# Copyright (c) Microsoft Corporation. # Licensed under the MIT License. """ The motivation of this demo - To show the data modules of Qlib is Serializable, users can dump processed data to disk to avoid duplicated data preprocessing """ from copy import deepcopy from pathlib import Path import pickle from pprint import pprint from ruamel.yaml import YAML import subprocess from qlib import init from qlib.data.dataset.handler import DataHandlerLP from qlib.log import TimeInspector from qlib.model.trainer import task_train from qlib.utils import init_instance_by_config # For general purpose, we use relative path DIRNAME = Path(__file__).absolute().resolve().parent if __name__ == "__main__": init() repeat = 2 exp_name = "data_mem_reuse_demo" config_path = DIRNAME.parent / "benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml" yaml = YAML(typ="safe", pure=True) task_config = yaml.load(config_path.open()) # 1) without using processed data in memory with TimeInspector.logt("The original time without reusing processed data in memory:"): for i in range(repeat): task_train(task_config["task"], experiment_name=exp_name) # 2) prepare processed data in memory. hd_conf = task_config["task"]["dataset"]["kwargs"]["handler"] pprint(hd_conf) hd: DataHandlerLP = init_instance_by_config(hd_conf) # 3) with reusing processed data in memory new_task = deepcopy(task_config["task"]) new_task["dataset"]["kwargs"]["handler"] = hd print(new_task) with TimeInspector.logt("The time with reusing processed data in memory:"): # this will save the time to reload and process data from disk(in `DataHandlerLP`) # It still takes a lot of time in the backtest phase for i in range(repeat): task_train(new_task, experiment_name=exp_name) # 4) User can change other parts exclude processed data in memory(handler) new_task = deepcopy(task_config["task"]) new_task["dataset"]["kwargs"]["segments"]["train"] = ("20100101", "20131231") with TimeInspector.logt("The time with reusing processed data in memory:"): task_train(new_task, experiment_name=exp_name)