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.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 list_recorders from qlib.model.trainer import TrainerRM from qlib.model.ens.group import RollingGroup data_handler_config = { "start_time": "2013-01-01", "end_time": "2020-09-25", "fit_start_time": "2013-01-01", "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": ("2013-01-01", "2014-12-31"), "valid": ("2015-01-01", "2015-12-31"), "test": ("2016-01-01", "2020-07-10"), }, }, } 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 RollingOnlineExample: 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=550, ): 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 ) def print_online_model(self): print("========== print_online_model ==========") print("Current 'online' model:") for rec in self.rolling_online_manager.online_models(): print(rec.info["id"]) print("Current 'next online' model:") for rid, rec in list_recorders(self.exp_name).items(): if self.rolling_online_manager.get_online_tag(rec) == self.rolling_online_manager.NEXT_ONLINE_TAG: print(rid) # This part corresponds to "Task Generating" in the document def task_generating(self): print("========== task_generating ==========") tasks = task_generator( tasks=[task_xgboost_config, task_lgb_config], generators=self.rolling_gen, # generate different date segment ) pprint(tasks) return tasks def task_training(self, tasks): # self.trainer.train(tasks) self.rolling_online_manager.prepare_new_models(tasks, tag=RollingOnlineManager.ONLINE_TAG) # This part corresponds to "Task Collecting" in the document def task_collecting(self): 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=self.exp_name, rec_key_func=rec_key, rec_filter_func=my_filter), RollingGroup() ) print(artifact) # 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) # Run this firstly to see the workflow in Task Management def first_run(self): print("========== first_run ==========") self.reset() tasks = self.task_generating() pprint(tasks) self.task_training(tasks) self.task_collecting() # latest_rec, _ = self.rolling_online_manager.list_latest_recorders() # self.rolling_online_manager.reset_online_tag(list(latest_rec.values())) def routine(self): print("========== routine ==========") self.print_online_model() self.rolling_online_manager.routine() self.print_online_model() self.task_collecting() def main(self): self.first_run() self.routine() if __name__ == "__main__": ####### to train the first version's models, use the command below # python task_manager_rolling_with_updating.py first_run ####### to update the models and predictions after the trading time, use the command below # python task_manager_rolling_with_updating.py after_day ####### to define your own parameters, use `--` # python task_manager_rolling_with_updating.py first_run --exp_name='your_exp_name' --rolling_step=40 fire.Fire(RollingOnlineExample)