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],
add_tasks=[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.add_tasks = add_tasks
self.rolling_step = rolling_step
strategies = []
for task in tasks:
name_id = task["model"][
"class"] # NOTE: Assumption: The model class can specify only one strategy
strategies.append(
RollingStrategy(
name_id,
task,
RollingGen(step=rolling_step, rtype=RollingGen.ROLL_SD),
))
self.rolling_online_manager = OnlineManager(strategies)
_ROLLING_MANAGER_PATH = (
".RollingOnlineExample" # the OnlineManager will dump to this file, for it can be loaded when calling routine.
)
# Reset all things to the first status, be careful to save important data
def reset(self):
for task in self.tasks + self.add_tasks:
name_id = task["model"]["class"]
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)
def first_run(self):
print("========== reset ==========")
self.reset()
print("========== first_run ==========")
self.rolling_online_manager.first_train()
print("========== collect results ==========")
print(self.rolling_online_manager.get_collector()())
print("========== dump ==========")
self.rolling_online_manager.to_pickle(self._ROLLING_MANAGER_PATH)
def routine(self):
print("========== load ==========")
self.rolling_online_manager = OnlineManager.load(
self._ROLLING_MANAGER_PATH)
print("========== routine ==========")
self.rolling_online_manager.routine()
print("========== collect results ==========")
print(self.rolling_online_manager.get_collector()())
print("========== signals ==========")
print(self.rolling_online_manager.get_signals())
print("========== dump ==========")
self.rolling_online_manager.to_pickle(self._ROLLING_MANAGER_PATH)
def add_strategy(self):
print("========== load ==========")
self.rolling_online_manager = OnlineManager.load(
self._ROLLING_MANAGER_PATH)
print("========== add strategy ==========")
strategies = []
for task in self.add_tasks:
name_id = task["model"][
"class"] # NOTE: Assumption: The model class can specify only one strategy
strategies.append(
RollingStrategy(
name_id,
task,
RollingGen(step=self.rolling_step,
rtype=RollingGen.ROLL_SD),
))
self.rolling_online_manager.add_strategy(strategies=strategies)
print("========== dump ==========")
self.rolling_online_manager.to_pickle(self._ROLLING_MANAGER_PATH)
def main(self):
self.first_run()
self.routine()
self.add_strategy()
self.routine()
class RollingOnlineExample:
def __init__(
self,
provider_uri="~/.qlib/qlib_data/cn_data",
region="cn",
trainer=DelayTrainerRM(), # you can choose from TrainerR, TrainerRM, DelayTrainerR, DelayTrainerRM
task_url="mongodb://10.0.0.4:27017/", # not necessary when using TrainerR or DelayTrainerR
task_db_name="rolling_db", # not necessary when using TrainerR or DelayTrainerR
rolling_step=550,
tasks=None,
add_tasks=None,
):
if add_tasks is None:
add_tasks = [CSI100_RECORD_LGB_TASK_CONFIG_ROLLING]
if tasks is None:
tasks = [CSI100_RECORD_XGBOOST_TASK_CONFIG_ROLLING]
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.add_tasks = add_tasks
self.rolling_step = rolling_step
strategies = []
for task in tasks:
name_id = task["model"]["class"] # NOTE: Assumption: The model class can specify only one strategy
strategies.append(
RollingStrategy(
name_id,
task,
RollingGen(step=rolling_step, rtype=RollingGen.ROLL_SD),
)
)
self.trainer = trainer
self.rolling_online_manager = OnlineManager(strategies, trainer=self.trainer)
_ROLLING_MANAGER_PATH = (
".RollingOnlineExample" # the OnlineManager will dump to this file, for it can be loaded when calling routine.
)
def worker(self):
# train tasks by other progress or machines for multiprocessing
print("========== worker ==========")
if isinstance(self.trainer, TrainerRM):
for task in self.tasks + self.add_tasks:
name_id = task["model"]["class"]
self.trainer.worker(experiment_name=name_id)
else:
print(f"{type(self.trainer)} is not supported for worker.")
# Reset all things to the first status, be careful to save important data
def reset(self):
for task in self.tasks + self.add_tasks:
name_id = task["model"]["class"]
TaskManager(task_pool=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)
def first_run(self):
print("========== reset ==========")
self.reset()
print("========== first_run ==========")
self.rolling_online_manager.first_train()
print("========== collect results ==========")
print(self.rolling_online_manager.get_collector()())
print("========== dump ==========")
self.rolling_online_manager.to_pickle(self._ROLLING_MANAGER_PATH)
def routine(self):
print("========== load ==========")
self.rolling_online_manager = OnlineManager.load(self._ROLLING_MANAGER_PATH)
print("========== routine ==========")
self.rolling_online_manager.routine()
print("========== collect results ==========")
print(self.rolling_online_manager.get_collector()())
print("========== signals ==========")
print(self.rolling_online_manager.get_signals())
print("========== dump ==========")
self.rolling_online_manager.to_pickle(self._ROLLING_MANAGER_PATH)
def add_strategy(self):
print("========== load ==========")
self.rolling_online_manager = OnlineManager.load(self._ROLLING_MANAGER_PATH)
print("========== add strategy ==========")
strategies = []
for task in self.add_tasks:
name_id = task["model"]["class"] # NOTE: Assumption: The model class can specify only one strategy
strategies.append(
RollingStrategy(
name_id,
task,
RollingGen(step=self.rolling_step, rtype=RollingGen.ROLL_SD),
)
)
self.rolling_online_manager.add_strategy(strategies=strategies)
print("========== dump ==========")
self.rolling_online_manager.to_pickle(self._ROLLING_MANAGER_PATH)
def main(self):
self.first_run()
self.routine()
self.add_strategy()
self.routine()