qlib/examples/online_srv/rolling_online_management.py

"""
This example show how RollingOnlineManager works with rolling tasks.
There are two parts including first train and routine.
Firstly, the RollingOnlineManager will finish the first training and set trained models to `online` models.
Next, the RollingOnlineManager will finish a routine process, including update online prediction -> prepare signals -> prepare tasks -> prepare new models -> reset online models
"""
import os
from pathlib import Path
import pickle
import fire
import qlib
from qlib.workflow import R
from qlib.workflow.online.strategy import OnlineStrategy, RollingAverageStrategy
from qlib.workflow.task.gen import RollingGen
from qlib.workflow.task.manage import TaskManager
from qlib.workflow.online.manager import OnlineM
from qlib.workflow.task.utils import list_recorders
from qlib.model.trainer import TrainerRM
from pprint import pprint

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,
        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,
        tasks=[task_xgboost_config, task_lgb_config],
    ):
        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.tasks = tasks
        self.rolling_step = rolling_step
        strategy = []
        for task in tasks:
            name_id = task["model"]["class"] + "_" + str(self.rolling_step)
            strategy.append(
                RollingAverageStrategy(
                    name_id,
                    task,
                    RollingGen(step=rolling_step, rtype=RollingGen.ROLL_SD),
                    TrainerRM(experiment_name=name_id, task_pool=name_id),
                )
            )

        self.rolling_online_manager = OnlineM(strategy)

    _ROLLING_MANAGER_PATH = ".rolling_manager"  # the RollingOnlineManager will dump to this file, for it will be loaded when calling routine.

    # Reset all things to the first status, be careful to save important data
    def reset(self):
        print("========== reset ==========")
        for task in self.tasks:
            name_id = task["model"]["class"] + "_" + str(self.rolling_step)
            TaskManager(name_id).remove()
            exp = R.get_exp(experiment_name=name_id)
            for rid in exp.list_recorders():
                exp.delete_recorder(rid)

            if os.path.exists(self._ROLLING_MANAGER_PATH):
                os.remove(self._ROLLING_MANAGER_PATH)

            for rid in list_recorders("OnlineManagerSignals", lambda x: True if x.info["name"] == name_id else False):
                exp.delete_recorder(rid)

    def first_run(self):
        print("========== first_run ==========")
        self.reset()
        self.rolling_online_manager.first_train()
        self.rolling_online_manager.to_pickle(self._ROLLING_MANAGER_PATH)
        print(self.rolling_online_manager.get_collector()())

    def routine(self):
        print("========== routine ==========")
        with Path(self._ROLLING_MANAGER_PATH).open("rb") as f:
            self.rolling_online_manager = pickle.load(f)
        self.rolling_online_manager.routine()
        print(self.rolling_online_manager.get_collector()())

    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)