def prepare_tasks(self, cur_time) -> List[dict]:
"""
Prepare new tasks based on cur_time (None for the latest).
You can find the last online models by OnlineToolR.online_models.
Returns:
List[dict]: a list of new tasks.
"""
# TODO: filter recorders by latest test segments is not a necessary
latest_records, max_test = self._list_latest(self.tool.online_models())
if max_test is None:
self.logger.warn(f"No latest online recorders, no new tasks.")
return []
calendar_latest = transform_end_date(cur_time)
self.logger.info(
f"The interval between current time {calendar_latest} and last rolling test begin time {max_test[0]} is {self.ta.cal_interval(calendar_latest, max_test[0])}, the rolling step is {self.rg.step}"
)
res = []
for rec in latest_records:
task = rec.load_object("task")
res.extend(self.rg.gen_following_tasks(task, calendar_latest))
return res
def generate(self, task: dict) -> List[dict]:
"""
Converting the task into a rolling task.
Parameters
----------
task: dict
A dict describing a task. For example.
.. code-block:: python
DEFAULT_TASK = {
"model": {
"class": "LGBModel",
"module_path": "qlib.contrib.model.gbdt",
},
"dataset": {
"class": "DatasetH",
"module_path": "qlib.data.dataset",
"kwargs": {
"handler": {
"class": "Alpha158",
"module_path": "qlib.contrib.data.handler",
"kwargs": {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": "csi100",
},
},
"segments": {
"train": ("2008-01-01", "2014-12-31"),
"valid": ("2015-01-01", "2016-12-20"), # Please avoid leaking the future test data into validation
"test": ("2017-01-01", "2020-08-01"),
},
},
},
"record": [
{
"class": "SignalRecord",
"module_path": "qlib.workflow.record_temp",
},
]
}
Returns
----------
List[dict]: a list of tasks
"""
res = []
t = copy.deepcopy(task)
# calculate segments
# First rolling
# 1) prepare the end point
segments: dict = copy.deepcopy(self.ta.align_seg(t["dataset"]["kwargs"]["segments"]))
test_end = transform_end_date(segments[self.test_key][1])
# 2) and init test segments
test_start_idx = self.ta.align_idx(segments[self.test_key][0])
segments[self.test_key] = (self.ta.get(test_start_idx), self.ta.get(test_start_idx + self.step - 1))
# update segments of this task
self._update_task_segs(t, segments)
res.append(t)
# Update the following rolling
res.extend(self.gen_following_tasks(t, test_end))
return res