def setUpClass(cls) -> None:
provider_uri = str(QLIB_DIR.resolve())
qlib1.init(
provider_uri=provider_uri,
expression_cache=None,
dataset_cache=None,
)
def setUpClass(cls) -> None:
# use default data
provider_uri = "~/.qlib1/qlib_data/cn_data_simple" # target_dir
if not exists_qlib_data(provider_uri):
print(f"Qlib data is not found in {provider_uri}")
sys.path.append(str(Path(__file__).resolve().parent.parent.parent.joinpath("scripts")))
from get_data import GetData
GetData().qlib_data(name="qlib_data_simple", target_dir=provider_uri)
qlib1.init(provider_uri=provider_uri, region=REG_CN)
def workflow(config_path, experiment_name="workflow", uri_folder="mlruns"):
with open(config_path) as fp:
config = yaml.load(fp, Loader=yaml.Loader)
# config the `sys` section
sys_config(config, config_path)
exp_manager = C["exp_manager"]
exp_manager["kwargs"]["uri"] = "file:" + str(Path(os.getcwd()).resolve() / uri_folder)
qlib1.init(**config.get("qlib_init"), exp_manager=exp_manager)
task_train(config.get("task"), experiment_name=experiment_name)
exp_manager = {
"class": "MLflowExpManager",
"module_path": "qlib1.workflow.expm",
"kwargs": {
"uri": "file:" + exp_path,
"default_exp_name": "Experiment",
},
}
if not exists_qlib_data(provider_uri):
print(f"Qlib data is not found in {provider_uri}")
sys.path.append(
str(Path(__file__).resolve().parent.parent.joinpath("scripts")))
from get_data import GetData
GetData().qlib_data(target_dir=provider_uri, region=REG_CN)
qlib1.init(provider_uri=provider_uri, region=REG_CN, exp_manager=exp_manager)
# decorator to check the arguments
def only_allow_defined_args(function_to_decorate):
@functools.wraps(function_to_decorate)
def _return_wrapped(*args, **kwargs):
"""Internal wrapper function."""
argspec = inspect.getfullargspec(function_to_decorate)
valid_names = set(argspec.args + argspec.kwonlyargs)
if "self" in valid_names:
valid_names.remove("self")
for arg_name in kwargs:
if arg_name not in valid_names:
raise ValueError("Unknown argument seen '%s', expected: [%s]" %
(arg_name, ", ".join(valid_names)))
def __init__(
self,
qlib_dir: str,
csv_path: str,
check_fields: str = None,
freq: str = "day",
symbol_field_name: str = "symbol",
date_field_name: str = "date",
file_suffix: str = ".csv",
max_workers: int = 16,
):
"""
Parameters
----------
qlib_dir : str
qlib1 dir
csv_path : str
origin csv path
check_fields : str, optional
check fields, by default None, check qlib_dir/features/<first_dir>/*.<freq>.bin
freq : str, optional
freq, value from ["day", "1m"]
symbol_field_name: str, optional
symbol field name, by default "symbol"
date_field_name: str, optional
date field name, by default "date"
file_suffix: str, optional
csv file suffix, by default ".csv"
max_workers: int, optional
max workers, by default 16
"""
self.qlib_dir = Path(qlib_dir).expanduser()
bin_path_list = list(self.qlib_dir.joinpath("features").iterdir())
self.qlib_symbols = sorted(map(lambda x: x.name.lower(),
bin_path_list))
qlib1.init(
provider_uri=str(self.qlib_dir.resolve()),
mount_path=str(self.qlib_dir.resolve()),
auto_mount=False,
redis_port=-1,
)
csv_path = Path(csv_path).expanduser()
self.csv_files = sorted(
csv_path.glob(f"*{file_suffix}") if csv_path.is_dir(
) else [csv_path])
if check_fields is None:
check_fields = list(
map(lambda x: x.split(".")[0],
bin_path_list[0].glob(f"*.bin")))
else:
check_fields = check_fields.split(",") if isinstance(
check_fields, str) else check_fields
self.check_fields = list(map(lambda x: x.strip(), check_fields))
self.qlib_fields = list(map(lambda x: f"${x}", self.check_fields))
self.max_workers = max_workers
self.symbol_field_name = symbol_field_name
self.date_field_name = date_field_name
self.freq = freq
self.file_suffix = file_suffix
from qlib1.workflow import R
from qlib1.workflow.record_temp import SignalRecord, PortAnaRecord
if __name__ == "__main__":
# use default data
provider_uri = "~/.qlib1/qlib_data/cn_data" # target_dir
if not exists_qlib_data(provider_uri):
print(f"Qlib data is not found in {provider_uri}")
sys.path.append(str(Path(__file__).resolve().parent.parent.joinpath("scripts")))
GetData().qlib_data(target_dir=provider_uri, region=REG_CN)
qlib1.init(provider_uri=provider_uri, region=REG_CN)
market = "csi300"
benchmark = "SH000300"
###################################
# train model
###################################
data_handler_config = {
"start_time": "2008-01-01",
"end_time": "2020-08-01",
"fit_start_time": "2008-01-01",
"fit_end_time": "2014-12-31",
"instruments": market,
}