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.workflow.task.ensemble import RollingEnsemble from qlib.workflow.task.gen import RollingGen, task_generator from qlib.workflow.task.manage import TaskManager, run_task from qlib.workflow.task.online import RollingOnlineManager from qlib.workflow.task.utils import list_recorders 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, } def print_online_model(): print("========== print_online_model ==========") print("Current 'online' model:") for rid, rec in list_recorders(exp_name).items(): if rolling_online_manager.get_online_tag(rec) == rolling_online_manager.ONLINE_TAG: print(rid) print("Current 'next online' model:") for rid, rec in list_recorders(exp_name).items(): if rolling_online_manager.get_online_tag(rec) == rolling_online_manager.NEXT_ONLINE_TAG: print(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=rolling_gen, # generate different date segment ) pprint(tasks) return tasks # This part corresponds to "Task Storing" in the document def task_storing(tasks): print("========== task_storing ==========") tm = TaskManager(task_pool=task_pool) tm.create_task(tasks) # all tasks will be saved to MongoDB # This part corresponds to "Task Running" in the document def task_running(): print("========== task_running ==========") run_task(task_train, task_pool, experiment_name=exp_name) # all tasks will be trained using "task_train" method # This part corresponds to "Task Collecting" in the document def task_collecting(): print("========== task_collecting ==========") def get_group_key_func(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 = get_group_key_func(recorder) if model_key == "LGBModel": return True return False collector = RecorderCollector(exp_name) # group tasks by "get_task_key" and filter tasks by "my_filter" artifact = collector.collect(RollingEnsemble(), get_group_key_func, rec_filter_func=my_filter) print(artifact) # Reset all things to the first status, be careful to save important data def reset(): print("========== reset ==========") task_manager.remove() exp = R.get_exp(experiment_name=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(): print("========== first_run ==========") reset() tasks = task_generating() task_storing(tasks) task_running() task_collecting() latest_rec, _ = rolling_online_manager.list_latest_recorders() rolling_online_manager.reset_online_tag(latest_rec.values()) def after_day(): print("========== after_day ==========") print_online_model() rolling_online_manager.after_day() print_online_model() task_collecting() 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 #################### you need to finish the configurations below ######################### provider_uri = "~/.qlib/qlib_data/cn_data" # data_dir mongo_conf = { "task_url": "mongodb://10.0.0.4:27017/", # your MongoDB url "task_db_name": "rolling_db", # database name } qlib.init(provider_uri=provider_uri, region=REG_CN, mongo=mongo_conf) exp_name = "rolling_exp" # experiment name, will be used as the experiment in MLflow task_pool = "rolling_task" # task pool name, will be used as the document in MongoDB rolling_step = 550 ########################################################################################## rolling_gen = RollingGen(step=rolling_step, rtype=RollingGen.ROLL_SD) rolling_online_manager = RollingOnlineManager( experiment_name=exp_name, rolling_gen=rolling_gen, task_pool=task_pool ) task_manager = TaskManager(task_pool=task_pool) fire.Fire()