Feature implementation from commits 8480407..bc06f03#3
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yashuatla wants to merge 15 commits intofeature-base-3from
Open
Feature implementation from commits 8480407..bc06f03#3yashuatla wants to merge 15 commits intofeature-base-3from
yashuatla wants to merge 15 commits intofeature-base-3from
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* Use dict-like configuration * Rename from_neutrader to integration * SAOE strategy * Optimize file structure * Optimize code * Format code * create_state_maintainer_recursive * Remove explicit time_per_step * CI test passed * Resolve PR comments * Pass all CI * Minor test issue * Refine SAOE adapter logic * Minor bugfix * Cherry pick updates * Resolve PR comments * CI issues * Refine adapter & saoe_data logic * Resolve PR comments * Resolve PR comments * Rename ONE_SEC to EPS_T; complete backtest loop * CI issue * Resolve Yuge's PR comments
* Fix CI pylint bug * Update log.py
* My own implementation of ChangeInstrument Op. There is a newer, simpler
implemenation from remote.
On branch main
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Changes to be committed:
modified: qlib/data/ops.py
Changes not staged for commit:
modified: qlib/contrib/evaluate.py
modified: qlib/contrib/strategy/signal_strategy.py
modified: qlib/utils/__init__.py
modified: qlib/workflow/cli.py
modified: qlib/workflow/expm.py
Untracked files:
.idea/
------------------------ >8 ------------------------
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diff --git a/qlib/data/ops.py b/qlib/data/ops.py
index bdc032c..23db25c 100644
--- a/qlib/data/ops.py
+++ b/qlib/data/ops.py
@@ -32,6 +32,90 @@ except ValueError as e:
np.seterr(invalid="ignore")
+#################### Change instrument ########################
+# In some case, one may want to change to another instrument when calculating, for example
+# calculate beta of a stock with respect to a market index
+# this would require change the calculation of features from the stock (original instrument) to
+# the index (reference instrument)
+# #############################
+
+
+class ChangeInstrument(ExpressionOps):
+ """Change Instrument Operator
+ In some case, one may want to change to another instrument when calculating, for example, to
+ calculate beta of a stock with respect to a market index.
+ This would require changing the calculation of features from the stock (original instrument) to
+ the index (reference instrument)
+ Parameters
+ ----------
+ instrument: new instrument for which the downstream operations should be performed upon.
+ i.e., SH000300 (CSI300 index), or ^GPSC (SP500 index).
+
+ feature: the feature to be calculated for the new instrument.
+ Returns
+ ----------
+ Expression
+ feature operation output
+ """
+
+ def __init__(self, instrument, feature):
+ self.instrument = instrument
+ self.feature = feature
+
+ def __str__(self):
+ return "{}({},{})".format(type(self).__name__, self.instrument, self.feature)
+
+ def load(self, instrument, start_index, end_index, freq):
+ """load feature
+
+ Parameters
+ ----------
+ instrument : str
+ instrument code, however, the actual instrument loaded is self.instrument through initialization
+ start_index : str
+ feature start index [in calendar].
+ end_index : str
+ feature end index [in calendar].
+ freq : str
+ feature frequency.
+
+ Returns
+ ----------
+ pd.Series
+ feature series: The index of the series is the calendar index
+ """
+ from .cache import H # pylint: disable=C0415
+
+ # cache
+ args = str(self), self.instrument, start_index, end_index, freq
+ if args in H["f"]:
+ return H["f"][args]
+ if start_index is not None and end_index is not None and start_index > end_index:
+ raise ValueError("Invalid index range: {} {}".format(start_index, end_index))
+ try:
+ series = self._load_internal(self.instrument, start_index, end_index, freq)
+ except Exception as e:
+ get_module_logger("data").debug(
+ f"Loading data error: instrument={instrument}, expression={str(self)}, "
+ f"start_index={start_index}, end_index={end_index}, freq={freq}. "
+ f"error info: {str(e)}"
+ )
+ raise
+ series.name = str(self)
+ H["f"][args] = series
+ return series
+
+ def _load_internal(self, instrument, start_index, end_index, freq):
+ series = self.feature.load(self.instrument, start_index, end_index, freq)
+ return series
+
+ def get_longest_back_rolling(self):
+ return self.feature.get_longest_back_rolling()
+
+ def get_extended_window_size(self):
+ return self.feature.get_extended_window_size()
+
+
#################### Element-Wise Operator ####################
@@ -1541,6 +1625,7 @@ class TResample(ElemOperator):
TOpsList = [TResample]
OpsList = [
+ ChangeInstrument,
Rolling,
Ref,
Max,
* update expm.py
* removed duplicate implementation for ChangeInstrument
* Fix bug * A weird Mypy issue
* Update features_sample.py * Update features_sample.py
* Backtest migration * Minor bug fix in test * Reorganize file to avoid loop import * Fix test SAOE bug * Remove unnecessary names * Resolve PR comments; remove private classes; * Fix CI error * Resolve PR comments * Refactor data interfaces * Remove convert_instance_config and change config * Pylint issue * Pylint issue * Fix tempfile warning * Resolve PR comments * Add more comments
doc for search_records
* feat(data): ✨ add a general highfreq data handler for open source Add HighFreqOpenHandler and HighFreqOpenBacktestHandler for data pipeline without paused_num information. * fix: position of parameter init * style(data): 💄 rename open to general * style(data): 💄 lint * style: 💄 delete useless comment & fix inheritance relation * style: 💄 lint * style: 💄 remove duplicated function Co-authored-by: mingzhehan <v-zhaoxing@Microsoft.com>
* RL backtest with simulator * Minor modification in init_qlib * Cherry pick PR 1302 * Resolve PR comments * Fix missing data processing * Minor bugfix * Add TODOs and docs * Add a comment
* Add REG_US and REG_TW into test case: test_utils.py. * Fix black. * Trigger checks. * Add REG_US and REG_TW into test case: test_utils.py. * Fix black. * Trigger checks.
typo fix.
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This PR contains changes from a range of commits from the original repository.
Commit Range:
8480407..bc06f03Files Changed: 48 (46 programming files)
Programming Ratio: 95.8%
Commits included:
_update_dealt_order_amountbug. (Fix_update_dealt_order_amountbug. microsoft/qlib#1291)... and 5 more commits