# Copyright (c) Microsoft Corporation. # Licensed under the MIT License. # TODO: this utils covers too much utilities, please seperat it into sub modules from __future__ import division from __future__ import print_function import os import re import copy import json import yaml import redis import bisect import struct import difflib import inspect import hashlib import datetime import requests import collections import numpy as np import pandas as pd from pathlib import Path from typing import List, Union, Optional, Callable from packaging import version from .file import get_or_create_path, save_multiple_parts_file, unpack_archive_with_buffer, get_tmp_file_with_buffer from ..config import C from ..log import get_module_logger, set_log_with_config log = get_module_logger("utils") # MultiIndex.is_lexsorted() is a deprecated method in Pandas 1.3.0. is_deprecated_lexsorted_pandas = version.parse(pd.__version__) > version.parse("1.3.0") #################### Server #################### def get_redis_connection(): """get redis connection instance.""" return redis.StrictRedis(host=C.redis_host, port=C.redis_port, db=C.redis_task_db, password=C.redis_password) #################### Data #################### def read_bin(file_path: Union[str, Path], start_index, end_index): file_path = Path(file_path.expanduser().resolve()) with file_path.open("rb") as f: # read start_index ref_start_index = int(np.frombuffer(f.read(4), dtype=" end_index: return pd.Series(dtype=np.float32) # calculate offset f.seek(4 * (si - ref_start_index) + 4) # read nbytes count = end_index - si + 1 data = np.frombuffer(f.read(4 * count), dtype=" List[int]: """ This method will be used in PIT database. It return all the possible values between `first` and `end` (first and end is included) Parameters ---------- quarterly : bool will it return quarterly index or yearly index. Returns ------- List[int] the possible index between [first, last] """ if not quarterly: assert all(1900 <= x <= 2099 for x in (first, last)), "invalid arguments" return list(range(first, last + 1)) else: assert all(190000 <= x <= 209904 for x in (first, last)), "invalid arguments" res = [] for year in range(first // 100, last // 100 + 1): for q in range(1, 5): period = year * 100 + q if first <= period <= last: res.append(year * 100 + q) return res def get_period_offset(first_year, period, quarterly): if quarterly: offset = (period // 100 - first_year) * 4 + period % 100 - 1 else: offset = period - first_year return offset def read_period_data(index_path, data_path, period, cur_date_int: int, quarterly, last_period_index: int = None): """ At `cur_date`(e.g. 20190102), read the information at `period`(e.g. 201803). Only the updating info before cur_date or at cur_date will be used. Parameters ---------- period: int date period represented by interger, e.g. 201901 corresponds to the first quarter in 2019 cur_date_int: int date which represented by interger, e.g. 20190102 last_period_index: int it is a optional parameter; it is designed to avoid repeatedly access the .index data of PIT database when sequentially observing the data (Because the latest index of a specific period of data certainly appear in after the one in last observation). Returns ------- the query value and byte index the index value """ DATA_DTYPE = "".join( [ C.pit_record_type["date"], C.pit_record_type["period"], C.pit_record_type["value"], C.pit_record_type["index"], ] ) PERIOD_DTYPE = C.pit_record_type["period"] INDEX_DTYPE = C.pit_record_type["index"] NAN_VALUE = C.pit_record_nan["value"] NAN_INDEX = C.pit_record_nan["index"] # find the first index of linked revisions if last_period_index is None: with open(index_path, "rb") as fi: (first_year,) = struct.unpack(PERIOD_DTYPE, fi.read(struct.calcsize(PERIOD_DTYPE))) all_periods = np.fromfile(fi, dtype=INDEX_DTYPE) offset = get_period_offset(first_year, period, quarterly) _next = all_periods[offset] else: _next = last_period_index # load data following the `_next` link prev_value = NAN_VALUE prev_next = _next with open(data_path, "rb") as fd: while _next != NAN_INDEX: fd.seek(_next) date, period, value, new_next = struct.unpack(DATA_DTYPE, fd.read(struct.calcsize(DATA_DTYPE))) if date > cur_date_int: break prev_next = _next _next = new_next prev_value = value return prev_value, prev_next def np_ffill(arr: np.array): """ forward fill a 1D numpy array Parameters ---------- arr : np.array Input numpy 1D array """ mask = np.isnan(arr.astype(float)) # np.isnan only works on np.float # get fill index idx = np.where(~mask, np.arange(mask.shape[0]), 0) np.maximum.accumulate(idx, out=idx) return arr[idx] #################### Search #################### def lower_bound(data, val, level=0): """multi fields list lower bound. for single field list use `bisect.bisect_left` instead """ left = 0 right = len(data) while left < right: mid = (left + right) // 2 if val <= data[mid][level]: right = mid else: left = mid + 1 return left def upper_bound(data, val, level=0): """multi fields list upper bound. for single field list use `bisect.bisect_right` instead """ left = 0 right = len(data) while left < right: mid = (left + right) // 2 if val >= data[mid][level]: left = mid + 1 else: right = mid return left #################### HTTP #################### def requests_with_retry(url, retry=5, **kwargs): while retry > 0: retry -= 1 try: res = requests.get(url, timeout=1, **kwargs) assert res.status_code in {200, 206} return res except AssertionError: continue except Exception as e: log.warning("exception encountered {}".format(e)) continue raise TimeoutError("ERROR: requests failed!") #################### Parse #################### def parse_config(config): # Check whether need parse, all object except str do not need to be parsed if not isinstance(config, str): return config # Check whether config is file if os.path.exists(config): with open(config, "r") as f: return yaml.safe_load(f) # Check whether the str can be parsed try: return yaml.safe_load(config) except BaseException as base_exp: raise ValueError("cannot parse config!") from base_exp #################### Other #################### def drop_nan_by_y_index(x, y, weight=None): # x, y, weight: DataFrame # Find index of rows which do not contain Nan in all columns from y. mask = ~y.isna().any(axis=1) # Get related rows from x, y, weight. x = x[mask] y = y[mask] if weight is not None: weight = weight[mask] return x, y, weight def hash_args(*args): # json.dumps will keep the dict keys always sorted. string = json.dumps(args, sort_keys=True, default=str) # frozenset return hashlib.md5(string.encode()).hexdigest() def parse_field(field): # Following patterns will be matched: # - $close -> Feature("close") # - $close5 -> Feature("close5") # - $open+$close -> Feature("open")+Feature("close") # TODO: this maybe used in the feature if we want to support the computation of different frequency data # - $close@5min -> Feature("close", "5min") if not isinstance(field, str): field = str(field) # Chinese punctuation regex: # \u3001 -> 、 # \uff1a -> : # \uff08 -> ( # \uff09 -> ) chinese_punctuation_regex = r"\u3001\uff1a\uff08\uff09" for pattern, new in [ (rf"\$\$([\w{chinese_punctuation_regex}]+)", r'PFeature("\1")'), # $$ must be before $ (rf"\$([\w{chinese_punctuation_regex}]+)", r'Feature("\1")'), (r"(\w+\s*)\(", r"Operators.\1("), ]: # Features # Operators field = re.sub(pattern, new, field) return field def compare_dict_value(src_data: dict, dst_data: dict): """Compare dict value :param src_data: :param dst_data: :return: """ class DateEncoder(json.JSONEncoder): # FIXME: This class can only be accurate to the day. If it is a minute, # there may be a bug def default(self, o): if isinstance(o, (datetime.datetime, datetime.date)): return o.strftime("%Y-%m-%d %H:%M:%S") return json.JSONEncoder.default(self, o) src_data = json.dumps(src_data, indent=4, sort_keys=True, cls=DateEncoder) dst_data = json.dumps(dst_data, indent=4, sort_keys=True, cls=DateEncoder) diff = difflib.ndiff(src_data, dst_data) changes = [line for line in diff if line.startswith("+ ") or line.startswith("- ")] return changes def remove_repeat_field(fields): """remove repeat field :param fields: list; features fields :return: list """ fields = copy.deepcopy(fields) _fields = set(fields) return sorted(_fields, key=fields.index) def remove_fields_space(fields: [list, str, tuple]): """remove fields space :param fields: features fields :return: list or str """ if isinstance(fields, str): return fields.replace(" ", "") return [i.replace(" ", "") if isinstance(i, str) else str(i) for i in fields] def normalize_cache_fields(fields: [list, tuple]): """normalize cache fields :param fields: features fields :return: list """ return sorted(remove_repeat_field(remove_fields_space(fields))) def normalize_cache_instruments(instruments): """normalize cache instruments :return: list or dict """ if isinstance(instruments, (list, tuple, pd.Index, np.ndarray)): instruments = sorted(list(instruments)) else: # dict type stockpool if "market" in instruments: pass else: instruments = {k: sorted(v) for k, v in instruments.items()} return instruments def is_tradable_date(cur_date): """judgy whether date is a tradable date ---------- date : pandas.Timestamp current date """ from ..data import D # pylint: disable=C0415 return str(cur_date.date()) == str(D.calendar(start_time=cur_date, future=True)[0].date()) def get_date_range(trading_date, left_shift=0, right_shift=0, future=False): """get trading date range by shift Parameters ---------- trading_date: pd.Timestamp left_shift: int right_shift: int future: bool """ from ..data import D # pylint: disable=C0415 start = get_date_by_shift(trading_date, left_shift, future=future) end = get_date_by_shift(trading_date, right_shift, future=future) calendar = D.calendar(start, end, future=future) return calendar def get_date_by_shift(trading_date, shift, future=False, clip_shift=True, freq="day", align: Optional[str] = None): """get trading date with shift bias will cur_date e.g. : shift == 1, return next trading date shift == -1, return previous trading date ---------- trading_date : pandas.Timestamp current date shift : int clip_shift: bool align : Optional[str] When align is None, this function will raise ValueError if `trading_date` is not a trading date when align is "left"/"right", it will try to align to left/right nearest trading date before shifting when `trading_date` is not a trading date """ from qlib.data import D # pylint: disable=C0415 cal = D.calendar(future=future, freq=freq) trading_date = pd.to_datetime(trading_date) if align is None: if trading_date not in list(cal): raise ValueError("{} is not trading day!".format(str(trading_date))) _index = bisect.bisect_left(cal, trading_date) elif align == "left": _index = bisect.bisect_right(cal, trading_date) - 1 elif align == "right": _index = bisect.bisect_left(cal, trading_date) else: raise ValueError(f"align with value `{align}` is not supported") shift_index = _index + shift if shift_index < 0 or shift_index >= len(cal): if clip_shift: shift_index = np.clip(shift_index, 0, len(cal) - 1) else: raise IndexError(f"The shift_index({shift_index}) of the trading day ({trading_date}) is out of range") return cal[shift_index] def get_next_trading_date(trading_date, future=False): """get next trading date ---------- cur_date : pandas.Timestamp current date """ return get_date_by_shift(trading_date, 1, future=future) def get_pre_trading_date(trading_date, future=False): """get previous trading date ---------- date : pandas.Timestamp current date """ return get_date_by_shift(trading_date, -1, future=future) def transform_end_date(end_date=None, freq="day"): """handle the end date with various format If end_date is -1, None, or end_date is greater than the maximum trading day, the last trading date is returned. Otherwise, returns the end_date ---------- end_date: str end trading date date : pandas.Timestamp current date """ from ..data import D # pylint: disable=C0415 last_date = D.calendar(freq=freq)[-1] if end_date is None or (str(end_date) == "-1") or (pd.Timestamp(last_date) < pd.Timestamp(end_date)): log.warning( "\nInfo: the end_date in the configuration file is {}, " "so the default last date {} is used.".format(end_date, last_date) ) end_date = last_date return end_date def get_date_in_file_name(file_name): """Get the date(YYYY-MM-DD) written in file name Parameter file_name : str :return date : str 'YYYY-MM-DD' """ pattern = "[0-9]{4}-[0-9]{2}-[0-9]{2}" date = re.search(pattern, str(file_name)).group() return date def split_pred(pred, number=None, split_date=None): """split the score file into two part Parameter --------- pred : pd.DataFrame (index:) A score file of stocks number: the number of dates for pred_left split_date: the last date of the pred_left Return ------- pred_left : pd.DataFrame (index:) The first part of original score file pred_right : pd.DataFrame (index:) The second part of original score file """ if number is None and split_date is None: raise ValueError("`number` and `split date` cannot both be None") dates = sorted(pred.index.get_level_values("datetime").unique()) dates = list(map(pd.Timestamp, dates)) if split_date is None: date_left_end = dates[number - 1] date_right_begin = dates[number] date_left_start = None else: split_date = pd.Timestamp(split_date) date_left_end = split_date date_right_begin = split_date + pd.Timedelta(days=1) if number is None: date_left_start = None else: end_idx = bisect.bisect_right(dates, split_date) date_left_start = dates[end_idx - number] pred_temp = pred.sort_index() pred_left = pred_temp.loc(axis=0)[:, date_left_start:date_left_end] pred_right = pred_temp.loc(axis=0)[:, date_right_begin:] return pred_left, pred_right def time_to_slc_point(t: Union[None, str, pd.Timestamp]) -> Union[None, pd.Timestamp]: """ Time slicing in Qlib or Pandas is a frequently-used action. However, user often input all kinds of data format to represent time. This function will help user to convert these inputs into a uniform format which is friendly to time slicing. Parameters ---------- t : Union[None, str, pd.Timestamp] original time Returns ------- Union[None, pd.Timestamp]: """ if t is None: # None represents unbounded in Qlib or Pandas(e.g. df.loc[slice(None, "20210303")]). return t else: return pd.Timestamp(t) def can_use_cache(): res = True r = get_redis_connection() try: r.client() except redis.exceptions.ConnectionError: res = False finally: r.close() return res def exists_qlib_data(qlib_dir): qlib_dir = Path(qlib_dir).expanduser() if not qlib_dir.exists(): return False calendars_dir = qlib_dir.joinpath("calendars") instruments_dir = qlib_dir.joinpath("instruments") features_dir = qlib_dir.joinpath("features") # check dir for _dir in [calendars_dir, instruments_dir, features_dir]: if not (_dir.exists() and list(_dir.iterdir())): return False # check calendar bin for _calendar in calendars_dir.iterdir(): if ("_future" not in _calendar.name) and ( not list(features_dir.rglob(f"*.{_calendar.name.split('.')[0]}.bin")) ): return False # check instruments code_names = set(map(lambda x: fname_to_code(x.name.lower()), features_dir.iterdir())) _instrument = instruments_dir.joinpath("all.txt") miss_code = set(pd.read_csv(_instrument, sep="\t", header=None).loc[:, 0].apply(str.lower)) - set(code_names) if miss_code and any(map(lambda x: "sht" not in x, miss_code)): return False return True def check_qlib_data(qlib_config): inst_dir = Path(qlib_config["provider_uri"]).joinpath("instruments") for _p in inst_dir.glob("*.txt"): assert len(pd.read_csv(_p, sep="\t", nrows=0, header=None).columns) == 3, ( f"\nThe {str(_p.resolve())} of qlib data is not equal to 3 columns:" f"\n\tIf you are using the data provided by qlib: " f"https://qlib.readthedocs.io/en/latest/component/data.html#qlib-format-dataset" f"\n\tIf you are using your own data, please dump the data again: " f"https://qlib.readthedocs.io/en/latest/component/data.html#converting-csv-format-into-qlib-format" ) def lazy_sort_index(df: pd.DataFrame, axis=0) -> pd.DataFrame: """ make the df index sorted df.sort_index() will take a lot of time even when `df.is_lexsorted() == True` This function could avoid such case Parameters ---------- df : pd.DataFrame Returns ------- pd.DataFrame: sorted dataframe """ idx = df.index if axis == 0 else df.columns if ( not idx.is_monotonic_increasing or not is_deprecated_lexsorted_pandas and isinstance(idx, pd.MultiIndex) and not idx.is_lexsorted() ): # this case is for the old version return df.sort_index(axis=axis) else: return df FLATTEN_TUPLE = "_FLATTEN_TUPLE" def flatten_dict(d, parent_key="", sep=".") -> dict: """ Flatten a nested dict. >>> flatten_dict({'a': 1, 'c': {'a': 2, 'b': {'x': 5, 'y' : 10}}, 'd': [1, 2, 3]}) >>> {'a': 1, 'c.a': 2, 'c.b.x': 5, 'd': [1, 2, 3], 'c.b.y': 10} >>> flatten_dict({'a': 1, 'c': {'a': 2, 'b': {'x': 5, 'y' : 10}}, 'd': [1, 2, 3]}, sep=FLATTEN_TUPLE) >>> {'a': 1, ('c','a'): 2, ('c','b','x'): 5, 'd': [1, 2, 3], ('c','b','y'): 10} Args: d (dict): the dict waiting for flatting parent_key (str, optional): the parent key, will be a prefix in new key. Defaults to "". sep (str, optional): the separator for string connecting. FLATTEN_TUPLE for tuple connecting. Returns: dict: flatten dict """ items = [] for k, v in d.items(): if sep == FLATTEN_TUPLE: new_key = (parent_key, k) if parent_key else k else: new_key = parent_key + sep + k if parent_key else k if isinstance(v, collections.abc.MutableMapping): items.extend(flatten_dict(v, new_key, sep=sep).items()) else: items.append((new_key, v)) return dict(items) def get_item_from_obj(config: dict, name_path: str) -> object: """ Follow the name_path to get values from config For example: If we follow the example in in the Parameters section, Timestamp('2008-01-02 00:00:00') will be returned Parameters ---------- config : dict e.g. {'dataset': {'class': 'DatasetH', 'kwargs': {'handler': {'class': 'Alpha158', 'kwargs': {'end_time': '2020-08-01', 'fit_end_time': '', 'fit_start_time': '', 'instruments': 'csi100', 'start_time': '2008-01-01'}, 'module_path': 'qlib.contrib.data.handler'}, 'segments': {'test': (Timestamp('2017-01-03 00:00:00'), Timestamp('2019-04-08 00:00:00')), 'train': (Timestamp('2008-01-02 00:00:00'), Timestamp('2014-12-31 00:00:00')), 'valid': (Timestamp('2015-01-05 00:00:00'), Timestamp('2016-12-30 00:00:00'))}} }} name_path : str e.g. "dataset.kwargs.segments.train.1" Returns ------- object the retrieved object """ cur_cfg = config for k in name_path.split("."): if isinstance(cur_cfg, dict): cur_cfg = cur_cfg[k] # may raise KeyError elif k.isdigit(): cur_cfg = cur_cfg[int(k)] # may raise IndexError else: raise ValueError(f"Error when getting {k} from cur_cfg") return cur_cfg def fill_placeholder(config: dict, config_extend: dict): """ Detect placeholder in config and fill them with config_extend. The item of dict must be single item(int, str, etc), dict and list. Tuples are not supported. There are two type of variables: - user-defined variables : e.g. when config_extend is `{"": model, "": dataset}`, "" and "" in `config` will be replaced with `model` `dataset` - variables extracted from `config` : e.g. the variables like "" will be replaced with the values from `config` Parameters ---------- config : dict the parameter dict will be filled config_extend : dict the value of all placeholders Returns ------- dict the parameter dict """ # check the format of config_extend for placeholder in config_extend.keys(): assert re.match(r"<[^<>]+>", placeholder) # bfs top = 0 tail = 1 item_queue = [config] def try_replace_placeholder(value): if value in config_extend.keys(): value = config_extend[value] else: m = re.match(r"<(?P[^<>]+)>", value) if m is not None: try: value = get_item_from_obj(config, m.groupdict()["name_path"]) except (KeyError, ValueError, IndexError): get_module_logger("fill_placeholder").info( f"{value} lookes like a placeholder, but it can't match to any given values" ) return value while top < tail: now_item = item_queue[top] top += 1 if isinstance(now_item, list): item_keys = range(len(now_item)) elif isinstance(now_item, dict): item_keys = now_item.keys() for key in item_keys: # noqa if isinstance(now_item[key], (list, dict)): item_queue.append(now_item[key]) tail += 1 elif isinstance(now_item[key], str): # If it is a string, try to replace it with placeholder now_item[key] = try_replace_placeholder(now_item[key]) return config def auto_filter_kwargs(func: Callable, warning=True) -> Callable: """ this will work like a decoration function The decrated function will ignore and give warning when the parameter is not acceptable For example, if you have a function `f` which may optionally consume the keywards `bar`. then you can call it by `auto_filter_kwargs(f)(bar=3)`, which will automatically filter out `bar` when f does not need bar Parameters ---------- func : Callable The original function Returns ------- Callable: the new callable function """ def _func(*args, **kwargs): spec = inspect.getfullargspec(func) new_kwargs = {} for k, v in kwargs.items(): # if `func` don't accept variable keyword arguments like `**kwargs` and have not according named arguments if spec.varkw is None and k not in spec.args: if warning: log.warning(f"The parameter `{k}` with value `{v}` is ignored.") else: new_kwargs[k] = v return func(*args, **new_kwargs) return _func #################### Wrapper ##################### class Wrapper: """Wrapper class for anything that needs to set up during qlib.init""" def __init__(self): self._provider = None def register(self, provider): self._provider = provider def __repr__(self): return "{name}(provider={provider})".format(name=self.__class__.__name__, provider=self._provider) def __getattr__(self, key): if self.__dict__.get("_provider", None) is None: raise AttributeError("Please run qlib.init() first using qlib") return getattr(self._provider, key) def register_wrapper(wrapper, cls_or_obj, module_path=None): """register_wrapper :param wrapper: A wrapper. :param cls_or_obj: A class or class name or object instance. """ if isinstance(cls_or_obj, str): module = get_module_by_module_path(module_path) cls_or_obj = getattr(module, cls_or_obj) obj = cls_or_obj() if isinstance(cls_or_obj, type) else cls_or_obj wrapper.register(obj) def load_dataset(path_or_obj, index_col=[0, 1]): """load dataset from multiple file formats""" if isinstance(path_or_obj, pd.DataFrame): return path_or_obj if not os.path.exists(path_or_obj): raise ValueError(f"file {path_or_obj} doesn't exist") _, extension = os.path.splitext(path_or_obj) if extension == ".h5": return pd.read_hdf(path_or_obj) elif extension == ".pkl": return pd.read_pickle(path_or_obj) elif extension == ".csv": return pd.read_csv(path_or_obj, parse_dates=True, index_col=index_col) raise ValueError(f"unsupported file type `{extension}`") def code_to_fname(code: str): """stock code to file name Parameters ---------- code: str """ # NOTE: In windows, the following name is I/O device, and the file with the corresponding name cannot be created # reference: https://superuser.com/questions/86999/why-cant-i-name-a-folder-or-file-con-in-windows replace_names = ["CON", "PRN", "AUX", "NUL"] replace_names += [f"COM{i}" for i in range(10)] replace_names += [f"LPT{i}" for i in range(10)] prefix = "_qlib_" if str(code).upper() in replace_names: code = prefix + str(code) return code def fname_to_code(fname: str): """file name to stock code Parameters ---------- fname: str """ prefix = "_qlib_" if fname.startswith(prefix): fname = fname.lstrip(prefix) return fname from .mod import ( get_module_by_module_path, split_module_path, get_callable_kwargs, get_cls_kwargs, init_instance_by_config, class_casting, ) __all__ = [ "get_or_create_path", "save_multiple_parts_file", "unpack_archive_with_buffer", "get_tmp_file_with_buffer", "set_log_with_config", "init_instance_by_config", "get_module_by_module_path", "split_module_path", "get_callable_kwargs", "get_cls_kwargs", "init_instance_by_config", "class_casting", ]