log environment automatically

* Simplify the download command(microsoft#1232)

* Update simplified download instruction

.github/workflows/test_macos.yml

@@ -1,94 +0,0 @@
-# There are some issues (in the downloading data phase) on MacOS when running with other tests. So we split it into an individual config.
-name: Test MacOS
-
-on:
-  push:
-    branches: [ main ]
-  pull_request:
-    branches: [ main ]
-
-jobs:
-  build:
-    timeout-minutes: 120
-    runs-on: ${{ matrix.os }}
-    strategy:
-      matrix:
-        os: [macos-11, macos-latest]
-        # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
-        python-version: [3.7, 3.8]
-
-    steps:
-    - uses: actions/checkout@v2
-
-    - name: Set up Python ${{ matrix.python-version }}
-      uses: actions/setup-python@v2
-      with:
-        python-version: ${{ matrix.python-version }}
-
-    - name: Lint with Black
-      run: |
-        cd ..
-        python -m pip install pip --upgrade
-        python -m pip install wheel --upgrade
-        python -m pip install black
-        python -m black qlib -l 120 --check --diff
-    # Test Qlib installed with pip
-
-    - name: Check Qlib with flake8
-      run: |
-        pip install --upgrade pip
-        pip install flake8
-        flake8 --ignore=E501,F541,E266,E402,W503,E731,E203 --per-file-ignores="__init__.py:F401,F403" qlib
-
-    - name: Install Qlib with pip
-      run: |
-          python -m pip install numpy==1.19.5
-          python -m pip install pyqlib --ignore-installed ruamel.yaml numpy
-    - name: Make html with sphnix
-      run: |
-        pip install -U sphinx
-        pip install sphinx_rtd_theme readthedocs_sphinx_ext
-        pip install --exists-action=w --no-cache-dir -r docs/requirements.txt 
-        cd docs 
-        sphinx-build -b html . build
-        cd ..
-    - name: Install Lightgbm for MacOS
-      run: |
-        /bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Microsoft/qlib/main/.github/brew_install.sh)"
-        HOMEBREW_NO_AUTO_UPDATE=1 brew install lightgbm
-        # FIX MacOS error: Segmentation fault
-        # reference: https://github.com/microsoft/LightGBM/issues/4229
-        wget https://raw.githubusercontent.com/Homebrew/homebrew-core/fb8323f2b170bd4ae97e1bac9bf3e2983af3fdb0/Formula/libomp.rb
-        brew unlink libomp
-        brew install libomp.rb
-    - name: Test data downloads
-      run: |
-        python scripts/get_data.py qlib_data --name qlib_data_simple --target_dir ~/.qlib/qlib_data/cn_data_simple --interval 1d --region cn
-        python -c "import os; userpath=os.path.expanduser('~'); os.rename(userpath + '/.qlib/qlib_data/cn_data_simple', userpath + '/.qlib/qlib_data/cn_data')"
-        azcopy copy https://qlibpublic.blob.core.windows.net/data /tmp/qlibpublic --recursive
-        mv /tmp/qlibpublic/data tests/.data
-    - name: Test workflow by config (install from pip)
-      run: |
-        python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
-        python -m pip uninstall -y pyqlib
-    # Test Qlib installed from source
-    - name: Install Qlib from source
-      run: |
-        python -m pip install --upgrade cython
-        python -m pip install numpy jupyter jupyter_contrib_nbextensions
-        python -m pip install -U scipy scikit-learn # installing without this line will cause errors on GitHub Actions, while instsalling locally won't
-        python -m pip install gym tianshou torch
-        pip install -e .
-    - name: Install test dependencies
-      run: |
-        python -m pip install --upgrade pip
-        python -m pip install -U pyopenssl idna
-        python -m pip install black pytest
-    - name: Unit tests with Pytest
-      run: |
-        pip install -r scripts/data_collector/pit/requirements.txt
-        cd tests
-        python -m pytest . --durations=0
-    - name: Test workflow by config (install from source)
-      run: |
-          python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml

.github/workflows/test_qlib_from_pip.yml

@@ -0,0 +1,57 @@
+name: Test qlib from pip
+
+on:
+  push:
+    branches: [ main ]
+  pull_request:
+    branches: [ main ]
+
+jobs:
+  build:
+    timeout-minutes: 120
+
+    runs-on: ${{ matrix.os }}
+    strategy:
+      matrix:
+        os: [windows-latest, ubuntu-18.04, ubuntu-20.04, macos-11, macos-latest]
+        # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
+        python-version: [3.7, 3.8]
+
+    steps:
+    - name: Test qlib from pip
+      uses: actions/checkout@v2
+
+    - name: Set up Python ${{ matrix.python-version }}
+      uses: actions/setup-python@v2
+      with:
+        python-version: ${{ matrix.python-version }}
+
+    - name: Update pip to the latest version
+      run: |
+        python -m pip install --upgrade pip
+
+    - name: Qlib installation test
+      run: |
+        python -m pip install pyqlib
+        # Specify the numpy version because the numpy upgrade caused the CI test to fail, 
+        # and this line of code will be removed when the next version of qlib is released.
+        python -m pip install "numpy<1.23"
+
+    - name: Install Lightgbm for MacOS
+      if: ${{ matrix.os == 'macos-11' || matrix.os == 'macos-latest' }}
+      run: |
+        /bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Microsoft/qlib/main/.github/brew_install.sh)"
+        HOMEBREW_NO_AUTO_UPDATE=1 brew install lightgbm
+        # FIX MacOS error: Segmentation fault
+        # reference: https://github.com/microsoft/LightGBM/issues/4229
+        wget https://raw.githubusercontent.com/Homebrew/homebrew-core/fb8323f2b170bd4ae97e1bac9bf3e2983af3fdb0/Formula/libomp.rb
+        brew unlink libomp
+        brew install libomp.rb
+
+    - 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: Test workflow by config
+      run: |
+        qrun examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml

.github/workflows/test_qlib_from_source.yml

@@ -1,4 +1,4 @@
-name: Test
+name: Test qlib from source
 
 on:
   push:
@@ -8,38 +8,57 @@ on:
 
 jobs:
   build:
-    timeout-minutes: 120
+    timeout-minutes: 180
+    # we may retry for 3 times for `Unit tests with Pytest`
+
     runs-on: ${{ matrix.os }}
     strategy:
       matrix:
-        os: [windows-latest, ubuntu-18.04, ubuntu-20.04]
+        os: [windows-latest, ubuntu-18.04, ubuntu-20.04, macos-11, macos-latest]
         # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
         python-version: [3.7, 3.8]
 
     steps:
-    - uses: actions/checkout@v2
+    - name: Test qlib from source
+      uses: actions/checkout@v2
 
     - name: Set up Python ${{ matrix.python-version }}
       uses: actions/setup-python@v2
       with:
         python-version: ${{ matrix.python-version }}
 
+    - name: Update pip to the latest version
+      run: |
+        python -m pip install --upgrade pip
+
+    - name: Installing pytorch for macos
+      if: ${{ matrix.os == 'macos-11' || matrix.os == 'macos-latest' }}
+      run: |
+        python -m pip install torch torchvision torchaudio
+
+    - name: Installing pytorch for ubuntu
+      if: ${{ matrix.os == 'ubuntu-18.04' || matrix.os == 'ubuntu-20.04' }}
+      run: |
+        python -m pip install --upgrade pip
+        python -m pip install torch torchvision torchaudio --extra-index-url https://download.pytorch.org/whl/cpu
+
+    - name: Installing pytorch for windows
+      if: ${{ matrix.os == 'windows-latest' }}
+      run: |
+        python -m pip install --upgrade pip
+        python -m pip install torch torchvision torchaudio
+
+    - name: Set up Python tools
+      run: |
+        python -m pip install --upgrade cython
+        python -m pip install -e .[dev]
+
     - name: Lint with Black
       run: |
-        pip install --upgrade pip
+        black . -l 120 --check --diff
-        pip install black wheel
-        black qlib -l 120 --check --diff
-
-    - name: Install Qlib with pip
-      run: |
-        pip install numpy==1.19.5 ruamel.yaml
-        pip install pyqlib --ignore-installed
 
     - name: Make html with sphinx
       run: |
-        pip install -U sphinx
-        pip install sphinx_rtd_theme readthedocs_sphinx_ext
-        pip install --exists-action=w --no-cache-dir -r docs/requirements.txt 
         cd docs 
         sphinx-build -b html . build
         cd ..
@@ -70,8 +89,6 @@ jobs:
     # References for parameters: https://github.com/PyCQA/pylint/issues/4577#issuecomment-1000245962
     - name: Check Qlib with pylint
       run: |
-        pip install --upgrade pip
-        pip install 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,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"
 
     # The following flake8 error codes were ignored:
@@ -95,47 +112,44 @@ jobs:
         # Description: If there is whitespace before ":", it cannot pass the black check.
     - name: Check Qlib with flake8
       run: |
-        pip install --upgrade pip
-        pip install flake8
         flake8 --ignore=E501,F541,E266,E402,W503,E731,E203 --per-file-ignores="__init__.py:F401,F403" qlib
 
     # https://github.com/python/mypy/issues/10600
     - name: Check Qlib with mypy
       run: |
-        pip install mypy
         mypy qlib --install-types --non-interactive || true
-        mypy qlib
+        mypy qlib --verbose
 
     - name: Test data downloads
       run: |
-        python scripts/get_data.py qlib_data --name qlib_data_simple --target_dir ~/.qlib/qlib_data/cn_data_simple --interval 1d --region cn
+        python scripts/get_data.py qlib_data --name qlib_data_simple --target_dir ~/.qlib/qlib_data/cn_data --interval 1d --region cn
-        python -c "import os; userpath=os.path.expanduser('~'); os.rename(userpath + '/.qlib/qlib_data/cn_data_simple', userpath + '/.qlib/qlib_data/cn_data')"
         azcopy copy https://qlibpublic.blob.core.windows.net/data/rl /tmp/qlibpublic/data --recursive
         mv /tmp/qlibpublic/data tests/.data
 
-    - name: Test workflow by config (install from pip)
+    - name: Install Lightgbm for MacOS
+      if: ${{ matrix.os == 'macos-11' || matrix.os == 'macos-latest' }}
       run: |
-        python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
+        /bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Microsoft/qlib/main/.github/brew_install.sh)"
-        python -m pip uninstall -y pyqlib
+        HOMEBREW_NO_AUTO_UPDATE=1 brew install lightgbm
-
+        # FIX MacOS error: Segmentation fault
-     # Test Qlib installed from source
+        # reference: https://github.com/microsoft/LightGBM/issues/4229
-    - name: Install Qlib from source
+        wget https://raw.githubusercontent.com/Homebrew/homebrew-core/fb8323f2b170bd4ae97e1bac9bf3e2983af3fdb0/Formula/libomp.rb
-      run: |
+        brew unlink libomp
-        pip install --upgrade cython jupyter jupyter_contrib_nbextensions numpy scipy scikit-learn # installing without this line will cause errors on GitHub Actions, while instsalling locally won't
+        brew install libomp.rb
-        pip install gym tianshou torch
-        pip install -e .
-
-    - name: Install test dependencies
-      run: |
-        pip install --upgrade pip
-        pip install black pytest
-
-    - name: Unit tests with Pytest
-      run: |
-        pip install -r scripts/data_collector/pit/requirements.txt
-        cd tests
-        python -m pytest . --durations=10
 
     - name: Test workflow by config (install from source)
       run: |
+        # Version 0.52.0 of numba must be installed manually in CI, otherwise it will cause incompatibility with the latest version of numpy.
+        python -m pip install numba==0.52.0
+        # You must update numpy manually, because when installing python tools, it will try to uninstall numpy and cause CI to fail.
+        python -m pip install --upgrade numpy
         python qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
+
+    - name: Unit tests with Pytest
+      uses: nick-fields/retry@v2
+      with:
+        timeout_minutes: 60
+        max_attempts: 3
+        command: |
+          cd tests
+          python -m pytest . -m "not slow" --durations=0

.github/workflows/test_qlib_from_source_slow.yml

@@ -0,0 +1,59 @@
+name: Test qlib from source slow
+
+on:
+  push:
+    branches: [ main ]
+  pull_request:
+    branches: [ main ]
+
+jobs:
+  build:
+    timeout-minutes: 720
+    # we may retry for 3 times for `Unit tests with Pytest`
+
+    runs-on: ${{ matrix.os }}
+    strategy:
+      matrix:
+        os: [windows-latest, ubuntu-18.04, ubuntu-20.04, macos-11, macos-latest]
+        # not supporting 3.6 due to annotations is not supported https://stackoverflow.com/a/52890129
+        python-version: [3.7, 3.8]
+
+    steps:
+    - name: Test qlib from source slow
+      uses: actions/checkout@v2
+
+    - name: Set up Python ${{ matrix.python-version }}
+      uses: actions/setup-python@v2
+      with:
+        python-version: ${{ matrix.python-version }}
+
+    - name: Set up Python tools
+      run: |
+        python -m pip install --upgrade pip
+        # python -m pip is necessary to upgrade pip.
+        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: ${{ matrix.os == 'macos-11' || matrix.os == 'macos-latest' }}
+      run: |
+        /bin/bash -c "$(curl -fsSL https://raw.githubusercontent.com/Microsoft/qlib/main/.github/brew_install.sh)"
+        HOMEBREW_NO_AUTO_UPDATE=1 brew install lightgbm
+        # FIX MacOS error: Segmentation fault
+        # reference: https://github.com/microsoft/LightGBM/issues/4229
+        wget https://raw.githubusercontent.com/Homebrew/homebrew-core/fb8323f2b170bd4ae97e1bac9bf3e2983af3fdb0/Formula/libomp.rb
+        brew unlink libomp
+        brew install libomp.rb
+
+    - name: Unit tests with Pytest
+      uses: nick-fields/retry@v2
+      with:
+        timeout_minutes: 240
+        max_attempts: 3
+        command: |
+          cd tests
+          python -m pytest . -m "slow" --durations=0

.mypy.ini

@@ -1,6 +1,6 @@
 [mypy]
 exclude = (?x)(
-    ^qlib/backtest
+    ^qlib/backtest/high_performance_ds\.py$
     | ^qlib/contrib
     | ^qlib/data
     | ^qlib/model

.pre-commit-config.yaml

@@ -1,6 +1,6 @@
 repos:
 -   repo: https://github.com/psf/black
-    rev: 22.1.0
+    rev: 22.6.0
     hooks:
     -   id: black
         args: ["qlib", "-l 120"]

CHANGES.rst

@@ -1,63 +1,63 @@
 Changelog
-====================
+=========
 Here you can see the full list of changes between each QLib release.
 
 Version 0.1.0
---------------------
+-------------
 This is the initial release of QLib library.
 
 Version 0.1.1
---------------------
+-------------
 Performance optimize. Add more features and operators.
 
 Version 0.1.2
---------------------
+-------------
 - Support operator syntax. Now ``High() - Low()`` is equivalent to ``Sub(High(), Low())``.
 - Add more technical indicators.
 
 Version 0.1.3
---------------------
+-------------
 Bug fix and add instruments filtering mechanism.
 
 Version 0.2.0
---------------------
+-------------
 - Redesign ``LocalProvider`` database format for performance improvement.
 - Support load features as string fields.
 - Add scripts for database construction.
 - More operators and technical indicators.
 
 Version 0.2.1
---------------------
+-------------
 - Support registering user-defined ``Provider``.
 - Support use operators in string format, e.g. ``['Ref($close, 1)']`` is valid field format.
 - Support dynamic fields in ``$some_field`` format. And existing fields like ``Close()`` may be deprecated in the future.
 
 Version 0.2.2
---------------------
+-------------
 - Add ``disk_cache`` for reusing features (enabled by default).
 - Add ``qlib.contrib`` for experimental model construction and evaluation.
 
 
 Version 0.2.3
---------------------
+-------------
 - Add ``backtest`` module
 - Decoupling the Strategy, Account, Position, Exchange from the backtest module
 
 Version 0.2.4
---------------------
+-------------
 - Add ``profit attribution`` module
 - Add ``rick_control`` and ``cost_control`` strategies
 
 Version 0.3.0
---------------------
+-------------
 - Add ``estimator`` module
 
 Version 0.3.1
---------------------
+-------------
 - Add ``filter`` module
 
 Version 0.3.2
---------------------
+-------------
 - Add real price trading, if the ``factor`` field in the data set is incomplete, use ``adj_price`` trading
 - Refactor ``handler`` ``launcher`` ``trainer`` code
 - Support ``backtest`` configuration parameters in the configuration file
@@ -65,16 +65,16 @@ Version 0.3.2
 - Fix bug of ``filter`` module
 
 Version 0.3.3
--------------------
+-------------
 - Fix bug of ``filter`` module
 
 Version 0.3.4
---------------------
+-------------
 - Support for ``finetune model``
 - Refactor ``fetcher`` code
 
 Version 0.3.5
---------------------
+-------------
 - Support multi-label training, you can provide multiple label in ``handler``. (But LightGBM doesn't support due to the algorithm itself)
 - Refactor ``handler`` code, dataset.py is no longer used, and you can deploy your own labels and features in ``feature_label_config``
 - Handler only offer DataFrame. Also, ``trainer`` and model.py only receive DataFrame
@@ -82,7 +82,7 @@ Version 0.3.5
 - Move some date config from ``handler`` to ``trainer``
 
 Version 0.4.0
---------------------
+-------------
 - Add `data` package that holds all data-related codes
 - Reform the data provider structure
 - Create a server for data centralized management `qlib-server<https://amc-msra.visualstudio.com/trading-algo/_git/qlib-server>`_
@@ -100,7 +100,7 @@ Version 0.4.0
 
 
 Version 0.4.1
---------------------
+-------------
 - Add support Windows
 - Fix ``instruments`` type bug
 - Fix ``features`` is empty bug(It will cause failure in updating)
@@ -112,19 +112,19 @@ Version 0.4.1
 
 
 Version 0.4.2
---------------------
+-------------
 - Refactor DataHandler
 - Add ``Alpha360`` DataHandler
 
 
 Version 0.4.3
---------------------
+-------------
 - Implementing Online Inference and Trading Framework
 - Refactoring The interfaces of backtest and strategy module.
 
 
 Version 0.4.4
---------------------
+-------------
 - Optimize cache generation performance
 - Add report module
 - Fix bug when using ``ServerDatasetCache`` offline.
@@ -138,7 +138,7 @@ Version 0.4.4
 
 
 Version 0.4.5
---------------------
+-------------
 - Add multi-kernel implementation for both client and server.
     - Support a new way to load data from client which skips dataset cache.
     - Change the default dataset method from single kernel implementation to multi kernel implementation.
@@ -146,14 +146,14 @@ Version 0.4.5
 - Support a new method to write config file by using dict.
 
 Version 0.4.6
---------------------
+-------------
 - Some bugs are fixed
     - The default config in `Version 0.4.5` is not friendly to daily frequency data.
     - Backtest error in TopkWeightStrategy when `WithInteract=True`.
 
 
 Version 0.5.0
---------------------
+-------------
 - First opensource version
     - Refine the docs, code
     - Add baselines
@@ -161,7 +161,7 @@ Version 0.5.0
 
 
 Version 0.8.0
---------------------
+-------------
 - The backtest is greatly refactored.
     - Nested decision execution framework is supported
     - There are lots of changes for daily trading, it is hard to list all of them. But a few important changes could be noticed
@@ -175,5 +175,5 @@ Version 0.8.0
 
 
 Other Versions
-----------------------------------
+--------------
 Please refer to `Github release Notes <https://github.com/microsoft/qlib/releases>`_

README.md

@@ -172,10 +172,23 @@ Also, users can install the latest dev version ``Qlib`` by the source code accor
     ```
   **Note**:  You can install Qlib with `python setup.py install` as well. But it is not the recommanded 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.yml) may help you find the problem.
+**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.
 
 ## Data Preparation
 Load and prepare data by running the following code:
+
+### Get with module
+  ```bash
+  # get 1d data
+  python -m qlib.run.get_data qlib_data --target_dir ~/.qlib/qlib_data/cn_data --region cn
+
+  # get 1min data
+  python -m qlib.run.get_data qlib_data --target_dir ~/.qlib/qlib_data/cn_data_1min --region cn --interval 1min
+
+  ```
+
+### Get from source
+
   ```bash
   # get 1d data
   python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data --region cn
@@ -197,6 +210,8 @@ We recommend users to prepare their own data if they have a high-quality dataset
   > 
   > It is recommended that users update the data manually once (--trading_date 2021-05-25) and then set it to update automatically.
   >
+  > **NOTE**: Users can't incrementally  update data based on the offline data provided by Qlib(some fields are removed to reduce the data size). Users should use [yahoo collector](https://github.com/microsoft/qlib/tree/main/scripts/data_collector/yahoo#automatic-update-of-daily-frequency-datafrom-yahoo-finance) to download Yahoo data from scratch and then incrementally update it.
+  > 
   > For more information, please refer to: [yahoo collector](https://github.com/microsoft/qlib/tree/main/scripts/data_collector/yahoo#automatic-update-of-daily-frequency-datafrom-yahoo-finance)
 
   * Automatic update of data to the "qlib" directory each trading day(Linux)
@@ -458,7 +473,7 @@ Before we released Qlib as an open-source project on Github in Sep 2020, Qlib is
 
 This project welcomes contributions and suggestions.  
 **Here are some 
-[code standards](docs/developer/code_standard.rst) for submiting a pull request.**
+[code standards and development guidance](docs/developer/code_standard_and_dev_guide.rst) for submiting a pull request.**
 
 Making contributions is not a hard thing. Solving an issue(maybe just answering a question raised in [issues list](https://github.com/microsoft/qlib/issues) or [gitter](https://gitter.im/Microsoft/qlib)), fixing/issuing a bug, improving the documents and even fixing a typo are important contributions to Qlib.
 

docs/FAQ/FAQ.rst

@@ -3,7 +3,7 @@ Qlib FAQ
 ############
 
 Qlib Frequently Asked Questions
-================================
+===============================
 .. contents::
     :depth: 1
     :local:
@@ -13,7 +13,7 @@ Qlib Frequently Asked Questions
 
 
 1. RuntimeError: An attempt has been made to start a new process before the current process has finished its bootstrapping phase...
-------------------------------------------------------------------------------------------------------------------------------------
+-----------------------------------------------------------------------------------------------------------------------------------
 
 .. code-block:: console
 
@@ -52,7 +52,7 @@ This is caused by the limitation of multiprocessing under windows OS. Please ref
 
 
 2. qlib.data.cache.QlibCacheException: It sees the key(...) of the redis lock has existed in your redis db now.
------------------------------------------------------------------------------------------------------------------
+---------------------------------------------------------------------------------------------------------------
 
 It sees the key of the redis lock has existed in your redis db now. You can use the following command to clear your redis keys and rerun your commands
 
@@ -72,7 +72,7 @@ If the issue is not resolved, use ``keys *`` to find if multiple keys exist. If
 Also, feel free to post a new issue in our GitHub repository. We always check each issue carefully and try our best to solve them.
 
 3. ModuleNotFoundError: No module named 'qlib.data._libs.rolling'
-------------------------------------------------------------------------------------------------------------------------------------
+-----------------------------------------------------------------
 
 .. code-block:: python
 
@@ -101,7 +101,7 @@ Also, feel free to post a new issue in our GitHub repository. We always check ea
 
 
 4. BadNamespaceError: / is not a connected namespace
-------------------------------------------------------------------------------------------------------------------------------------
+----------------------------------------------------
 
 .. code-block:: python
 
@@ -125,7 +125,7 @@ Also, feel free to post a new issue in our GitHub repository. We always check ea
 
 
 5. TypeError: send() got an unexpected keyword argument 'binary'
-------------------------------------------------------------------------------------------------------------------------------------
+----------------------------------------------------------------
 
 .. code-block:: python
 

docs/advanced/PIT.rst

@@ -1,8 +1,8 @@
 .. _pit:
 
-===========================
+============================
 (P)oint-(I)n-(T)ime Database
-===========================
+============================
 .. currentmodule:: qlib
 
 

docs/advanced/alpha.rst

@@ -1,12 +1,12 @@
 .. _alpha:
 
-===========================
+=========================
 Building Formulaic Alphas
-===========================
+=========================
 .. currentmodule:: qlib
 
 Introduction
-===================
+============
 
 In quantitative trading practice, designing novel factors that can explain and predict future asset returns are of vital importance to the profitability of a strategy. Such factors are usually called alpha factors, or alphas in short.
 
@@ -15,12 +15,12 @@ A formulaic alpha, as the name suggests, is a kind of alpha that can be presente
 
 
 Building Formulaic Alphas in ``Qlib``
-======================================
+=====================================
 
 In ``Qlib``, users can easily build formulaic alphas.
 
 Example
------------------
+-------
 
 `MACD`, short for moving average convergence/divergence, is a formulaic alpha used in technical analysis of stock prices. It is designed to reveal changes in the strength, direction, momentum, and duration of a trend in a stock's price.
 
@@ -79,7 +79,7 @@ Users can use ``Data Handler`` to build formulaic alphas `MACD` in qlib:
                SZ300315   -0.030557  0.012455
 
 Reference
-===========
+=========
 
 To learn more about ``Data Loader``, please refer to `Data Loader <../component/data.html#data-loader>`_
 

docs/advanced/serial.rst

@@ -1,16 +1,16 @@
 .. _serial:
 
-=================================
+=============
 Serialization
-=================================
+=============
 .. currentmodule:: qlib
 
 Introduction
-===================
+============
 ``Qlib`` supports dumping the state of ``DataHandler``, ``DataSet``, ``Processor`` and ``Model``, etc. into a disk and reloading them.
 
 Serializable Class
-========================
+==================
 
 ``Qlib`` provides a base class ``qlib.utils.serial.Serializable``, whose state can be dumped into or loaded from disk in `pickle` format.
 When users dump the state of a ``Serializable`` instance, the attributes of the instance whose name **does not** start with `_` will be saved on the disk.
@@ -19,7 +19,7 @@ However, users can use ``config`` method or override ``default_dump_all`` attrib
 Users can also override ``pickle_backend`` attribute to choose a pickle backend. The supported value is "pickle" (default and common) and "dill" (dump more things such as function, more information in `here <https://pypi.org/project/dill/>`_).
 
 Example
-==========================
+=======
 ``Qlib``'s serializable class includes  ``DataHandler``, ``DataSet``, ``Processor`` and ``Model``, etc., which are subclass of  ``qlib.utils.serial.Serializable``.
 Specifically, ``qlib.data.dataset.DatasetH`` is one of them. Users can serialize ``DatasetH`` as follows.
 
@@ -41,5 +41,5 @@ A more detailed example is in this `link <https://github.com/microsoft/qlib/tree
 
 
 API
-===================
+===
 Please refer to `Serializable API <../reference/api.html#module-qlib.utils.serial.Serializable>`_.

docs/advanced/server.rst

@@ -1,13 +1,13 @@
 .. _server:
 
-=================================
+=============================
 ``Online`` & ``Offline`` mode
-=================================
+=============================
 .. currentmodule:: qlib
 
 
 Introduction
-=============
+============
 
 ``Qlib`` supports ``Online`` mode and ``Offline`` mode. Only the ``Offline`` mode is introduced in this document.
 
@@ -18,12 +18,12 @@ The ``Online`` mode is designed to solve the following problems:
 - Make the data can be accessed in a remote way.
 
 Qlib-Server
-===============
+===========
 
 ``Qlib-Server`` is the assorted server system for ``Qlib``, which utilizes ``Qlib`` for basic calculations and provides extensive server system and cache mechanism. With QLibServer, the data provided for ``Qlib`` can be managed in a centralized manner. With ``Qlib-Server``, users can use ``Qlib`` in ``Online`` mode.
 
 
 
 Reference
-=================
+=========
 If users are interested in ``Qlib-Server`` and ``Online`` mode, please refer to `Qlib-Server Project <https://github.com/microsoft/qlib-server>`_ and `Qlib-Server Document <https://qlib-server.readthedocs.io/en/latest/>`_.

docs/advanced/task_management.rst

@@ -1,13 +1,13 @@
 .. _task_management:
 
-=================================
+===============
 Task Management
-=================================
+===============
 .. currentmodule:: qlib
 
 
 Introduction
-=============
+============
 
 The `Workflow <../component/introduction.html>`_ part introduces how to run research workflow in a loosely-coupled way. But it can only execute one ``task`` when you use ``qrun``.
 To automatically generate and execute different tasks, ``Task Management`` provides a whole process including `Task Generating`_, `Task Storing`_, `Task Training`_ and `Task Collecting`_. 
@@ -36,7 +36,7 @@ Here is the base class of ``TaskGen``:
 This class allows users to verify the effect of data from different periods on the model in one experiment. More information is `here <../reference/api.html#TaskGen>`_.
 
 Task Storing
-===============
+============
 To achieve higher efficiency and the possibility of cluster operation, ``Task Manager`` will store all tasks in `MongoDB <https://www.mongodb.com/>`_.
 ``TaskManager`` can fetch undone tasks automatically and manage the lifecycle of a set of tasks with error handling.
 Users **MUST** finish the configuration of `MongoDB <https://www.mongodb.com/>`_ when using this module.
@@ -57,7 +57,7 @@ Users need to provide the MongoDB URL and database name for using ``TaskManager`
 More information of ``Task Manager`` can be found in `here <../reference/api.html#TaskManager>`_.
 
 Task Training
-===============
+=============
 After generating and storing those ``task``, it's time to run the ``task`` which is in the *WAITING* status.
 ``Qlib`` provides a method called ``run_task`` to run those ``task`` in task pool, however, users can also customize how tasks are executed.
 An easy way to get the ``task_func`` is using ``qlib.model.trainer.task_train`` directly.

docs/changelog/changelog.rst

@@ -1,2 +1 @@
 .. include:: ../../CHANGES.rst
-	     

docs/component/data.rst

@@ -1,11 +1,11 @@
 .. _data:
 
-================================
+==================================
 Data Layer: Data Framework & Usage
-================================
+==================================
 
 Introduction
-============================
+============
 
 ``Data Layer`` provides user-friendly APIs to manage and retrieve data. It provides high-performance data infrastructure.
 
@@ -29,10 +29,10 @@ Here is a typical example of Qlib data workflow
 - At last, `Dataset <https://qlib.readthedocs.io/en/latest/component/data.html#dataset>`_ is responsible to prepare model-specific dataset from the processed data of Data Handler
 
 Data Preparation
-============================
+================
 
 Qlib Format Data
-------------------
+----------------
 
 We've specially designed a data structure to manage financial data, please refer to the `File storage design section in Qlib paper <https://arxiv.org/abs/2009.11189>`_ for detailed information.
 Such data will be stored with filename suffix `.bin` (We'll call them `.bin` file, `.bin` format, or qlib format). `.bin` file is designed for scientific computing on finance data.
@@ -50,11 +50,16 @@ Alpha158                  √                  √
 Also, ``Qlib`` provides a high-frequency dataset. Users can run a high-frequency dataset example through this `link <https://github.com/microsoft/qlib/tree/main/examples/highfreq>`_.
 
 Qlib Format Dataset
---------------------
+-------------------
-``Qlib`` has provided an off-the-shelf dataset in `.bin` format, users could use the script ``scripts/get_data.py`` to download the China-Stock dataset as follows.
+``Qlib`` has provided an off-the-shelf dataset in `.bin` format, users could use the script ``scripts/get_data.py`` to download the China-Stock dataset as follows. User can also use numpy to load `.bin` file to validate data.
 The price volume data look different from the actual dealling price because of they are **adjusted** (`adjusted price <https://www.investopedia.com/terms/a/adjusted_closing_price.asp>`_).  And then you may find that the adjusted price may be different from different data sources. This is because different data sources may vary in the way of adjusting prices. Qlib normalize the price on first trading day of each stock to 1 when adjusting them.
 Users can leverage `$factor` to get the original trading price (e.g. `$close / $factor` to get the original close price).
 
+Here are some discussions about the price adjusting of Qlib. 
+
+- https://github.com/microsoft/qlib/issues/991#issuecomment-1075252402
+
+
 .. code-block:: bash
 
     # download 1d
@@ -104,7 +109,7 @@ Automatic update of daily frequency data
 
 
 Converting CSV Format into Qlib Format
--------------------------------------------
+--------------------------------------
 
 ``Qlib`` has provided the script ``scripts/dump_bin.py`` to convert **any** data in CSV format into `.bin` files (``Qlib`` format) as long as they are in the correct format.
 
@@ -190,7 +195,7 @@ After conversion, users can find their Qlib format data in the directory `~/.qli
     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.
 
 Stock Pool (Market)
---------------------------------
+-------------------
 
 ``Qlib`` defines `stock pool <https://github.com/microsoft/qlib/blob/main/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml#L4>`_ as stock list and their date ranges. Predefined stock pools (e.g. csi300) may be imported as follows.
 
@@ -200,7 +205,7 @@ Stock Pool (Market)
 
 
 Multiple Stock Modes
---------------------------------
+--------------------
 
 ``Qlib`` now provides two different stock modes for users: China-Stock Mode & US-Stock Mode. Here are some different settings of these two modes:
 
@@ -242,14 +247,14 @@ The `trade unit` defines the unit number of stocks can be used in a trade, and t
 
 
 Data API
-========================
+========
 
 Data Retrieval
----------------
+--------------
 Users can use APIs in ``qlib.data`` to retrieve data, please refer to `Data Retrieval <../start/getdata.html>`_.
 
 Feature
-------------------
+-------
 
 ``Qlib`` provides `Feature` and `ExpressionOps` to fetch the features according to users' needs.
 
@@ -264,7 +269,7 @@ Feature
 To know more about  ``Feature``, please refer to `Feature API <../reference/api.html#module-qlib.data.base>`_.
 
 Filter
--------------------
+------
 ``Qlib`` provides `NameDFilter` and `ExpressionDFilter` to filter the instruments according to users' needs.
 
 - `NameDFilter`
@@ -299,29 +304,29 @@ Here is a simple example showing how to use filter in a basic ``Qlib`` workflow
 To know more about ``Filter``, please refer to `Filter API <../reference/api.html#module-qlib.data.filter>`_.
 
 Reference
--------------
+---------
 
 To know more about ``Data API``, please refer to `Data API <../reference/api.html#data>`_.
 
 
 Data Loader
-=================
+===========
 
 ``Data Loader`` in ``Qlib`` is designed to load raw data from the original data source. It will be loaded and used in the ``Data Handler`` module.
 
 QlibDataLoader
----------------
+--------------
 
 The ``QlibDataLoader`` class in ``Qlib`` is such an interface that allows users to load raw data from the ``Qlib`` data source.
 
 StaticDataLoader
----------------
+----------------
 
 The ``StaticDataLoader`` class in ``Qlib`` is such an interface that allows users to load raw data from file or as provided.
 
 
 Interface
-------------
+---------
 
 Here are some interfaces of the ``QlibDataLoader`` class:
 
@@ -329,20 +334,20 @@ Here are some interfaces of the ``QlibDataLoader`` class:
     :members:
 
 API
------------
+---
 
 To know more about ``Data Loader``, please refer to `Data Loader API <../reference/api.html#module-qlib.data.dataset.loader>`_.
 
 
 Data Handler
-=================
+============
 
 The ``Data Handler`` module in ``Qlib`` is designed to handler those common data processing methods which will be used by most of the models.
 
 Users can use ``Data Handler`` in an automatic workflow by ``qrun``, refer to `Workflow: Workflow Management <workflow.html>`_ for more details.
 
 DataHandlerLP
---------------
+-------------
 
 In addition to use ``Data Handler`` in an automatic workflow with ``qrun``, ``Data Handler`` can be used as an independent module, by which users can easily preprocess data (standardization, remove NaN, etc.) and build datasets.
 
@@ -350,7 +355,7 @@ In order to achieve so, ``Qlib`` provides a base class `qlib.data.dataset.DataHa
 
 
 Interface
-----------------------
+---------
 
 Here are some important interfaces that ``DataHandlerLP`` provides:
 
@@ -364,7 +369,7 @@ Also, users can pass ``qlib.contrib.data.processor.ConfigSectionProcessor`` that
 
 
 Processor
-----------
+---------
 
 The ``Processor`` module in ``Qlib`` is designed to be learnable and it is responsible for handling data processing such as `normalization` and `drop none/nan features/labels`.
 
@@ -387,7 +392,7 @@ Users can also create their own `processor` by inheriting the base class of ``Pr
 To know more about ``Processor``, please refer to `Processor API <../reference/api.html#module-qlib.data.dataset.processor>`_.
 
 Example
---------------
+-------
 
 ``Data Handler`` can be run with ``qrun`` by modifying the configuration file, and can also be used as a single module.
 
@@ -427,13 +432,13 @@ Qlib provides implemented data handler `Alpha158`. The following example shows h
 .. note:: In the ``Alpha158``, ``Qlib`` uses the label `Ref($close, -2)/Ref($close, -1) - 1` that means the change from T+1 to T+2, rather than `Ref($close, -1)/$close - 1`, of which the reason is that when getting the T day close price of a china stock, the stock can be bought on T+1 day and sold on T+2 day.
 
 API
----------
+---
 
 To know more about ``Data Handler``, please refer to `Data Handler API <../reference/api.html#module-qlib.data.dataset.handler>`_.
 
 
 Dataset
-=================
+=======
 
 The ``Dataset`` module in ``Qlib`` aims to prepare data for model training and inferencing.
 
@@ -448,18 +453,18 @@ The ``DatasetH`` class is the `dataset` with `Data Handler`. Here is the most im
     :members:
 
 API
----------
+---
 
 To know more about ``Dataset``, please refer to `Dataset API <../reference/api.html#dataset>`_.
 
 
 Cache
-==========
+=====
 
 ``Cache`` is an optional module that helps accelerate providing data by saving some frequently-used data as cache file. ``Qlib`` provides a `Memcache` class to cache the most-frequently-used data in memory, an inheritable `ExpressionCache` class, and an inheritable `DatasetCache` class.
 
 Global Memory Cache
----------------------
+-------------------
 
 `Memcache` is a global memory cache mechanism that composes of three `MemCacheUnit` instances to cache **Calendar**, **Instruments**, and **Features**. The `MemCache` is defined globally in `cache.py` as `H`. Users can use `H['c'], H['i'], H['f']` to get/set `memcache`.
 
@@ -471,7 +476,7 @@ Global Memory Cache
 
 
 ExpressionCache
------------------
+---------------
 
 `ExpressionCache` is a cache mechanism that saves expressions such as **Mean($close, 5)**. Users can inherit this base class to define their own cache mechanism that saves expressions according to the following steps.
 
@@ -486,7 +491,7 @@ The following shows the details about the interfaces:
 ``Qlib`` has currently provided implemented disk cache `DiskExpressionCache` which inherits from `ExpressionCache` . The expressions data will be stored in the disk.
 
 DatasetCache
------------------
+------------
 
 `DatasetCache` is a cache mechanism that saves datasets. A certain dataset is regulated by a stock pool configuration (or a series of instruments, though not recommended), a list of expressions or static feature fields, the start time, and end time for the collected features and the frequency. Users can inherit this base class to define their own cache mechanism that saves datasets according to the following steps.
 
@@ -503,7 +508,7 @@ The following shows the details about the interfaces:
 
 
 Data and Cache File Structure
-==================================
+=============================
 
 We've specially designed a file structure to manage data and cache, please refer to the `File storage design section in Qlib paper <https://arxiv.org/abs/2009.11189>`_ for detailed information. The file structure of data and cache is listed as follows.
 
@@ -536,4 +541,3 @@ We've specially designed a file structure to manage data and cache, please refer
                 - .meta : an assorted meta file recording the stockpool config, field names and visit times
                 - .index : an assorted index file recording the line index of all calendars
             - ...
-

docs/component/highfreq.rst

@@ -1,12 +1,12 @@
 .. _highfreq:
 
-============================================
+========================================================================
 Design of Nested Decision Execution Framework for High-Frequency Trading
-============================================
+========================================================================
 .. currentmodule:: qlib
 
 Introduction
-===================
+============
 
 Daily trading (e.g. portfolio management) and intraday trading (e.g. orders execution) are two hot topics in Quant investment and usually studied separately.
 
@@ -26,7 +26,7 @@ The design of the framework is shown in the yellow part in the middle of the fig
 The frequency of 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 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 trading algorithm.
 
 Example
-===========================
+=======
 
 An example of nested decision execution framework for high-frequency can be found `here <https://github.com/microsoft/qlib/blob/main/examples/nested_decision_execution/workflow.py>`_.
 

docs/component/meta.rst

@@ -1,17 +1,17 @@
 .. _meta:
 
-=================================
+======================================================
 Meta Controller: Meta-Task & Meta-Dataset & Meta-Model
-=================================
+======================================================
 .. currentmodule:: qlib
 
 
 Introduction
-=============
+============
 ``Meta Controller`` provides guidance to ``Forecast Model``, which aims to learn regular patterns among a series of forecasting tasks and use learned patterns to guide forthcoming forecasting tasks. Users can implement their own meta-model instance based on ``Meta Controller`` module.
 
 Meta Task
-=============
+=========
 
 A `Meta Task` instance is the basic element in the meta-learning framework. It saves the data that can be used for the `Meta Model`. Multiple `Meta Task` instances may share the same `Data Handler`, controlled by `Meta Dataset`. Users should use `prepare_task_data()` to obtain the data that can be directly fed into the `Meta Model`.
 
@@ -19,7 +19,7 @@ A `Meta Task` instance is the basic element in the meta-learning framework. It s
     :members:
 
 Meta Dataset
-=============
+============
 
 `Meta Dataset` controls the meta-information generating process. It is on the duty of providing data for training the `Meta Model`. Users should use `prepare_tasks` to retrieve a list of `Meta Task` instances.
 
@@ -27,7 +27,7 @@ Meta Dataset
     :members:
 
 Meta Model
-=============
+==========
 
 General Meta Model
 ------------------
@@ -39,14 +39,14 @@ General Meta Model
     :members:
 
 Meta Task Model
-------------------
+---------------
 This type of meta-model may interact with task definitions directly. Then, the `Meta Task Model` is the class for them to inherit from. They guide the base tasks by modifying the base task definitions. The function `prepare_tasks` can be used to obtain the modified base task definitions.
 
 .. autoclass:: qlib.model.meta.model.MetaTaskModel
     :members:
 
 Meta Guide Model
-------------------
+----------------
 This type of meta-model participates in the training process of the base forecasting model. The meta-model may guide the base forecasting models during their training to improve their performances.
 
 .. autoclass:: qlib.model.meta.model.MetaGuideModel
@@ -54,7 +54,7 @@ This type of meta-model participates in the training process of the base forecas
 
 
 Example
-=============
+=======
 ``Qlib`` provides an implementation of ``Meta Model`` module, ``DDG-DA``,
 which adapts to the market dynamics.
 

docs/component/model.rst

@@ -1,11 +1,11 @@
 .. _model:
 
-============================================
+===========================================
 Forecast Model: Model Training & Prediction
-============================================
+===========================================
 
 Introduction
-===================
+============
 
 ``Forecast Model`` is designed to make the `prediction score` about stocks. Users can use the ``Forecast Model`` in an automatic workflow by ``qrun``, please refer to `Workflow: Workflow Management <workflow.html>`_.
 
@@ -26,7 +26,7 @@ The base class provides the following interfaces:
 For other interfaces such as `finetune`, please refer to `Model API <../reference/api.html#module-qlib.model.base>`_.
 
 Example
-==================
+=======
 
 ``Qlib``'s `Model Zoo` includes models such as ``LightGBM``, ``MLP``, ``LSTM``, etc.. These models are treated as the baselines of ``Forecast Model``. The following steps show how to run`` LightGBM`` as an independent module.
 
@@ -111,11 +111,11 @@ By default, the meaning of the score is normally the rating of the instruments b
 
 
 Custom Model
-===================
+============
 
 Qlib supports custom models. If users are interested in customizing their own models and integrating the models into ``Qlib``, please refer to `Custom Model Integration <../start/integration.html>`_.
 
 
 API
-===================
+===
 Please refer to `Model API <../reference/api.html#module-qlib.model.base>`_.

docs/component/online.rst

@@ -1,13 +1,13 @@
 .. _online:
 
-=================================
+==============
 Online Serving
-=================================
+==============
 .. currentmodule:: qlib
 
 
 Introduction
-=============
+============
 
 .. image:: ../_static/img/online_serving.png
     :align: center
@@ -28,25 +28,25 @@ Known limitations currently
 
 
 Online Manager
-=============
+==============
 
 .. automodule:: qlib.workflow.online.manager
     :members:
 
 Online Strategy
-=============
+===============
 
 .. automodule:: qlib.workflow.online.strategy
     :members:
 
 Online Tool
-=============
+===========
 
 .. automodule:: qlib.workflow.online.utils
     :members:
 
 Updater
-=============
+=======
 
 .. automodule:: qlib.workflow.online.update
     :members:

docs/component/recorder.rst

@@ -6,7 +6,7 @@ Qlib Recorder: Experiment Management
 .. currentmodule:: qlib
 
 Introduction
-===================
+============
 ``Qlib`` contains an experiment management system named ``QlibRecorder``, which is designed to help users handle experiment and analyse results in an efficient way.
 
 There are three components of the system:
@@ -40,7 +40,7 @@ This experiment management system defines a set of interface and provided a conc
 If users set the implementation of ``ExpManager`` to be ``MLflowExpManager``, they can use the command `mlflow ui` to visualize and check the experiment results. For more information, please refer to the related documents `here <https://www.mlflow.org/docs/latest/cli.html#mlflow-ui>`_.
 
 Qlib Recorder
-===================
+=============
 ``QlibRecorder`` provides a high level API for users to use the experiment management system. The interfaces are wrapped in the variable ``R`` in ``Qlib``, and users can directly use ``R`` to interact with the system. The following command shows how to import ``R`` in Python:
 
 .. code-block:: Python
@@ -55,7 +55,7 @@ Here are the available interfaces of ``QlibRecorder``:
     :members:
 
 Experiment Manager
-===================
+==================
 
 The ``ExpManager`` module in ``Qlib`` is responsible for managing different experiments. Most of the APIs of ``ExpManager`` are similar to ``QlibRecorder``, and the most important API will be the ``get_exp`` method. User can directly refer to the documents above for some detailed information about how to use the ``get_exp`` method.
 
@@ -65,7 +65,7 @@ The ``ExpManager`` module in ``Qlib`` is responsible for managing different expe
 For other interfaces such as `create_exp`, `delete_exp`, please refer to `Experiment Manager API <../reference/api.html#experiment-manager>`_.
 
 Experiment
-===================
+==========
 
 The ``Experiment`` class is solely responsible for a single experiment, and it will handle any operations that are related to an experiment. Basic methods such as `start`, `end` an experiment are included. Besides, methods related to `recorders` are also available: such methods include `get_recorder` and `list_recorders`.
 
@@ -77,7 +77,7 @@ For other interfaces such as `search_records`, `delete_recorder`, please refer t
 ``Qlib`` also provides a default ``Experiment``, which will be created and used under certain situations when users use the APIs such as `log_metrics` or `get_exp`. If the default ``Experiment`` is used, there will be related logged information when running ``Qlib``. Users are able to change the name of the default ``Experiment`` in the config file of ``Qlib`` or during ``Qlib``'s `initialization <../start/initialization.html#parameters>`_, which is set to be '`Experiment`'.
 
 Recorder
-===================
+========
 
 The ``Recorder`` class is responsible for a single recorder. It will handle some detailed operations such as ``log_metrics``, ``log_params`` of a single run. It is designed to help user to easily track results and things being generated during a run.
 
@@ -89,7 +89,7 @@ Here are some important APIs that are not included in the ``QlibRecorder``:
 For other interfaces such as `save_objects`, `load_object`, please refer to `Recorder API <../reference/api.html#recorder>`_.
 
 Record Template
-===================
+===============
 
 The ``RecordTemp`` class is a class that enables generate experiment results such as IC and backtest in a certain format. We have provided three different `Record Template` class:
 

docs/component/report.rst

@@ -1,11 +1,11 @@
 .. _report:
 
-==========================================
+=======================================
 Analysis: Evaluation & Results Analysis
-==========================================
+=======================================
 
 Introduction
-===================
+============
 
 ``Analysis`` is designed to show the graphical reports of ``Intraday Trading`` , which helps users to evaluate and analyse investment portfolios visually. The following are some graphics to view:
 
@@ -24,7 +24,7 @@ All of the accumulated profit metrics(e.g. return, max drawdown) in Qlib are cal
 This avoids the metrics or the plots being skewed exponentially over time.
 
 Graphical Reports
-===================
+=================
 
 Users can run the following code to get all supported reports.
 
@@ -41,13 +41,13 @@ Users can run the following code to get all supported reports.
 
 
 Usage & Example
-===================
+===============
 
 Usage of `analysis_position.report`
 -----------------------------------
 
 API
-~~~~~~~~~~~~~~~~
+~~~
 
 .. automodule:: qlib.contrib.report.analysis_position.report
     :members:
@@ -89,14 +89,14 @@ Usage of `analysis_position.score_ic`
 -------------------------------------
 
 API
-~~~~~~~~~~~~~~~~
+~~~
 
 .. automodule:: qlib.contrib.report.analysis_position.score_ic
     :members:
 
 
 Graphical Result
-~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~~~~~~
 
 .. note::
 
@@ -144,17 +144,17 @@ Graphical Result
 
 
 Usage of `analysis_position.risk_analysis`
-----------------------------------------------
+------------------------------------------
 
 API
-~~~~~~~~~~~~~~~~
+~~~
 
 .. automodule:: qlib.contrib.report.analysis_position.risk_analysis
     :members:
 
 
 Graphical Result
-~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~~~~~~
 
 .. note::
 
@@ -226,17 +226,17 @@ Graphical Result
 
 ..
 .. Usage of `analysis_position.rank_label`
-.. ----------------------------------------------
+.. ---------------------------------------
 ..
 .. API
-.. ~~~~~
+.. ~~~
 ..
 .. .. automodule:: qlib.contrib.report.analysis_position.rank_label
 ..     :members:
 ..
 ..
 .. Graphical Result
-.. ~~~~~~~~~~~~~~~~~
+.. ~~~~~~~~~~~~~~~~
 ..
 .. .. note::
 ..
@@ -262,17 +262,17 @@ Graphical Result
 ..
 
 Usage of `analysis_model.analysis_model_performance`
------------------------------------------------------
+----------------------------------------------------
 
 API
-~~~~~
+~~~
 
 .. automodule:: qlib.contrib.report.analysis_model.analysis_model_performance
     :members:
 
 
 Graphical Results
-~~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~~~~~~~
 
 .. note::
 

docs/component/strategy.rst

@@ -6,7 +6,7 @@ Portfolio Strategy: Portfolio Management
 .. currentmodule:: qlib
 
 Introduction
-===================
+============
 
 ``Portfolio Strategy`` is designed to adopt different portfolio strategies, which means that users can adopt different algorithms to generate investment portfolios based on the prediction scores of the ``Forecast Model``. Users can use the ``Portfolio Strategy`` in an automatic workflow by ``Workflow`` module, please refer to `Workflow: Workflow Management <workflow.html>`_.
 
@@ -20,7 +20,7 @@ Base Class & Interface
 ======================
 
 BaseStrategy
-------------------
+------------
 
 Qlib provides a base class ``qlib.strategy.base.BaseStrategy``. All strategy classes need to inherit the base class and implement its interface.
 
@@ -32,7 +32,7 @@ Qlib provides a base class ``qlib.strategy.base.BaseStrategy``. All strategy cla
 Users can inherit `BaseStrategy` to customize their strategy class.
 
 WeightStrategyBase
---------------------
+------------------
 
 Qlib also provides a class ``qlib.contrib.strategy.WeightStrategyBase`` that is a subclass of `BaseStrategy`.
 
@@ -60,13 +60,13 @@ Implemented Strategy
 Qlib provides a implemented strategy classes named `TopkDropoutStrategy`.
 
 TopkDropoutStrategy
-------------------
+-------------------
 `TopkDropoutStrategy` is a subclass of `BaseStrategy` and implement the interface `generate_order_list` whose process is as follows.
 
 - Adopt the ``Topk-Drop`` algorithm to calculate the target amount of each stock
 
     .. note::
-        There are two parameters for the ``Topk-Drop`` algorithm：
+        There are two parameters for the ``Topk-Drop`` algorithm:
 
         - `Topk`: The number of stocks held
         - `Drop`: The number of stocks sold on each trading day
@@ -98,12 +98,12 @@ and `qlib.contrib.strategy.optimizer.enhanced_indexing.EnhancedIndexingOptimizer
 
 
 Usage & Example
-====================
+===============
 
 First, user can create a model to get trading signals(the variable name is ``pred_score`` in following cases).
 
 Prediction Score
------------------
+----------------
 
 The `prediction score` is a pandas DataFrame. Its index is <datetime(pd.Timestamp), instrument(str)> and it must
 contains a `score` column.
@@ -134,7 +134,7 @@ Qlib didn't add a step to scale the prediction score to a unified scale due to t
 - The model has the flexibility to define the target, loss, and data processing. So we don't think there is a silver bullet to rescale it back directly barely based on the model's outputs. If you want to scale it back to some meaningful values(e.g. stock returns.), an intuitive solution is to create a regression model for the model's recent outputs and your recent target values.
 
 Running backtest
------------------
+----------------
 
 - In most cases, users could backtest their portfolio management strategy  with ``backtest_daily``.
 
@@ -262,7 +262,7 @@ Running backtest
 
 
 Result
-------------------
+------
 
 The backtest results are in the following form:
 
@@ -307,5 +307,5 @@ The backtest results are in the following form:
 
 
 Reference
-===================
+=========
 To know more about the `prediction score` `pred_score` output by ``Forecast Model``, please refer to `Forecast Model: Model Training & Prediction <model.html>`_.

docs/component/workflow.rst

@@ -1,12 +1,12 @@
 .. _workflow:
 
-=================================
+=============================
 Workflow: Workflow Management
-=================================
+=============================
 .. currentmodule:: qlib
 
 Introduction
-===================
+============
 
 The components in `Qlib Framework <../introduction/introduction.html#framework>`_ are designed in a loosely-coupled way. Users could build their own Quant research workflow with these components like `Example <https://github.com/microsoft/qlib/blob/main/examples/workflow_by_code.py>`_.
 
@@ -28,7 +28,7 @@ With ``qrun``, user can easily start an `execution`, which includes the followin
 For each `execution`, ``Qlib`` has a complete system to tracking all the information as well as artifacts generated during training, inference and evaluation phase. For more information about how ``Qlib`` handles this, please refer to the related document: `Recorder: Experiment Management <../component/recorder.html>`_.
 
 Complete Example
-===================
+================
 
 Before getting into details, here is a complete example of ``qrun``, which defines the workflow in typical Quant research.
 Below is a typical config file of ``qrun``.
@@ -121,7 +121,7 @@ If users want to use ``qrun`` under debug mode, please use the following command
 
 
 Configuration File
-===================
+==================
 
 Let's get into details of ``qrun`` in this section.
 Before using ``qrun``, users need to prepare a configuration file. The following content shows how to prepare each part of the configuration file.
@@ -166,7 +166,7 @@ For example, the following yaml and code are equivalent.
 
 
 Qlib Init Section
---------------------
+-----------------
 
 At first, the configuration file needs to contain several basic parameters which will be used for qlib initialization.
 
@@ -190,12 +190,12 @@ The meaning of each field is as follows:
 
 
 Task Section
---------------------
+------------
 
 The `task` field in the configuration corresponds to a `task`, which contains the parameters of three different subsections: `Model`, `Dataset` and `Record`.
 
 Model Section
-~~~~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~~~
 
 In the `task` field, the `model` section describes the parameters of the model to be used for training and inference. For more information about the base ``Model`` class, please refer to `Qlib Model <../component/model.html>`_.
 
@@ -231,7 +231,7 @@ The meaning of each field is as follows:
     ``Qlib`` provides a util named: ``init_instance_by_config`` to initialize any class inside ``Qlib`` with the configuration includes the fields: `class`, `module_path` and `kwargs`.
 
 Dataset Section
-~~~~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~~~~~
 
 The `dataset` field describes the parameters for the ``Dataset`` module in ``Qlib`` as well those for the module ``DataHandler``. For more information about the ``Dataset`` module, please refer to `Qlib Data <../component/data.html#dataset>`_.
 
@@ -266,7 +266,7 @@ Here is the configuration for the ``Dataset`` module which will take care of dat
                 test: [2017-01-01, 2020-08-01]
 
 Record Section
-~~~~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~~~~
 
 The `record` field is about the parameters the ``Record`` module in ``Qlib``. ``Record`` is responsible for tracking training process and results such as `information Coefficient (IC)` and `backtest` in a standard format.
 

docs/developer/code_standard_and_dev_guide.rst

@@ -1,15 +1,15 @@
 .. _code_standard:
 
-=================================
+=============
 Code Standard
-=================================
+=============
 
 Docstring
-=================================
+=========
 Please use the `Numpydoc Style <https://stackoverflow.com/a/24385103>`_.
 
 Continuous Integration
-=================================
+======================
 Continuous Integration (CI) tools help you stick to the quality standards by running tests every time you push a new commit and reporting the results to a pull request.
 
 When you submit a PR request, you can check whether your code passes the CI tests in the "check" section at the bottom of the web page.
@@ -46,3 +46,15 @@ When you submit a PR request, you can check whether your code passes the CI test
 
     pip install -e .[dev]
     pre-commit install
+
+
+=================================
+Development Guidance
+=================================
+
+As a developer, you often want make changes to `Qlib` and hope it would reflect directly in your environment without reinstalling it. You can install `Qlib` in editable mode with following command.
+The `[dev]` option will help you to install some related packages when developing `Qlib` (e.g. pytest, sphinx)
+
+.. code-block:: bash
+
+    pip install -e .[dev]

docs/hidden/client.rst

@@ -1,12 +1,12 @@
 .. _client:
 
 Qlib Client-Server Framework
-===================
+============================
 
 .. currentmodule:: qlib
 
 Introduction
------------
+------------
 Client-Server is designed to solve following  problems
 
 - Manage the data in a centralized way. Users don't have to manage data of different versions.
@@ -159,13 +159,11 @@ Limitations
 2. The rolling operation expression with parameter `0` can not be updated rightly under mechanism of the client-server framework.
 
 API
-********************
+***
 
 The client is based on `python-socketio<https://python-socketio.readthedocs.io>`_ which is a framework that supports WebSocket client for Python language. The client can only propose requests and receive results, which do not include any calculating procedure.
 
 Class
---------------------
+-----
 
 .. automodule:: qlib.data.client
-
-

docs/hidden/online.rst

@@ -1,11 +1,11 @@
 .. _online:
 
 Online
-===================
+======
 .. currentmodule:: qlib
 
 Introduction
--------------------
+------------
 
 Welcome to use Online, this module simulates what will be like if we do the real trading use our model and strategy.
 
@@ -31,7 +31,7 @@ The file structure can be viewed at fileStruct_.
 
 
 Example
--------------------
+-------
 
 Let's take an example,
 
@@ -93,7 +93,7 @@ If Your account was saved in "./user_data/", you can see the performance of your
 Here 'SH000905' represents csi500 and 'SH000300' represents csi300
 
 Manage your account
---------------------
+-------------------
 
 Any account processed by `online` should be saved in a folder. you can use commands
 defined to manage your accounts.
@@ -161,7 +161,7 @@ be called at each trading date.
         >> online update -date 2019-10-16 -path ./user_data/
 
 API
-------------------
+---
 
 All those operations are based on defined in `qlib.contrib.online.operator`
 
@@ -170,7 +170,7 @@ All those operations are based on defined in `qlib.contrib.online.operator`
 .. _fileStruct:
 
 File structure
-------------------
+--------------
 
 'user_data' indicates the root of folder.
 Name that bold indicates it’s a folder, otherwise it’s a document.
@@ -214,7 +214,7 @@ Configuration file
 The configure file used in `online` should contain the model and strategy information.
 
 About the model
-~~~~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~~~~~
 
 First, your configuration file needs to have a field about the model,
 this field and its contents determine the model we used when generating score at predict date.
@@ -243,7 +243,7 @@ contains 2 methods used in `online` module.
 
 
 About the strategy
-~~~~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~~~~~~~~
 
 Your need define the strategy used to generate the order list at predict date.
 
@@ -259,7 +259,7 @@ Followings are two examples for a TopkAmountStrategy
             n_drop: 10
 
 Generated files
-------------------
+---------------
 
 The 'online_generate' command will create the order list at {folder_path}/{user_id}/temp/,
 the name of that is orderlist_{YYYY-MM-DD}.json, YYYY-MM-DD is the date that those orders to be executed.

docs/hidden/tuner.rst

@@ -1,11 +1,11 @@
 .. _tuner:
 
 Tuner
-===================
+=====
 .. currentmodule:: qlib
 
 Introduction
--------------------
+------------
 
 Welcome to use Tuner, this document is based on that you can use Estimator proficiently and correctly.
 
@@ -322,4 +322,3 @@ What we save are as following:
 - Local optimal parameters of each tuner
 - Config file of this `tuner` experiment
 - Every `estimator` experiments result in the process
-

docs/index.rst

@@ -1,6 +1,6 @@
-============================================================
+======================
 ``Qlib`` Documentation
-============================================================
+======================
 
 ``Qlib`` is an AI-oriented quantitative investment platform, which aims to realize the potential, empower the research, and create the value of AI technologies in quantitative investment.
 

docs/introduction/introduction.rst

@@ -3,7 +3,7 @@
 ===============================
 
 Introduction
-===================
+============
 
 .. image:: ../_static/img/logo/white_bg_rec+word.png
     :align: center
@@ -13,7 +13,7 @@ Introduction
 With ``Qlib``, users can easily try their ideas to create better Quant investment strategies.
 
 Framework
-===================
+=========
 
 .. image:: ../_static/img/framework.svg
     :align: center

docs/introduction/quick.rst

@@ -1,10 +1,10 @@
 
-===============================
+===========
 Quick Start
-===============================
+===========
 
 Introduction
-==============
+============
 
 This ``Quick Start`` guide tries to demonstrate
 
@@ -14,7 +14,7 @@ This ``Quick Start`` guide tries to demonstrate
 
 
 Installation
-==================
+============
 
 Users can easily intsall ``Qlib`` according to the following steps:
 
@@ -34,7 +34,7 @@ Users can easily intsall ``Qlib`` according to the following steps:
 To known more about `installation`, please refer to `Qlib Installation <../start/installation.html>`_.
 
 Prepare Data
-==============
+============
 
 Load and prepare data by running the following code:
 
@@ -47,7 +47,7 @@ This dataset is created by public data collected by crawler scripts in ``scripts
 To known more about `prepare data`, please refer to `Data Preparation <../component/data.html#data-preparation>`_.
 
 Auto Quant Research Workflow
-====================================
+============================
 
 ``Qlib`` provides a tool named ``qrun`` to run the whole workflow automatically (including building dataset, training models, backtest and evaluation). Users can start an auto quant research workflow and have a graphical reports analysis according to the following steps:
 
@@ -89,6 +89,6 @@ Auto Quant Research Workflow
 
 
 Custom Model Integration
-===============================================
+========================
 
 ``Qlib`` provides a batch of models (such as ``lightGBM`` and ``MLP`` models) as examples of ``Forecast Model``. In addition to the default model, users can integrate their own custom models into ``Qlib``. If users are interested in the custom model, please refer to `Custom Model Integration <../start/integration.html>`_.

docs/make.bat

@@ -0,0 +1,35 @@
+@ECHO OFF
+
+pushd %~dp0
+
+REM Command file for Sphinx documentation
+
+if "%SPHINXBUILD%" == "" (
+	set SPHINXBUILD=sphinx-build
+)
+set SOURCEDIR=.
+set BUILDDIR=_build
+
+%SPHINXBUILD% >NUL 2>NUL
+if errorlevel 9009 (
+	echo.
+	echo.The 'sphinx-build' command was not found. Make sure you have Sphinx
+	echo.installed, then set the SPHINXBUILD environment variable to point
+	echo.to the full path of the 'sphinx-build' executable. Alternatively you
+	echo.may add the Sphinx directory to PATH.
+	echo.
+	echo.If you don't have Sphinx installed, grab it from
+	echo.https://www.sphinx-doc.org/
+	exit /b 1
+)
+
+if "%1" == "" goto help
+
+%SPHINXBUILD% -M %1 %SOURCEDIR% %BUILDDIR% %SPHINXOPTS% %O%
+goto end
+
+:help
+%SPHINXBUILD% -M help %SOURCEDIR% %BUILDDIR% %SPHINXOPTS% %O%
+
+:end
+popd

docs/reference/api.rst

@@ -1,7 +1,7 @@
 .. _api:
-================================
+=============
 API Reference
-================================
+=============
 
 
 
@@ -9,32 +9,32 @@ Here you can find all ``Qlib`` interfaces.
 
 
 Data
-====================
+====
 
 Provider
---------------------
+--------
 
 .. automodule:: qlib.data.data
     :members:
 
 Filter
---------------------
+------
 
 .. automodule:: qlib.data.filter
     :members:
 
 Class
---------------------
+-----
 .. automodule:: qlib.data.base
     :members:
 
 Operator
---------------------
+--------
 .. automodule:: qlib.data.ops
     :members:
 
 Cache
-----------------
+-----
 .. autoclass:: qlib.data.cache.MemCacheUnit
     :members:
 
@@ -55,7 +55,7 @@ Cache
 
 
 Storage
--------------
+-------
 .. autoclass:: qlib.data.storage.storage.BaseStorage
     :members:
 
@@ -82,52 +82,52 @@ Storage
 
 
 Dataset
----------------
+-------
 
 Dataset Class
-~~~~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~~~
 .. automodule:: qlib.data.dataset.__init__
     :members:
 
 Data Loader
-~~~~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~
 .. automodule:: qlib.data.dataset.loader
     :members:
 
 Data Handler
-~~~~~~~~~~~~~~~~~~~~
+~~~~~~~~~~~~
 .. automodule:: qlib.data.dataset.handler
     :members:
 
 Processor
-~~~~~~~~~~~~~~~~~~~~
+~~~~~~~~~
 .. automodule:: qlib.data.dataset.processor
     :members:
 
 
 Contrib
-====================
+=======
 
 Model
---------------------
+-----
 .. automodule:: qlib.model.base
     :members:
 
 Strategy
--------------------
+--------
 
 .. automodule:: qlib.contrib.strategy.strategy
     :members:
 
 Evaluate
------------------
+--------
 
 .. automodule:: qlib.contrib.evaluate
     :members:
 
 
 Report
------------------
+------
 
 .. automodule:: qlib.contrib.report.analysis_position.report
     :members:
@@ -159,103 +159,100 @@ Report
 
 
 Workflow
-====================
+========
 
 
 Experiment Manager
---------------------
+------------------
 .. autoclass:: qlib.workflow.expm.ExpManager
     :members:
 
 Experiment
---------------------
+----------
 .. autoclass:: qlib.workflow.exp.Experiment
     :members:
 
 Recorder
---------------------
+--------
 .. autoclass:: qlib.workflow.recorder.Recorder
     :members:
 
 Record Template
---------------------
+---------------
 .. automodule:: qlib.workflow.record_temp
     :members:
 
 Task Management
-====================
+===============
 
 
 TaskGen
---------------------
+-------
 .. automodule:: qlib.workflow.task.gen
     :members:
 
 TaskManager
---------------------
+-----------
 .. automodule:: qlib.workflow.task.manage
     :members:
 
 Trainer
---------------------
+-------
 .. automodule:: qlib.model.trainer
     :members:
 
 Collector
---------------------
+---------
 .. automodule:: qlib.workflow.task.collect
     :members:
 
 Group
---------------------
+-----
 .. automodule:: qlib.model.ens.group
     :members:
 
 Ensemble
---------------------
+--------
 .. automodule:: qlib.model.ens.ensemble
     :members:
 
 Utils
---------------------
+-----
 .. automodule:: qlib.workflow.task.utils
     :members:
 
 
 Online Serving
-====================
+==============
 
 
 Online Manager
---------------------
+--------------
 .. automodule:: qlib.workflow.online.manager
     :members:
 
 Online Strategy
---------------------
+---------------
 .. automodule:: qlib.workflow.online.strategy
     :members:
 
 Online Tool
---------------------
+-----------
 .. automodule:: qlib.workflow.online.utils
     :members:
 
 
 RecordUpdater
---------------------
+-------------
 .. automodule:: qlib.workflow.online.update
     :members:
 
 
 Utils
-====================
+=====
 
 Serializable
---------------------
+------------
 
 .. automodule:: qlib.utils.serial.Serializable
     :members:
-
-
-    

docs/start/getdata.rst

@@ -1,18 +1,18 @@
 .. _getdata:
 
-=============================
+==============
 Data Retrieval
-=============================
+==============
 
 .. currentmodule:: qlib
 
 Introduction
-====================
+============
 
 Users can get stock data with ``Qlib``. The following examples demonstrate the basic user interface.
 
 Examples
-====================
+========
 
 
 ``QLib`` Initialization:
@@ -127,7 +127,7 @@ For example, it looks quite long and complicated:
 .. code-block:: python
 
    >> from qlib.data import D
-   >> data = D.features(["sh600519"], ["(($high / $close) + ($open / $close)) * (($high / $close) + ($open / $close)) / ($high / $close) + ($open / $close)"], start_time="20200101")
+   >> data = D.features(["sh600519"], ["(($high / $close) + ($open / $close)) * (($high / $close) + ($open / $close)) / (($high / $close) + ($open / $close))"], start_time="20200101")
 
 
 But using string is not the only way to implement the expression. You can also implement expression by code.
@@ -147,5 +147,5 @@ Here is an exmaple which does the same thing as above examples.
 
 
 API
-====================
+===
 To know more about how to use the Data, go to API Reference: `Data API <../reference/api.html#data>`_

docs/start/initialization.rst

@@ -1,14 +1,14 @@
 .. _initialization:
 
-====================
+===================
 Qlib Initialization
-====================
+===================
 
 .. currentmodule:: qlib
 
 
 Initialization
-=========================
+==============
 
 Please follow the steps below to initialize ``Qlib``.
 

docs/start/installation.rst

@@ -1,8 +1,8 @@
 .. _installation:
 
-====================
+============
 Installation
-====================
+============
 
 .. currentmodule:: qlib
 
@@ -44,6 +44,3 @@ Use the following code to make sure the installation successful:
    >>> import qlib
    >>> qlib.__version__
    <LATEST VERSION>
-
-
-=====================

docs/start/integration.rst

@@ -1,9 +1,9 @@
-=========================================
+========================
 Custom Model Integration
-=========================================
+========================
 
 Introduction
-===================
+============
 
 ``Qlib``'s `Model Zoo` includes models such as ``LightGBM``, ``MLP``, ``LSTM``, etc.. These models are examples of ``Forecast Model``. In addition to the default models ``Qlib`` provide, users can integrate their own custom models into ``Qlib``.
 
@@ -14,7 +14,7 @@ Users can integrate their own custom models according to the following steps.
 - Test the custom model.
 
 Custom Model Class
-===========================
+==================
 The Custom models need to inherit `qlib.model.base.Model <../reference/api.html#module-qlib.model.base>`_ and override the methods in it.
 
 - Override the `__init__` method
@@ -101,7 +101,7 @@ The Custom models need to inherit `qlib.model.base.Model <../reference/api.html#
             )
 
 Configuration File
-=======================
+==================
 
 The configuration file is described in detail in the `Workflow <../component/workflow.html#complete-example>`_ document. In order to integrate the custom model into ``Qlib``, users need to modify the "model" field in the configuration file. The configuration describes which models to use and how we can initialize it.
 
@@ -126,7 +126,7 @@ The configuration file is described in detail in the `Workflow <../component/wor
 Users could find configuration file of the baselines of the ``Model`` in ``examples/benchmarks``. All the configurations of different models are listed under the corresponding model folder.
 
 Model Testing
-=====================
+=============
 Assuming that the configuration file is ``examples/benchmarks/LightGBM/workflow_config_lightgbm.yaml``, users can run the following command to test the custom model:
 
 .. code-block:: bash
@@ -140,6 +140,6 @@ Also, ``Model`` can also be tested as a single module. An example has been given
 
 
 Reference
-=====================
+=========
 
 To know more about ``Forecast Model``, please refer to `Forecast Model: Model Training & Prediction <../component/model.html>`_ and `Model API <../reference/api.html#module-qlib.model.base>`_.

examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158_csi500.yaml

@@ -0,0 +1,72 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi500
+benchmark: &benchmark SH000905
+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
+port_analysis_config: &port_analysis_config
+    strategy:
+        class: TopkDropoutStrategy
+        module_path: qlib.contrib.strategy
+        kwargs:
+            signal:
+                - <MODEL> 
+                - <DATASET>
+            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: CatBoostModel
+        module_path: qlib.contrib.model.catboost_model
+        kwargs:
+            loss: RMSE
+            learning_rate: 0.0421
+            subsample: 0.8789
+            max_depth: 6
+            num_leaves: 100
+            thread_count: 20
+            grow_policy: Lossguide
+            bootstrap_type: Poisson
+    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/CatBoost/workflow_config_catboost_Alpha360_csi500.yaml

@@ -0,0 +1,79 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi500
+benchmark: &benchmark SH000905
+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: []
+    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:
+                - <MODEL> 
+                - <DATASET>
+            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: CatBoostModel
+        module_path: qlib.contrib.model.catboost_model
+        kwargs:
+            loss: RMSE
+            learning_rate: 0.0421
+            subsample: 0.8789
+            max_depth: 6
+            num_leaves: 100
+            thread_count: 20
+            grow_policy: Lossguide
+            bootstrap_type: Poisson
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha360
+                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/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml

@@ -37,7 +37,7 @@ task:
         kwargs:
             base_model: "gbm"
             loss: mse
-            num_models: 6
+            num_models: 3
             enable_sr: True
             enable_fs: True
             alpha1: 1
@@ -53,11 +53,8 @@ task:
                 - 0.4
             sub_weights:
                 - 1
-                - 0.2
+                - 1
-                - 0.2
+                - 1
-                - 0.2
-                - 0.2
-                - 0.2
             epochs: 28
             colsample_bytree: 0.8879
             learning_rate: 0.2

examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158_csi500.yaml

@@ -0,0 +1,97 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi500
+benchmark: &benchmark SH000905
+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
+port_analysis_config: &port_analysis_config
+    strategy:
+        class: TopkDropoutStrategy
+        module_path: qlib.contrib.strategy
+        kwargs:
+            signal:
+                - <MODEL> 
+                - <DATASET>
+            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: DEnsembleModel
+        module_path: qlib.contrib.model.double_ensemble
+        kwargs:
+            base_model: "gbm"
+            loss: mse
+            num_models: 6
+            enable_sr: True
+            enable_fs: True
+            alpha1: 1
+            alpha2: 1
+            bins_sr: 10
+            bins_fs: 5
+            decay: 0.5
+            sample_ratios:
+                - 0.8
+                - 0.7
+                - 0.6
+                - 0.5
+                - 0.4
+            sub_weights:
+                - 1
+                - 0.2
+                - 0.2
+                - 0.2
+                - 0.2
+                - 0.2
+            epochs: 28
+            colsample_bytree: 0.8879
+            learning_rate: 0.2
+            subsample: 0.8789
+            lambda_l1: 205.6999
+            lambda_l2: 580.9768
+            max_depth: 8
+            num_leaves: 210
+            num_threads: 20
+            verbosity: -1
+    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/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml

@@ -44,7 +44,7 @@ task:
         kwargs:
             base_model: "gbm"
             loss: mse
-            num_models: 6
+            num_models: 3
             enable_sr: True
             enable_fs: True
             alpha1: 1
@@ -60,11 +60,8 @@ task:
                 - 0.4
             sub_weights:
                 - 1
-                - 0.2
+                - 1
-                - 0.2
+                - 1
-                - 0.2
-                - 0.2
-                - 0.2
             epochs: 136
             colsample_bytree: 0.8879
             learning_rate: 0.0421

examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360_csi500.yaml

@@ -0,0 +1,104 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi500
+benchmark: &benchmark SH000905
+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: []
+    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:
+                - <MODEL> 
+                - <DATASET>
+            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: DEnsembleModel
+        module_path: qlib.contrib.model.double_ensemble
+        kwargs:
+            base_model: "gbm"
+            loss: mse
+            num_models: 6
+            enable_sr: True
+            enable_fs: True
+            alpha1: 1
+            alpha2: 1
+            bins_sr: 10
+            bins_fs: 5
+            decay: 0.5
+            sample_ratios:
+                - 0.8
+                - 0.7
+                - 0.6
+                - 0.5
+                - 0.4
+            sub_weights:
+                - 1
+                - 0.2
+                - 0.2
+                - 0.2
+                - 0.2
+                - 0.2
+            epochs: 136
+            colsample_bytree: 0.8879
+            learning_rate: 0.0421
+            subsample: 0.8789
+            lambda_l1: 205.6999
+            lambda_l2: 580.9768
+            max_depth: 8
+            num_leaves: 210
+            num_threads: 20
+            verbosity: -1
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha360
+                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/LightGBM/README.md

@@ -2,3 +2,9 @@
 * Code: [https://github.com/microsoft/LightGBM](https://github.com/microsoft/LightGBM)
 * Paper: LightGBM: A Highly Efficient Gradient Boosting
 Decision Tree. [https://proceedings.neurips.cc/paper/2017/file/6449f44a102fde848669bdd9eb6b76fa-Paper.pdf](https://proceedings.neurips.cc/paper/2017/file/6449f44a102fde848669bdd9eb6b76fa-Paper.pdf).
+
+
+# Introductions about the settings/configs.
+
+`workflow_config_lightgbm_multi_freq.yaml`
+- It uses data sources of different frequencies (i.e. multiple frequencies) for daily prediction.

examples/benchmarks/LightGBM/requirements.txt

@@ -1,3 +1,3 @@
 pandas==1.1.2
 numpy==1.21.0
-lightgbm==3.1.0
+lightgbm

examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_csi500.yaml

@@ -0,0 +1,72 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi500
+benchmark: &benchmark SH000905
+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
+port_analysis_config: &port_analysis_config
+    strategy:
+        class: TopkDropoutStrategy
+        module_path: qlib.contrib.strategy
+        kwargs:
+            model: <MODEL> 
+            dataset: <DATASET>
+            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: LGBModel
+        module_path: qlib.contrib.model.gbdt
+        kwargs:
+            loss: mse
+            colsample_bytree: 0.9
+            learning_rate: 0.1
+            subsample: 0.9
+            lambda_l1: 205.6999
+            lambda_l2: 580.9768
+            max_depth: 8
+            num_leaves: 250
+            num_threads: 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/LightGBM/workflow_config_lightgbm_Alpha360_csi500.yaml

@@ -0,0 +1,80 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi500
+benchmark: &benchmark SH000905
+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: []
+    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:
+                - <MODEL> 
+                - <DATASET>
+            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: LGBModel
+        module_path: qlib.contrib.model.gbdt
+        kwargs:
+            loss: mse
+            colsample_bytree: 0.8879
+            learning_rate: 0.0421
+            subsample: 0.8789
+            lambda_l1: 205.6999
+            lambda_l2: 580.9768
+            max_depth: 8
+            num_leaves: 210
+            num_threads: 20
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha360
+                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/Linear/workflow_config_linear_Alpha158_csi500.yaml

@@ -0,0 +1,78 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi500
+benchmark: &benchmark SH000905
+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: RobustZScoreNorm
+          kwargs:
+              fields_group: feature
+              clip_outlier: true
+        - class: Fillna
+          kwargs:
+              fields_group: feature
+    learn_processors:
+        - class: DropnaLabel
+        - class: CSRankNorm
+          kwargs:
+              fields_group: label
+port_analysis_config: &port_analysis_config
+    strategy:
+        class: TopkDropoutStrategy
+        module_path: qlib.contrib.strategy
+        kwargs:
+            signal:
+                - <MODEL> 
+                - <DATASET>
+            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: LinearModel
+        module_path: qlib.contrib.model.linear
+        kwargs:
+            estimator: ols
+    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: True
+            ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            config: *port_analysis_config

examples/benchmarks/MLP/workflow_config_mlp_Alpha158_csi500.yaml

@@ -0,0 +1,102 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi500
+benchmark: &benchmark SH000905
+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:
+                - <MODEL> 
+                - <DATASET>
+            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: DNNModelPytorch
+        module_path: qlib.contrib.model.pytorch_nn
+        kwargs:
+            loss: mse
+            lr: 0.002
+            lr_decay: 0.96
+            lr_decay_steps: 100
+            optimizer: adam
+            max_steps: 8000
+            batch_size: 8192
+            GPU: 0
+            weight_decay: 0.0002
+            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/MLP/workflow_config_mlp_Alpha360_csi500.yaml

@@ -0,0 +1,89 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market csi500
+benchmark: &benchmark SH000905
+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: 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:
+                - <MODEL> 
+                - <DATASET>
+            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: DNNModelPytorch
+        module_path: qlib.contrib.model.pytorch_nn
+        kwargs:
+            loss: mse
+            lr: 0.002
+            lr_decay: 0.96
+            lr_decay_steps: 100
+            optimizer: adam
+            max_steps: 8000
+            batch_size: 4096
+            GPU: 0
+            pt_model_kwargs:
+              input_dim: 360
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha360
+                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/README.md

@@ -20,7 +20,9 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
 > NOTE:
 > We have very limited resources to implement and finetune the models. We tried our best effort to fairly compare these models.  But some models may have greater potential than what it looks like in the table below.  Your contribution is highly welcomed to explore their potential.
 
-## Alpha158 dataset
+## Results on CSI300
+
+### Alpha158 dataset
 
 | Model Name                               | Dataset                             | IC          | ICIR        | Rank IC     | Rank ICIR   | Annualized Return | Information Ratio | Max Drawdown |
 |------------------------------------------|-------------------------------------|-------------|-------------|-------------|-------------|-------------------|-------------------|--------------|
@@ -41,10 +43,9 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
 | TFT (Bryan Lim, et al.)                  | Alpha158(with selected 20 features) | 0.0358±0.00 | 0.2160±0.03 | 0.0116±0.01 | 0.0720±0.03 | 0.0847±0.02       | 0.8131±0.19       | -0.1824±0.03 |
 | MLP                                      | Alpha158                            | 0.0376±0.00 | 0.2846±0.02 | 0.0429±0.00 | 0.3220±0.01 | 0.0895±0.02       | 1.1408±0.23       | -0.1103±0.02 |
 | LightGBM(Guolin Ke, et al.)              | Alpha158                            | 0.0448±0.00 | 0.3660±0.00 | 0.0469±0.00 | 0.3877±0.00 | 0.0901±0.00       | 1.0164±0.00       | -0.1038±0.00 |
-| DoubleEnsemble(Chuheng Zhang, et al.)    | Alpha158                            | 0.0544±0.00 | 0.4340±0.00 | 0.0523±0.00 | 0.4284±0.01 | 0.1168±0.01       | 1.3384±0.12       | -0.1036±0.01 |
+| DoubleEnsemble(Chuheng Zhang, et al.)    | Alpha158                            | 0.0521±0.00 | 0.4223±0.01 | 0.0502±0.00 | 0.4117±0.01 | 0.1158±0.01       | 1.3432±0.11       | -0.0920±0.01 |
 
-
+### Alpha360 dataset
-## Alpha360 dataset
 
 | Model Name                                | Dataset  | IC          | ICIR        | Rank IC     | Rank ICIR   | Annualized Return | Information Ratio | Max Drawdown |
 |-------------------------------------------|----------|-------------|-------------|-------------|-------------|-------------------|-------------------|--------------|
@@ -54,7 +55,7 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
 | Localformer(Juyong Jiang, et al.)         | Alpha360 | 0.0404±0.00 | 0.2932±0.04 | 0.0542±0.00 | 0.4110±0.03 | 0.0246±0.02       | 0.3211±0.21       | -0.1095±0.02 |
 | CatBoost((Liudmila Prokhorenkova, et al.) | Alpha360 | 0.0378±0.00 | 0.2714±0.00 | 0.0467±0.00 | 0.3659±0.00 | 0.0292±0.00       | 0.3781±0.00       | -0.0862±0.00 |
 | XGBoost(Tianqi Chen, et al.)              | Alpha360 | 0.0394±0.00 | 0.2909±0.00 | 0.0448±0.00 | 0.3679±0.00 | 0.0344±0.00       | 0.4527±0.02       | -0.1004±0.00 |
-| DoubleEnsemble(Chuheng Zhang, et al.)     | Alpha360 | 0.0404±0.00 | 0.3023±0.00 | 0.0495±0.00 | 0.3898±0.00 | 0.0468±0.01       | 0.6302±0.20       | -0.0860±0.01 |
+| DoubleEnsemble(Chuheng Zhang, et al.)     | Alpha360 | 0.0390±0.00 | 0.2946±0.01 | 0.0486±0.00 | 0.3836±0.01 | 0.0462±0.01       | 0.6151±0.18       | -0.0915±0.01 |
 | LightGBM(Guolin Ke, et al.)               | Alpha360 | 0.0400±0.00 | 0.3037±0.00 | 0.0499±0.00 | 0.4042±0.00 | 0.0558±0.00       | 0.7632±0.00       | -0.0659±0.00 |
 | TCN(Shaojie Bai, et al.)                  | Alpha360 | 0.0441±0.00 | 0.3301±0.02 | 0.0519±0.00 | 0.4130±0.01 | 0.0604±0.02       | 0.8295±0.34       | -0.1018±0.03 |
 | ALSTM (Yao Qin, et al.)                   | Alpha360 | 0.0497±0.00 | 0.3829±0.04 | 0.0599±0.00 | 0.4736±0.03 | 0.0626±0.02       | 0.8651±0.31       | -0.0994±0.03 |
@@ -73,12 +74,54 @@ The numbers shown below demonstrate the performance of the entire `workflow` of
 - The base model of DoubleEnsemble is LGBM.
 - The base model of TCTS is GRU.
 - About the datasets
-  - Alpha158 is a tabular dataset. There are less spatial relationships between different features. Each feature are carefully desgined by human (a.k.a feature engineering)
+  - Alpha158 is a tabular dataset. There are less spatial relationships between different features. Each feature are carefully designed by human (a.k.a feature engineering)
   - Alpha360 contains raw price and volue data without much feature engineering. There are strong strong spatial relationships between the features in the time dimension.
 - The metrics can be categorized into two
    - Signal-based evaluation:  IC, ICIR, Rank IC, Rank ICIR
+      - ![equation](https://latex.codecogs.com/gif.latex?%5Ctext%7Bcorr%7D%28%5Ctextbf%7Bx%7D%2C%5Ctextbf%7By%7D%29%3D%5Cfrac%7B%5Csum_i%20%28x_i-%5Cbar%7Bx%7D%29%28y_i-%5Cbar%7By%7D%29%7D%7B%5Csqrt%7B%5Csum_i%28x_i-%5Cbar%7Bx%7D%29%5E2%5Csum_i%28y_i-%5Cbar%7By%7D%29%5E2%7D%7D)
+      - ![equation](https://latex.codecogs.com/gif.latex?%5Ctext%7BIC%7D%5E%7B%28t%29%7D%20%3D%20%5Ctext%7Bcorr%7D%28%5Chat%7B%5Ctextbf%7By%7D%7D%5E%7B%28t%29%7D%2C%20%5Ctextbf%7Bret%7D%5E%7B%28t%29%7D%29)
+      - ![equation](https://latex.codecogs.com/gif.latex?%5Ctext%7BICIR%7D%20%3D%20%5Cfrac%20%7B%5Ctext%7Bmean%7D%28%5Ctextbf%7BIC%7D%29%7D%20%7B%5Ctext%7Bstd%7D%28%5Ctextbf%7BIC%7D%29%7D)
+      - ![equation](https://latex.codecogs.com/gif.latex?%5Ctext%7BRank%20IC%7D%5E%7B%28t%29%7D%20%3D%20%5Ctext%7Bcorr%7D%28%5Ctext%7Brank%7D%28%5Chat%7B%5Ctextbf%7By%7D%7D%5E%7B%28t%29%7D%29%2C%20%5Ctext%7Brank%7D%28%5Ctextbf%7Bret%7D%5E%7B%28t%29%7D%29%29)
+      - ![equation](https://latex.codecogs.com/gif.latex?%5Ctext%7BRank%20ICIR%7D%20%3D%20%5Cfrac%20%7B%5Ctext%7Bmean%7D%28%5Ctextbf%7BRank%20IC%7D%29%7D%20%7B%5Ctext%7Bstd%7D%28%5Ctextbf%7BRankIC%7D%29%7D)
    - Portfolio-based metrics:  Annualized Return, Information Ratio, Max Drawdown
 
+## Results on CSI500
+The results on CSI500 is not complete. PR's for models on csi500 are welcome!
+
+Transfer previous models in CSI300 to CSI500 is quite easy.  You can try models with just a few commands below.
+```
+cd examples/benchmarks/LightGBM
+pip install -r requirements.txt
+
+# create new config and set the benchmark to csi500
+cp workflow_config_lightgbm_Alpha158.yaml workflow_config_lightgbm_Alpha158_csi500.yaml
+sed -i "s/csi300/csi500/g"  workflow_config_lightgbm_Alpha158_csi500.yaml
+sed -i "s/SH000300/SH000905/g"  workflow_config_lightgbm_Alpha158_csi500.yaml
+
+# you can either run the model once
+qrun workflow_config_lightgbm_Alpha158_csi500.yaml
+
+# or run it for multiple times automatically and get the summarized results.
+cd  ../../
+python run_all_model.py run 3 lightgbm Alpha158 csi500  # for models with randomness.  please run it for 20 times.
+```
+
+### Alpha158 dataset
+| Model Name | Dataset  | IC          | ICIR        | Rank IC     | Rank ICIR   | Annualized Return | Information Ratio | Max Drawdown |
+|------------|----------|-------------|-------------|-------------|-------------|-------------------|-------------------|--------------|
+| Linear     | Alpha158 | 0.0332±0.00 | 0.3044±0.00 | 0.0462±0.00 | 0.4326±0.00 | 0.0382±0.00       | 0.1723±0.00       | -0.4876±0.00 |
+| MLP        | Alpha158 | 0.0229±0.01 | 0.2181±0.05 | 0.0360±0.00 | 0.3409±0.02 | 0.0043±0.02       | 0.0602±0.27       | -0.2184±0.04 |
+| LightGBM   | Alpha158 | 0.0399±0.00 | 0.4065±0.00 | 0.0482±0.00 | 0.5101±0.00 | 0.1284±0.00       | 1.5650±0.00       | -0.0635±0.00 |
+| CatBoost   | Alpha158 | 0.0345±0.00 | 0.2855±0.00 | 0.0417±0.00 | 0.3740±0.00 | 0.0496±0.00       | 0.5977±0.00       | -0.1496±0.00 |
+| DoubleEnsemble  | Alpha158 | 0.0380±0.00 | 0.3659±0.00 | 0.0442±0.00 | 0.4324±0.00 | 0.0382±0.00       | 0.1723±0.00       | -0.4876±0.00 |
+
+### Alpha360 dataset
+| Model Name | Dataset  | IC          | ICIR        | Rank IC     | Rank ICIR   | Annualized Return | Information Ratio | Max Drawdown |
+|------------|----------|-------------|-------------|-------------|-------------|-------------------|-------------------|--------------|
+| MLP        | Alpha360 | 0.0258±0.00 | 0.2021±0.02 | 0.0426±0.00 | 0.3840±0.02 | 0.0022±0.02       | 0.0301±0.26       | -0.2064±0.02 |
+| LightGBM   | Alpha360 | 0.0400±0.00 | 0.3605±0.00 | 0.0536±0.00 | 0.5431±0.00 | 0.0505±0.00       | 0.7658±0.02       | -0.1880±0.00 |
+| CatBoost   | Alpha360 | 0.0382±0.00 | 0.3229±0.00 | 0.0489±0.00 | 0.4649±0.00 | 0.0297±0.00       | 0.4227±0.02       | -0.1499±0.01 |
+| DoubleEnsemble  | Alpha360 | 0.0361±0.00 | 0.3092±0.00 | 0.0499±0.00 | 0.4793±0.00 | 0.0382±0.00       | 0.1723±0.02       | -0.4876±0.00 |
 
 # Contributing
 
@@ -95,3 +138,10 @@ If you want to contribute your new models, you can follow the steps below.
 5. Update the info in the index page in the [news list](https://github.com/microsoft/qlib#newspaper-whats-new----sparkling_heart) and [model list](https://github.com/microsoft/qlib#quant-model-paper-zoo).
 
 Finally, you can send PR for review. ([here is an example](https://github.com/microsoft/qlib/pull/1040))
+
+
+# FAQ
+
+Q: What's the difference between models with name `*.py` and `*_ts.py`?
+
+A: Models with name `*_ts.py` are designed for `TSDatasetH` (`TSDatasetH` will create time-series automatically from tabular data).  Models with name `*.py` are designed for `DatasetH` (`DatasetH` is usually used in tabular data.  But users still can apply time-series models on tabular datasets if the columns has time-series relationships). 

examples/run_all_model.py

@@ -117,8 +117,10 @@ def get_all_folders(models, exclude) -> dict:
 
 
 # function to get all the files under the model folder
-def get_all_files(folder_path, dataset) -> (str, str):
+def get_all_files(folder_path, dataset, universe="") -> (str, str):
-    yaml_path = str(Path(f"{folder_path}") / f"*{dataset}*.yaml")
+    if universe != "":
+        universe = f"_{universe}"
+    yaml_path = str(Path(f"{folder_path}") / f"*{dataset}{universe}.yaml")
     req_path = str(Path(f"{folder_path}") / f"*.txt")
     yaml_file = glob.glob(yaml_path)
     req_file = glob.glob(req_path)
@@ -224,6 +226,7 @@ class ModelRunner:
         times=1,
         models=None,
         dataset="Alpha360",
+        universe="",
         exclude=False,
         qlib_uri: str = "git+https://github.com/microsoft/qlib#egg=pyqlib",
         exp_folder_name: str = "run_all_model_records",
@@ -245,6 +248,9 @@ class ModelRunner:
             determines whether the model being used is excluded or included.
         dataset : str
             determines the dataset to be used for each model.
+        universe  : str
+            the stock universe of the dataset.
+            default "" indicates that
         qlib_uri : str
             the uri to install qlib with pip
             it could be url on the we or local path (NOTE: the local path must be a absolute path)
@@ -259,6 +265,15 @@ class ModelRunner:
         -------
         Here are some use cases of the function in the bash:
 
+        The run_all_models  will decide which config to run based no `models` `dataset`  `universe`
+        Example 1):
+
+            models="lightgbm", dataset="Alpha158", universe="" will result in running the following config
+            examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
+
+            models="lightgbm", dataset="Alpha158", universe="csi500" will result in running the following config
+            examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158_csi500.yaml
+
         .. code-block:: bash
 
             # Case 1 - run all models multiple times
@@ -279,6 +294,9 @@ class ModelRunner:
             # Case 6 - run other models except those are given as arguments for one time
             python run_all_model.py run --models=[mlp,tft,sfm] --exclude=True
 
+            # Case 7 - run lightgbm model on csi500.
+            python run_all_model.py run 3 lightgbm Alpha158 csi500
+
         """
         self._init_qlib(exp_folder_name)
 
@@ -290,7 +308,7 @@ class ModelRunner:
         for fn in folders:
             # get all files
             sys.stderr.write("Retrieving files...\n")
-            yaml_path, req_path = get_all_files(folders[fn], dataset)
+            yaml_path, req_path = get_all_files(folders[fn], dataset, universe=universe)
             if yaml_path is None:
                 sys.stderr.write(f"There is no {dataset}.yaml file in {folders[fn]}")
                 continue

examples/workflow_by_code.ipynb

@@ -38,6 +38,9 @@
     "    # install qlib\n",
     "    ! pip install --upgrade numpy\n",
     "    ! pip install pyqlib\n",
+    "    if 'google.colab' in sys.modules:\n",
+    "        # The Google colab environment is a little outdated. We have to downgrade the pyyaml to make it compatible with other packages\n",
+    "        ! pip install pyyaml==5.4.1\n",
     "    # reload\n",
     "    site.main()\n",
     "\n",

examples/workflow_by_code.py

@@ -1,6 +1,12 @@
 #  Copyright (c) Microsoft Corporation.
 #  Licensed under the MIT License.
+"""
+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.
 
+The interface of (1) is `qrun XXX.yaml`.  The interface of (2) is script like this, which nearly does the same thing as `qrun XXX.yaml`
+"""
 import qlib
 from qlib.constant import REG_CN
 from qlib.utils import init_instance_by_config, flatten_dict

qlib/__init__.py

@@ -2,7 +2,7 @@
 # Licensed under the MIT License.
 from pathlib import Path
 
-__version__ = "0.8.5.99"
+__version__ = "0.8.6.99"
 __version__bak = __version__  # This version is backup for QlibConfig.reset_qlib_version
 import os
 from typing import Union
@@ -94,7 +94,7 @@ def _mount_nfs_uri(provider_uri, mount_path, auto_mount: bool = False):
     else:
         # Judging system type
         sys_type = platform.system()
-        if "win" in sys_type.lower():
+        if "windows" in sys_type.lower():
             # system: window
             exec_result = os.popen(f"mount -o anon {provider_uri} {mount_path}")
             result = exec_result.read()
@@ -113,6 +113,8 @@ def _mount_nfs_uri(provider_uri, mount_path, auto_mount: bool = False):
             # system: linux/Unix/Mac
             # check mount
             _remote_uri = provider_uri[:-1] if provider_uri.endswith("/") else provider_uri
+            # `mount a /b/c` is different from `mount a /b/c/`. So we convert it into string to make sure handling it accurately
+            mount_path = str(mount_path)
             _mount_path = mount_path[:-1] if mount_path.endswith("/") else mount_path
             _check_level_num = 2
             _is_mount = False

qlib/backtest/__init__.py

@@ -5,7 +5,7 @@ from __future__ import annotations
 
 import copy
 from pathlib import Path
-from typing import TYPE_CHECKING, Generator, List, Optional, Tuple, Union
+from typing import TYPE_CHECKING, Any, Generator, List, Optional, Tuple, Union
 
 import pandas as pd
 
@@ -23,7 +23,6 @@ from ..utils import init_instance_by_config
 from .backtest import backtest_loop, collect_data_loop
 from .decision import Order
 from .exchange import Exchange
-from .position import Position
 from .utils import CommonInfrastructure
 
 # make import more user-friendly by adding `from qlib.backtest import STH`
@@ -43,8 +42,8 @@ def get_exchange(
     close_cost: float = 0.0025,
     min_cost: float = 5.0,
     limit_threshold: Union[Tuple[str, str], float, None] = None,
-    deal_price: Union[str, Tuple[str], List[str]] = None,
+    deal_price: Union[str, Tuple[str, str], List[str]] = None,
-    **kwargs,
+    **kwargs: Any,
 ) -> Exchange:
     """get_exchange
 
@@ -52,14 +51,15 @@ def get_exchange(
     ----------
 
     # exchange related arguments
-    exchange: Exchange(). It could be None or any types that are acceptable by `init_instance_by_config`.
+    exchange: Exchange
+        It could be None or any types that are acceptable by `init_instance_by_config`.
     freq: str
         frequency of data.
     start_time: Union[pd.Timestamp, str]
         closed start time for backtest.
     end_time: Union[pd.Timestamp, str]
         closed end time for backtest.
-    codes: list|str
+    codes: Union[list, str]
         list stock_id list or a string of instruments (i.e. all, csi500, sse50)
     subscribe_fields: list
         subscribe fields.
@@ -70,10 +70,10 @@ def get_exchange(
     min_cost : float
         min transaction cost.  It is an absolute amount of cost instead of a ratio of your order's deal amount.
         e.g. You must pay at least 5 yuan of commission regardless of your order's deal amount.
-    deal_price: Union[str, Tuple[str], List[str]]
+    deal_price: Union[str, Tuple[str, str], List[str]]
                 The `deal_price` supports following two types of input
                 - <deal_price> : str
-                - (<buy_price>, <sell_price>): Tuple[str] or List[str]
+                - (<buy_price>, <sell_price>): Tuple[str, str] or List[str]
 
                 <deal_price>, <buy_price> or <sell_price> := <price>
                 <price> := str
@@ -151,28 +151,24 @@ def create_account_instance(
         Postion type.
     """
     if isinstance(account, (int, float)):
-        pos_kwargs = {"init_cash": account}
+        init_cash = account
+        position_dict = {}
     elif isinstance(account, dict):
-        init_cash = account["cash"]
+        init_cash = account.pop("cash")
-        del account["cash"]
+        position_dict = account
-        pos_kwargs = {
-            "init_cash": init_cash,
-            "position_dict": account,
-        }
     else:
-        raise ValueError("account must be in (int, float, Position)")
+        raise ValueError("account must be in (int, float, dict)")
 
-    kwargs = {
+    return Account(
-        "init_cash": account,
+        init_cash=init_cash,
-        "benchmark_config": {
+        position_dict=position_dict,
+        pos_type=pos_type,
+        benchmark_config={
             "benchmark": benchmark,
             "start_time": start_time,
             "end_time": end_time,
         },
-        "pos_type": pos_type,
+    )
-    }
-    kwargs.update(pos_kwargs)
-    return Account(**kwargs)
 
 
 def get_strategy_executor(
@@ -181,7 +177,7 @@ def get_strategy_executor(
     strategy: Union[str, dict, object, Path],
     executor: Union[str, dict, object, Path],
     benchmark: str = "SH000300",
-    account: Union[float, int, Position] = 1e9,
+    account: Union[float, int, dict] = 1e9,
     exchange_kwargs: dict = {},
     pos_type: str = "Position",
 ) -> Tuple[BaseStrategy, BaseExecutor]:
@@ -222,7 +218,7 @@ def backtest(
     strategy: Union[str, dict, object, Path],
     executor: Union[str, dict, object, Path],
     benchmark: str = "SH000300",
-    account: Union[float, int, Position] = 1e9,
+    account: Union[float, int, dict] = 1e9,
     exchange_kwargs: dict = {},
     pos_type: str = "Position",
 ) -> Tuple[PortfolioMetrics, Indicator]:
@@ -285,7 +281,7 @@ def collect_data(
     strategy: Union[str, dict, object, Path],
     executor: Union[str, dict, object, Path],
     benchmark: str = "SH000300",
-    account: Union[float, int, Position] = 1e9,
+    account: Union[float, int, dict] = 1e9,
     exchange_kwargs: dict = {},
     pos_type: str = "Position",
     return_value: dict = None,
@@ -339,7 +335,7 @@ def format_decisions(
 
     cur_freq = decisions[0].strategy.trade_calendar.get_freq()
 
-    res = (cur_freq, [])
+    res: Tuple[str, list] = (cur_freq, [])
     last_dec_idx = 0
     for i, dec in enumerate(decisions[1:], 1):
         if dec.strategy.trade_calendar.get_freq() == cur_freq:

qlib/backtest/account.py

@@ -3,7 +3,7 @@
 from __future__ import annotations
 
 import copy
-from typing import Dict, List, Tuple
+from typing import Dict, List, Optional, Tuple, cast
 
 import pandas as pd
 
@@ -11,6 +11,7 @@ from qlib.utils import init_instance_by_config
 
 from .decision import BaseTradeDecision, Order
 from .exchange import Exchange
+from .high_performance_ds import BaseOrderIndicator
 from .position import BasePosition
 from .report import Indicator, PortfolioMetrics
 
@@ -104,7 +105,7 @@ class Account:
 
         self._pos_type = pos_type
         self._port_metr_enabled = port_metr_enabled
-        self.benchmark_config = None  # avoid no attribute error
+        self.benchmark_config: dict = {}  # avoid no attribute error
         self.init_vars(init_cash, position_dict, freq, benchmark_config)
 
     def init_vars(self, init_cash: float, position_dict: dict, freq: str, benchmark_config: dict) -> None:
@@ -124,8 +125,8 @@ class Account:
         self.accum_info = AccumulatedInfo()
 
         # 2) following variables are not shared between layers
-        self.portfolio_metrics = None
+        self.portfolio_metrics: Optional[PortfolioMetrics] = None
-        self.hist_positions = {}
+        self.hist_positions: Dict[pd.Timestamp, BasePosition] = {}
         self.reset(freq=freq, benchmark_config=benchmark_config)
 
     def is_port_metr_enabled(self) -> bool:
@@ -171,7 +172,7 @@ class Account:
 
         self.reset_report(self.freq, self.benchmark_config)
 
-    def get_hist_positions(self) -> dict:
+    def get_hist_positions(self) -> Dict[pd.Timestamp, BasePosition]:
         return self.hist_positions
 
     def get_cash(self) -> float:
@@ -230,13 +231,15 @@ class Account:
         """
         # update price for stock in the position and the profit from changed_price
         # NOTE: updating position does not only serve portfolio metrics, it also serve the strategy
+        assert self.current_position is not None
+
         if not self.current_position.skip_update():
             stock_list = self.current_position.get_stock_list()
             for code in stock_list:
                 # if suspend, no new price to be updated, profit is 0
                 if trade_exchange.check_stock_suspended(code, trade_start_time, trade_end_time):
                     continue
-                bar_close = trade_exchange.get_close(code, trade_start_time, trade_end_time)
+                bar_close = cast(float, trade_exchange.get_close(code, trade_start_time, trade_end_time))
                 self.current_position.update_stock_price(stock_id=code, price=bar_close)
             # update holding day count
             # NOTE: updating bar_count does not only serve portfolio metrics, it also serve the strategy
@@ -249,6 +252,8 @@ class Account:
         # for the first trade date, account_value - init_cash
         # self.portfolio_metrics.is_empty() to judge is_first_trade_date
         # get last_account_value, last_total_cost, last_total_turnover
+        assert self.portfolio_metrics is not None
+
         if self.portfolio_metrics.is_empty():
             last_account_value = self.init_cash
             last_total_cost = 0
@@ -299,9 +304,9 @@ class Account:
         trade_exchange: Exchange,
         atomic: bool,
         outer_trade_decision: BaseTradeDecision,
-        trade_info: list = None,
+        trade_info: list = [],
-        inner_order_indicators: List[Dict[str, pd.Series]] = None,
+        inner_order_indicators: List[BaseOrderIndicator] = [],
-        decision_list: List[Tuple[BaseTradeDecision, pd.Timestamp, pd.Timestamp]] = None,
+        decision_list: List[Tuple[BaseTradeDecision, pd.Timestamp, pd.Timestamp]] = [],
         indicator_config: dict = {},
     ) -> None:
         """update trade indicators and order indicators in each bar end"""
@@ -335,9 +340,9 @@ class Account:
         trade_exchange: Exchange,
         atomic: bool,
         outer_trade_decision: BaseTradeDecision,
-        trade_info: list = None,
+        trade_info: list = [],
-        inner_order_indicators: List[Dict[str, pd.Series]] = None,
+        inner_order_indicators: List[BaseOrderIndicator] = [],
-        decision_list: List[Tuple[BaseTradeDecision, pd.Timestamp, pd.Timestamp]] = None,
+        decision_list: List[Tuple[BaseTradeDecision, pd.Timestamp, pd.Timestamp]] = [],
         indicator_config: dict = {},
     ) -> None:
         """update account at each trading bar step
@@ -398,6 +403,7 @@ class Account:
     def get_portfolio_metrics(self) -> Tuple[pd.DataFrame, dict]:
         """get the history portfolio_metrics and positions instance"""
         if self.is_port_metr_enabled():
+            assert self.portfolio_metrics is not None
             _portfolio_metrics = self.portfolio_metrics.generate_portfolio_metrics_dataframe()
             _positions = self.get_hist_positions()
             return _portfolio_metrics, _positions

qlib/backtest/backtest.py

@@ -3,7 +3,7 @@
 
 from __future__ import annotations
 
-from typing import TYPE_CHECKING, Generator, Optional, Tuple, Union
+from typing import TYPE_CHECKING, Generator, Optional, Tuple, Union, cast
 
 import pandas as pd
 
@@ -36,10 +36,13 @@ def backtest_loop(
     indicator: Indicator
         it computes the trading indicator
     """
-    return_value = {}
+    return_value: dict = {}
     for _decision in collect_data_loop(start_time, end_time, trade_strategy, trade_executor, return_value):
         pass
-    return return_value.get("portfolio_metrics"), return_value.get("indicator")
+
+    portfolio_metrics = cast(PortfolioMetrics, return_value.get("portfolio_metrics"))
+    indicator = cast(Indicator, return_value.get("indicator"))
+    return portfolio_metrics, indicator
 
 
 def collect_data_loop(

qlib/backtest/decision.py

@@ -4,10 +4,11 @@
 from __future__ import annotations
 
 from abc import abstractmethod
+from datetime import time
 from enum import IntEnum
 
 # try to fix circular imports when enabling type hints
-from typing import TYPE_CHECKING, ClassVar, List, Optional, Tuple, Union
+from typing import TYPE_CHECKING, Any, ClassVar, Generic, List, Optional, Tuple, TypeVar, Union, cast
 
 from qlib.backtest.utils import TradeCalendarManager
 from qlib.data.data import Cal
@@ -23,6 +24,8 @@ from dataclasses import dataclass
 import numpy as np
 import pandas as pd
 
+DecisionType = TypeVar("DecisionType")
+
 
 class OrderDir(IntEnum):
     # Order direction
@@ -65,7 +68,7 @@ class Order:
     # - not tradable: the deal_amount == 0 , factor is None
     #    - the stock is suspended and the entire order fails. No cost for this order
     # - dealt or partially dealt: deal_amount >= 0 and factor is not None
-    deal_amount: Optional[float] = None  # `deal_amount` is a non-negative value
+    deal_amount: float = 0.0  # `deal_amount` is a non-negative value
     factor: Optional[float] = None
 
     # TODO:
@@ -179,8 +182,8 @@ class OrderHelper:
         return Order(
             stock_id=code,
             amount=amount,
-            start_time=start_time if start_time is not None else pd.Timestamp(start_time),
+            start_time=None if start_time is None else pd.Timestamp(start_time),
-            end_time=end_time if end_time is not None else pd.Timestamp(end_time),
+            end_time=None if end_time is None else pd.Timestamp(end_time),
             direction=direction,
         )
 
@@ -246,7 +249,7 @@ class IdxTradeRange(TradeRange):
 class TradeRangeByTime(TradeRange):
     """This is a helper function for make decisions"""
 
-    def __init__(self, start_time: str, end_time: str) -> None:
+    def __init__(self, start_time: str | time, end_time: str | time) -> None:
         """
         This is a callable class.
 
@@ -256,13 +259,13 @@ class TradeRangeByTime(TradeRange):
 
         Parameters
         ----------
-        start_time : str
+        start_time : str | time
             e.g. "9:30"
-        end_time : str
+        end_time : str | time
             e.g. "14:30"
         """
-        self.start_time = pd.Timestamp(start_time).time()
+        self.start_time = pd.Timestamp(start_time).time() if isinstance(start_time, str) else start_time
-        self.end_time = pd.Timestamp(end_time).time()
+        self.end_time = pd.Timestamp(end_time).time() if isinstance(end_time, str) else end_time
         assert self.start_time < self.end_time
 
     def __call__(self, trade_calendar: TradeCalendarManager) -> Tuple[int, int]:
@@ -281,7 +284,7 @@ class TradeRangeByTime(TradeRange):
         return max(val_start, start_time), min(val_end, end_time)
 
 
-class BaseTradeDecision:
+class BaseTradeDecision(Generic[DecisionType]):
     """
     Trade decisions ara made by strategy and executed by executor
 
@@ -316,20 +319,21 @@ class BaseTradeDecision:
         """
         self.strategy = strategy
         self.start_time, self.end_time = strategy.trade_calendar.get_step_time()
-        self.total_step = None  # upper strategy has no knowledge about the sub executor before `_init_sub_trading`
+        # upper strategy has no knowledge about the sub executor before `_init_sub_trading`
-        if isinstance(trade_range, Tuple):
+        self.total_step: Optional[int] = None
+        if isinstance(trade_range, tuple):
             # for Tuple[int, int]
             trade_range = IdxTradeRange(*trade_range)
-        self.trade_range: TradeRange = trade_range
+        self.trade_range: Optional[TradeRange] = trade_range
 
-    def get_decision(self) -> List[object]:
+    def get_decision(self) -> List[DecisionType]:
         """
         get the **concrete decision**  (e.g. execution orders)
         This will be called by the inner strategy
 
         Returns
         -------
-        List[object]:
+        List[DecisionType:
             The decision result. Typically it is some orders
             Example:
                 []:
@@ -363,13 +367,13 @@ class BaseTradeDecision:
         # purpose 2)
         return self.strategy.update_trade_decision(self, trade_calendar)
 
-    def _get_range_limit(self, **kwargs) -> Tuple[int, int]:
+    def _get_range_limit(self, **kwargs: Any) -> Tuple[int, int]:
         if self.trade_range is not None:
-            return self.trade_range(trade_calendar=kwargs.get("inner_calendar"))
+            return self.trade_range(trade_calendar=cast(TradeCalendarManager, kwargs.get("inner_calendar")))
         else:
             raise NotImplementedError("The decision didn't provide an index range")
 
-    def get_range_limit(self, **kwargs) -> Tuple[int, int]:
+    def get_range_limit(self, **kwargs: Any) -> Tuple[int, int]:
         """
         return the expected step range for limiting the decision execution time
         Both left and right are **closed**
@@ -421,6 +425,7 @@ class BaseTradeDecision:
         if getattr(self, "total_step", None) is not None:
             # if `self.update` is called.
             # Then the _start_idx, _end_idx should be clipped
+            assert self.total_step is not None
             if _start_idx < 0 or _end_idx >= self.total_step:
                 logger = get_module_logger("decision")
                 logger.warning(
@@ -516,7 +521,7 @@ class BaseTradeDecision:
             inner_trade_decision.trade_range = self.trade_range
 
 
-class EmptyTradeDecision(BaseTradeDecision):
+class EmptyTradeDecision(BaseTradeDecision[object]):
     def get_decision(self) -> List[object]:
         return []
 
@@ -524,23 +529,29 @@ class EmptyTradeDecision(BaseTradeDecision):
         return True
 
 
-class TradeDecisionWO(BaseTradeDecision):
+class TradeDecisionWO(BaseTradeDecision[Order]):
     """
     Trade Decision (W)ith (O)rder.
     Besides, the time_range is also included.
     """
 
-    def __init__(self, order_list: List[Order], strategy: BaseStrategy, trade_range: Tuple[int, int] = None):
+    def __init__(
+        self,
+        order_list: List[Order],
+        strategy: BaseStrategy,
+        trade_range: Union[Tuple[int, int], TradeRange] = None,
+    ) -> None:
         super().__init__(strategy, trade_range=trade_range)
-        self.order_list = order_list
+        self.order_list = cast(List[Order], order_list)
         start, end = strategy.trade_calendar.get_step_time()
         for o in order_list:
+            assert isinstance(o, Order)
             if o.start_time is None:
                 o.start_time = start
             if o.end_time is None:
                 o.end_time = end
 
-    def get_decision(self) -> List[object]:
+    def get_decision(self) -> List[Order]:
         return self.order_list
 
     def __repr__(self) -> str:

qlib/backtest/exchange.py

@@ -3,7 +3,7 @@
 from __future__ import annotations
 
 from collections import defaultdict
-from typing import TYPE_CHECKING, List, Optional, Tuple, Type, Union
+from typing import TYPE_CHECKING, Any, Dict, List, Optional, Tuple, Type, Union, cast
 
 from ..utils.index_data import IndexData
 
@@ -32,7 +32,7 @@ class Exchange:
         start_time: Union[pd.Timestamp, str] = None,
         end_time: Union[pd.Timestamp, str] = None,
         codes: Union[list, str] = "all",
-        deal_price: Union[str, Tuple[str], List[str]] = None,
+        deal_price: Union[str, Tuple[str, str], List[str]] = None,
         subscribe_fields: list = [],
         limit_threshold: Union[Tuple[str, str], float, None] = None,
         volume_threshold: Union[tuple, dict] = None,
@@ -42,7 +42,7 @@ class Exchange:
         impact_cost: float = 0.0,
         extra_quote: pd.DataFrame = None,
         quote_cls: Type[BaseQuote] = NumpyQuote,
-        **kwargs,
+        **kwargs: Any,
     ) -> None:
         """__init__
         :param freq:             frequency of data
@@ -141,7 +141,7 @@ class Exchange:
         if limit_threshold is None:
             if C.region == REG_CN:
                 self.logger.warning(f"limit_threshold not set. The stocks hit the limit may be bought/sold")
-        elif self.limit_type == self.LT_FLT and abs(limit_threshold) > 0.1:
+        elif self.limit_type == self.LT_FLT and abs(cast(float, limit_threshold)) > 0.1:
             if C.region == REG_CN:
                 self.logger.warning(f"limit_threshold may not be set to a reasonable value")
 
@@ -150,7 +150,7 @@ class Exchange:
                 deal_price = "$" + deal_price
             self.buy_price = self.sell_price = deal_price
         elif isinstance(deal_price, (tuple, list)):
-            self.buy_price, self.sell_price = deal_price
+            self.buy_price, self.sell_price = cast(Tuple[str, str], deal_price)
         else:
             raise NotImplementedError(f"This type of input is not supported")
 
@@ -167,10 +167,10 @@ class Exchange:
 
         necessary_fields = {self.buy_price, self.sell_price, "$close", "$change", "$factor", "$volume"}
         if self.limit_type == self.LT_TP_EXP:
+            assert isinstance(limit_threshold, tuple)
             for exp in limit_threshold:
                 necessary_fields.add(exp)
-        all_fields = necessary_fields | set(vol_lt_fields)
+        all_fields = list(necessary_fields | set(vol_lt_fields) | set(subscribe_fields))
-        all_fields = list(all_fields | set(subscribe_fields))
 
         self.all_fields = all_fields
 
@@ -249,9 +249,9 @@ class Exchange:
     LT_FLT = "float"  # float
     LT_NONE = "none"  # none
 
-    def _get_limit_type(self, limit_threshold: Union[Tuple, float, None]) -> str:
+    def _get_limit_type(self, limit_threshold: Union[tuple, float, None]) -> str:
         """get limit type"""
-        if isinstance(limit_threshold, Tuple):
+        if isinstance(limit_threshold, tuple):
             return self.LT_TP_EXP
         elif isinstance(limit_threshold, float):
             return self.LT_FLT
@@ -268,14 +268,16 @@ class Exchange:
             self.quote_df["limit_sell"] = False
         elif limit_type == self.LT_TP_EXP:
             # set limit
+            limit_threshold = cast(tuple, limit_threshold)
             self.quote_df["limit_buy"] = self.quote_df[limit_threshold[0]]
             self.quote_df["limit_sell"] = self.quote_df[limit_threshold[1]]
         elif limit_type == self.LT_FLT:
+            limit_threshold = cast(float, limit_threshold)
             self.quote_df["limit_buy"] = self.quote_df["$change"].ge(limit_threshold)
             self.quote_df["limit_sell"] = self.quote_df["$change"].le(-limit_threshold)  # pylint: disable=E1130
 
     @staticmethod
-    def _get_vol_limit(volume_threshold: Union[tuple, dict]) -> Tuple[Optional[list], Optional[list], set]:
+    def _get_vol_limit(volume_threshold: Union[tuple, dict, None]) -> Tuple[Optional[list], Optional[list], set]:
         """
         preprocess the volume limit.
         get the fields need to get from qlib.
@@ -340,11 +342,11 @@ class Exchange:
         if direction is None:
             buy_limit = self.quote.get_data(stock_id, start_time, end_time, field="limit_buy", method="all")
             sell_limit = self.quote.get_data(stock_id, start_time, end_time, field="limit_sell", method="all")
-            return buy_limit or sell_limit
+            return bool(buy_limit or sell_limit)
         elif direction == Order.BUY:
-            return self.quote.get_data(stock_id, start_time, end_time, field="limit_buy", method="all")
+            return cast(bool, self.quote.get_data(stock_id, start_time, end_time, field="limit_buy", method="all"))
         elif direction == Order.SELL:
-            return self.quote.get_data(stock_id, start_time, end_time, field="limit_sell", method="all")
+            return cast(bool, self.quote.get_data(stock_id, start_time, end_time, field="limit_sell", method="all"))
         else:
             raise ValueError(f"direction {direction} is not supported!")
 
@@ -382,7 +384,7 @@ class Exchange:
         order: Order,
         trade_account: Account = None,
         position: BasePosition = None,
-        dealt_order_amount: defaultdict = defaultdict(float),
+        dealt_order_amount: Dict[str, float] = defaultdict(float),
     ) -> Tuple[float, float, float]:
         """
         Deal order when the actual transaction
@@ -426,9 +428,10 @@ class Exchange:
         stock_id: str,
         start_time: pd.Timestamp,
         end_time: pd.Timestamp,
+        field: str,
         method: str = "ts_data_last",
     ) -> Union[None, int, float, bool, IndexData]:
-        return self.quote.get_data(stock_id, start_time, end_time, method=method)  # TODO: missing `field`?
+        return self.quote.get_data(stock_id, start_time, end_time, field=field, method=method)
 
     def get_close(
         self,
@@ -444,8 +447,8 @@ class Exchange:
         stock_id: str,
         start_time: pd.Timestamp,
         end_time: pd.Timestamp,
-        method: str = "sum",
+        method: Optional[str] = "sum",
-    ) -> float:
+    ) -> Union[None, int, float, bool, IndexData]:
         """get the total deal volume of stock with `stock_id` between the time interval [start_time, end_time)"""
         return self.quote.get_data(stock_id, start_time, end_time, field="$volume", method=method)
 
@@ -455,8 +458,8 @@ class Exchange:
         start_time: pd.Timestamp,
         end_time: pd.Timestamp,
         direction: OrderDir,
-        method: str = "ts_data_last",
+        method: Optional[str] = "ts_data_last",
-    ) -> float:
+    ) -> Union[None, int, float, bool, IndexData]:
         if direction == OrderDir.SELL:
             pstr = self.sell_price
         elif direction == OrderDir.BUY:
@@ -544,7 +547,7 @@ class Exchange:
                 )
         return amount_dict
 
-    def get_real_deal_amount(self, current_amount: float, target_amount: float, factor: float) -> float:
+    def get_real_deal_amount(self, current_amount: float, target_amount: float, factor: float = None) -> float:
         """
         Calculate the real adjust deal amount when considering the trading unit
         :param current_amount:
@@ -572,7 +575,7 @@ class Exchange:
         current_position: dict,
         start_time: pd.Timestamp,
         end_time: pd.Timestamp,
-    ) -> list:
+    ) -> List[Order]:
         """
         Note: some future information is used in this function
         Parameter:
@@ -681,6 +684,7 @@ class Exchange:
                 factor = self.get_factor(stock_id=stock_id, start_time=start_time, end_time=end_time)
             else:
                 raise ValueError(f"`factor` and (`stock_id`, `start_time`, `end_time`) can't both be None")
+        assert factor is not None
         return factor
 
     def get_amount_of_trade_unit(
@@ -718,12 +722,12 @@ class Exchange:
 
     def round_amount_by_trade_unit(
         self,
-        deal_amount,
+        deal_amount: float,
         factor: float = None,
         stock_id: str = None,
-        start_time=None,
+        start_time: pd.Timestamp = None,
-        end_time=None,
+        end_time: pd.Timestamp = None,
-    ):
+    ) -> float:
         """Parameter
         Please refer to the docs of get_amount_of_trade_unit
         deal_amount : float, adjusted amount
@@ -741,7 +745,7 @@ class Exchange:
             return (deal_amount * factor + 0.1) // self.trade_unit * self.trade_unit / factor
         return deal_amount
 
-    def _clip_amount_by_volume(self, order: Order, dealt_order_amount: dict) -> int:
+    def _clip_amount_by_volume(self, order: Order, dealt_order_amount: dict) -> Optional[float]:
         """parse the capacity limit string and return the actual amount of orders that can be executed.
         NOTE:
             this function will change the order.deal_amount **inplace**
@@ -753,15 +757,12 @@ class Exchange:
         dealt_order_amount : dict
             :param dealt_order_amount: the dealt order amount dict with the format of {stock_id: float}
         """
-        if order.direction == Order.BUY:
+        vol_limit = self.buy_vol_limit if order.direction == Order.BUY else self.sell_vol_limit
-            vol_limit = self.buy_vol_limit
-        elif order.direction == Order.SELL:
-            vol_limit = self.sell_vol_limit
 
         if vol_limit is None:
             return order.deal_amount
 
-        vol_limit_num = []
+        vol_limit_num: List[float] = []
         for limit in vol_limit:
             assert isinstance(limit, tuple)
             if limit[0] == "current":
@@ -772,7 +773,7 @@ class Exchange:
                     field=limit[1],
                     method="sum",
                 )
-                vol_limit_num.append(limit_value)
+                vol_limit_num.append(cast(float, limit_value))
             elif limit[0] == "cum":
                 limit_value = self.quote.get_data(
                     order.stock_id,
@@ -790,12 +791,14 @@ class Exchange:
         if vol_limit_min < orig_deal_amount:
             self.logger.debug(f"Order clipped due to volume limitation: {order}, {list(zip(vol_limit_num, vol_limit))}")
 
-    def _get_buy_amount_by_cash_limit(self, trade_price, cash, cost_ratio):
+        return None
+
+    def _get_buy_amount_by_cash_limit(self, trade_price: float, cash: float, cost_ratio: float) -> float:
         """return the real order amount after cash limit for buying.
         Parameters
         ----------
         trade_price : float
-        position : cash
+        cash : float
         cost_ratio : float
 
         Return
@@ -803,7 +806,7 @@ class Exchange:
         float
             the real order amount after cash limit for buying.
         """
-        max_trade_amount = 0
+        max_trade_amount = 0.0
         if cash >= self.min_cost:
             # critical_price means the stock transaction price when the service fee is equal to min_cost.
             critical_price = self.min_cost / cost_ratio + self.min_cost
@@ -829,8 +832,11 @@ class Exchange:
         :param dealt_order_amount: the dealt order amount dict with the format of {stock_id: float}
         :return: trade_price, trade_val, trade_cost
         """
-        trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time, direction=order.direction)
+        trade_price = cast(
-        total_trade_val = self.get_volume(order.stock_id, order.start_time, order.end_time) * trade_price
+            float,
+            self.get_deal_price(order.stock_id, order.start_time, order.end_time, direction=order.direction),
+        )
+        total_trade_val = cast(float, self.get_volume(order.stock_id, order.start_time, order.end_time)) * trade_price
         order.factor = self.get_factor(order.stock_id, order.start_time, order.end_time)
         order.deal_amount = order.amount  # set to full amount and clip it step by step
         # Clipping amount first
@@ -897,7 +903,7 @@ class Exchange:
                 order.deal_amount = self.round_amount_by_trade_unit(order.deal_amount, order.factor)
 
         else:
-            raise NotImplementedError("order type {} error".format(order.type))
+            raise NotImplementedError("order direction {} error".format(order.direction))
 
         trade_val = order.deal_amount * trade_price
         trade_cost = max(trade_val * cost_ratio, self.min_cost)

qlib/backtest/executor.py

@@ -4,7 +4,7 @@ import copy
 from abc import abstractmethod
 from collections import defaultdict
 from types import GeneratorType
-from typing import Generator, List, Optional, Tuple, Union
+from typing import Any, Dict, Generator, List, Tuple, Union, cast
 
 import pandas as pd
 
@@ -16,13 +16,7 @@ from ..strategy.base import BaseStrategy
 from ..utils import init_instance_by_config
 from .decision import BaseTradeDecision, Order
 from .exchange import Exchange
-from .utils import (
+from .utils import CommonInfrastructure, LevelInfrastructure, TradeCalendarManager, get_start_end_idx
-    BaseInfrastructure,
-    CommonInfrastructure,
-    LevelInfrastructure,
-    TradeCalendarManager,
-    get_start_end_idx,
-)
 
 
 class BaseExecutor:
@@ -39,8 +33,8 @@ class BaseExecutor:
         track_data: bool = False,
         trade_exchange: Exchange = None,
         common_infra: CommonInfrastructure = None,
-        settle_type=BasePosition.ST_NO,  # TODO: add typehint
+        settle_type: str = BasePosition.ST_NO,
-        **kwargs,
+        **kwargs: Any,
     ) -> None:
         """
         Parameters
@@ -127,10 +121,10 @@ class BaseExecutor:
             get_module_logger("BaseExecutor").warning(f"`common_infra` is not set for {self}")
 
         # record deal order amount in one day
-        self.dealt_order_amount = defaultdict(float)
+        self.dealt_order_amount: Dict[str, float] = defaultdict(float)
         self.deal_day = None
 
-    def reset_common_infra(self, common_infra: BaseInfrastructure, copy_trade_account: bool = False) -> None:
+    def reset_common_infra(self, common_infra: CommonInfrastructure, copy_trade_account: bool = False) -> None:
         """
         reset infrastructure for trading
             - reset trade_account
@@ -141,14 +135,15 @@ class BaseExecutor:
             self.common_infra.update(common_infra)
 
         if common_infra.has("trade_account"):
-            if copy_trade_account:
             # NOTE: there is a trick in the code.
             # shallow copy is used instead of deepcopy.
             # 1. So positions are shared
             # 2. Others are not shared, so each level has it own metrics (portfolio and trading metrics)
-                self.trade_account: Account = copy.copy(common_infra.get("trade_account"))
+            self.trade_account: Account = (
-            else:
+                copy.copy(common_infra.get("trade_account"))
-                self.trade_account: Account = common_infra.get("trade_account")
+                if copy_trade_account
+                else common_infra.get("trade_account")
+            )
             self.trade_account.reset(freq=self.time_per_step, port_metr_enabled=self.generate_portfolio_metrics)
 
     @property
@@ -164,7 +159,7 @@ class BaseExecutor:
         """
         return self.level_infra.get("trade_calendar")
 
-    def reset(self, common_infra: CommonInfrastructure = None, **kwargs) -> None:
+    def reset(self, common_infra: CommonInfrastructure = None, **kwargs: Any) -> None:
         """
         - reset `start_time` and `end_time`, used in trade calendar
         - reset `common_infra`, used to reset `trade_account`, `trade_exchange`, .etc
@@ -200,20 +195,17 @@ class BaseExecutor:
         execute_result : List[object]
             the executed result for trade decision
         """
-        return_value = {}
+        return_value: dict = {}
         for _decision in self.collect_data(trade_decision, return_value=return_value, level=level):
             pass
-        return return_value.get("execute_result")
+        return cast(list, return_value.get("execute_result"))
 
     @abstractmethod
     def _collect_data(
         self,
         trade_decision: BaseTradeDecision,
         level: int = 0,
-    ) -> Union[
+    ) -> Union[Generator[Any, Any, Tuple[List[object], dict]], Tuple[List[object], dict]]:
-        Generator[BaseTradeDecision, Optional[BaseTradeDecision], Tuple[List[object], dict]],
-        Tuple[List[object], dict],
-    ]:
         """
         Please refer to the doc of collect_data
         The only difference between `_collect_data` and `collect_data` is that some common steps are moved into
@@ -235,7 +227,7 @@ class BaseExecutor:
         trade_decision: BaseTradeDecision,
         return_value: dict = None,
         level: int = 0,
-    ) -> Generator[BaseTradeDecision, Optional[BaseTradeDecision], List[object]]:
+    ) -> Generator[Any, Any, List[object]]:
         """Generator for collecting the trade decision data for rl training
 
         his function will make a step forward
@@ -332,7 +324,7 @@ class NestedExecutor(BaseExecutor):
         skip_empty_decision: bool = True,
         align_range_limit: bool = True,
         common_infra: CommonInfrastructure = None,
-        **kwargs,
+        **kwargs: Any,
     ) -> None:
         """
         Parameters
@@ -411,7 +403,7 @@ class NestedExecutor(BaseExecutor):
         self,
         trade_decision: BaseTradeDecision,
         level: int = 0,
-    ) -> Generator[BaseTradeDecision, Optional[BaseTradeDecision], Tuple[List[object], dict]]:
+    ) -> Generator[Any, Any, Tuple[List[object], dict]]:
         execute_result = []
         inner_order_indicators = []
         decision_list = []
@@ -492,8 +484,9 @@ class NestedExecutor(BaseExecutor):
         inner_exe_res :
             the execution result of inner task
         """
+        self.inner_strategy.post_exe_step(inner_exe_res)
 
-    def get_all_executors(self) -> List[object]:
+    def get_all_executors(self) -> List[BaseExecutor]:
         """get all executors, including self and inner_executor.get_all_executors()"""
         return [self, *self.inner_executor.get_all_executors()]
 
@@ -536,7 +529,7 @@ class SimulatorExecutor(BaseExecutor):
         track_data: bool = False,
         common_infra: CommonInfrastructure = None,
         trade_type: str = TT_SERIAL,
-        **kwargs,
+        **kwargs: Any,
     ) -> None:
         """
         Parameters
@@ -598,7 +591,7 @@ class SimulatorExecutor(BaseExecutor):
 
     def _collect_data(self, trade_decision: BaseTradeDecision, level: int = 0) -> Tuple[List[object], dict]:
         trade_start_time, _ = self.trade_calendar.get_step_time()
-        execute_result = []
+        execute_result: list = []
 
         for order in self._get_order_iterator(trade_decision):
             # execute the order.

qlib/backtest/high_performance_ds.py

@@ -1,11 +1,13 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 
+from __future__ import annotations
+
 import inspect
 import logging
 from collections import OrderedDict
 from functools import lru_cache
-from typing import Callable, Dict, Iterable, List, Text, Union
+from typing import Any, Callable, Dict, Iterable, List, Optional, Text, Union, cast
 
 import numpy as np
 import pandas as pd
@@ -19,7 +21,7 @@ from ..utils.time import Freq, is_single_value
 
 
 class BaseQuote:
-    def __init__(self, quote_df: pd.DataFrame, freq):
+    def __init__(self, quote_df: pd.DataFrame, freq: str) -> None:
         self.logger = get_module_logger("online operator", level=logging.INFO)
 
     def get_all_stock(self) -> Iterable:
@@ -39,7 +41,7 @@ class BaseQuote:
         start_time: Union[pd.Timestamp, str],
         end_time: Union[pd.Timestamp, str],
         field: Union[str],
-        method: Union[str, None] = None,
+        method: Optional[str] = None,
     ) -> Union[None, int, float, bool, IndexData]:
         """get the specific field of stock data during start time and end_time,
            and apply method to the data.
@@ -99,7 +101,7 @@ class BaseQuote:
 
 
 class PandasQuote(BaseQuote):
-    def __init__(self, quote_df: pd.DataFrame, freq):
+    def __init__(self, quote_df: pd.DataFrame, freq: str) -> None:
         super().__init__(quote_df=quote_df, freq=freq)
         quote_dict = {}
         for stock_id, stock_val in quote_df.groupby(level="instrument"):
@@ -124,7 +126,7 @@ class PandasQuote(BaseQuote):
 
 
 class NumpyQuote(BaseQuote):
-    def __init__(self, quote_df: pd.DataFrame, freq, region="cn"):
+    def __init__(self, quote_df: pd.DataFrame, freq: str, region: str = "cn") -> None:
         """NumpyQuote
 
         Parameters
@@ -178,7 +180,8 @@ class NumpyQuote(BaseQuote):
                 data = self._agg_data(data, method)
             return data
 
-    def _agg_data(self, data: IndexData, method):
+    @staticmethod
+    def _agg_data(data: IndexData, method: str) -> Union[IndexData, np.ndarray, None]:
         """Agg data by specific method."""
         # FIXME: why not call the method of data directly?
         if method == "sum":
@@ -224,31 +227,31 @@ class BaseSingleMetric:
         """
         raise NotImplementedError(f"Please implement the `__init__` method")
 
-    def __add__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
+    def __add__(self, other: Union[BaseSingleMetric, int, float]) -> BaseSingleMetric:
         raise NotImplementedError(f"Please implement the `__add__` method")
 
-    def __radd__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
+    def __radd__(self, other: Union[BaseSingleMetric, int, float]) -> BaseSingleMetric:
         return self + other
 
-    def __sub__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
+    def __sub__(self, other: Union[BaseSingleMetric, int, float]) -> BaseSingleMetric:
         raise NotImplementedError(f"Please implement the `__sub__` method")
 
-    def __rsub__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
+    def __rsub__(self, other: Union[BaseSingleMetric, int, float]) -> BaseSingleMetric:
         raise NotImplementedError(f"Please implement the `__rsub__` method")
 
-    def __mul__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
+    def __mul__(self, other: Union[BaseSingleMetric, int, float]) -> BaseSingleMetric:
         raise NotImplementedError(f"Please implement the `__mul__` method")
 
-    def __truediv__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
+    def __truediv__(self, other: Union[BaseSingleMetric, int, float]) -> BaseSingleMetric:
         raise NotImplementedError(f"Please implement the `__truediv__` method")
 
-    def __eq__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
+    def __eq__(self, other: object) -> BaseSingleMetric:
         raise NotImplementedError(f"Please implement the `__eq__` method")
 
-    def __gt__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
+    def __gt__(self, other: Union[BaseSingleMetric, int, float]) -> BaseSingleMetric:
         raise NotImplementedError(f"Please implement the `__gt__` method")
 
-    def __lt__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
+    def __lt__(self, other: Union[BaseSingleMetric, int, float]) -> BaseSingleMetric:
         raise NotImplementedError(f"Please implement the `__lt__` method")
 
     def __len__(self) -> int:
@@ -265,7 +268,7 @@ class BaseSingleMetric:
 
         raise NotImplementedError(f"Please implement the `count` method")
 
-    def abs(self) -> "BaseSingleMetric":
+    def abs(self) -> BaseSingleMetric:
         raise NotImplementedError(f"Please implement the `abs` method")
 
     @property
@@ -274,18 +277,18 @@ class BaseSingleMetric:
 
         raise NotImplementedError(f"Please implement the `empty` method")
 
-    def add(self, other: "BaseSingleMetric", fill_value: float = None) -> "BaseSingleMetric":
+    def add(self, other: BaseSingleMetric, fill_value: float = None) -> BaseSingleMetric:
         """Replace np.NaN with fill_value in two metrics and add them."""
 
         raise NotImplementedError(f"Please implement the `add` method")
 
-    def replace(self, replace_dict: dict) -> "BaseSingleMetric":
+    def replace(self, replace_dict: dict) -> BaseSingleMetric:
         """Replace the value of metric according to replace_dict."""
 
         raise NotImplementedError(f"Please implement the `replace` method")
 
-    def apply(self, func: dict) -> "BaseSingleMetric":
+    def apply(self, func: Callable) -> BaseSingleMetric:
-        """Replace the value of metric with func(metric).
+        """Replace the value of metric with func (metric).
         Currently, the func is only qlib/backtest/order/Order.parse_dir.
         """
 
@@ -304,11 +307,11 @@ class BaseOrderIndicator:
         to inherit the BaseSingleMetric.
     """
 
-    def __init__(self, data):
+    def __init__(self):
-        self.data = data
+        self.data = {}  # will be created in the subclass
         self.logger = get_module_logger("online operator")
 
-    def assign(self, col: str, metric: Union[dict, pd.Series]):
+    def assign(self, col: str, metric: Union[dict, pd.Series]) -> None:
         """assign one metric.
 
         Parameters
@@ -328,7 +331,7 @@ class BaseOrderIndicator:
 
         raise NotImplementedError(f"Please implement the 'assign' method")
 
-    def transfer(self, func: Callable, new_col: str = None) -> Union[None, BaseSingleMetric]:
+    def transfer(self, func: Callable, new_col: str = None) -> Optional[BaseSingleMetric]:
         """compute new metric with existing metrics.
 
         Parameters
@@ -352,6 +355,7 @@ class BaseOrderIndicator:
         tmp_metric = func(**func_kwargs)
         if new_col is not None:
             self.data[new_col] = tmp_metric
+            return None
         else:
             return tmp_metric
 
@@ -372,7 +376,7 @@ class BaseOrderIndicator:
 
         raise NotImplementedError(f"Please implement the 'get_metric_series' method")
 
-    def get_index_data(self, metric) -> SingleData:
+    def get_index_data(self, metric: str) -> SingleData:
         """get one metric with the format of SingleData
 
         Parameters
@@ -389,7 +393,12 @@ class BaseOrderIndicator:
         raise NotImplementedError(f"Please implement the 'get_index_data' method")
 
     @staticmethod
-    def sum_all_indicators(order_indicator, indicators: list, metrics: Union[str, List[str]], fill_value: float = None):
+    def sum_all_indicators(
+        order_indicator: BaseOrderIndicator,
+        indicators: List[BaseOrderIndicator],
+        metrics: Union[str, List[str]],
+        fill_value: float = 0,
+    ) -> None:
         """sum indicators with the same metrics.
         and assign to the order_indicator(BaseOrderIndicator).
         NOTE: indicators could be a empty list when orders in lower level all fail.
@@ -527,16 +536,17 @@ class PandasSingleMetric(SingleMetric):
     def index(self):
         return list(self.metric.index)
 
-    def add(self, other, fill_value=None):
+    def add(self, other: BaseSingleMetric, fill_value: float = None) -> PandasSingleMetric:
+        other = cast(PandasSingleMetric, other)
         return self.__class__(self.metric.add(other.metric, fill_value=fill_value))
 
-    def replace(self, replace_dict: dict):
+    def replace(self, replace_dict: dict) -> PandasSingleMetric:
         return self.__class__(self.metric.replace(replace_dict))
 
-    def apply(self, func: Callable):
+    def apply(self, func: Callable) -> PandasSingleMetric:
         return self.__class__(self.metric.apply(func))
 
-    def reindex(self, index, fill_value):
+    def reindex(self, index: Any, fill_value: float) -> PandasSingleMetric:
         return self.__class__(self.metric.reindex(index, fill_value=fill_value))
 
     def __repr__(self):
@@ -550,13 +560,14 @@ class PandasOrderIndicator(BaseOrderIndicator):
     Str is the name of metric.
     """
 
-    def __init__(self):
+    def __init__(self) -> None:
+        super(PandasOrderIndicator, self).__init__()
         self.data: Dict[str, PandasSingleMetric] = OrderedDict()
 
-    def assign(self, col: str, metric: Union[dict, pd.Series]):
+    def assign(self, col: str, metric: Union[dict, pd.Series]) -> None:
         self.data[col] = PandasSingleMetric(metric)
 
-    def get_index_data(self, metric):
+    def get_index_data(self, metric: str) -> SingleData:
         if metric in self.data:
             return idd.SingleData(self.data[metric].metric)
         else:
@@ -572,7 +583,12 @@ class PandasOrderIndicator(BaseOrderIndicator):
         return {k: v.metric for k, v in self.data.items()}
 
     @staticmethod
-    def sum_all_indicators(order_indicator, indicators: list, metrics: Union[str, List[str]], fill_value=0):
+    def sum_all_indicators(
+        order_indicator: BaseOrderIndicator,
+        indicators: List[BaseOrderIndicator],
+        metrics: Union[str, List[str]],
+        fill_value: float = 0,
+    ) -> None:
         if isinstance(metrics, str):
             metrics = [metrics]
         for metric in metrics:
@@ -592,13 +608,14 @@ class NumpyOrderIndicator(BaseOrderIndicator):
     Str is the name of metric.
     """
 
-    def __init__(self):
+    def __init__(self) -> None:
+        super(NumpyOrderIndicator, self).__init__()
         self.data: Dict[str, SingleData] = OrderedDict()
 
-    def assign(self, col: str, metric: dict):
+    def assign(self, col: str, metric: dict) -> None:
         self.data[col] = idd.SingleData(metric)
 
-    def get_index_data(self, metric):
+    def get_index_data(self, metric: str) -> SingleData:
         if metric in self.data:
             return self.data[metric]
         else:
@@ -614,14 +631,18 @@ class NumpyOrderIndicator(BaseOrderIndicator):
         return tmp_metric_dict
 
     @staticmethod
-    def sum_all_indicators(order_indicator, indicators: list, metrics: Union[str, List[str]], fill_value=0):
+    def sum_all_indicators(
+        order_indicator: BaseOrderIndicator,
+        indicators: List[BaseOrderIndicator],
+        metrics: Union[str, List[str]],
+        fill_value: float = 0,
+    ) -> None:
         # get all index(stock_id)
-        stocks = set()
+        stock_set: set = set()
         for indicator in indicators:
             # set(np.ndarray.tolist()) is faster than set(np.ndarray)
-            stocks = stocks | set(indicator.data[metrics[0]].index.tolist())
+            stock_set = stock_set | set(indicator.data[metrics[0]].index.tolist())
-        stocks = list(stocks)
+        stocks = sorted(list(stock_set))
-        stocks.sort()
 
         # add metric by index
         if isinstance(metrics, str):

qlib/backtest/position.py

@@ -3,7 +3,7 @@
 
 
 from datetime import timedelta
-from typing import Dict, List, Union
+from typing import Any, Dict, List, Union
 
 import numpy as np
 import pandas as pd
@@ -18,9 +18,9 @@ class BasePosition:
     Please refer to the `Position` class for the position
     """
 
-    def __init__(self, *args, cash: float = 0.0, **kwargs) -> None:
+    def __init__(self, *args: Any, cash: float = 0.0, **kwargs: Any) -> None:
         self._settle_type = self.ST_NO
-        self.position = {}
+        self.position: dict = {}
 
     def fill_stock_value(self, start_time: Union[str, pd.Timestamp], freq: str, last_days: int = 30) -> None:
         pass
@@ -96,13 +96,13 @@ class BasePosition:
     def calculate_value(self) -> float:
         raise NotImplementedError(f"Please implement the `calculate_value` method")
 
-    def get_stock_list(self) -> List:
+    def get_stock_list(self) -> List[str]:
         """
         Get the list of stocks in the position.
         """
         raise NotImplementedError(f"Please implement the `get_stock_list` method")
 
-    def get_stock_price(self, code) -> float:
+    def get_stock_price(self, code: str) -> float:
         """
         get the latest price of the stock
 
@@ -113,7 +113,7 @@ class BasePosition:
         """
         raise NotImplementedError(f"Please implement the `get_stock_price` method")
 
-    def get_stock_amount(self, code) -> float:
+    def get_stock_amount(self, code: str) -> float:
         """
         get the amount of the stock
 
@@ -144,7 +144,7 @@ class BasePosition:
         """
         raise NotImplementedError(f"Please implement the `get_cash` method")
 
-    def get_stock_amount_dict(self) -> Dict:
+    def get_stock_amount_dict(self) -> dict:
         """
         generate stock amount dict {stock_id : amount of stock}
 
@@ -155,7 +155,7 @@ class BasePosition:
         """
         raise NotImplementedError(f"Please implement the `get_stock_amount_dict` method")
 
-    def get_stock_weight_dict(self, only_stock: bool = False) -> Dict:
+    def get_stock_weight_dict(self, only_stock: bool = False) -> dict:
         """
         generate stock weight dict {stock_id : value weight of stock in the position}
         it is meaningful in the beginning or the end of each trade step
@@ -174,7 +174,7 @@ class BasePosition:
         """
         raise NotImplementedError(f"Please implement the `get_stock_weight_dict` method")
 
-    def add_count_all(self, bar) -> None:
+    def add_count_all(self, bar: str) -> None:
         """
         Will be called at the end of each bar on each level
 
@@ -195,7 +195,7 @@ class BasePosition:
         raise NotImplementedError(f"Please implement the `add_count_all` method")
 
     ST_CASH = "cash"
-    ST_NO = None
+    ST_NO = "None"  # String is more typehint friendly than None
 
     def settle_start(self, settle_type: str) -> None:
         """
@@ -220,10 +220,10 @@ class BasePosition:
         """
         raise NotImplementedError(f"Please implement the `settle_commit` method")
 
-    def __str__(self):
+    def __str__(self) -> str:
         return self.__dict__.__str__()
 
-    def __repr__(self):
+    def __repr__(self) -> str:
         return self.__dict__.__repr__()
 
 
@@ -532,7 +532,7 @@ class InfPosition(BasePosition):
     def calculate_value(self) -> float:
         raise NotImplementedError(f"InfPosition doesn't support calculating value")
 
-    def get_stock_list(self) -> list:
+    def get_stock_list(self) -> List[str]:
         raise NotImplementedError(f"InfPosition doesn't support stock list position")
 
     def get_stock_price(self, code: str) -> float:
@@ -545,10 +545,10 @@ class InfPosition(BasePosition):
     def get_cash(self, include_settle: bool = False) -> float:
         return np.inf
 
-    def get_stock_amount_dict(self) -> Dict:
+    def get_stock_amount_dict(self) -> dict:
         raise NotImplementedError(f"InfPosition doesn't support get_stock_amount_dict")
 
-    def get_stock_weight_dict(self, only_stock: bool = False) -> Dict:
+    def get_stock_weight_dict(self, only_stock: bool = False) -> dict:
         raise NotImplementedError(f"InfPosition doesn't support get_stock_weight_dict")
 
     def add_count_all(self, bar: str) -> None:

qlib/backtest/report.py

@@ -4,7 +4,7 @@
 
 import pathlib
 from collections import OrderedDict
-from typing import Dict, List, Tuple, Union
+from typing import Any, Dict, List, Optional, Text, Tuple, Type, Union, cast
 
 import numpy as np
 import pandas as pd
@@ -15,7 +15,7 @@ from qlib.backtest.exchange import Exchange
 
 from ..tests.config import CSI300_BENCH
 from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
-from .high_performance_ds import BaseOrderIndicator, NumpyOrderIndicator, SingleMetric
+from .high_performance_ds import BaseOrderIndicator, BaseSingleMetric, NumpyOrderIndicator
 
 
 class PortfolioMetrics:
@@ -38,7 +38,7 @@ class PortfolioMetrics:
         update report
     """
 
-    def __init__(self, freq: str = "day", benchmark_config: dict = {}):
+    def __init__(self, freq: str = "day", benchmark_config: dict = {}) -> None:
         """
         Parameters
         ----------
@@ -49,13 +49,17 @@ class PortfolioMetrics:
             - benchmark : Union[str, list, pd.Series]
                 - If `benchmark` is pd.Series, `index` is trading date; the value T is the change from T-1 to T.
                     example:
-                        print(D.features(D.instruments('csi500'), ['$close/Ref($close, 1)-1'])['$close/Ref($close, 1)-1'].head())
+                        print(
+                            D.features(D.instruments('csi500'),
+                            ['$close/Ref($close, 1)-1'])['$close/Ref($close, 1)-1'].head()
+                        )
                             2017-01-04    0.011693
                             2017-01-05    0.000721
                             2017-01-06   -0.004322
                             2017-01-09    0.006874
                             2017-01-10   -0.003350
-                - If `benchmark` is list, will use the daily average change of the stock pool in the list as the 'bench'.
+                - If `benchmark` is list, will use the daily average change of the stock pool in the list as the
+                    'bench'.
                 - If `benchmark` is str, will use the daily change as the 'bench'.
                 benchmark code, default is SH000300 CSI300
             - start_time : Union[str, pd.Timestamp], optional
@@ -70,25 +74,26 @@ class PortfolioMetrics:
         self.init_vars()
         self.init_bench(freq=freq, benchmark_config=benchmark_config)
 
-    def init_vars(self):
+    def init_vars(self) -> None:
-        self.accounts = OrderedDict()  # account position value for each trade time
+        self.accounts: dict = OrderedDict()  # account position value for each trade time
-        self.returns = OrderedDict()  # daily return rate for each trade time
+        self.returns: dict = OrderedDict()  # daily return rate for each trade time
-        self.total_turnovers = OrderedDict()  # total turnover for each trade time
+        self.total_turnovers: dict = OrderedDict()  # total turnover for each trade time
-        self.turnovers = OrderedDict()  # turnover for each trade time
+        self.turnovers: dict = OrderedDict()  # turnover for each trade time
-        self.total_costs = OrderedDict()  # total trade cost for each trade time
+        self.total_costs: dict = OrderedDict()  # total trade cost for each trade time
-        self.costs = OrderedDict()  # trade cost rate for each trade time
+        self.costs: dict = OrderedDict()  # trade cost rate for each trade time
-        self.values = OrderedDict()  # value for each trade time
+        self.values: dict = OrderedDict()  # value for each trade time
-        self.cashes = OrderedDict()
+        self.cashes: dict = OrderedDict()
-        self.benches = OrderedDict()
+        self.benches: dict = OrderedDict()
-        self.latest_pm_time = None  # pd.TimeStamp
+        self.latest_pm_time: Optional[pd.TimeStamp] = None
 
-    def init_bench(self, freq=None, benchmark_config=None):
+    def init_bench(self, freq: str = None, benchmark_config: dict = None) -> None:
         if freq is not None:
             self.freq = freq
         self.benchmark_config = benchmark_config
         self.bench = self._cal_benchmark(self.benchmark_config, self.freq)
 
-    def _cal_benchmark(self, benchmark_config, freq):
+    @staticmethod
+    def _cal_benchmark(benchmark_config: Optional[dict], freq: str) -> Optional[pd.Series]:
         if benchmark_config is None:
             return None
         benchmark = benchmark_config.get("benchmark", CSI300_BENCH)
@@ -110,7 +115,12 @@ class PortfolioMetrics:
                 raise ValueError(f"The benchmark {_codes} does not exist. Please provide the right benchmark")
             return _temp_result.groupby(level="datetime")[_temp_result.columns.tolist()[0]].mean().fillna(0)
 
-    def _sample_benchmark(self, bench, trade_start_time, trade_end_time):
+    def _sample_benchmark(
+        self,
+        bench: pd.Series,
+        trade_start_time: Union[str, pd.Timestamp],
+        trade_end_time: Union[str, pd.Timestamp],
+    ) -> Optional[float]:
         if self.bench is None:
             return None
 
@@ -120,35 +130,35 @@ class PortfolioMetrics:
         _ret = resam_ts_data(bench, trade_start_time, trade_end_time, method=cal_change)
         return 0.0 if _ret is None else _ret - 1
 
-    def is_empty(self):
+    def is_empty(self) -> bool:
         return len(self.accounts) == 0
 
-    def get_latest_date(self):
+    def get_latest_date(self) -> pd.Timestamp:
         return self.latest_pm_time
 
-    def get_latest_account_value(self):
+    def get_latest_account_value(self) -> float:
         return self.accounts[self.latest_pm_time]
 
-    def get_latest_total_cost(self):
+    def get_latest_total_cost(self) -> Any:
         return self.total_costs[self.latest_pm_time]
 
-    def get_latest_total_turnover(self):
+    def get_latest_total_turnover(self) -> Any:
         return self.total_turnovers[self.latest_pm_time]
 
     def update_portfolio_metrics_record(
         self,
-        trade_start_time=None,
+        trade_start_time: Union[str, pd.Timestamp] = None,
-        trade_end_time=None,
+        trade_end_time: Union[str, pd.Timestamp] = None,
-        account_value=None,
+        account_value: float = None,
-        cash=None,
+        cash: float = None,
-        return_rate=None,
+        return_rate: float = None,
-        total_turnover=None,
+        total_turnover: float = None,
-        turnover_rate=None,
+        turnover_rate: float = None,
-        total_cost=None,
+        total_cost: float = None,
-        cost_rate=None,
+        cost_rate: float = None,
-        stock_value=None,
+        stock_value: float = None,
-        bench_value=None,
+        bench_value: float = None,
-    ):
+    ) -> None:
         # check data
         if None in [
             trade_start_time,
@@ -185,7 +195,7 @@ class PortfolioMetrics:
         self.latest_pm_time = trade_start_time
         # finish pm update in each step
 
-    def generate_portfolio_metrics_dataframe(self):
+    def generate_portfolio_metrics_dataframe(self) -> pd.DataFrame:
         pm = pd.DataFrame()
         pm["account"] = pd.Series(self.accounts)
         pm["return"] = pd.Series(self.returns)
@@ -199,19 +209,18 @@ class PortfolioMetrics:
         pm.index.name = "datetime"
         return pm
 
-    def save_portfolio_metrics(self, path):
+    def save_portfolio_metrics(self, path: str) -> None:
         r = self.generate_portfolio_metrics_dataframe()
         r.to_csv(path)
 
-    def load_portfolio_metrics(self, path):
+    def load_portfolio_metrics(self, path: str) -> None:
         """load pm from a file
         should have format like
         columns = ['account', 'return', 'total_turnover', 'turnover', 'cost', 'total_cost', 'value', 'cash', 'bench']
             :param
                 path: str/ pathlib.Path()
         """
-        path = pathlib.Path(path)
+        with pathlib.Path(path).open("rb") as f:
-        with path.open("rb") as f:
             r = pd.read_csv(f, index_col=0)
         r.index = pd.DatetimeIndex(r.index)
 
@@ -261,30 +270,30 @@ class Indicator:
 
     """
 
-    def __init__(self, order_indicator_cls=NumpyOrderIndicator):
+    def __init__(self, order_indicator_cls: Type[BaseOrderIndicator] = NumpyOrderIndicator) -> None:
         self.order_indicator_cls = order_indicator_cls
 
         # order indicator is metrics for a single order for a specific step
-        self.order_indicator_his = OrderedDict()
+        self.order_indicator_his: dict = OrderedDict()
         self.order_indicator: BaseOrderIndicator = self.order_indicator_cls()
 
         # trade indicator is metrics for all orders for a specific step
-        self.trade_indicator_his = OrderedDict()
+        self.trade_indicator_his: dict = OrderedDict()
-        self.trade_indicator: Dict[str, float] = OrderedDict()
+        self.trade_indicator: Dict[str, Optional[BaseSingleMetric]] = OrderedDict()
 
         self._trade_calendar = None
 
     # def reset(self, trade_calendar: TradeCalendarManager):
-    def reset(self):
+    def reset(self) -> None:
-        self.order_indicator: BaseOrderIndicator = self.order_indicator_cls()
+        self.order_indicator = self.order_indicator_cls()
         self.trade_indicator = OrderedDict()
         # self._trade_calendar = trade_calendar
 
-    def record(self, trade_start_time):
+    def record(self, trade_start_time: Union[str, pd.Timestamp]) -> None:
         self.order_indicator_his[trade_start_time] = self.get_order_indicator()
         self.trade_indicator_his[trade_start_time] = self.get_trade_indicator()
 
-    def _update_order_trade_info(self, trade_info: list):
+    def _update_order_trade_info(self, trade_info: List[Tuple[Order, float, float, float]]) -> None:
         amount = dict()
         deal_amount = dict()
         trade_price = dict()
@@ -313,7 +322,7 @@ class Indicator:
         self.order_indicator.assign("trade_dir", trade_dir)
         self.order_indicator.assign("pa", pa)
 
-    def _update_order_fulfill_rate(self):
+    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.
             tmp_deal_amount = deal_amount.reindex(amount.index, 0)
@@ -322,11 +331,11 @@ class Indicator:
 
         self.order_indicator.transfer(func, "ffr")
 
-    def update_order_indicators(self, trade_info: list):
+    def update_order_indicators(self, trade_info: List[Tuple[Order, float, float, float]]) -> None:
         self._update_order_trade_info(trade_info=trade_info)
         self._update_order_fulfill_rate()
 
-    def _agg_order_trade_info(self, inner_order_indicators: List[Dict[str, pd.Series]]):
+    def _agg_order_trade_info(self, inner_order_indicators: List[BaseOrderIndicator]) -> None:
         # calculate total trade amount with each inner order indicator.
         def trade_amount_func(deal_amount, trade_price):
             return deal_amount * trade_price
@@ -355,9 +364,9 @@ class Indicator:
 
         self.order_indicator.transfer(func_apply, "trade_dir")
 
-    def _update_trade_amount(self, outer_trade_decision: BaseTradeDecision):
+    def _update_trade_amount(self, outer_trade_decision: BaseTradeDecision) -> None:
         # NOTE: these indicator is designed for order execution, so the
-        decision: List[Order] = outer_trade_decision.get_decision()
+        decision: List[Order] = cast(List[Order], outer_trade_decision.get_decision())
         if len(decision) == 0:
             self.order_indicator.assign("amount", {})
         else:
@@ -372,7 +381,7 @@ class Indicator:
         decision: BaseTradeDecision,
         trade_exchange: Exchange,
         pa_config: dict = {},
-    ):
+    ) -> Tuple[Optional[float], Optional[float]]:
         """
         Get the base volume and price information
         All the base price values are rooted from this function
@@ -412,31 +421,35 @@ class Indicator:
         # NOTE: there are some zeros in the trading price. These cases are known meaningless
         # for aligning the previous logic, remove it.
         # remove zero and negative values.
-        price_s = price_s.loc[(price_s > 1e-08).data.astype(np.bool)]
+        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
 
+        assert isinstance(price_s, idd.SingleData)
         if agg == "vwap":
             volume_s = trade_exchange.get_volume(inst, trade_start_time, trade_end_time, method=None)
             if isinstance(volume_s, (int, float, np.number)):
                 volume_s = idd.SingleData(volume_s, [trade_start_time])
+            assert isinstance(volume_s, idd.SingleData)
             volume_s = volume_s.reindex(price_s.index)
         elif agg == "twap":
             volume_s = idd.SingleData(1, price_s.index)
         else:
             raise NotImplementedError(f"This type of input is not supported")
 
+        assert isinstance(volume_s, idd.SingleData)
         base_volume = volume_s.sum()
         base_price = (price_s * volume_s).sum() / base_volume
         return base_price, base_volume
 
     def _agg_base_price(
         self,
-        inner_order_indicators: List[Dict[str, Union[SingleMetric, idd.SingleData]]],
+        inner_order_indicators: List[BaseOrderIndicator],
         decision_list: List[Tuple[BaseTradeDecision, pd.Timestamp, pd.Timestamp]],
         trade_exchange: Exchange,
         pa_config: dict = {},
-    ):
+    ) -> None:
         """
         # NOTE:!!!!
         # Strong assumption!!!!!!
@@ -444,7 +457,7 @@ class Indicator:
 
         Parameters
         ----------
-        inner_order_indicators : List[Dict[str, pd.Series]]
+        inner_order_indicators : List[BaseOrderIndicator]
             the indicators of account of inner executor
         decision_list: List[Tuple[BaseTradeDecision, pd.Timestamp, pd.Timestamp]],
             a list of decisions according to inner_order_indicators
@@ -489,14 +502,17 @@ class Indicator:
                 bv_new = idd.SingleData(bv_new)
                 bp_all.append(bp_new)
                 bv_all.append(bv_new)
-            bp_all = idd.concat(bp_all, axis=1)
+            bp_all_multi_data = idd.concat(bp_all, axis=1)
-            bv_all = idd.concat(bv_all, axis=1)
+            bv_all_multi_data = idd.concat(bv_all, axis=1)
 
-            base_volume = bv_all.sum(axis=1)
+            base_volume = bv_all_multi_data.sum(axis=1)
             self.order_indicator.assign("base_volume", base_volume.to_dict())
-            self.order_indicator.assign("base_price", ((bp_all * bv_all).sum(axis=1) / base_volume).to_dict())
+            self.order_indicator.assign(
+                "base_price",
+                ((bp_all_multi_data * bv_all_multi_data).sum(axis=1) / base_volume).to_dict(),
+            )
 
-    def _agg_order_price_advantage(self):
+    def _agg_order_price_advantage(self) -> None:
         def if_empty_func(trade_price):
             return trade_price.empty
 
@@ -513,12 +529,12 @@ class Indicator:
 
     def agg_order_indicators(
         self,
-        inner_order_indicators: List[Dict[str, pd.Series]],
+        inner_order_indicators: List[BaseOrderIndicator],
         decision_list: List[Tuple[BaseTradeDecision, pd.Timestamp, pd.Timestamp]],
         outer_trade_decision: BaseTradeDecision,
         trade_exchange: Exchange,
-        indicator_config={},
+        indicator_config: dict = {},
-    ):
+    ) -> None:
         self._agg_order_trade_info(inner_order_indicators)
         self._update_trade_amount(outer_trade_decision)
         self._update_order_fulfill_rate()
@@ -526,71 +542,66 @@ class Indicator:
         self._agg_base_price(inner_order_indicators, decision_list, trade_exchange, pa_config=pa_config)  # TODO
         self._agg_order_price_advantage()
 
-    def _cal_trade_fulfill_rate(self, method="mean"):
+    def _cal_trade_fulfill_rate(self, method: str = "mean") -> Optional[BaseSingleMetric]:
         if method == "mean":
-
+            return self.order_indicator.transfer(
-            def func(ffr):
+                lambda ffr: ffr.mean(),
-                return ffr.mean()
+            )
-
         elif method == "amount_weighted":
-
+            return self.order_indicator.transfer(
-            def func(ffr, deal_amount):
+                lambda ffr, deal_amount: (ffr * deal_amount.abs()).sum() / (deal_amount.abs().sum()),
-                return (ffr * deal_amount.abs()).sum() / (deal_amount.abs().sum())
+            )
-
         elif method == "value_weighted":
-
+            return self.order_indicator.transfer(
-            def func(ffr, trade_value):
+                lambda ffr, trade_value: (ffr * trade_value.abs()).sum() / (trade_value.abs().sum()),
-                return (ffr * trade_value.abs()).sum() / (trade_value.abs().sum())
+            )
-
         else:
             raise ValueError(f"method {method} is not supported!")
-        return self.order_indicator.transfer(func)
 
-    def _cal_trade_price_advantage(self, method="mean"):
+    def _cal_trade_price_advantage(self, method: str = "mean") -> Optional[BaseSingleMetric]:
         if method == "mean":
-
+            return self.order_indicator.transfer(lambda pa: pa.mean())
-            def func(pa):
-                return pa.mean()
-
         elif method == "amount_weighted":
-
+            return self.order_indicator.transfer(
-            def func(pa, deal_amount):
+                lambda pa, deal_amount: (pa * deal_amount.abs()).sum() / (deal_amount.abs().sum()),
-                return (pa * deal_amount.abs()).sum() / (deal_amount.abs().sum())
+            )
-
         elif method == "value_weighted":
-
+            return self.order_indicator.transfer(
-            def func(pa, trade_value):
+                lambda pa, trade_value: (pa * trade_value.abs()).sum() / (trade_value.abs().sum()),
-                return (pa * trade_value.abs()).sum() / (trade_value.abs().sum())
+            )
-
         else:
             raise ValueError(f"method {method} is not supported!")
-        return self.order_indicator.transfer(func)
 
-    def _cal_trade_positive_rate(self):
+    def _cal_trade_positive_rate(self) -> Optional[BaseSingleMetric]:
         def func(pa):
             return (pa > 0).sum() / pa.count()
 
         return self.order_indicator.transfer(func)
 
-    def _cal_deal_amount(self):
+    def _cal_deal_amount(self) -> Optional[BaseSingleMetric]:
         def func(deal_amount):
             return deal_amount.abs().sum()
 
         return self.order_indicator.transfer(func)
 
-    def _cal_trade_value(self):
+    def _cal_trade_value(self) -> Optional[BaseSingleMetric]:
         def func(trade_value):
             return trade_value.abs().sum()
 
         return self.order_indicator.transfer(func)
 
-    def _cal_trade_order_count(self):
+    def _cal_trade_order_count(self) -> Optional[BaseSingleMetric]:
         def func(amount):
             return amount.count()
 
         return self.order_indicator.transfer(func)
 
-    def cal_trade_indicators(self, trade_start_time, freq, indicator_config={}):
+    def cal_trade_indicators(
+        self,
+        trade_start_time: Union[str, pd.Timestamp],
+        freq: str,
+        indicator_config: dict = {},
+    ) -> None:
         show_indicator = indicator_config.get("show_indicator", False)
         ffr_config = indicator_config.get("ffr_config", {})
         pa_config = indicator_config.get("pa_config", {})
@@ -608,22 +619,22 @@ class Indicator:
         self.trade_indicator["count"] = order_count
         if show_indicator:
             print(
-                "[Indicator({}) {:%Y-%m-%d %H:%M:%S}]: FFR: {}, PA: {}, POS: {}".format(
+                "[Indicator({}) {}]: FFR: {}, PA: {}, POS: {}".format(
                     freq,
-                    trade_start_time,
+                    trade_start_time
+                    if isinstance(trade_start_time, str)
+                    else trade_start_time.strftime("%Y-%m-%d %H:%M:%S"),
                     fulfill_rate,
                     price_advantage,
                     positive_rate,
                 ),
             )
 
-    def get_order_indicator(self, raw: bool = True):
+    def get_order_indicator(self, raw: bool = True) -> Union[BaseOrderIndicator, Dict[Text, pd.Series]]:
-        if raw:
+        return self.order_indicator if raw else self.order_indicator.to_series()
-            return self.order_indicator
-        return self.order_indicator.to_series()
 
-    def get_trade_indicator(self):
+    def get_trade_indicator(self) -> Dict[str, Optional[BaseSingleMetric]]:
         return self.trade_indicator
 
-    def generate_trade_indicators_dataframe(self):
+    def generate_trade_indicators_dataframe(self) -> pd.DataFrame:
         return pd.DataFrame.from_dict(self.trade_indicator_his, orient="index")

qlib/backtest/signal.py

@@ -22,7 +22,7 @@ class Signal(metaclass=abc.ABCMeta):
     """
 
     @abc.abstractmethod
-    def get_signal(self, start_time, end_time) -> Union[pd.Series, pd.DataFrame, None]:
+    def get_signal(self, start_time: pd.Timestamp, end_time: pd.Timestamp) -> Union[pd.Series, pd.DataFrame, None]:
         """
         get the signal at the end of the decision step(from `start_time` to `end_time`)
 
@@ -39,13 +39,14 @@ class SignalWCache(Signal):
     SignalWCache will store the prepared signal as a attribute and give the according signal based on input query
     """
 
-    def __init__(self, signal: Union[pd.Series, pd.DataFrame]):
+    def __init__(self, signal: Union[pd.Series, pd.DataFrame]) -> None:
         """
 
         Parameters
         ----------
         signal : Union[pd.Series, pd.DataFrame]
-            The expected format of the signal is like the data below (the order of index is not important and can be automatically adjusted)
+            The expected format of the signal is like the data below (the order of index is not important and can be
+            automatically adjusted)
 
                 instrument datetime
                 SH600000   2008-01-02  0.079704
@@ -56,8 +57,8 @@ class SignalWCache(Signal):
         """
         self.signal_cache = convert_index_format(signal, level="datetime")
 
-    def get_signal(self, start_time, end_time) -> Union[pd.Series, pd.DataFrame]:
+    def get_signal(self, start_time: pd.Timestamp, end_time: pd.Timestamp) -> Union[pd.Series, pd.DataFrame]:
-        # the frequency of the signal may not algin with the decision frequency of strategy
+        # the frequency of the signal may not align with the decision frequency of strategy
         # so resampling from the data is necessary
         # the latest signal leverage more recent data and therefore is used in trading.
         signal = resam_ts_data(self.signal_cache, start_time=start_time, end_time=end_time, method="last")
@@ -65,7 +66,7 @@ class SignalWCache(Signal):
 
 
 class ModelSignal(SignalWCache):
-    def __init__(self, model: BaseModel, dataset: Dataset):
+    def __init__(self, model: BaseModel, dataset: Dataset) -> None:
         self.model = model
         self.dataset = dataset
         pred_scores = self.model.predict(dataset)
@@ -73,7 +74,7 @@ class ModelSignal(SignalWCache):
             pred_scores = pred_scores.iloc[:, 0]
         super().__init__(pred_scores)
 
-    def _update_model(self):
+    def _update_model(self) -> None:
         """
         When using online data, update model in each bar as the following steps:
             - update dataset with online data, the dataset should support online update

qlib/backtest/utils.py

@@ -149,6 +149,8 @@ class TradeCalendarManager:
         Tuple[int, int]:
         """
         # potential performance issue
+        assert self.level_infra is not None
+
         day_start = pd.Timestamp(self.start_time.date())
         day_end = epsilon_change(day_start + pd.Timedelta(days=1))
         freq = self.level_infra.get("common_infra").get("trade_exchange").freq
@@ -182,8 +184,8 @@ class TradeCalendarManager:
         Tuple[int, int]:
             the index of the range.  **the left and right are closed**
         """
-        left = bisect.bisect_right(self._calendar, start_time) - 1
+        left = bisect.bisect_right(list(self._calendar), start_time) - 1
-        right = bisect.bisect_right(self._calendar, end_time) - 1
+        right = bisect.bisect_right(list(self._calendar), end_time) - 1
         left -= self.start_index
         right -= self.start_index
 
@@ -201,14 +203,14 @@ class TradeCalendarManager:
 
 
 class BaseInfrastructure:
-    def __init__(self, **kwargs) -> None:
+    def __init__(self, **kwargs: Any) -> None:
         self.reset_infra(**kwargs)
 
     @abstractmethod
     def get_support_infra(self) -> Set[str]:
         raise NotImplementedError("`get_support_infra` is not implemented!")
 
-    def reset_infra(self, **kwargs) -> None:
+    def reset_infra(self, **kwargs: Any) -> None:
         support_infra = self.get_support_infra()
         for k, v in kwargs.items():
             if k in support_infra:

qlib/config.py

@@ -113,7 +113,7 @@ _default_config = {
     #   "~/.qlib/stock_data/cn_data"
     #   # dict
     #   {"day": "~/.qlib/stock_data/cn_data", "1min": "~/.qlib/stock_data/cn_data_1min"}
-    # NOTE: provider_uri priority：
+    # NOTE: provider_uri priority:
     #   1. backend_config: backend_obj["kwargs"]["provider_uri"]
     #   2. backend_config: backend_obj["kwargs"]["provider_uri_map"]
     #   3. qlib.init: provider_uri

qlib/contrib/data/dataset.py

@@ -203,8 +203,14 @@ class MTSDatasetH(DatasetH):
 
     def _prepare_seg(self, slc, **kwargs):
         fn = _get_date_parse_fn(self._index[0][1])
-        start_date = fn(slc.start)
+        if isinstance(slc, slice):
-        end_date = fn(slc.stop)
+            start, stop = slc.start, slc.stop
+        elif isinstance(slc, (list, tuple)):
+            start, stop = slc
+        else:
+            raise NotImplementedError(f"This type of input is not supported")
+        start_date = pd.Timestamp(fn(start))
+        end_date = pd.Timestamp(fn(stop))
         obj = copy.copy(self)  # shallow copy
         # NOTE: Seriable will disable copy `self._data` so we manually assign them here
         obj._data = self._data  # reference (no copy)

qlib/contrib/data/handler.py

@@ -259,79 +259,119 @@ class Alpha158(DataHandlerLP):
             def use(x):
                 return x not in exclude and (include is None or x in include)
 
+            # Some factor ref: https://guorn.com/static/upload/file/3/134065454575605.pdf
             if use("ROC"):
+                # https://www.investopedia.com/terms/r/rateofchange.asp
+                # Rate of change, the price change in the past d days, divided by latest close price to remove unit
                 fields += ["Ref($close, %d)/$close" % d for d in windows]
                 names += ["ROC%d" % d for d in windows]
             if use("MA"):
+                # https://www.investopedia.com/ask/answers/071414/whats-difference-between-moving-average-and-weighted-moving-average.asp
+                # Simple Moving Average, the simple moving average in the past d days, divided by latest close price to remove unit
                 fields += ["Mean($close, %d)/$close" % d for d in windows]
                 names += ["MA%d" % d for d in windows]
             if use("STD"):
+                # The standard diviation of close price for the past d days, divided by latest close price to remove unit
                 fields += ["Std($close, %d)/$close" % d for d in windows]
                 names += ["STD%d" % d for d in windows]
             if use("BETA"):
+                # The rate of close price change in the past d days, divided by latest close price to remove unit
+                # For example, price increase 10 dollar per day in the past d days, then Slope will be 10.
                 fields += ["Slope($close, %d)/$close" % d for d in windows]
                 names += ["BETA%d" % d for d in windows]
             if use("RSQR"):
+                # The R-sqaure value of linear regression for the past d days, represent the trend linear
                 fields += ["Rsquare($close, %d)" % d for d in windows]
                 names += ["RSQR%d" % d for d in windows]
             if use("RESI"):
+                # The redisdual for linear regression for the past d days, represent the trend linearity for past d days.
                 fields += ["Resi($close, %d)/$close" % d for d in windows]
                 names += ["RESI%d" % d for d in windows]
             if use("MAX"):
+                # The max price for past d days, divided by latest close price to remove unit
                 fields += ["Max($high, %d)/$close" % d for d in windows]
                 names += ["MAX%d" % d for d in windows]
             if use("LOW"):
+                # The low price for past d days, divided by latest close price to remove unit
                 fields += ["Min($low, %d)/$close" % d for d in windows]
                 names += ["MIN%d" % d for d in windows]
             if use("QTLU"):
+                # The 80% quantile of past d day's close price, divided by latest close price to remove unit
+                # Used with MIN and MAX
                 fields += ["Quantile($close, %d, 0.8)/$close" % d for d in windows]
                 names += ["QTLU%d" % d for d in windows]
             if use("QTLD"):
+                # The 20% quantile of past d day's close price, divided by latest close price to remove unit
                 fields += ["Quantile($close, %d, 0.2)/$close" % d for d in windows]
                 names += ["QTLD%d" % d for d in windows]
             if use("RANK"):
+                # Get the percentile of current close price in past d day's close price.
+                # Represent the current price level comparing to past N days, add additional information to moving average.
                 fields += ["Rank($close, %d)" % d for d in windows]
                 names += ["RANK%d" % d for d in windows]
             if use("RSV"):
+                # Represent the price position between upper and lower resistent price for past d days.
                 fields += ["($close-Min($low, %d))/(Max($high, %d)-Min($low, %d)+1e-12)" % (d, d, d) for d in windows]
                 names += ["RSV%d" % d for d in windows]
             if use("IMAX"):
+                # The number of days between current date and previous highest price date.
+                # Part of Aroon Indicator https://www.investopedia.com/terms/a/aroon.asp
+                # The indicator measures the time between highs and the time between lows over a time period.
+                # The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows.
                 fields += ["IdxMax($high, %d)/%d" % (d, d) for d in windows]
                 names += ["IMAX%d" % d for d in windows]
             if use("IMIN"):
+                # The number of days between current date and previous lowest price date.
+                # Part of Aroon Indicator https://www.investopedia.com/terms/a/aroon.asp
+                # The indicator measures the time between highs and the time between lows over a time period.
+                # The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows.
                 fields += ["IdxMin($low, %d)/%d" % (d, d) for d in windows]
                 names += ["IMIN%d" % d for d in windows]
             if use("IMXD"):
+                # The time period between previous lowest-price date occur after highest price date.
+                # Large value suggest downward momemtum.
                 fields += ["(IdxMax($high, %d)-IdxMin($low, %d))/%d" % (d, d, d) for d in windows]
                 names += ["IMXD%d" % d for d in windows]
             if use("CORR"):
+                # The correlation between absolute close price and log scaled trading volume
                 fields += ["Corr($close, Log($volume+1), %d)" % d for d in windows]
                 names += ["CORR%d" % d for d in windows]
             if use("CORD"):
+                # The correlation between price change ratio and volume change ratio
                 fields += ["Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), %d)" % d for d in windows]
                 names += ["CORD%d" % d for d in windows]
             if use("CNTP"):
+                # The percentage of days in past d days that price go up.
                 fields += ["Mean($close>Ref($close, 1), %d)" % d for d in windows]
                 names += ["CNTP%d" % d for d in windows]
             if use("CNTN"):
+                # The percentage of days in past d days that price go down.
                 fields += ["Mean($close<Ref($close, 1), %d)" % d for d in windows]
                 names += ["CNTN%d" % d for d in windows]
             if use("CNTD"):
+                # The diff between past up day and past down day
                 fields += ["Mean($close>Ref($close, 1), %d)-Mean($close<Ref($close, 1), %d)" % (d, d) for d in windows]
                 names += ["CNTD%d" % d for d in windows]
             if use("SUMP"):
+                # The total gain / the absolute total price changed
+                # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
                 fields += [
                     "Sum(Greater($close-Ref($close, 1), 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
                     for d in windows
                 ]
                 names += ["SUMP%d" % d for d in windows]
             if use("SUMN"):
+                # The total lose / the absolute total price changed
+                # Can be derived from SUMP by SUMN = 1 - SUMP
+                # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
                 fields += [
                     "Sum(Greater(Ref($close, 1)-$close, 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
                     for d in windows
                 ]
                 names += ["SUMN%d" % d for d in windows]
             if use("SUMD"):
+                # The diff ratio between total gain and total lose
+                # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
                 fields += [
                     "(Sum(Greater($close-Ref($close, 1), 0), %d)-Sum(Greater(Ref($close, 1)-$close, 0), %d))"
                     "/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d, d)
@@ -339,12 +379,15 @@ class Alpha158(DataHandlerLP):
                 ]
                 names += ["SUMD%d" % d for d in windows]
             if use("VMA"):
+                # Simple Volume Moving average: https://www.barchart.com/education/technical-indicators/volume_moving_average
                 fields += ["Mean($volume, %d)/($volume+1e-12)" % d for d in windows]
                 names += ["VMA%d" % d for d in windows]
             if use("VSTD"):
+                # The standard deviation for volume in past d days.
                 fields += ["Std($volume, %d)/($volume+1e-12)" % d for d in windows]
                 names += ["VSTD%d" % d for d in windows]
             if use("WVMA"):
+                # The volume weighted price change volatility
                 fields += [
                     "Std(Abs($close/Ref($close, 1)-1)*$volume, %d)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, %d)+1e-12)"
                     % (d, d)
@@ -352,6 +395,7 @@ class Alpha158(DataHandlerLP):
                 ]
                 names += ["WVMA%d" % d for d in windows]
             if use("VSUMP"):
+                # The total volume increase / the absolute total volume changed
                 fields += [
                     "Sum(Greater($volume-Ref($volume, 1), 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
                     % (d, d)
@@ -359,6 +403,8 @@ class Alpha158(DataHandlerLP):
                 ]
                 names += ["VSUMP%d" % d for d in windows]
             if use("VSUMN"):
+                # The total volume increase / the absolute total volume changed
+                # Can be derived from VSUMP by VSUMN = 1 - VSUMP
                 fields += [
                     "Sum(Greater(Ref($volume, 1)-$volume, 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
                     % (d, d)
@@ -366,6 +412,8 @@ class Alpha158(DataHandlerLP):
                 ]
                 names += ["VSUMN%d" % d for d in windows]
             if use("VSUMD"):
+                # The diff ratio between total volume increase and total volume decrease
+                # RSI indicator for volume
                 fields += [
                     "(Sum(Greater($volume-Ref($volume, 1), 0), %d)-Sum(Greater(Ref($volume, 1)-$volume, 0), %d))"
                     "/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d, d)

qlib/contrib/data/highfreq_handler.py

@@ -137,8 +137,7 @@ class HighFreqBacktestHandler(DataHandler):
         names = []
 
         template_if = "If(IsNull({1}), {0}, {1})"
-        template_paused = "Select(Gt($hx_paused_num, 1.001), {0})"
+        template_paused = "Select(Gt($paused_num, 1.001), {0})"
-        # template_paused = "{0}"
         template_fillnan = "FFillNan({0})"
         fields += [
             template_fillnan.format(template_paused.format("$close")),
@@ -162,3 +161,249 @@ class HighFreqBacktestHandler(DataHandler):
         names += ["$factor0"]
 
         return fields, names
+
+
+class HighFreqOrderHandler(DataHandlerLP):
+    def __init__(
+        self,
+        instruments="csi300",
+        start_time=None,
+        end_time=None,
+        infer_processors=[],
+        learn_processors=[],
+        fit_start_time=None,
+        fit_end_time=None,
+        drop_raw=True,
+    ):
+        def check_transform_proc(proc_l):
+            new_l = []
+            for p in proc_l:
+                p["kwargs"].update(
+                    {
+                        "fit_start_time": fit_start_time,
+                        "fit_end_time": fit_end_time,
+                    }
+                )
+                new_l.append(p)
+            return new_l
+
+        infer_processors = check_transform_proc(infer_processors)
+        learn_processors = check_transform_proc(learn_processors)
+
+        data_loader = {
+            "class": "QlibDataLoader",
+            "kwargs": {
+                "config": self.get_feature_config(),
+                "swap_level": False,
+                "freq": "1min",
+            },
+        }
+        super().__init__(
+            instruments=instruments,
+            start_time=start_time,
+            end_time=end_time,
+            data_loader=data_loader,
+            infer_processors=infer_processors,
+            learn_processors=learn_processors,
+            drop_raw=drop_raw,
+        )
+
+    def get_feature_config(self):
+        fields = []
+        names = []
+
+        template_if = "If(IsNull({1}), {0}, {1})"
+        template_ifinf = "If(IsInf({1}), {0}, {1})"
+        template_paused = "Select(Gt($paused_num, 1.001), {0})"
+
+        def get_normalized_price_feature(price_field, shift=0):
+            # norm with the close price of 237th minute of yesterday.
+            if shift == 0:
+                template_norm = "{0}/DayLast(Ref({1}, 243))"
+            else:
+                template_norm = "Ref({0}, " + str(shift) + ")/DayLast(Ref({1}, 243))"
+
+            template_fillnan = "FFillNan({0})"
+            # calculate -> ffill -> remove paused
+            feature_ops = template_paused.format(
+                template_fillnan.format(
+                    template_norm.format(template_if.format("$close", price_field), template_fillnan.format("$close"))
+                )
+            )
+            return feature_ops
+
+        def get_normalized_vwap_price_feature(price_field, shift=0):
+            # norm with the close price of 237th minute of yesterday.
+            if shift == 0:
+                template_norm = "{0}/DayLast(Ref({1}, 243))"
+            else:
+                template_norm = "Ref({0}, " + str(shift) + ")/DayLast(Ref({1}, 243))"
+
+            template_fillnan = "FFillNan({0})"
+            # calculate -> ffill -> remove paused
+            feature_ops = template_paused.format(
+                template_fillnan.format(
+                    template_norm.format(
+                        template_if.format("$close", template_ifinf.format("$close", price_field)),
+                        template_fillnan.format("$close"),
+                    )
+                )
+            )
+            return feature_ops
+
+        fields += [get_normalized_price_feature("$open", 0)]
+        fields += [get_normalized_price_feature("$high", 0)]
+        fields += [get_normalized_price_feature("$low", 0)]
+        fields += [get_normalized_price_feature("$close", 0)]
+        fields += [get_normalized_vwap_price_feature("$vwap", 0)]
+        names += ["$open", "$high", "$low", "$close", "$vwap"]
+
+        fields += [get_normalized_price_feature("$open", 240)]
+        fields += [get_normalized_price_feature("$high", 240)]
+        fields += [get_normalized_price_feature("$low", 240)]
+        fields += [get_normalized_price_feature("$close", 240)]
+        fields += [get_normalized_vwap_price_feature("$vwap", 240)]
+        names += ["$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1"]
+
+        fields += [get_normalized_price_feature("$bid", 0)]
+        fields += [get_normalized_price_feature("$ask", 0)]
+        names += ["$bid", "$ask"]
+
+        fields += [get_normalized_price_feature("$bid", 240)]
+        fields += [get_normalized_price_feature("$ask", 240)]
+        names += ["$bid_1", "$ask_1"]
+
+        # calculate and fill nan with 0
+
+        def get_volume_feature(volume_field, shift=0):
+            template_gzero = "If(Ge({0}, 0), {0}, 0)"
+            if shift == 0:
+                feature_ops = template_gzero.format(
+                    template_paused.format(
+                        "If(IsInf({0}), 0, {0})".format(
+                            "If(IsNull({0}), 0, {0})".format(
+                                "{0}/Ref(DayLast(Mean({0}, 7200)), 240)".format(volume_field)
+                            )
+                        )
+                    )
+                )
+            else:
+                feature_ops = template_gzero.format(
+                    template_paused.format(
+                        "If(IsInf({0}), 0, {0})".format(
+                            "If(IsNull({0}), 0, {0})".format(
+                                f"Ref({{0}}, {shift})/Ref(DayLast(Mean({{0}}, 7200)), 240)".format(volume_field)
+                            )
+                        )
+                    )
+                )
+            return feature_ops
+
+        fields += [get_volume_feature("$volume", 0)]
+        names += ["$volume"]
+
+        fields += [get_volume_feature("$volume", 240)]
+        names += ["$volume_1"]
+
+        fields += [get_volume_feature("$bidV", 0)]
+        fields += [get_volume_feature("$bidV1", 0)]
+        fields += [get_volume_feature("$bidV3", 0)]
+        fields += [get_volume_feature("$bidV5", 0)]
+        fields += [get_volume_feature("$askV", 0)]
+        fields += [get_volume_feature("$askV1", 0)]
+        fields += [get_volume_feature("$askV3", 0)]
+        fields += [get_volume_feature("$askV5", 0)]
+        names += ["$bidV", "$bidV1", "$bidV3", "$bidV5", "$askV", "$askV1", "$askV3", "$askV5"]
+
+        fields += [get_volume_feature("$bidV", 240)]
+        fields += [get_volume_feature("$bidV1", 240)]
+        fields += [get_volume_feature("$bidV3", 240)]
+        fields += [get_volume_feature("$bidV5", 240)]
+        fields += [get_volume_feature("$askV", 240)]
+        fields += [get_volume_feature("$askV1", 240)]
+        fields += [get_volume_feature("$askV3", 240)]
+        fields += [get_volume_feature("$askV5", 240)]
+        names += ["$bidV_1", "$bidV1_1", "$bidV3_1", "$bidV5_1", "$askV_1", "$askV1_1", "$askV3_1", "$askV5_1"]
+
+        return fields, names
+
+
+class HighFreqBacktestOrderHandler(DataHandler):
+    def __init__(
+        self,
+        instruments="csi300",
+        start_time=None,
+        end_time=None,
+    ):
+        data_loader = {
+            "class": "QlibDataLoader",
+            "kwargs": {
+                "config": self.get_feature_config(),
+                "swap_level": False,
+                "freq": "1min",
+            },
+        }
+        super().__init__(
+            instruments=instruments,
+            start_time=start_time,
+            end_time=end_time,
+            data_loader=data_loader,
+        )
+
+    def get_feature_config(self):
+        fields = []
+        names = []
+
+        template_if = "If(IsNull({1}), {0}, {1})"
+        template_paused = "Select(Gt($hx_paused_num, 1.001), {0})"
+        # template_paused = "{0}"
+        template_fillnan = "FFillNan({0})"
+        fields += [
+            template_fillnan.format(template_paused.format("$close")),
+        ]
+        names += ["$close0"]
+
+        fields += [
+            template_paused.format(
+                template_if.format(
+                    template_fillnan.format("$close"),
+                    "$vwap",
+                )
+            )
+        ]
+        names += ["$vwap0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$volume"))]
+        names += ["$volume0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$bid"))]
+        names += ["$bid0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$bidV"))]
+        names += ["$bidV0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$ask"))]
+        names += ["$ask0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$askV"))]
+        names += ["$askV0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("($bid + $ask) / 2"))]
+        names += ["$median0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$factor"))]
+        names += ["$factor0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$downlimitmarket"))]
+        names += ["$downlimitmarket0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$uplimitmarket"))]
+        names += ["$uplimitmarket0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$highmarket"))]
+        names += ["$highmarket0"]
+
+        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$lowmarket"))]
+        names += ["$lowmarket0"]
+
+        return fields, names

qlib/contrib/evaluate.py

@@ -339,7 +339,7 @@ def long_short_backtest(
         for stock in long_stocks:
             if not trade_exchange.is_stock_tradable(stock_id=stock, trade_date=date):
                 continue
-            profit = trade_exchange.get_quote_info(stock_id=stock, trade_date=date)[profit_str]
+            profit = trade_exchange.get_quote_info(stock_id=stock, start_time=date, end_time=date, field=profit_str)
             if np.isnan(profit):
                 long_profit.append(0)
             else:
@@ -348,17 +348,17 @@ def long_short_backtest(
         for stock in short_stocks:
             if not trade_exchange.is_stock_tradable(stock_id=stock, trade_date=date):
                 continue
-            profit = trade_exchange.get_quote_info(stock_id=stock, trade_date=date)[profit_str]
+            profit = trade_exchange.get_quote_info(stock_id=stock, start_time=date, end_time=date, field=profit_str)
             if np.isnan(profit):
                 short_profit.append(0)
             else:
-                short_profit.append(-profit)
+                short_profit.append(profit * -1)
 
         for stock in list(score.loc(axis=0)[pdate, :].index.get_level_values(level=0)):
             # exclude the suspend stock
             if trade_exchange.check_stock_suspended(stock_id=stock, trade_date=date):
                 continue
-            profit = trade_exchange.get_quote_info(stock_id=stock, trade_date=date)[profit_str]
+            profit = trade_exchange.get_quote_info(stock_id=stock, start_time=date, end_time=date, field=profit_str)
             if np.isnan(profit):
                 all_profit.append(0)
             else:

qlib/contrib/meta/data_selection/dataset.py

@@ -217,7 +217,7 @@ class MetaDatasetDS(MetaTaskDataset):
         ----------
         task_tpl : Union[dict, list]
             Decide what tasks are used.
-            - dict : the task template， the prepared task is generated with `step`, `trunc_days` and `RollingGen`
+            - dict : the task template, the prepared task is generated with `step`, `trunc_days` and `RollingGen`
             - list : when list, use the list of tasks directly
                      the list is supposed to be sorted according timeline
         step : int

qlib/contrib/model/double_ensemble.py

@@ -44,7 +44,7 @@ class DEnsembleModel(Model, FeatureInt):
         if sample_ratios is None:  # the default values for sample_ratios
             sample_ratios = [0.8, 0.7, 0.6, 0.5, 0.4]
         if sub_weights is None:  # the default values for sub_weights
-            sub_weights = [1.0, 0.2, 0.2, 0.2, 0.2, 0.2]
+            sub_weights = [1] * self.num_models
         if not len(sample_ratios) == bins_fs:
             raise ValueError("The length of sample_ratios should be equal to bins_fs.")
         self.sample_ratios = sample_ratios
@@ -87,7 +87,9 @@ class DEnsembleModel(Model, FeatureInt):
             loss_curve = self.retrieve_loss_curve(model_k, df_train, features)
             pred_k = self.predict_sub(model_k, df_train, features)
             pred_sub.iloc[:, k] = pred_k
-            pred_ensemble = pred_sub.iloc[:, : k + 1].mean(axis=1)
+            pred_ensemble = (pred_sub.iloc[:, : k + 1] * self.sub_weights[0 : k + 1]).sum(axis=1) / np.sum(
+                self.sub_weights[0 : k + 1]
+            )
             loss_values = pd.Series(self.get_loss(y_train.values.squeeze(), pred_ensemble.values))
 
             if self.enable_sr:
@@ -159,8 +161,8 @@ class DEnsembleModel(Model, FeatureInt):
         h["bins"] = pd.cut(h["h_value"], self.bins_sr)
         h_avg = h.groupby("bins")["h_value"].mean()
         weights = pd.Series(np.zeros(N, dtype=float))
-        for i_b, b in enumerate(h_avg.index):
+        for b in h_avg.index:
-            weights[h["bins"] == b] = 1.0 / (self.decay**k_th * h_avg[i_b] + 0.1)
+            weights[h["bins"] == b] = 1.0 / (self.decay**k_th * h_avg[b] + 0.1)
         return weights
 
     def feature_selection(self, df_train, loss_values):
@@ -246,6 +248,7 @@ class DEnsembleModel(Model, FeatureInt):
                 pd.Series(submodel.predict(x_test.loc[:, feat_sub].values), index=x_test.index)
                 * self.sub_weights[i_sub]
             )
+        pred = pred / np.sum(self.sub_weights)
         return pred
 
     def predict_sub(self, submodel, df_data, features):

qlib/contrib/model/pytorch_tabnet.py

@@ -53,7 +53,7 @@ class TabnetModel(Model):
         """
         TabNet model for Qlib
 
-        Args：
+        Args:
         ps: probability to generate the bernoulli mask
         """
         # set hyper-parameters.

qlib/contrib/strategy/signal_strategy.py

@@ -104,9 +104,9 @@ class TopkDropoutStrategy(BaseSignalStrategy):
         only_tradable : bool
             will the strategy only consider the tradable stock when buying and selling.
             if only_tradable:
-                strategy will make buy sell decision without checking the tradable state of the stock.
-            else:
                 strategy will make decision with the tradable state of the stock info and avoid buy and sell them.
+            else:
+                strategy will make buy sell decision without checking the tradable state of the stock.
         """
         super().__init__(**kwargs)
         self.topk = topk

qlib/data/data.py

@@ -108,14 +108,16 @@ class CalendarProvider(abc.ABC):
         _, _, si, ei = self.locate_index(start_time, end_time, freq, future)
         return _calendar[si : ei + 1]
 
-    def locate_index(self, start_time, end_time, freq, future=False):
+    def locate_index(
+        self, start_time: Union[pd.Timestamp, str], end_time: Union[pd.Timestamp, str], freq: str, future: bool = False
+    ):
         """Locate the start time index and end time index in a calendar under certain frequency.
 
         Parameters
         ----------
-        start_time : str
+        start_time : pd.Timestamp
             start of the time range.
-        end_time : str
+        end_time : pd.Timestamp
             end of the time range.
         freq : str
             time frequency, available: year/quarter/month/week/day.

qlib/data/ops.py

@@ -32,6 +32,7 @@ except ValueError:
 
 np.seterr(invalid="ignore")
 
+
 #################### Element-Wise Operator ####################
 
 
@@ -62,6 +63,39 @@ class ElemOperator(ExpressionOps):
         return self.feature.get_extended_window_size()
 
 
+class ChangeInstrument(ElemOperator):
+    """Change Instrument Operator
+    In some case, one may want to change to another instrument when calculating, for example, to
+    calculate beta of a stock with respect to a market index.
+    This would require changing the calculation of features from the stock (original instrument) to
+    the index (reference instrument)
+    Parameters
+    ----------
+    instrument: new instrument for which the downstream operations should be performed upon.
+                i.e., SH000300 (CSI300 index), or ^GPSC (SP500 index).
+
+    feature: the feature to be calculated for the new instrument.
+    Returns
+    ----------
+    Expression
+        feature operation output
+    """
+
+    def __init__(self, instrument, feature):
+        self.instrument = instrument
+        self.feature = feature
+
+    def __str__(self):
+        return "{}('{}',{})".format(type(self).__name__, self.instrument, self.feature)
+
+    def load(self, instrument, start_index, end_index, *args):
+        # the first `instrument` is ignored
+        return super().load(self.instrument, start_index, end_index, *args)
+
+    def _load_internal(self, instrument, start_index, end_index, *args):
+        return self.feature.load(instrument, start_index, end_index, *args)
+
+
 class NpElemOperator(ElemOperator):
     """Numpy Element-wise Operator
 
@@ -1535,6 +1569,7 @@ class TResample(ElemOperator):
 
 TOpsList = [TResample]
 OpsList = [
+    ChangeInstrument,
     Rolling,
     Ref,
     Max,

qlib/data/storage/file_storage.py

@@ -24,7 +24,7 @@ class FileStorageMixin:
 
     """
 
-    # NOTE: provider_uri priority：
+    # NOTE: provider_uri priority:
     #   1. self._provider_uri : if provider_uri is provided.
     #   2. provider_uri in qlib.config.C
 
@@ -102,14 +102,22 @@ class FileCalendarStorage(FileStorageMixin, CalendarStorage):
             self._freq_file_cache = freq
         return self._freq_file_cache
 
-    def _read_calendar(self, skip_rows: int = 0, n_rows: int = None) -> List[CalVT]:
+    def _read_calendar(self) -> List[CalVT]:
+        # NOTE:
+        # if we want to accelerate partial reading calendar
+        # we can add parameters like `skip_rows: int = 0, n_rows: int = None` to the interface.
+        # Currently, it is not supported for the txt-based calendar
+
         if not self.uri.exists():
             self._write_calendar(values=[])
-        with self.uri.open("rb") as fp:
+
-            return [
+        with self.uri.open("r") as fp:
-                str(x)
+            res = []
-                for x in np.loadtxt(fp, str, skiprows=skip_rows, max_rows=n_rows, delimiter="\n", encoding="utf-8")
+            for line in fp.readlines():
-            ]
+                line = line.strip()
+                if len(line) > 0:
+                    res.append(line)
+            return res
 
     def _write_calendar(self, values: Iterable[CalVT], mode: str = "wb"):
         with self.uri.open(mode=mode) as fp:

qlib/model/trainer.py

@@ -12,7 +12,7 @@ In ``DelayTrainer``, the first step is only to save some necessary info to model
 """
 
 import socket
-from typing import Callable, List
+from typing import Callable, List, Optional
 
 from tqdm.auto import tqdm
 
@@ -219,7 +219,13 @@ class TrainerR(Trainer):
     STATUS_BEGIN = "begin_task_train"
     STATUS_END = "end_task_train"
 
-    def __init__(self, experiment_name: str = None, train_func: Callable = task_train, call_in_subproc: bool = False):
+    def __init__(
+        self,
+        experiment_name: Optional[str] = None,
+        train_func: Callable = task_train,
+        call_in_subproc: bool = False,
+        default_rec_name: Optional[str] = None,
+    ):
         """
         Init TrainerR.
 
@@ -230,6 +236,7 @@ class TrainerR(Trainer):
         """
         super().__init__()
         self.experiment_name = experiment_name
+        self.default_rec_name = default_rec_name
         self.train_func = train_func
         self._call_in_subproc = call_in_subproc
 
@@ -259,7 +266,7 @@ class TrainerR(Trainer):
             if self._call_in_subproc:
                 get_module_logger("TrainerR").info("running models in sub process (for forcing release memroy).")
                 train_func = call_in_subproc(train_func, C)
-            rec = train_func(task, experiment_name, **kwargs)
+            rec = train_func(task, experiment_name, recorder_name=self.default_rec_name, **kwargs)
             rec.set_tags(**{self.STATUS_KEY: self.STATUS_BEGIN})
             recs.append(rec)
         return recs
@@ -286,7 +293,9 @@ class DelayTrainerR(TrainerR):
     A delayed implementation based on TrainerR, which means `train` method may only do some preparation and `end_train` method can do the real model fitting.
     """
 
-    def __init__(self, experiment_name: str = None, train_func=begin_task_train, end_train_func=end_task_train):
+    def __init__(
+        self, experiment_name: str = None, train_func=begin_task_train, end_train_func=end_task_train, **kwargs
+    ):
         """
         Init TrainerRM.
 
@@ -295,7 +304,7 @@ class DelayTrainerR(TrainerR):
             train_func (Callable, optional): default train method. Defaults to `begin_task_train`.
             end_train_func (Callable, optional): default end_train method. Defaults to `end_task_train`.
         """
-        super().__init__(experiment_name, train_func)
+        super().__init__(experiment_name, train_func, **kwargs)
         self.end_train_func = end_train_func
         self.delay = True
 
@@ -344,7 +353,12 @@ class TrainerRM(Trainer):
     TM_ID = "_id in TaskManager"
 
     def __init__(
-        self, experiment_name: str = None, task_pool: str = None, train_func=task_train, skip_run_task: bool = False
+        self,
+        experiment_name: str = None,
+        task_pool: str = None,
+        train_func=task_train,
+        skip_run_task: bool = False,
+        default_rec_name: Optional[str] = None,
     ):
         """
         Init TrainerR.
@@ -363,6 +377,7 @@ class TrainerRM(Trainer):
         self.task_pool = task_pool
         self.train_func = train_func
         self.skip_run_task = skip_run_task
+        self.default_rec_name = default_rec_name
 
     def train(
         self,
@@ -371,6 +386,7 @@ class TrainerRM(Trainer):
         experiment_name: str = None,
         before_status: str = TaskManager.STATUS_WAITING,
         after_status: str = TaskManager.STATUS_DONE,
+        default_rec_name: Optional[str] = None,
         **kwargs,
     ) -> List[Recorder]:
         """
@@ -398,6 +414,8 @@ class TrainerRM(Trainer):
             train_func = self.train_func
         if experiment_name is None:
             experiment_name = self.experiment_name
+        if default_rec_name is None:
+            default_rec_name = self.default_rec_name
         task_pool = self.task_pool
         if task_pool is None:
             task_pool = experiment_name
@@ -412,6 +430,7 @@ class TrainerRM(Trainer):
                 experiment_name=experiment_name,
                 before_status=before_status,
                 after_status=after_status,
+                recorder_name=default_rec_name,
                 **kwargs,
             )
 
@@ -480,6 +499,7 @@ class DelayTrainerRM(TrainerRM):
         train_func=begin_task_train,
         end_train_func=end_task_train,
         skip_run_task: bool = False,
+        **kwargs,
     ):
         """
         Init DelayTrainerRM.
@@ -494,7 +514,7 @@ class DelayTrainerRM(TrainerRM):
                 Only run_task in the worker. Otherwise skip run_task.
                 E.g. Starting trainer on a CPU VM and then waiting tasks to be finished on GPU VMs.
         """
-        super().__init__(experiment_name, task_pool, train_func)
+        super().__init__(experiment_name, task_pool, train_func, **kwargs)
         self.end_train_func = end_train_func
         self.delay = True
         self.skip_run_task = skip_run_task

qlib/rl/aux_info.py

@@ -3,7 +3,7 @@
 
 from __future__ import annotations
 
-from typing import Generic, TYPE_CHECKING, TypeVar
+from typing import Optional, TYPE_CHECKING, Generic, TypeVar
 
 from qlib.typehint import final
 
@@ -21,7 +21,7 @@ AuxInfoType = TypeVar("AuxInfoType")
 class AuxiliaryInfoCollector(Generic[StateType, AuxInfoType]):
     """Override this class to collect customized auxiliary information from environment."""
 
-    env: EnvWrapper | None = None
+    env: Optional[EnvWrapper] = None
 
     @final
     def __call__(self, simulator_state: StateType) -> AuxInfoType:

qlib/rl/data/exchange_wrapper.py

@@ -0,0 +1,58 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+from typing import cast
+
+import pandas as pd
+
+from qlib.backtest import Exchange, Order
+from .pickle_styled import IntradayBacktestData
+
+
+class QlibIntradayBacktestData(IntradayBacktestData):
+    """Backtest data for Qlib simulator"""
+
+    def __init__(self, order: Order, exchange: Exchange, start_time: pd.Timestamp, end_time: pd.Timestamp) -> None:
+        super(QlibIntradayBacktestData, self).__init__()
+        self._order = order
+        self._exchange = exchange
+        self._start_time = start_time
+        self._end_time = end_time
+
+        self._deal_price = cast(
+            pd.Series,
+            self._exchange.get_deal_price(
+                self._order.stock_id,
+                self._start_time,
+                self._end_time,
+                direction=self._order.direction,
+                method=None,
+            ),
+        )
+        self._volume = cast(
+            pd.Series,
+            self._exchange.get_volume(
+                self._order.stock_id,
+                self._start_time,
+                self._end_time,
+                method=None,
+            ),
+        )
+
+    def __repr__(self) -> str:
+        return (
+            f"Order: {self._order}, Exchange: {self._exchange}, "
+            f"Start time: {self._start_time}, End time: {self._end_time}"
+        )
+
+    def __len__(self) -> int:
+        return len(self._deal_price)
+
+    def get_deal_price(self) -> pd.Series:
+        return self._deal_price
+
+    def get_volume(self) -> pd.Series:
+        return self._volume
+
+    def get_time_index(self) -> pd.DatetimeIndex:
+        return pd.DatetimeIndex([e[1] for e in list(self._exchange.quote_df.index)])

qlib/rl/data/pickle_styled.py

@@ -19,19 +19,19 @@ This file shows resemblence to qlib.backtest.high_performance_ds. We might merge
 
 from __future__ import annotations
 
+from abc import abstractmethod
 from functools import lru_cache
-from typing import List, Sequence, cast
 from pathlib import Path
+from typing import List, Sequence, cast
 
 import cachetools
 import numpy as np
 import pandas as pd
 from cachetools.keys import hashkey
 
-from qlib.backtest.decision import OrderDir, Order
+from qlib.backtest.decision import Order, OrderDir
 from qlib.typehint import Literal
 
-
 DealPriceType = Literal["bid_or_ask", "bid_or_ask_fill", "close"]
 """Several ad-hoc deal price.
 ``bid_or_ask``: If sell, use column ``$bid0``; if buy, use column ``$ask0``.
@@ -40,7 +40,7 @@ DealPriceType = Literal["bid_or_ask", "bid_or_ask_fill", "close"]
 """
 
 
-def _infer_processed_data_column_names(shape: int) -> list[str]:
+def _infer_processed_data_column_names(shape: int) -> List[str]:
     if shape == 16:
         return [
             "$open",
@@ -87,7 +87,36 @@ def _read_pickle(filename_without_suffix: Path) -> pd.DataFrame:
 
 
 class IntradayBacktestData:
-    """Raw market data that is often used in backtesting (thus called BacktestData)."""
+    """
+    Raw market data that is often used in backtesting (thus called BacktestData).
+
+    Base class for all types of backtest data. Currently, each type of simulator has its corresponding backtest
+    data type.
+    """
+
+    @abstractmethod
+    def __repr__(self) -> str:
+        raise NotImplementedError
+
+    @abstractmethod
+    def __len__(self) -> int:
+        raise NotImplementedError
+
+    @abstractmethod
+    def get_deal_price(self) -> pd.Series:
+        raise NotImplementedError
+
+    @abstractmethod
+    def get_volume(self) -> pd.Series:
+        raise NotImplementedError
+
+    @abstractmethod
+    def get_time_index(self) -> pd.DatetimeIndex:
+        raise NotImplementedError
+
+
+class SimpleIntradayBacktestData(IntradayBacktestData):
+    """Backtest data for simple simulator"""
 
     def __init__(
         self,
@@ -95,8 +124,10 @@ class IntradayBacktestData:
         stock_id: str,
         date: pd.Timestamp,
         deal_price: DealPriceType = "close",
-        order_dir: int | None = None,
+        order_dir: int = None,
-    ):
+    ) -> None:
+        super(SimpleIntradayBacktestData, self).__init__()
+
         backtest = _read_pickle(data_dir / stock_id)
         backtest = backtest.loc[pd.IndexSlice[stock_id, :, date]]
 
@@ -105,13 +136,13 @@ class IntradayBacktestData:
 
         self.data: pd.DataFrame = backtest
         self.deal_price_type: DealPriceType = deal_price
-        self.order_dir: int | None = order_dir
+        self.order_dir = order_dir
 
-    def __repr__(self):
+    def __repr__(self) -> str:
         with pd.option_context("memory_usage", False, "display.max_info_columns", 1, "display.large_repr", "info"):
             return f"{self.__class__.__name__}({self.data})"
 
-    def __len__(self):
+    def __len__(self) -> int:
         return len(self.data)
 
     def get_deal_price(self) -> pd.Series:
@@ -162,7 +193,14 @@ class IntradayProcessedData:
     """Processed data for "yesterday".
     Number of records must be ``time_length``, and columns must be ``feature_dim``."""
 
-    def __init__(self, data_dir: Path, stock_id: str, date: pd.Timestamp, feature_dim: int, time_index: pd.Index):
+    def __init__(
+        self,
+        data_dir: Path,
+        stock_id: str,
+        date: pd.Timestamp,
+        feature_dim: int,
+        time_index: pd.Index,
+    ) -> None:
         proc = _read_pickle(data_dir / stock_id)
         # We have to infer the names here because,
         # unfortunately they are not included in the original data.
@@ -190,16 +228,20 @@ class IntradayProcessedData:
         assert len(self.today.columns) == len(self.yesterday.columns) == feature_dim
         assert len(self.today) == len(self.yesterday) == time_length
 
-    def __repr__(self):
+    def __repr__(self) -> str:
         with pd.option_context("memory_usage", False, "display.max_info_columns", 1, "display.large_repr", "info"):
             return f"{self.__class__.__name__}({self.today}, {self.yesterday})"
 
 
 @lru_cache(maxsize=100)  # 100 * 50K = 5MB
-def load_intraday_backtest_data(
+def load_simple_intraday_backtest_data(
-    data_dir: Path, stock_id: str, date: pd.Timestamp, deal_price: DealPriceType = "close", order_dir: int | None = None
+    data_dir: Path,
-) -> IntradayBacktestData:
+    stock_id: str,
-    return IntradayBacktestData(data_dir, stock_id, date, deal_price, order_dir)
+    date: pd.Timestamp,
+    deal_price: DealPriceType = "close",
+    order_dir: int = None,
+) -> SimpleIntradayBacktestData:
+    return SimpleIntradayBacktestData(data_dir, stock_id, date, deal_price, order_dir)
 
 
 @cachetools.cached(  # type: ignore
@@ -207,13 +249,19 @@ def load_intraday_backtest_data(
     key=lambda data_dir, stock_id, date, _, __: hashkey(data_dir, stock_id, date),
 )
 def load_intraday_processed_data(
-    data_dir: Path, stock_id: str, date: pd.Timestamp, feature_dim: int, time_index: pd.Index
+    data_dir: Path,
+    stock_id: str,
+    date: pd.Timestamp,
+    feature_dim: int,
+    time_index: pd.Index,
 ) -> IntradayProcessedData:
     return IntradayProcessedData(data_dir, stock_id, date, feature_dim, time_index)
 
 
 def load_orders(
-    order_path: Path, start_time: pd.Timestamp | None = None, end_time: pd.Timestamp | None = None
+    order_path: Path,
+    start_time: pd.Timestamp = None,
+    end_time: pd.Timestamp = None,
 ) -> Sequence[Order]:
     """Load orders, and set start time and end time for the orders."""
 
@@ -248,10 +296,10 @@ def load_orders(
             Order(
                 row["instrument"],
                 row["amount"],
-                int(row["order_type"]),
+                OrderDir(int(row["order_type"])),
                 row["datetime"].replace(hour=start_time.hour, minute=start_time.minute, second=start_time.second),
                 row["datetime"].replace(hour=end_time.hour, minute=end_time.minute, second=end_time.second),
-            )
+            ),
         )
 
     return orders

qlib/rl/entries/__init__.py

@@ -1,7 +0,0 @@
-# Copyright (c) Microsoft Corporation.
-# Licensed under the MIT License.
-
-"""Train, test, inference utilities.
-
-The APIs in this directory are NOT considered final and are subject to change!
-"""

qlib/rl/entries/test.py

@@ -1,99 +0,0 @@
-# Copyright (c) Microsoft Corporation.
-# Licensed under the MIT License.
-
-from __future__ import annotations
-
-import copy
-from typing import Callable, Sequence
-
-from tianshou.data import Collector
-from tianshou.policy import BasePolicy
-
-from qlib.constant import INF
-from qlib.log import get_module_logger
-from qlib.rl.simulator import InitialStateType, Simulator
-from qlib.rl.interpreter import StateInterpreter, ActionInterpreter
-from qlib.rl.reward import Reward
-from qlib.rl.utils import DataQueue, EnvWrapper, FiniteEnvType, LogCollector, LogWriter, vectorize_env
-
-
-_logger = get_module_logger(__name__)
-
-
-def backtest(
-    simulator_fn: Callable[[InitialStateType], Simulator],
-    state_interpreter: StateInterpreter,
-    action_interpreter: ActionInterpreter,
-    initial_states: Sequence[InitialStateType],
-    policy: BasePolicy,
-    logger: LogWriter | list[LogWriter],
-    reward: Reward | None = None,
-    finite_env_type: FiniteEnvType = "subproc",
-    concurrency: int = 2,
-) -> None:
-    """Backtest with the parallelism provided by RL framework.
-
-    Parameters
-    ----------
-    simulator_fn
-        Callable receiving initial seed, returning a simulator.
-    state_interpreter
-        Interprets the state of simulators.
-    action_interpreter
-        Interprets the policy actions.
-    initial_states
-        Initial states to iterate over. Every state will be run exactly once.
-    policy
-        Policy to test against.
-    logger
-        Logger to record the backtest results. Logger must be present because
-        without logger, all information will be lost.
-    reward
-        Optional reward function. For backtest, this is for testing the rewards
-        and logging them only.
-    finite_env_type
-        Type of finite env implementation.
-    concurrency
-        Parallel workers.
-    """
-
-    # To save bandwidth
-    min_loglevel = min(lg.loglevel for lg in logger) if isinstance(logger, list) else logger.loglevel
-
-    def env_factory():
-        # FIXME: state_interpreter and action_interpreter are stateful (having a weakref of env),
-        # and could be thread unsafe.
-        # I'm not sure whether it's a design flaw.
-        # I'll rethink about this when designing the trainer.
-
-        if finite_env_type == "dummy":
-            # We could only experience the "threading-unsafe" problem in dummy.
-            state = copy.deepcopy(state_interpreter)
-            action = copy.deepcopy(action_interpreter)
-            rew = copy.deepcopy(reward)
-        else:
-            state, action, rew = state_interpreter, action_interpreter, reward
-
-        return EnvWrapper(
-            simulator_fn,
-            state,
-            action,
-            seed_iterator,
-            rew,
-            logger=LogCollector(min_loglevel=min_loglevel),
-        )
-
-    with DataQueue(initial_states) as seed_iterator:
-        vector_env = vectorize_env(
-            env_factory,
-            finite_env_type,
-            concurrency,
-            logger,
-        )
-
-        policy.eval()
-
-        with vector_env.collector_guard():
-            test_collector = Collector(policy, vector_env)
-            _logger.info("All ready. Start backtest.")
-            test_collector.collect(n_step=INF * len(vector_env))

qlib/rl/from_neutrader/__init__.py

@@ -1,4 +1,4 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 
-# TBD
+# TODO: find a better way to organize contents under this module.

qlib/rl/from_neutrader/config.py

@@ -0,0 +1,20 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+from dataclasses import dataclass
+from pathlib import Path
+from typing import Optional, Tuple, Union
+
+
+# TODO: In the future we should merge the dataclass-based config with Qlib's dict-based config.
+@dataclass
+class ExchangeConfig:
+    limit_threshold: Union[float, Tuple[str, str]]
+    deal_price: Union[str, Tuple[str, str]]
+    volume_threshold: dict
+    open_cost: float = 0.0005
+    close_cost: float = 0.0015
+    min_cost: float = 5.0
+    trade_unit: Optional[float] = 100.0
+    cash_limit: Optional[Union[Path, float]] = None
+    generate_report: bool = False

qlib/rl/from_neutrader/feature.py

@@ -0,0 +1,109 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import collections
+from typing import List, Optional
+
+import pandas as pd
+
+import qlib
+from qlib.config import REG_CN
+from qlib.contrib.ops.high_freq import BFillNan, Cut, Date, DayCumsum, DayLast, FFillNan, IsInf, IsNull, Select
+from qlib.data.dataset import DatasetH
+
+
+class LRUCache:
+    def __init__(self, pool_size: int = 200):
+        self.pool_size = pool_size
+        self.contents: dict = {}
+        self.keys: collections.deque = collections.deque()
+
+    def put(self, key, item):
+        if self.has(key):
+            self.keys.remove(key)
+        self.keys.append(key)
+        self.contents[key] = item
+        while len(self.contents) > self.pool_size:
+            self.contents.pop(self.keys.popleft())
+
+    def get(self, key):
+        return self.contents[key]
+
+    def has(self, key):
+        return key in self.contents
+
+
+class DataWrapper:
+    def __init__(
+        self,
+        feature_dataset: DatasetH,
+        backtest_dataset: DatasetH,
+        columns_today: List[str],
+        columns_yesterday: List[str],
+        _internal: bool = False,
+    ):
+        assert _internal, "Init function of data wrapper is for internal use only."
+
+        self.feature_dataset = feature_dataset
+        self.backtest_dataset = backtest_dataset
+        self.columns_today = columns_today
+        self.columns_yesterday = columns_yesterday
+
+        # TODO: We might have the chance to merge them.
+        self.feature_cache = LRUCache()
+        self.backtest_cache = LRUCache()
+
+    def get(self, stock_id: str, date: pd.Timestamp, backtest: bool = False) -> pd.DataFrame:
+        start_time, end_time = date.replace(hour=0, minute=0, second=0), date.replace(hour=23, minute=59, second=59)
+
+        if backtest:
+            dataset = self.backtest_dataset
+            cache = self.backtest_cache
+        else:
+            dataset = self.feature_dataset
+            cache = self.feature_cache
+
+        if cache.has((start_time, end_time, stock_id)):
+            return cache.get((start_time, end_time, stock_id))
+        data = dataset.handler.fetch(pd.IndexSlice[stock_id, start_time:end_time], level=None)
+        cache.put((start_time, end_time, stock_id), data)
+        return data
+
+
+def init_qlib(config: dict, part: Optional[str] = None) -> None:
+    provider_uri_map = {
+        "day": config["provider_uri_day"].as_posix(),
+        "1min": config["provider_uri_1min"].as_posix(),
+    }
+    qlib.init(
+        region=REG_CN,
+        auto_mount=False,
+        custom_ops=[DayLast, FFillNan, BFillNan, Date, Select, IsNull, IsInf, Cut, DayCumsum],
+        expression_cache=None,
+        calendar_provider={
+            "class": "LocalCalendarProvider",
+            "module_path": "qlib.data.data",
+            "kwargs": {
+                "backend": {
+                    "class": "FileCalendarStorage",
+                    "module_path": "qlib.data.storage.file_storage",
+                    "kwargs": {"provider_uri_map": provider_uri_map},
+                },
+            },
+        },
+        feature_provider={
+            "class": "LocalFeatureProvider",
+            "module_path": "qlib.data.data",
+            "kwargs": {
+                "backend": {
+                    "class": "FileFeatureStorage",
+                    "module_path": "qlib.data.storage.file_storage",
+                    "kwargs": {"provider_uri_map": provider_uri_map},
+                },
+            },
+        },
+        provider_uri=provider_uri_map,
+        kernels=1,
+        redis_port=-1,
+        clear_mem_cache=False,  # init_qlib will be called for multiple times. Keep the cache for improving performance
+    )

qlib/rl/interpreter.py

@@ -3,13 +3,13 @@
 
 from __future__ import annotations
 
-from typing import TYPE_CHECKING, TypeVar, Generic, Any
+from typing import TYPE_CHECKING, Any, Generic, Optional, TypeVar
 
 import numpy as np
 
 from qlib.typehint import final
 
-from .simulator import StateType, ActType
+from .simulator import ActType, StateType
 
 if TYPE_CHECKING:
     from .utils.env_wrapper import EnvWrapper
@@ -40,7 +40,7 @@ class Interpreter:
 class StateInterpreter(Generic[StateType, ObsType], Interpreter):
     """State Interpreter that interpret execution result of qlib executor into rl env state"""
 
-    env: EnvWrapper | None = None
+    env: Optional[EnvWrapper] = None
 
     @property
     def observation_space(self) -> gym.Space:
@@ -74,7 +74,7 @@ class StateInterpreter(Generic[StateType, ObsType], Interpreter):
 class ActionInterpreter(Generic[StateType, PolicyActType, ActType], Interpreter):
     """Action Interpreter that interpret rl agent action into qlib orders"""
 
-    env: "EnvWrapper" | None = None
+    env: Optional[EnvWrapper] = None
 
     @property
     def action_space(self) -> gym.Space:
@@ -141,10 +141,10 @@ def _gym_space_contains(space: gym.Space, x: Any) -> None:
 
 
 class GymSpaceValidationError(Exception):
-    def __init__(self, message: str, space: gym.Space, x: Any):
+    def __init__(self, message: str, space: gym.Space, x: Any) -> None:
         self.message = message
         self.space = space
         self.x = x
 
-    def __str__(self):
+    def __str__(self) -> str:
         return f"{self.message}\n  Space: {self.space}\n  Sample: {self.x}"

qlib/rl/order_execution/__init__.py

@@ -9,4 +9,5 @@ Multi-asset is on the way.
 from .interpreter import *
 from .network import *
 from .policy import *
+from .reward import *
 from .simulator_simple import *

qlib/rl/order_execution/interpreter.py

@@ -5,15 +5,15 @@ from __future__ import annotations
 
 import math
 from pathlib import Path
-from typing import Any, cast
+from typing import Any, List, cast
 
 import numpy as np
 import pandas as pd
 from gym import spaces
 
 from qlib.constant import EPS
-from qlib.rl.interpreter import StateInterpreter, ActionInterpreter
 from qlib.rl.data import pickle_styled
+from qlib.rl.interpreter import ActionInterpreter, StateInterpreter
 from qlib.typehint import TypedDict
 
 from .simulator_simple import SAOEState
@@ -99,18 +99,18 @@ class FullHistoryStateInterpreter(StateInterpreter[SAOEState, FullHistoryObs]):
                     "data_processed": self._mask_future_info(processed.today, state.cur_time),
                     "data_processed_prev": processed.yesterday,
                     "acquiring": state.order.direction == state.order.BUY,
-                    "cur_tick": min(np.sum(state.ticks_index < state.cur_time), self.data_ticks - 1),
+                    "cur_tick": min(int(np.sum(state.ticks_index < state.cur_time)), self.data_ticks - 1),
                     "cur_step": min(self.env.status["cur_step"], self.max_step - 1),
                     "num_step": self.max_step,
                     "target": state.order.amount,
                     "position": state.position,
                     "position_history": position_history[: self.max_step],
-                }
+                },
             ),
         )
 
     @property
-    def observation_space(self):
+    def observation_space(self) -> spaces.Dict:
         space = {
             "data_processed": spaces.Box(-np.inf, np.inf, shape=(self.data_ticks, self.data_dim)),
             "data_processed_prev": spaces.Box(-np.inf, np.inf, shape=(self.data_ticks, self.data_dim)),
@@ -147,11 +147,11 @@ class CurrentStepStateInterpreter(StateInterpreter[SAOEState, CurrentStateObs]):
     The key list is not full. You can add more if more information is needed by your policy.
     """
 
-    def __init__(self, max_step: int):
+    def __init__(self, max_step: int) -> None:
         self.max_step = max_step
 
     @property
-    def observation_space(self):
+    def observation_space(self) -> spaces.Dict:
         space = {
             "acquiring": spaces.Discrete(2),
             "cur_step": spaces.Box(0, self.max_step - 1, shape=(), dtype=np.int32),
@@ -165,13 +165,11 @@ class CurrentStepStateInterpreter(StateInterpreter[SAOEState, CurrentStateObs]):
         assert self.env is not None
         assert self.env.status["cur_step"] <= self.max_step
         obs = CurrentStateObs(
-            {
+            acquiring=state.order.direction == state.order.BUY,
-                "acquiring": state.order.direction == state.order.BUY,
+            cur_step=self.env.status["cur_step"],
-                "cur_step": self.env.status["cur_step"],
+            num_step=self.max_step,
-                "num_step": self.max_step,
+            target=state.order.amount,
-                "target": state.order.amount,
+            position=state.position,
-                "position": state.position,
-            }
         )
         return obs
 
@@ -188,7 +186,7 @@ class CategoricalActionInterpreter(ActionInterpreter[SAOEState, int, float]):
         i.e., $[0, 1/n, 2/n, \\ldots, n/n]$.
     """
 
-    def __init__(self, values: int | list[float]):
+    def __init__(self, values: int | List[float]) -> None:
         if isinstance(values, int):
             values = [i / values for i in range(0, values + 1)]
         self.action_values = values
@@ -203,7 +201,7 @@ class CategoricalActionInterpreter(ActionInterpreter[SAOEState, int, float]):
 
 
 class TwapRelativeActionInterpreter(ActionInterpreter[SAOEState, float, float]):
-    """Convert a continous ratio to deal amount.
+    """Convert a continuous ratio to deal amount.
 
     The ratio is relative to TWAP on the remainder of the day.
     For example, there are 5 steps left, and the left position is 300.

qlib/rl/order_execution/network.py

@@ -3,13 +3,14 @@
 
 from __future__ import annotations
 
-from typing import cast
+from typing import List, Tuple, cast
 
 import torch
 import torch.nn as nn
 from tianshou.data import Batch
 
 from qlib.typehint import Literal
+
 from .interpreter import FullHistoryObs
 
 __all__ = ["Recurrent"]
@@ -18,7 +19,7 @@ __all__ = ["Recurrent"]
 class Recurrent(nn.Module):
     """The network architecture proposed in `OPD <https://seqml.github.io/opd/opd_aaai21_supplement.pdf>`_.
 
-    At every timestep the input of policy network is divided into two parts,
+    At every time step the input of policy network is divided into two parts,
     the public variables and the private variables. which are handled by ``raw_rnn``
     and ``pri_rnn`` in this network, respectively.
 
@@ -33,7 +34,7 @@ class Recurrent(nn.Module):
         output_dim: int = 32,
         rnn_type: Literal["rnn", "lstm", "gru"] = "gru",
         rnn_num_layers: int = 1,
-    ):
+    ) -> None:
         super().__init__()
 
         self.hidden_dim = hidden_dim
@@ -62,10 +63,10 @@ class Recurrent(nn.Module):
             nn.ReLU(),
         )
 
-    def _init_extra_branches(self):
+    def _init_extra_branches(self) -> None:
         pass
 
-    def _source_features(self, obs: FullHistoryObs, device: torch.device) -> tuple[list[torch.Tensor], torch.Tensor]:
+    def _source_features(self, obs: FullHistoryObs, device: torch.device) -> Tuple[List[torch.Tensor], torch.Tensor]:
         bs, _, data_dim = obs["data_processed"].size()
         data = torch.cat((torch.zeros(bs, 1, data_dim, device=device), obs["data_processed"]), 1)
         cur_step = obs["cur_step"].long()

qlib/rl/order_execution/policy.py

@@ -1,16 +1,17 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
+from __future__ import annotations
 
 from pathlib import Path
-from typing import Optional, cast
+from typing import Any, Dict, Generator, Iterable, Optional, Tuple, cast
 
-import numpy as np
 import gym
+import numpy as np
 import torch
 import torch.nn as nn
 from gym.spaces import Discrete
-from tianshou.data import Batch, to_torch
+from tianshou.data import Batch, ReplayBuffer, to_torch
-from tianshou.policy import PPOPolicy, BasePolicy
+from tianshou.policy import BasePolicy, PPOPolicy
 
 __all__ = ["AllOne", "PPO"]
 
@@ -18,29 +19,39 @@ __all__ = ["AllOne", "PPO"]
 # baselines #
 
 
-class NonlearnablePolicy(BasePolicy):
+class NonLearnablePolicy(BasePolicy):
     """Tianshou's BasePolicy with empty ``learn`` and ``process_fn``.
 
     This could be moved outside in future.
     """
 
-    def __init__(self, obs_space: gym.Space, action_space: gym.Space):
+    def __init__(self, obs_space: gym.Space, action_space: gym.Space) -> None:
         super().__init__()
 
-    def learn(self, batch, batch_size, repeat):
+    def learn(self, batch: Batch, **kwargs: Any) -> Dict[str, Any]:
         pass
 
-    def process_fn(self, batch, buffer, indice):
+    def process_fn(
+        self,
+        batch: Batch,
+        buffer: ReplayBuffer,
+        indices: np.ndarray,
+    ) -> Batch:
         pass
 
 
-class AllOne(NonlearnablePolicy):
+class AllOne(NonLearnablePolicy):
     """Forward returns a batch full of 1.
 
     Useful when implementing some baselines (e.g., TWAP).
     """
 
-    def forward(self, batch, state=None, **kwargs):
+    def forward(
+        self,
+        batch: Batch,
+        state: dict | Batch | np.ndarray = None,
+        **kwargs: Any,
+    ) -> Batch:
         return Batch(act=np.full(len(batch), 1.0), state=state)
 
 
@@ -48,24 +59,34 @@ class AllOne(NonlearnablePolicy):
 
 
 class PPOActor(nn.Module):
-    def __init__(self, extractor: nn.Module, action_dim: int):
+    def __init__(self, extractor: nn.Module, action_dim: int) -> None:
         super().__init__()
         self.extractor = extractor
         self.layer_out = nn.Sequential(nn.Linear(cast(int, extractor.output_dim), action_dim), nn.Softmax(dim=-1))
 
-    def forward(self, obs, state=None, info={}):
+    def forward(
+        self,
+        obs: torch.Tensor,
+        state: torch.Tensor = None,
+        info: dict = {},
+    ) -> Tuple[torch.Tensor, Optional[torch.Tensor]]:
         feature = self.extractor(to_torch(obs, device=auto_device(self)))
         out = self.layer_out(feature)
         return out, state
 
 
 class PPOCritic(nn.Module):
-    def __init__(self, extractor: nn.Module):
+    def __init__(self, extractor: nn.Module) -> None:
         super().__init__()
         self.extractor = extractor
         self.value_out = nn.Linear(cast(int, extractor.output_dim), 1)
 
-    def forward(self, obs, state=None, info={}):
+    def forward(
+        self,
+        obs: torch.Tensor,
+        state: torch.Tensor = None,
+        info: dict = {},
+    ) -> torch.Tensor:
         feature = self.extractor(to_torch(obs, device=auto_device(self)))
         return self.value_out(feature).squeeze(dim=-1)
 
@@ -93,18 +114,20 @@ class PPO(PPOPolicy):
         max_grad_norm: float = 100.0,
         reward_normalization: bool = True,
         eps_clip: float = 0.3,
-        value_clip: float = True,
+        value_clip: bool = True,
         vf_coef: float = 1.0,
         gae_lambda: float = 1.0,
-        max_batchsize: int = 256,
+        max_batch_size: int = 256,
         deterministic_eval: bool = True,
         weight_file: Optional[Path] = None,
-    ):
+    ) -> None:
         assert isinstance(action_space, Discrete)
         actor = PPOActor(network, action_space.n)
         critic = PPOCritic(network)
         optimizer = torch.optim.Adam(
-            chain_dedup(actor.parameters(), critic.parameters()), lr=lr, weight_decay=weight_decay
+            chain_dedup(actor.parameters(), critic.parameters()),
+            lr=lr,
+            weight_decay=weight_decay,
         )
         super().__init__(
             actor,
@@ -118,7 +141,7 @@ class PPO(PPOPolicy):
             value_clip=value_clip,
             vf_coef=vf_coef,
             gae_lambda=gae_lambda,
-            max_batchsize=max_batchsize,
+            max_batchsize=max_batch_size,
             deterministic_eval=deterministic_eval,
             observation_space=obs_space,
             action_space=action_space,
@@ -136,7 +159,7 @@ def auto_device(module: nn.Module) -> torch.device:
     return torch.device("cpu")  # fallback to cpu
 
 
-def load_weight(policy, path):
+def load_weight(policy: nn.Module, path: Path) -> None:
     assert isinstance(policy, nn.Module), "Policy has to be an nn.Module to load weight."
     loaded_weight = torch.load(path, map_location="cpu")
     try:
@@ -149,7 +172,7 @@ def load_weight(policy, path):
         policy.load_state_dict(loaded_weight)
 
 
-def chain_dedup(*iterables):
+def chain_dedup(*iterables: Iterable) -> Generator[Any, None, None]:
     seen = set()
     for iterable in iterables:
         for i in iterable:

qlib/rl/order_execution/reward.py

@@ -0,0 +1,47 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+from __future__ import annotations
+
+from typing import cast
+
+import numpy as np
+
+from qlib.rl.reward import Reward
+
+from .simulator_simple import SAOEMetrics, SAOEState
+
+__all__ = ["PAPenaltyReward"]
+
+
+class PAPenaltyReward(Reward[SAOEState]):
+    """Encourage higher PAs, but penalize stacking all the amounts within a very short time.
+    Formally, for each time step, the reward is :math:`(PA_t * vol_t / target - vol_t^2 * penalty)`.
+
+    Parameters
+    ----------
+    penalty
+        The penalty for large volume in a short time.
+    """
+
+    def __init__(self, penalty: float = 100.0):
+        self.penalty = penalty
+
+    def reward(self, simulator_state: SAOEState) -> float:
+        whole_order = simulator_state.order.amount
+        assert whole_order > 0
+        last_step = cast(SAOEMetrics, simulator_state.history_steps.reset_index().iloc[-1].to_dict())
+        pa = last_step["pa"] * last_step["amount"] / whole_order
+
+        # Inspect the "break-down" of the latest step: trading amount at every tick
+        last_step_breakdown = simulator_state.history_exec.loc[last_step["datetime"] :]
+        penalty = -self.penalty * ((last_step_breakdown["amount"] / whole_order) ** 2).sum()
+
+        reward = pa + penalty
+
+        # Throw error in case of NaN
+        assert not (np.isnan(reward) or np.isinf(reward)), f"Invalid reward for simulator state: {simulator_state}"
+
+        self.log("reward/pa", pa)
+        self.log("reward/penalty", penalty)
+        return reward

qlib/rl/order_execution/simulator_qlib.py

@@ -1,4 +1,424 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 
-"""Placeholder for qlib-based simulator."""
+from __future__ import annotations
+
+from typing import Any, Callable, cast, Generator, List, Optional, Tuple
+
+import numpy as np
+import pandas as pd
+
+from qlib.backtest.decision import BaseTradeDecision, Order, OrderHelper, TradeDecisionWO, TradeRange, TradeRangeByTime
+from qlib.backtest.executor import BaseExecutor, NestedExecutor
+from qlib.backtest.utils import CommonInfrastructure
+from qlib.constant import EPS
+from qlib.rl.data.exchange_wrapper import QlibIntradayBacktestData
+from qlib.rl.from_neutrader.config import ExchangeConfig
+from qlib.rl.from_neutrader.feature import init_qlib
+from qlib.rl.order_execution.simulator_simple import SAOEMetrics, SAOEState
+from qlib.rl.order_execution.utils import (
+    dataframe_append,
+    get_common_infra,
+    get_portfolio_and_indicator,
+    get_ticks_slice,
+    price_advantage,
+)
+from qlib.rl.simulator import Simulator
+from qlib.strategy.base import BaseStrategy
+
+
+class DecomposedStrategy(BaseStrategy):
+    def __init__(self) -> None:
+        super().__init__()
+
+        self.execute_order: Optional[Order] = None
+        self.execute_result: List[Tuple[Order, float, float, float]] = []
+
+    def generate_trade_decision(self, execute_result: list = None) -> Generator[Any, Any, BaseTradeDecision]:
+        # Once the following line is executed, this DecomposedStrategy (self) will be yielded to the outside
+        # of the entire executor, and the execution will be suspended. When the execution is resumed by `send()`,
+        # the sent item will be captured by `exec_vol`. The outside policy could communicate with the inner
+        # level strategy through this way.
+        exec_vol = yield self
+
+        oh = self.trade_exchange.get_order_helper()
+        order = oh.create(self._order.stock_id, exec_vol, self._order.direction)
+
+        self.execute_order = order
+
+        return TradeDecisionWO([order], self)
+
+    def alter_outer_trade_decision(self, outer_trade_decision: BaseTradeDecision) -> BaseTradeDecision:
+        return outer_trade_decision
+
+    def post_exe_step(self, execute_result: list) -> None:
+        self.execute_result = execute_result
+
+    def reset(self, outer_trade_decision: TradeDecisionWO = None, **kwargs: Any) -> None:
+        super().reset(outer_trade_decision=outer_trade_decision, **kwargs)
+        if outer_trade_decision is not None:
+            order_list = outer_trade_decision.order_list
+            assert len(order_list) == 1
+            self._order = order_list[0]
+
+
+class SingleOrderStrategy(BaseStrategy):
+    # this logic is copied from FileOrderStrategy
+    def __init__(
+        self,
+        common_infra: CommonInfrastructure,
+        order: Order,
+        trade_range: TradeRange,
+        instrument: str,
+    ) -> None:
+        super().__init__(common_infra=common_infra)
+        self._order = order
+        self._trade_range = trade_range
+        self._instrument = instrument
+
+    def alter_outer_trade_decision(self, outer_trade_decision: BaseTradeDecision) -> BaseTradeDecision:
+        return outer_trade_decision
+
+    def generate_trade_decision(self, execute_result: list = None) -> TradeDecisionWO:
+        oh: OrderHelper = self.common_infra.get("trade_exchange").get_order_helper()
+        order_list = [
+            oh.create(
+                code=self._instrument,
+                amount=self._order.amount,
+                direction=self._order.direction,
+            ),
+        ]
+        return TradeDecisionWO(order_list, self, self._trade_range)
+
+
+# TODO: move these to the configuration files
+FINEST_GRANULARITY = "1min"
+COARSEST_GRANULARITY = "1day"
+
+
+class StateMaintainer:
+    """
+    Maintain states of the environment.
+
+    Example usage::
+
+        maintainer = StateMaintainer(...)  # in reset
+        maintainer.update(...)  # in step
+        # get states in get_state from maintainer
+    """
+
+    def __init__(self, order: Order, time_per_step: str, tick_index: pd.DatetimeIndex, twap_price: float) -> None:
+        super().__init__()
+
+        self.position = order.amount
+        self._order = order
+        self._time_per_step = time_per_step
+        self._tick_index = tick_index
+        self._twap_price = twap_price
+
+        metric_keys = list(SAOEMetrics.__annotations__.keys())  # pylint: disable=no-member
+        self.history_exec = pd.DataFrame(columns=metric_keys).set_index("datetime")
+        self.history_steps = pd.DataFrame(columns=metric_keys).set_index("datetime")
+        self.metrics: Optional[SAOEMetrics] = None
+
+    def update(
+        self,
+        inner_executor: BaseExecutor,
+        inner_strategy: DecomposedStrategy,
+        done: bool,
+        all_indicators: dict,
+    ) -> None:
+        execute_order = inner_strategy.execute_order
+        execute_result = inner_strategy.execute_result
+        exec_vol = np.array([e[0].deal_amount for e in execute_result])
+        num_step = len(execute_result)
+
+        assert execute_order is not None
+
+        if num_step == 0:
+            market_volume = np.array([])
+            market_price = np.array([])
+            datetime_list = pd.DatetimeIndex([])
+        else:
+            market_volume = np.array(
+                inner_executor.trade_exchange.get_volume(
+                    execute_order.stock_id,
+                    execute_result[0][0].start_time,
+                    execute_result[-1][0].start_time,
+                    method=None,
+                ),
+            )
+
+            trade_value = all_indicators[FINEST_GRANULARITY].iloc[-num_step:]["value"].values
+            deal_amount = all_indicators[FINEST_GRANULARITY].iloc[-num_step:]["deal_amount"].values
+            market_price = trade_value / deal_amount
+
+            datetime_list = all_indicators[FINEST_GRANULARITY].index[-num_step:]
+
+        assert market_price.shape == market_volume.shape == exec_vol.shape
+
+        self.history_exec = dataframe_append(
+            self.history_exec,
+            self._collect_multi_order_metric(
+                order=self._order,
+                datetime=datetime_list,
+                market_vol=market_volume,
+                market_price=market_price,
+                exec_vol=exec_vol,
+                pa=all_indicators[self._time_per_step].iloc[-1]["pa"],
+            ),
+        )
+
+        self.history_steps = dataframe_append(
+            self.history_steps,
+            [
+                self._collect_single_order_metric(
+                    execute_order,
+                    execute_order.start_time,
+                    market_volume,
+                    market_price,
+                    exec_vol.sum(),
+                    exec_vol,
+                ),
+            ],
+        )
+
+        if done:
+            self.metrics = self._collect_single_order_metric(
+                self._order,
+                self._tick_index[0],  # start time
+                self.history_exec["market_volume"],
+                self.history_exec["market_price"],
+                self.history_steps["amount"].sum(),
+                self.history_exec["deal_amount"],
+            )
+
+        # TODO: check whether we need this. Can we get this information from Account?
+        # Do this at the end
+        self.position -= exec_vol.sum()
+
+    def _collect_multi_order_metric(
+        self,
+        order: Order,
+        datetime: pd.Timestamp,
+        market_vol: np.ndarray,
+        market_price: np.ndarray,
+        exec_vol: np.ndarray,
+        pa: float,
+    ) -> SAOEMetrics:
+        return SAOEMetrics(
+            # It should have the same keys with SAOEMetrics,
+            # but the values do not necessarily have the annotated type.
+            # Some values could be vectorized (e.g., exec_vol).
+            stock_id=order.stock_id,
+            datetime=datetime,
+            direction=order.direction,
+            market_volume=market_vol,
+            market_price=market_price,
+            amount=exec_vol,
+            inner_amount=exec_vol,
+            deal_amount=exec_vol,
+            trade_price=market_price,
+            trade_value=market_price * exec_vol,
+            position=self.position - np.cumsum(exec_vol),
+            ffr=exec_vol / order.amount,
+            pa=pa,
+        )
+
+    def _collect_single_order_metric(
+        self,
+        order: Order,
+        datetime: pd.Timestamp,
+        market_vol: np.ndarray,
+        market_price: np.ndarray,
+        amount: float,  # intended to trade such amount
+        exec_vol: np.ndarray,
+    ) -> SAOEMetrics:
+        assert len(market_vol) == len(market_price) == len(exec_vol)
+
+        if np.abs(np.sum(exec_vol)) < EPS:
+            exec_avg_price = 0.0
+        else:
+            exec_avg_price = cast(float, np.average(market_price, weights=exec_vol))  # could be nan
+            if hasattr(exec_avg_price, "item"):  # could be numpy scalar
+                exec_avg_price = exec_avg_price.item()  # type: ignore
+
+        exec_sum = exec_vol.sum()
+        return SAOEMetrics(
+            stock_id=order.stock_id,
+            datetime=datetime,
+            direction=order.direction,
+            market_volume=market_vol.sum(),
+            market_price=market_price.mean() if len(market_price) > 0 else np.nan,
+            amount=amount,
+            inner_amount=exec_sum,
+            deal_amount=exec_sum,  # in this simulator, there's no other restrictions
+            trade_price=exec_avg_price,
+            trade_value=float(np.sum(market_price * exec_vol)),
+            position=self.position - exec_sum,
+            ffr=float(exec_sum / order.amount),
+            pa=price_advantage(exec_avg_price, self._twap_price, order.direction),
+        )
+
+
+class SingleAssetOrderExecutionQlib(Simulator[Order, SAOEState, float]):
+    """Single-asset order execution (SAOE) simulator which is implemented based on Qlib backtest tools.
+
+    Parameters
+    ----------
+    order (Order):
+        The seed to start an SAOE simulator is an order.
+    time_per_step (str):
+        A string to describe the time granularity of each step. Current support "1min", "30min", and "1day"
+    qlib_config (dict):
+        Configuration used to initialize Qlib.
+    inner_executor_fn (Callable[[str, CommonInfrastructure], BaseExecutor]):
+        Function used to get the inner level executor.
+    exchange_config (ExchangeConfig):
+        Configuration used to create the Exchange instance.
+    """
+
+    def __init__(
+        self,
+        order: Order,
+        time_per_step: str,  # "1min", "30min", "1day"
+        qlib_config: dict,
+        inner_executor_fn: Callable[[str, CommonInfrastructure], BaseExecutor],
+        exchange_config: ExchangeConfig,
+    ) -> None:
+        assert time_per_step in ("1min", "30min", "1day")
+
+        super().__init__(initial=order)
+
+        assert order.start_time.date() == order.end_time.date(), "Start date and end date must be the same."
+
+        self._order = order
+        self._order_date = pd.Timestamp(order.start_time.date())
+        self._trade_range = TradeRangeByTime(order.start_time.time(), order.end_time.time())
+        self._qlib_config = qlib_config
+        self._inner_executor_fn = inner_executor_fn
+        self._exchange_config = exchange_config
+
+        self._time_per_step = time_per_step
+        self._ticks_per_step = int(pd.Timedelta(time_per_step).total_seconds() // 60)
+
+        self._executor: Optional[NestedExecutor] = None
+        self._collect_data_loop: Optional[Generator] = None
+
+        self._done = False
+
+        self._inner_strategy = DecomposedStrategy()
+
+        self.reset(self._order)
+
+    def reset(self, order: Order) -> None:
+        instrument = order.stock_id
+
+        # TODO: Check this logic. Make sure we need to do this every time we reset the simulator.
+        init_qlib(self._qlib_config, instrument)
+
+        common_infra = get_common_infra(
+            self._exchange_config,
+            trade_date=pd.Timestamp(self._order_date),
+            codes=[instrument],
+        )
+
+        # TODO: We can leverage interfaces like (https://tinyurl.com/y8f8fhv4) to create trading environment.
+        # TODO: By aligning the interface to create environments with Qlib, it will be easier to share the config and
+        # TODO: code between backtesting and training.
+        self._inner_executor = self._inner_executor_fn(self._time_per_step, common_infra)
+        self._executor = NestedExecutor(
+            time_per_step=COARSEST_GRANULARITY,
+            inner_executor=self._inner_executor,
+            inner_strategy=self._inner_strategy,
+            track_data=True,
+            common_infra=common_infra,
+        )
+
+        exchange = self._inner_executor.trade_exchange
+        self._ticks_index = pd.DatetimeIndex([e[1] for e in list(exchange.quote_df.index)])
+        self._ticks_for_order = get_ticks_slice(
+            self._ticks_index,
+            self._order.start_time,
+            self._order.end_time,
+            include_end=True,
+        )
+
+        self._backtest_data = QlibIntradayBacktestData(
+            order=self._order,
+            exchange=exchange,
+            start_time=self._ticks_for_order[0],
+            end_time=self._ticks_for_order[-1],
+        )
+
+        self.twap_price = self._backtest_data.get_deal_price().mean()
+
+        top_strategy = SingleOrderStrategy(common_infra, order, self._trade_range, instrument)
+        self._executor.reset(start_time=pd.Timestamp(self._order_date), end_time=pd.Timestamp(self._order_date))
+        top_strategy.reset(level_infra=self._executor.get_level_infra())
+
+        self._collect_data_loop = self._executor.collect_data(top_strategy.generate_trade_decision(), level=0)
+        assert isinstance(self._collect_data_loop, Generator)
+
+        self._iter_strategy(action=None)
+        self._done = False
+
+        self._maintainer = StateMaintainer(
+            order=self._order,
+            time_per_step=self._time_per_step,
+            tick_index=self._ticks_index,
+            twap_price=self.twap_price,
+        )
+
+    def _iter_strategy(self, action: float = None) -> DecomposedStrategy:
+        """Iterate the _collect_data_loop until we get the next yield DecomposedStrategy."""
+        assert self._collect_data_loop is not None
+
+        strategy = next(self._collect_data_loop) if action is None else self._collect_data_loop.send(action)
+        while not isinstance(strategy, DecomposedStrategy):
+            strategy = next(self._collect_data_loop) if action is None else self._collect_data_loop.send(action)
+        assert isinstance(strategy, DecomposedStrategy)
+        return strategy
+
+    def step(self, action: float) -> None:
+        """Execute one step or SAOE.
+
+        Parameters
+        ----------
+        action (float):
+            The amount you wish to deal. The simulator doesn't guarantee all the amount to be successfully dealt.
+        """
+
+        assert not self._done, "Simulator has already done!"
+
+        try:
+            self._iter_strategy(action=action)
+        except StopIteration:
+            self._done = True
+
+        assert self._executor is not None
+        _, all_indicators = get_portfolio_and_indicator(self._executor)
+
+        self._maintainer.update(
+            inner_executor=self._inner_executor,
+            inner_strategy=self._inner_strategy,
+            done=self._done,
+            all_indicators=all_indicators,
+        )
+
+    def get_state(self) -> SAOEState:
+        return SAOEState(
+            order=self._order,
+            cur_time=self._inner_executor.trade_calendar.get_step_time()[0],
+            position=self._maintainer.position,
+            history_exec=self._maintainer.history_exec,
+            history_steps=self._maintainer.history_steps,
+            metrics=self._maintainer.metrics,
+            backtest_data=self._backtest_data,
+            ticks_per_step=self._ticks_per_step,
+            ticks_index=self._ticks_index,
+            ticks_for_order=self._ticks_for_order,
+        )
+
+    def done(self) -> bool:
+        return self._done

qlib/rl/order_execution/simulator_simple.py

@@ -4,18 +4,20 @@
 from __future__ import annotations
 
 from pathlib import Path
-from typing import NamedTuple, Any, TypeVar, cast
+from typing import Any, NamedTuple, Optional, TypeVar, cast
 
 import numpy as np
 import pandas as pd
 
 from qlib.backtest.decision import Order, OrderDir
 from qlib.constant import EPS
+from qlib.rl.data.pickle_styled import DealPriceType, IntradayBacktestData, load_simple_intraday_backtest_data
 from qlib.rl.simulator import Simulator
-from qlib.rl.data.pickle_styled import IntradayBacktestData, load_intraday_backtest_data, DealPriceType
 from qlib.rl.utils import LogLevel
 from qlib.typehint import TypedDict
 
+# TODO: Integrating Qlib's native data with simulator_simple
+
 __all__ = ["SAOEMetrics", "SAOEState", "SingleAssetOrderExecution"]
 
 ONE_SEC = pd.Timedelta("1s")  # use 1 second to exclude the right interval point
@@ -33,40 +35,40 @@ class SAOEMetrics(TypedDict):
 
     stock_id: str
     """Stock ID of this record."""
-    datetime: pd.Timestamp
+    datetime: pd.Timestamp | pd.DatetimeIndex  # TODO: check this
     """Datetime of this record (this is index in the dataframe)."""
     direction: int
     """Direction of the order. 0 for sell, 1 for buy."""
 
     # Market information.
-    market_volume: float
+    market_volume: np.ndarray | float
     """(total) market volume traded in the period."""
-    market_price: float
+    market_price: np.ndarray | float
     """Deal price. If it's a period of time, this is the average market deal price."""
 
     # Strategy records.
 
-    amount: float
+    amount: np.ndarray | float
     """Total amount (volume) strategy intends to trade."""
-    inner_amount: float
+    inner_amount: np.ndarray | float
     """Total amount that the lower-level strategy intends to trade
     (might be larger than amount, e.g., to ensure ffr)."""
 
-    deal_amount: float
+    deal_amount: np.ndarray | float
     """Amount that successfully takes effect (must be less than inner_amount)."""
-    trade_price: float
+    trade_price: np.ndarray | float
     """The average deal price for this strategy."""
-    trade_value: float
+    trade_value: np.ndarray | float
-    """Total worth of trading. In the simple simulaton, trade_value = deal_amount * price."""
+    """Total worth of trading. In the simple simulation, trade_value = deal_amount * price."""
-    position: float
+    position: np.ndarray | float
     """Position left after this "period"."""
 
     # Accumulated metrics
 
-    ffr: float
+    ffr: np.ndarray | float
     """Completed how much percent of the daily order."""
 
-    pa: float
+    pa: np.ndarray | float
     """Price advantage compared to baseline (i.e., trade with baseline market price).
     The baseline is trade price when using TWAP strategy to execute this order.
     Please note that there could be data leak here).
@@ -87,7 +89,7 @@ class SAOEState(NamedTuple):
     history_steps: pd.DataFrame
     """See :attr:`SingleAssetOrderExecution.history_steps`."""
 
-    metrics: SAOEMetrics | None
+    metrics: Optional[SAOEMetrics]
     """Daily metric, only available when the trading is in "done" state."""
 
     backtest_data: IntradayBacktestData
@@ -114,13 +116,13 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
     If such fine granularity is not needed, use ``ticks_per_step`` to
     lengthen the ticks for each step.
 
-    In each step, the traded amount are "equally" splitted to each tick,
+    In each step, the traded amount are "equally" separated to each tick,
-    then bounded by volume maximum exeuction volume (i.e., ``vol_threshold``),
+    then bounded by volume maximum execution volume (i.e., ``vol_threshold``),
     and if it's the last step, try to ensure all the amount to be executed.
 
     Parameters
     ----------
-    initial
+    order
         The seed to start an SAOE simulator is an order.
     ticks_per_step
         How many ticks per step.
@@ -131,13 +133,16 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
     """
 
     history_exec: pd.DataFrame
-    """All execution history at every possible time ticks. See :class:`SAOEMetrics` for available columns."""
+    """All execution history at every possible time ticks. See :class:`SAOEMetrics` for available columns.
+    Index is ``datetime``.
+    """
 
     history_steps: pd.DataFrame
     """Positions at each step. The position before first step is also recorded.
-    See :class:`SAOEMetrics` for available columns."""
+    See :class:`SAOEMetrics` for available columns.
+    Index is ``datetime``, which is the **starting** time of each step."""
 
-    metrics: SAOEMetrics | None
+    metrics: Optional[SAOEMetrics]
     """Metrics. Only available when done."""
 
     twap_price: float
@@ -156,15 +161,21 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
         data_dir: Path,
         ticks_per_step: int = 30,
         deal_price_type: DealPriceType = "close",
-        vol_threshold: float | None = None,
+        vol_threshold: Optional[float] = None,
     ) -> None:
+        super().__init__(initial=order)
+
         self.order = order
         self.ticks_per_step: int = ticks_per_step
         self.deal_price_type = deal_price_type
         self.vol_threshold = vol_threshold
         self.data_dir = data_dir
-        self.backtest_data = load_intraday_backtest_data(
+        self.backtest_data = load_simple_intraday_backtest_data(
-            self.data_dir, order.stock_id, pd.Timestamp(order.start_time.date()), self.deal_price_type, order.direction
+            self.data_dir,
+            order.stock_id,
+            pd.Timestamp(order.start_time.date()),
+            self.deal_price_type,
+            order.direction,
         )
 
         self.ticks_index = self.backtest_data.get_time_index()
@@ -185,9 +196,9 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
         self.history_steps = pd.DataFrame(columns=metric_keys).set_index("datetime")
         self.metrics = None
 
-        self.market_price: np.ndarray | None = None
+        self.market_price: Optional[np.ndarray] = None
-        self.market_vol: np.ndarray | None = None
+        self.market_vol: Optional[np.ndarray] = None
-        self.market_vol_limit: np.ndarray | None = None
+        self.market_vol_limit: Optional[np.ndarray] = None
 
     def step(self, amount: float) -> None:
         """Execute one step or SAOE.
@@ -202,7 +213,8 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
 
         self.market_price = self.market_vol = None  # avoid misuse
         exec_vol = self._split_exec_vol(amount)
-        assert self.market_price is not None and self.market_vol is not None
+        assert self.market_price is not None
+        assert self.market_vol is not None
 
         ticks_position = self.position - np.cumsum(exec_vol)
 
@@ -360,7 +372,7 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
             inner_amount=exec_vol.sum(),
             deal_amount=exec_vol.sum(),  # in this simulator, there's no other restrictions
             trade_price=exec_avg_price,
-            trade_value=np.sum(market_price * exec_vol),
+            trade_value=float(np.sum(market_price * exec_vol)),
             position=self.position,
             ffr=float(exec_vol.sum() / self.order.amount),
             pa=price_advantage(exec_avg_price, self.twap_price, self.order.direction),
@@ -383,7 +395,9 @@ _float_or_ndarray = TypeVar("_float_or_ndarray", float, np.ndarray)
 
 
 def price_advantage(
-    exec_price: _float_or_ndarray, baseline_price: float, direction: OrderDir | int
+    exec_price: _float_or_ndarray,
+    baseline_price: float,
+    direction: OrderDir | int,
 ) -> _float_or_ndarray:
     if baseline_price == 0:  # something is wrong with data. Should be nan here
         if isinstance(exec_price, float):

qlib/rl/order_execution/utils.py

@@ -0,0 +1,111 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+from __future__ import annotations
+
+from typing import Any, List, Tuple, cast
+
+import numpy as np
+import pandas as pd
+
+from qlib.backtest import CommonInfrastructure, get_exchange
+from qlib.backtest.account import Account
+from qlib.backtest.decision import OrderDir
+from qlib.backtest.executor import BaseExecutor
+from qlib.rl.from_neutrader.config import ExchangeConfig
+from qlib.rl.order_execution.simulator_simple import ONE_SEC, _float_or_ndarray
+from qlib.utils.time import Freq
+
+
+def get_common_infra(
+    config: ExchangeConfig,
+    trade_date: pd.Timestamp,
+    codes: List[str],
+    cash_limit: float = None,
+) -> CommonInfrastructure:
+    # need to specify a range here for acceleration
+    if cash_limit is None:
+        trade_account = Account(init_cash=int(1e12), benchmark_config={}, pos_type="InfPosition")
+    else:
+        trade_account = Account(
+            init_cash=cash_limit,
+            benchmark_config={},
+            pos_type="Position",
+            position_dict={code: {"amount": 1e12, "price": 1.0} for code in codes},
+        )
+
+    exchange = get_exchange(
+        codes=codes,
+        freq="1min",
+        limit_threshold=config.limit_threshold,
+        deal_price=config.deal_price,
+        open_cost=config.open_cost,
+        close_cost=config.close_cost,
+        min_cost=config.min_cost if config.trade_unit is not None else 0,
+        start_time=trade_date,
+        end_time=trade_date + pd.DateOffset(1),
+        trade_unit=config.trade_unit,
+        volume_threshold=config.volume_threshold,
+    )
+
+    return CommonInfrastructure(trade_account=trade_account, trade_exchange=exchange)
+
+
+def get_ticks_slice(
+    ticks_index: pd.DatetimeIndex,
+    start: pd.Timestamp,
+    end: pd.Timestamp,
+    include_end: bool = False,
+) -> pd.DatetimeIndex:
+    if not include_end:
+        end = end - ONE_SEC
+    return ticks_index[ticks_index.slice_indexer(start, end)]
+
+
+def dataframe_append(df: pd.DataFrame, other: Any) -> pd.DataFrame:
+    # dataframe.append is deprecated
+    other_df = pd.DataFrame(other).set_index("datetime")
+    other_df.index.name = "datetime"
+
+    res = pd.concat([df, other_df], axis=0)
+    return res
+
+
+def price_advantage(
+    exec_price: _float_or_ndarray,
+    baseline_price: float,
+    direction: OrderDir | int,
+) -> _float_or_ndarray:
+    if baseline_price == 0:  # something is wrong with data. Should be nan here
+        if isinstance(exec_price, float):
+            return 0.0
+        else:
+            return np.zeros_like(exec_price)
+    if direction == OrderDir.BUY:
+        res = (1 - exec_price / baseline_price) * 10000
+    elif direction == OrderDir.SELL:
+        res = (exec_price / baseline_price - 1) * 10000
+    else:
+        raise ValueError(f"Unexpected order direction: {direction}")
+    res_wo_nan: np.ndarray = np.nan_to_num(res, nan=0.0)
+    if res_wo_nan.size == 1:
+        return res_wo_nan.item()
+    else:
+        return cast(_float_or_ndarray, res_wo_nan)
+
+
+def get_portfolio_and_indicator(executor: BaseExecutor) -> Tuple[dict, dict]:
+    all_executors = executor.get_all_executors()
+    all_portfolio_metrics = {
+        "{}{}".format(*Freq.parse(_executor.time_per_step)): _executor.trade_account.get_portfolio_metrics()
+        for _executor in all_executors
+        if _executor.trade_account.is_port_metr_enabled()
+    }
+
+    all_indicators = {}
+    for _executor in all_executors:
+        key = "{}{}".format(*Freq.parse(_executor.time_per_step))
+        all_indicators[key] = _executor.trade_account.get_trade_indicator().generate_trade_indicators_dataframe()
+        all_indicators[key + "_obj"] = _executor.trade_account.get_trade_indicator()
+
+    return all_portfolio_metrics, all_indicators

qlib/rl/reward.py

@@ -3,7 +3,7 @@
 
 from __future__ import annotations
 
-from typing import Generic, Any, TypeVar, TYPE_CHECKING
+from typing import TYPE_CHECKING, Any, Dict, Generic, Optional, Tuple, TypeVar
 
 from qlib.typehint import final
 
@@ -20,7 +20,7 @@ class Reward(Generic[SimulatorState]):
     Subclass should implement ``reward(simulator_state)`` to implement their own reward calculation recipe.
     """
 
-    env: EnvWrapper | None = None
+    env: Optional[EnvWrapper] = None
 
     @final
     def __call__(self, simulator_state: SimulatorState) -> float:
@@ -30,14 +30,15 @@ class Reward(Generic[SimulatorState]):
         """Implement this method for your own reward."""
         raise NotImplementedError("Implement reward calculation recipe in `reward()`.")
 
-    def log(self, name, value):
+    def log(self, name: str, value: Any) -> None:
+        assert self.env is not None
         self.env.logger.add_scalar(name, value)
 
 
 class RewardCombination(Reward):
     """Combination of multiple reward."""
 
-    def __init__(self, rewards: dict[str, tuple[Reward, float]]):
+    def __init__(self, rewards: Dict[str, Tuple[Reward, float]]) -> None:
         self.rewards = rewards
 
     def reward(self, simulator_state: Any) -> float:

qlib/rl/simulator.py

@@ -3,7 +3,7 @@
 
 from __future__ import annotations
 
-from typing import TypeVar, Generic, Any, TYPE_CHECKING
+from typing import TYPE_CHECKING, Any, Generic, Optional, TypeVar
 
 from .seed import InitialStateType
 
@@ -49,7 +49,7 @@ class Simulator(Generic[InitialStateType, StateType, ActType]):
         Simulators are discouraged to use this, because it's prone to induce errors.
     """
 
-    env: EnvWrapper | None = None
+    env: Optional[EnvWrapper] = None
 
     def __init__(self, initial: InitialStateType, **kwargs: Any) -> None:
         pass

qlib/rl/trainer/__init__.py

@@ -0,0 +1,9 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+"""Train, test, inference utilities."""
+
+from .api import backtest, train
+from .callbacks import EarlyStopping, Checkpoint
+from .trainer import Trainer
+from .vessel import TrainingVessel, TrainingVesselBase

qlib/rl/trainer/api.py

@@ -0,0 +1,118 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+from __future__ import annotations
+
+from typing import Any, Callable, Sequence, cast
+
+from tianshou.policy import BasePolicy
+
+from qlib.rl.interpreter import ActionInterpreter, StateInterpreter
+from qlib.rl.reward import Reward
+from qlib.rl.simulator import InitialStateType, Simulator
+from qlib.rl.utils import FiniteEnvType, LogWriter
+
+from .trainer import Trainer
+from .vessel import TrainingVessel
+
+
+def train(
+    simulator_fn: Callable[[InitialStateType], Simulator],
+    state_interpreter: StateInterpreter,
+    action_interpreter: ActionInterpreter,
+    initial_states: Sequence[InitialStateType],
+    policy: BasePolicy,
+    reward: Reward,
+    vessel_kwargs: dict[str, Any],
+    trainer_kwargs: dict[str, Any],
+) -> None:
+    """Train a policy with the parallelism provided by RL framework.
+
+    Experimental API. Parameters might change shortly.
+
+    Parameters
+    ----------
+    simulator_fn
+        Callable receiving initial seed, returning a simulator.
+    state_interpreter
+        Interprets the state of simulators.
+    action_interpreter
+        Interprets the policy actions.
+    initial_states
+        Initial states to iterate over. Every state will be run exactly once.
+    policy
+        Policy to train against.
+    reward
+        Reward function.
+    vessel_kwargs
+        Keyword arguments passed to :class:`TrainingVessel`, like ``episode_per_iter``.
+    trainer_kwargs
+        Keyword arguments passed to :class:`Trainer`, like ``finite_env_type``, ``concurrency``.
+    """
+
+    vessel = TrainingVessel(
+        simulator_fn=simulator_fn,
+        state_interpreter=state_interpreter,
+        action_interpreter=action_interpreter,
+        policy=policy,
+        train_initial_states=initial_states,
+        reward=reward,  # ignore none
+        **vessel_kwargs,
+    )
+    trainer = Trainer(**trainer_kwargs)
+    trainer.fit(vessel)
+
+
+def backtest(
+    simulator_fn: Callable[[InitialStateType], Simulator],
+    state_interpreter: StateInterpreter,
+    action_interpreter: ActionInterpreter,
+    initial_states: Sequence[InitialStateType],
+    policy: BasePolicy,
+    logger: LogWriter | list[LogWriter],
+    reward: Reward | None = None,
+    finite_env_type: FiniteEnvType = "subproc",
+    concurrency: int = 2,
+) -> None:
+    """Backtest with the parallelism provided by RL framework.
+
+    Experimental API. Parameters might change shortly.
+
+    Parameters
+    ----------
+    simulator_fn
+        Callable receiving initial seed, returning a simulator.
+    state_interpreter
+        Interprets the state of simulators.
+    action_interpreter
+        Interprets the policy actions.
+    initial_states
+        Initial states to iterate over. Every state will be run exactly once.
+    policy
+        Policy to test against.
+    logger
+        Logger to record the backtest results. Logger must be present because
+        without logger, all information will be lost.
+    reward
+        Optional reward function. For backtest, this is for testing the rewards
+        and logging them only.
+    finite_env_type
+        Type of finite env implementation.
+    concurrency
+        Parallel workers.
+    """
+
+    vessel = TrainingVessel(
+        simulator_fn=simulator_fn,
+        state_interpreter=state_interpreter,
+        action_interpreter=action_interpreter,
+        policy=policy,
+        test_initial_states=initial_states,
+        reward=cast(Reward, reward),  # ignore none
+    )
+    trainer = Trainer(
+        finite_env_type=finite_env_type,
+        concurrency=concurrency,
+        loggers=logger,
+    )
+    trainer.test(vessel)