
+            from qlib.data.dataset import DatasetH, TSDatasetH
+            from qlib.data.dataset.handler import DataHandlerLP
+        except ImportError:
+            print("Import error.")
+            return
+
+        data_handler_config = {
+            "start_time": "2008-01-01",
+            "end_time": "2020-08-01",
+            "instruments": "csi300",
+            "data_loader": {
+                "class": "QlibDataLoader",  # Assuming QlibDataLoader is a string reference to the class
+                "kwargs": {
+                    "config": {
+                        "feature": [["$high", "$close", "$low"], ["H", "C", "L"]],
+                        "label": [["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"]],
+                    },
+                    "freq": "day",
+                },
+            },
+            # TODO: processors
+            "learn_processors": [
+                {
+                    "class": "DropnaLabel",
+                },
+                {"class": "CSZScoreNorm", "kwargs": {"fields_group": "label"}},
+            ],
+        }
+        segments = {
+            "train": ["2008-01-01", "2014-12-31"],
+            "valid": ["2015-01-01", "2016-12-31"],
+            "test": ["2017-01-01", "2020-08-01"],
+        }
+        data_handler = DataHandlerLP(**data_handler_config)
+
+        # time-series dataset
+        tsds = TSDatasetH(handler=data_handler, segments=segments)
+
+        # tabular dataset
+        tbds = DatasetH(handler=data_handler, segments=segments)
+
+        model_l = [
+            GeneralPTNN(
+                n_epochs=2,
+                batch_size=32,
+                n_jobs=0,
+                pt_model_uri="qlib.contrib.model.pytorch_gru_ts.GRUModel",
+                pt_model_kwargs={
+                    "d_feat": 3,
+                    "hidden_size": 8,
+                    "num_layers": 1,
+                    "dropout": 0.0,
+                },
+            ),
+            GeneralPTNN(
+                n_epochs=2,
+                batch_size=32,
+                n_jobs=0,
+                pt_model_uri="qlib.contrib.model.pytorch_nn.Net",  # it is a MLP
+                pt_model_kwargs={
+                    "input_dim": 3,
+                },
+            ),
+        ]
+
+        for ds, model in list(zip((tsds, tbds), model_l)):
+            model.fit(ds)  # It works
+            model.predict(ds)  # It works
+
+
+if __name__ == "__main__":
+    unittest.main()

tests/rl/test_logger.py

@@ -1,8 +1,8 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
-
 from random import randint, choice
 from pathlib import Path
+import logging
 
 import re
 from typing import Any, Tuple
@@ -69,6 +69,10 @@ class AnyPolicy(BasePolicy):
 
 def test_simple_env_logger(caplog):
     set_log_with_config(C.logging_config)
+    # In order for caplog to capture log messages, we configure it here:
+    # allow logs from the qlib logger to be passed to the parent logger.
+    C.logging_config["loggers"]["qlib"]["propagate"] = True
+    logging.config.dictConfig(C.logging_config)
     for venv_cls_name in ["dummy", "shmem", "subproc"]:
         writer = ConsoleWriter()
         csv_writer = CsvWriter(Path(__file__).parent / ".output")
@@ -80,13 +84,12 @@ def test_simple_env_logger(caplog):
         output_file = pd.read_csv(Path(__file__).parent / ".output" / "result.csv")
         assert output_file.columns.tolist() == ["reward", "a", "c"]
         assert len(output_file) >= 30
-
     line_counter = 0
     for line in caplog.text.splitlines():
         line = line.strip()
         if line:
             line_counter += 1
-            assert re.match(r".*reward .*  a .* \((4|5|6)\.\d+\)  c .* \((14|15|16)\.\d+\)", line)
+            assert re.match(r".*reward .* {2}a .* \(([456])\.\d+\) {2}c .* \((14|15|16)\.\d+\)", line)
     assert line_counter >= 3
 
 
@@ -137,15 +140,17 @@ class RandomFivePolicy(BasePolicy):
 
 def test_logger_with_env_wrapper():
     with DataQueue(list(range(20)), shuffle=False) as data_iterator:
-        env_wrapper_factory = lambda: EnvWrapper(
-            SimpleSimulator,
-            DummyStateInterpreter(),
-            DummyActionInterpreter(),
-            data_iterator,
-            logger=LogCollector(LogLevel.DEBUG),
-        )
 
-        # loglevel can be debug here because metrics can all dump into csv
+        def env_wrapper_factory():
+            return EnvWrapper(
+                SimpleSimulator,
+                DummyStateInterpreter(),
+                DummyActionInterpreter(),
+                data_iterator,
+                logger=LogCollector(LogLevel.DEBUG),
+            )
+
+        # loglevel can be debugged here because metrics can all dump into csv
         # otherwise, csv writer might crash
         csv_writer = CsvWriter(Path(__file__).parent / ".output", loglevel=LogLevel.DEBUG)
         venv = vectorize_env(env_wrapper_factory, "shmem", 4, csv_writer)
@@ -155,7 +160,7 @@ def test_logger_with_env_wrapper():
 
     output_df = pd.read_csv(Path(__file__).parent / ".output" / "result.csv")
     assert len(output_df) == 20
-    # obs has a increasing trend
+    # obs has an increasing trend
     assert output_df["obs"].to_numpy()[:10].sum() < output_df["obs"].to_numpy()[10:].sum()
     assert (output_df["test_a"] == 233).all()
     assert (output_df["test_b"] == 200).all()

tests/rl/test_trainer.py

@@ -194,7 +194,7 @@ def test_trainer_checkpoint():
     assert (output_dir / "002.pth").exists()
     assert os.readlink(output_dir / "latest.pth") == str(output_dir / "002.pth")
 
-    trainer.load_state_dict(torch.load(output_dir / "001.pth"))
+    trainer.load_state_dict(torch.load(output_dir / "001.pth", weights_only=False))
     assert trainer.current_iter == 1
     assert trainer.current_episode == 100
 

tests/test_pit.py

@@ -8,7 +8,6 @@ import shutil
 import unittest
 import pytest
 import pandas as pd
-import baostock as bs
 from pathlib import Path
 
 from qlib.data import D