Merge branch 'main' of github.com:microsoft/qlib into fix_docs

.github/workflows/test_qlib_from_pip.yml

@@ -45,9 +45,6 @@ jobs:
 
     - 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

README.md

@@ -40,7 +40,7 @@ Recent released features
 Features released before 2021 are not listed here.
 
 <p align="center">
-  <img src="docs/_static/img/logo/1.png" />
+  <img src="http://fintech.msra.cn/images_v070/logo/1.png" />
 </p>
 
 Qlib is an open-source, AI-oriented quantitative investment platform that aims to realize the potential, empower research, and create value using AI technologies in quantitative investment, from exploring ideas to implementing productions. Qlib supports diverse machine learning modeling paradigms, including supervised learning, market dynamics modeling, and reinforcement learning.
@@ -166,7 +166,7 @@ Also, users can install the latest dev version ``Qlib`` by the source code accor
 * Clone the repository and install ``Qlib`` as follows.
     ```bash
     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
+    pip install .
     ```
   **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**.
 
@@ -175,20 +175,6 @@ Also, users can install the latest dev version ``Qlib`` by the source code accor
 **Tips for Mac**: If you are using Mac with M1, you might encounter issues in building the wheel for LightGBM, which is due to missing dependencies from OpenMP. To solve the problem, install openmp first with ``brew install libomp`` and then run ``pip install .`` to build it successfully. 
 
 ## 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.
-```bash
-wget https://github.com/chenditc/investment_data/releases/download/20220720/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
-```
-
-The official dataset below will resume in short future.
-
-
-----
-
 Load and prepare data by running the following code:
 
 ### Get with module

docs/requirements.txt

@@ -5,4 +5,3 @@ scipy
 scikit-learn
 pandas
 tianshou
-sphinx_rtd_theme

examples/orderbook_data/README.md

@@ -16,7 +16,7 @@ Current version of script with default value tries to connect localhost **via de
 
 Run following command to install necessary libraries
 ```
-pip install pytest coverage gdown
+pip install pytest coverage
 pip install arctic  # NOTE: pip may fail to resolve the right package dependency !!! Please make sure the dependency are satisfied.
 ```
 
@@ -27,8 +27,7 @@ pip install arctic  # NOTE: pip may fail to resolve the right package dependency
 2. Please follow following steps to download example data
 ```bash
 cd examples/orderbook_data/
-gdown https://drive.google.com/uc?id=15nZF7tFT_eKVZAcMFL1qPS4jGyJflH7e  # Proxies may be necessary here.
-python ../../scripts/get_data.py _unzip --file_path highfreq_orderbook_example_data.zip --target_dir .
+python ../../scripts/get_data.py download_data --target_dir . --file_name highfreq_orderbook_example_data.zip
 ```
 
 3. Please import the example data to your mongo db

qlib/__init__.py

@@ -2,7 +2,7 @@
 # Licensed under the MIT License.
 from pathlib import Path
 
-__version__ = "0.9.5.99"
+__version__ = "0.9.4.99"
 __version__bak = __version__  # This version is backup for QlibConfig.reset_qlib_version
 import os
 from typing import Union

qlib/data/client.py

@@ -35,7 +35,7 @@ class Client:
     def connect_server(self):
         """Connect to server."""
         try:
-            self.sio.connect(f"ws://{self.server_host}:{self.server_port}")
+            self.sio.connect("ws://" + self.server_host + ":" + str(self.server_port))
         except socketio.exceptions.ConnectionError:
             self.logger.error("Cannot connect to server - check your network or server status")
 

qlib/data/data.py

@@ -536,6 +536,7 @@ class DatasetProvider(abc.ABC):
         """
         if len(fields) == 0:
             raise ValueError("fields cannot be empty")
+        fields = fields.copy()
         column_names = [str(f) for f in fields]
         return column_names
 

qlib/data/dataset/utils.py

@@ -9,7 +9,7 @@ if TYPE_CHECKING:
     from qlib.data.dataset import DataHandler
 
 
-def get_level_index(df: pd.DataFrame, level: Union[str, int]) -> int:
+def get_level_index(df: pd.DataFrame, level=Union[str, int]) -> int:
     """
 
     get the level index of `df` given `level`

qlib/tests/data.py

@@ -12,11 +12,15 @@ import datetime
 from tqdm import tqdm
 from pathlib import Path
 from loguru import logger
+from cryptography.fernet import Fernet
 from qlib.utils import exists_qlib_data
 
 
 class GetData:
-    REMOTE_URL = "https://github.com/SunsetWolf/qlib_dataset/releases/download"
+    REMOTE_URL = "https://qlibpublic.blob.core.windows.net/data/default/stock_data"
+    # "?" is not included in the token.
+    TOKEN = b"gAAAAABkmDhojHc0VSCDdNK1MqmRzNLeDFXe5hy8obHpa6SDQh4de6nW5gtzuD-fa6O_WZb0yyqYOL7ndOfJX_751W3xN5YB4-n-P22jK-t6ucoZqhT70KPD0Lf0_P328QPJVZ1gDnjIdjhi2YLOcP4BFTHLNYO0mvzszR8TKm9iT5AKRvuysWnpi8bbYwGU9zAcJK3x9EPL43hOGtxliFHcPNGMBoJW4g_ercdhi0-Qgv5_JLsV-29_MV-_AhuaYvJuN2dEywBy"
+    KEY = "EYcA8cgorA8X9OhyMwVfuFxn_1W3jGk6jCbs3L2oPoA="
 
     def __init__(self, delete_zip_file=False):
         """
@@ -29,45 +33,9 @@ class GetData:
         self.delete_zip_file = delete_zip_file
 
     def merge_remote_url(self, file_name: str):
-        """
-        Generate download links.
-
-        Parameters
-        ----------
-        file_name: str
-            The name of the file to be downloaded.
-            The file name can be accompanied by a version number, (e.g.: v2/qlib_data_simple_cn_1d_latest.zip),
-            if no version number is attached, it will be downloaded from v0 by default.
-        """
-        return f"{self.REMOTE_URL}/{file_name}" if "/" in file_name else f"{self.REMOTE_URL}/v0/{file_name}"
-
-    def download(self, url: str, target_path: [Path, str]):
-        """
-        Download a file from the specified url.
-
-        Parameters
-        ----------
-        url: str
-            The url of the data.
-        target_path: str
-            The location where the data is saved, including the file name.
-        """
-        file_name = str(target_path).rsplit("/", maxsplit=1)[-1]
-        resp = requests.get(url, stream=True, timeout=60)
-        resp.raise_for_status()
-        if resp.status_code != 200:
-            raise requests.exceptions.HTTPError()
-
-        chunk_size = 1024
-        logger.warning(
-            f"The data for the example is collected from Yahoo Finance. Please be aware that the quality of the data might not be perfect. (You can refer to the original data source: https://finance.yahoo.com/lookup.)"
-        )
-        logger.info(f"{os.path.basename(file_name)} downloading......")
-        with tqdm(total=int(resp.headers.get("Content-Length", 0))) as p_bar:
-            with target_path.open("wb") as fp:
-                for chunk in resp.iter_content(chunk_size=chunk_size):
-                    fp.write(chunk)
-                    p_bar.update(chunk_size)
+        fernet = Fernet(self.KEY)
+        token = fernet.decrypt(self.TOKEN).decode()
+        return f"{self.REMOTE_URL}/{file_name}?{token}"
 
     def download_data(self, file_name: str, target_dir: [Path, str], delete_old: bool = True):
         """
@@ -102,7 +70,21 @@ class GetData:
         target_path = target_dir.joinpath(_target_file_name)
 
         url = self.merge_remote_url(file_name)
-        self.download(url=url, target_path=target_path)
+        resp = requests.get(url, stream=True, timeout=60)
+        resp.raise_for_status()
+        if resp.status_code != 200:
+            raise requests.exceptions.HTTPError()
+
+        chunk_size = 1024
+        logger.warning(
+            f"The data for the example is collected from Yahoo Finance. Please be aware that the quality of the data might not be perfect. (You can refer to the original data source: https://finance.yahoo.com/lookup.)"
+        )
+        logger.info(f"{os.path.basename(file_name)} downloading......")
+        with tqdm(total=int(resp.headers.get("Content-Length", 0))) as p_bar:
+            with target_path.open("wb") as fp:
+                for chunk in resp.iter_content(chunk_size=chunk_size):
+                    fp.write(chunk)
+                    p_bar.update(chunk_size)
 
         self._unzip(target_path, target_dir, delete_old)
         if self.delete_zip_file:
@@ -117,9 +99,7 @@ class GetData:
         return status
 
     @staticmethod
-    def _unzip(file_path: [Path, str], target_dir: [Path, str], delete_old: bool = True):
-        file_path = Path(file_path)
-        target_dir = Path(target_dir)
+    def _unzip(file_path: Path, target_dir: Path, delete_old: bool = True):
         if delete_old:
             logger.warning(
                 f"will delete the old qlib data directory(features, instruments, calendars, features_cache, dataset_cache): {target_dir}"

scripts/data_collector/base.py

@@ -301,7 +301,6 @@ class Normalize:
             na_values={col: symbol_na if col == self._symbol_field_name else default_na for col in columns},
         )
 
-        # NOTE: It has been reported that there may be some problems here, and the specific issues will be dealt with when they are identified.
         df = self._normalize_obj.normalize(df)
         if df is not None and not df.empty:
             if self._end_date is not None:

scripts/data_collector/cn_index/requirements.txt

@@ -5,5 +5,3 @@ pandas
 lxml
 loguru
 tqdm
-yahooquery
-openpyxl

scripts/data_collector/utils.py

@@ -15,6 +15,7 @@ from typing import Iterable, Tuple, List
 
 import numpy as np
 import pandas as pd
+from lxml import etree
 from loguru import logger
 from yahooquery import Ticker
 from tqdm import tqdm
@@ -189,43 +190,17 @@ def get_hs_stock_symbols() -> list:
     global _HS_SYMBOLS  # pylint: disable=W0603
 
     def _get_symbol():
-        """
-        Get the stock pool from a web page and process it into the format required by yahooquery.
-        Format of data retrieved from the web page: 600519, 000001
-        The data format required by yahooquery: 600519.ss, 000001.sz
-
-        Returns
-        -------
-            set: Returns the set of symbol codes.
-
-        Examples:
-        -------
-            {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"
-        try:
-            resp = requests.get(url, timeout=None)
-            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.")
-
-        # Add suffix after the stock code to conform to yahooquery standard, otherwise the data will not be fetched.
-        _symbols = [
-            _symbol + ".ss" if _symbol.startswith("6") else _symbol + ".sz" if _symbol.startswith(("0", "3")) else None
-            for _symbol in _symbols
-        ]
-        _symbols = [_symbol for _symbol in _symbols if _symbol is not None]
-
-        return set(_symbols)
+        _res = set()
+        for _k, _v in (("ha", "ss"), ("sa", "sz"), ("gem", "sz")):
+            resp = requests.get(HS_SYMBOLS_URL.format(s_type=_k), timeout=None)
+            _res |= set(
+                map(
+                    lambda x: "{}.{}".format(re.findall(r"\d+", x)[0], _v),  # pylint: disable=W0640
+                    etree.HTML(resp.text).xpath("//div[@class='result']/ul//li/a/text()"),  # pylint: disable=I1101
+                )
+            )
+            time.sleep(3)
+        return _res
 
     if _HS_SYMBOLS is None:
         symbols = set()

setup.py

@@ -166,9 +166,6 @@ setup(
             "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)