from pprint import pprint import time import fire import qlib from qlib.config import REG_CN from qlib.model.trainer import TrainerR, task_train from qlib.workflow import R from qlib.workflow.task.gen import RollingGen, task_generator from qlib.workflow.task.manage import TaskManager, run_task from qlib.workflow.task.collect import RecorderCollector from qlib.model.ens.ensemble import RollingEnsemble, ens_workflow import pandas as pd from qlib.workflow.task.utils import list_recorders from qlib.model.ens.group import RollingGroup from qlib.model.trainer import TrainerRM 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": "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": ("2008-01-01", "2014-12-31"), "valid": ("2015-01-01", "2016-12-31"), "test": ("2017-01-01", "2020-08-01"), }, }, } record_config = [ { "class": "SignalRecord", "module_path": "qlib.workflow.record_temp", }, { "class": "SigAnaRecord", "module_path": "qlib.workflow.record_temp", }, ] # use lgb task_lgb_config = { "model": { "class": "LGBModel", "module_path": "qlib.contrib.model.gbdt", }, "dataset": dataset_config, "record": record_config, } # use xgboost task_xgboost_config = { "model": { "class": "XGBModel", "module_path": "qlib.contrib.model.xgboost", }, "dataset": dataset_config, "record": record_config, } # Reset all things to the first status, be careful to save important data def reset(task_pool, exp_name): print("========== reset ==========") TaskManager(task_pool=task_pool).remove() exp = R.get_exp(experiment_name=exp_name) for rid in exp.list_recorders(): exp.delete_recorder(rid) # This part corresponds to "Task Generating" in the document def task_generating(): print("========== task_generating ==========") tasks = task_generator( tasks=[task_xgboost_config, task_lgb_config], generators=RollingGen(step=550, rtype=RollingGen.ROLL_SD), # generate different date segment ) pprint(tasks) return tasks def task_training(tasks, task_pool, exp_name): trainer = TrainerRM(exp_name, task_pool) trainer.train(tasks) # This part corresponds to "Task Collecting" in the document def task_collecting(exp_name): print("========== task_collecting ==========") 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 def my_filter(recorder): # only choose the results of "LGBModel" model_key, rolling_key = rec_key(recorder) if model_key == "LGBModel": return True return False artifact = ens_workflow( RecorderCollector(exp_name=exp_name, rec_key_func=rec_key, rec_filter_func=my_filter), RollingGroup(), ) print(artifact) def main( provider_uri="~/.qlib/qlib_data/cn_data", task_url="mongodb://10.0.0.4:27017/", task_db_name="rolling_db", experiment_name="rolling_exp", task_pool="rolling_task", ): mongo_conf = { "task_url": task_url, "task_db_name": task_db_name, } qlib.init(provider_uri=provider_uri, region=REG_CN, mongo=mongo_conf) reset(task_pool, experiment_name) tasks = task_generating() task_training(tasks, task_pool, experiment_name) task_collecting(experiment_name) if __name__ == "__main__": ## to see the whole process with your own parameters, use the command below # python update_online_pred.py main --experiment_name="your_exp_name" fire.Fire()