from abc import abstractmethod import copy from pprint import pprint import fire import qlib from qlib.config import REG_CN from qlib.model.trainer import task_train from qlib.workflow import R from qlib.workflow.task.gen import TaskGen from qlib.workflow.online.simulator import OnlineSimulator from qlib.workflow.task.collect import RecorderCollector from qlib.model.ens.ensemble import RollingEnsemble, ens_workflow from qlib.workflow.task.gen import RollingGen, task_generator from qlib.workflow.task.manage import TaskManager, run_task from qlib.workflow.online.manager import RollingOnlineManager from qlib.workflow.task.utils import TimeAdjuster, list_recorders from qlib.model.trainer import TrainerRM from qlib.model.ens.group import RollingGroup data_handler_config = { "start_time": "2018-01-01", "end_time": "2018-10-31", "fit_start_time": "2018-01-01", "fit_end_time": "2018-03-31", "instruments": "csi100", } dataset_config = { "class": "DatasetH", "module_path": "qlib.data.dataset", "kwargs": { "handler": { "class": "Alpha158", "module_path": "qlib.contrib.data.handler", "kwargs": data_handler_config, }, "segments": { "train": ("2018-01-01", "2018-03-31"), "valid": ("2018-04-01", "2018-05-31"), "test": ("2018-06-01", "2018-09-10"), }, }, } record_config = [ { "class": "SignalRecord", "module_path": "qlib.workflow.record_temp", }, { "class": "SigAnaRecord", "module_path": "qlib.workflow.record_temp", }, ] # use lgb model task_lgb_config = { "model": { "class": "LGBModel", "module_path": "qlib.contrib.model.gbdt", }, "dataset": dataset_config, "record": record_config, } # use xgboost model task_xgboost_config = { "model": { "class": "XGBModel", "module_path": "qlib.contrib.model.xgboost", }, "dataset": dataset_config, "record": record_config, } class OnlineSimulatorExample: def __init__( self, exp_name="rolling_exp", task_pool="rolling_task", provider_uri="~/.qlib/qlib_data/cn_data", region="cn", task_url="mongodb://10.0.0.4:27017/", task_db_name="rolling_db", rolling_step=80, ): self.exp_name = exp_name self.task_pool = task_pool mongo_conf = { "task_url": task_url, # your MongoDB url "task_db_name": task_db_name, # database name } qlib.init(provider_uri=provider_uri, region=region, mongo=mongo_conf) self.rolling_gen = RollingGen(step=rolling_step, rtype=RollingGen.ROLL_SD) self.trainer = TrainerRM(self.exp_name, self.task_pool) self.task_manager = TaskManager(self.task_pool) self.rolling_online_manager = RollingOnlineManager( experiment_name=exp_name, rolling_gen=self.rolling_gen, trainer=self.trainer, need_log=False ) # Reset all things to the first status, be careful to save important data def reset(self): print("========== reset ==========") self.task_manager.remove() exp = R.get_exp(experiment_name=self.exp_name) for rid in exp.list_recorders(): exp.delete_recorder(rid) @staticmethod def rec_key(recorder): task_config = recorder.load_object("task") model_key = task_config["model"]["class"] rolling_key = task_config["dataset"]["kwargs"]["segments"]["test"] return model_key, rolling_key # Run this firstly to see the workflow in Task Management def first_run(self): print("========== first_run ==========") self.reset() tasks = task_generator( tasks=task_xgboost_config, generators=[self.rolling_gen], # generate different date segment ) pprint(tasks) self.trainer.train(tasks) print("========== task collecting ==========") artifact = ens_workflow(RecorderCollector(exp_name=self.exp_name, rec_key_func=self.rec_key), RollingGroup()) print(artifact) latest_rec, _ = self.rolling_online_manager.list_latest_recorders() self.rolling_online_manager.set_online_tag(RollingOnlineManager.ONLINE_TAG, list(latest_rec.values())) def simulate(self): print("========== simulate ==========") onlinesimulator = OnlineSimulator( start_time="2018-09-10", end_time="2018-10-31", onlinemanager=self.rolling_online_manager, collector=RecorderCollector(exp_name=self.exp_name, rec_key_func=self.rec_key), process_list=[RollingGroup()], ) results = onlinesimulator.simulate() print(results) recs_dict = onlinesimulator.online_models() for time, recs in recs_dict.items(): print(f"{str(time[0])} to {str(time[1])}:") for rec in recs: print(rec.info["id"]) if __name__ == "__main__": ose = OnlineSimulatorExample() ose.first_run() ose.simulate()