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This commit is contained in:
D-X-Y
2021-03-28 00:34:21 -07:00
parent 92d0df0926
commit 0055511829
5 changed files with 9 additions and 363 deletions
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2
.latent-data/qlib

Submodule .latent-data/qlib updated: 3886022669...9d04ae4676

2
exps/trading/baselines.py
View File

@@ -58,7 +58,7 @@ def to_layer(config, embed_dim, depth):
def extend_transformer_settings(alg2configs, name): def extend_transformer_settings(alg2configs, name):
config = copy.deepcopy(alg2configs[name]) config = copy.deepcopy(alg2configs[name])
for i in range(6): for i in range(1, 7):
for j in [6, 12, 24, 32, 48, 64]: for j in [6, 12, 24, 32, 48, 64]:
for k in [0, 0.1]: for k in [0, 0.1]:
alg2configs[name + "-{:}x{:}-d{:}".format(i, j, k)] = to_layer( alg2configs[name + "-{:}x{:}-d{:}".format(i, j, k)] = to_layer(

356
lib/trade_models/quant_rs_transformer.py
View File

@@ -1,356 +0,0 @@
##################################################
# Copyright (c) Xuanyi Dong [GitHub D-X-Y], 2021 #
##################################################
from __future__ import division
from __future__ import print_function
import os, math, random
from collections import OrderedDict
import numpy as np
import pandas as pd
import copy
from functools import partial
from typing import Optional, Text
from qlib.utils import (
unpack_archive_with_buffer,
save_multiple_parts_file,
get_or_create_path,
drop_nan_by_y_index,
)
from qlib.log import get_module_logger
import torch
import torch.nn.functional as F
import torch.optim as optim
import torch.utils.data as th_data
from log_utils import AverageMeter
from utils import count_parameters
from xlayers import super_core
from .transformers import DEFAULT_NET_CONFIG
from .transformers import get_transformer
from qlib.model.base import Model
from qlib.data.dataset import DatasetH
from qlib.data.dataset.handler import DataHandlerLP
DEFAULT_OPT_CONFIG = dict(
epochs=200,
lr=0.001,
batch_size=2000,
early_stop=20,
loss="mse",
optimizer="adam",
num_workers=4,
)
class QuantRandomSearchTransformer(Model):
"""Transformer-based Quant Model"""
def __init__(
self,
net_config=None,
opt_config=None,
rs_times=10,
metric="",
GPU=0,
seed=None,
**kwargs
):
# Set logger.
self.logger = get_module_logger("RS-Transformer")
self.logger.info("QuantTransformer PyTorch version...")
# set hyper-parameters.
self.net_config = net_config or DEFAULT_NET_CONFIG
self.opt_config = opt_config or DEFAULT_OPT_CONFIG
self.rs_times = rs_times
self.metric = metric
self.device = torch.device(
"cuda:{:}".format(GPU) if torch.cuda.is_available() and GPU >= 0 else "cpu"
)
self.seed = seed
self.logger.info(
"Transformer parameters setting:"
"\nnet_config : {:}"
"\nopt_config : {:}"
"\nrs_times : {:}"
"\nmetric : {:}"
"\ndevice : {:}"
"\nseed : {:}".format(
self.net_config,
self.opt_config,
self.rs_times,
self.metric,
self.device,
self.seed,
)
)
if self.seed is not None:
random.seed(self.seed)
np.random.seed(self.seed)
torch.manual_seed(self.seed)
if self.use_gpu:
torch.cuda.manual_seed(self.seed)
torch.cuda.manual_seed_all(self.seed)
"""
# self.model = get_transformer(self.net_config)
# self.model.set_super_run_type(super_core.SuperRunMode.FullModel)
# self.logger.info("model: {:}".format(self.model))
# self.logger.info("model size: {:.3f} MB".format(count_parameters(self.model)))
if self.opt_config["optimizer"] == "adam":
self.train_optimizer = optim.Adam(
self.model.parameters(), lr=self.opt_config["lr"]
)
elif self.opt_config["optimizer"] == "adam":
self.train_optimizer = optim.SGD(
self.model.parameters(), lr=self.opt_config["lr"]
)
else:
raise NotImplementedError(
"optimizer {:} is not supported!".format(optimizer)
)
self.model.to(self.device)
"""
self.fitted = False
@property
def use_gpu(self):
return self.device != torch.device("cpu")
def loss_fn(self, pred, label):
mask = ~torch.isnan(label)
if self.opt_config["loss"] == "mse":
return F.mse_loss(pred[mask], label[mask])
else:
raise ValueError("unknown loss `{:}`".format(self.loss))
def metric_fn(self, pred, label):
# the metric score : higher is better
if self.metric == "" or self.metric == "loss":
return -self.loss_fn(pred, label)
else:
raise ValueError("unknown metric `{:}`".format(self.metric))
def train_or_test_epoch(
self, xloader, model, loss_fn, metric_fn, is_train, optimizer=None
):
if is_train:
model.train()
else:
model.eval()
score_meter, loss_meter = AverageMeter(), AverageMeter()
for ibatch, (feats, labels) in enumerate(xloader):
feats = feats.to(self.device, non_blocking=True)
labels = labels.to(self.device, non_blocking=True)
# forward the network
preds = model(feats)
loss = loss_fn(preds, labels)
with torch.no_grad():
score = self.metric_fn(preds, labels)
loss_meter.update(loss.item(), feats.size(0))
score_meter.update(score.item(), feats.size(0))
# optimize the network
if is_train and optimizer is not None:
optimizer.zero_grad()
loss.backward()
torch.nn.utils.clip_grad_value_(model.parameters(), 3.0)
optimizer.step()
return loss_meter.avg, score_meter.avg
def search(self, rs_times, train_loader, valid_loader, save_dir):
for index in range(rs_times):
import pdb
pdb.set_trace()
print("---")
def fit(
self,
dataset: DatasetH,
save_dir: Optional[Text] = None,
):
def _prepare_dataset(df_data):
return th_data.TensorDataset(
torch.from_numpy(df_data["feature"].values).float(),
torch.from_numpy(df_data["label"].values).squeeze().float(),
)
def _prepare_loader(dataset, shuffle):
return th_data.DataLoader(
dataset,
batch_size=self.opt_config["batch_size"],
drop_last=False,
pin_memory=True,
num_workers=self.opt_config["num_workers"],
shuffle=shuffle,
)
df_train, df_valid, df_test = dataset.prepare(
["train", "valid", "test"],
col_set=["feature", "label"],
data_key=DataHandlerLP.DK_L,
)
train_dataset, valid_dataset, test_dataset = (
_prepare_dataset(df_train),
_prepare_dataset(df_valid),
_prepare_dataset(df_test),
)
train_loader, valid_loader, test_loader = (
_prepare_loader(train_dataset, True),
_prepare_loader(valid_dataset, False),
_prepare_loader(test_dataset, False),
)
save_dir = get_or_create_path(save_dir, return_dir=True)
self.logger.info(
"Fit procedure for [{:}] with save path={:}".format(
self.__class__.__name__, save_dir
)
)
model = search(self.rs_times, train_loader, valid_loader, save_dir)
def _internal_test(ckp_epoch=None, results_dict=None):
with torch.no_grad():
train_loss, train_score = self.train_or_test_epoch(
train_loader, self.model, self.loss_fn, self.metric_fn, False, None
)
valid_loss, valid_score = self.train_or_test_epoch(
valid_loader, self.model, self.loss_fn, self.metric_fn, False, None
)
test_loss, test_score = self.train_or_test_epoch(
test_loader, self.model, self.loss_fn, self.metric_fn, False, None
)
xstr = (
"train-score={:.6f}, valid-score={:.6f}, test-score={:.6f}".format(
train_score, valid_score, test_score
)
)
if ckp_epoch is not None and isinstance(results_dict, dict):
results_dict["train"][ckp_epoch] = train_score
results_dict["valid"][ckp_epoch] = valid_score
results_dict["test"][ckp_epoch] = test_score
return dict(train=train_score, valid=valid_score, test=test_score), xstr
# Pre-fetch the potential checkpoints
ckp_path = os.path.join(save_dir, "{:}.pth".format(self.__class__.__name__))
if os.path.exists(ckp_path):
ckp_data = torch.load(ckp_path)
stop_steps, best_score, best_epoch = (
ckp_data["stop_steps"],
ckp_data["best_score"],
ckp_data["best_epoch"],
)
start_epoch, best_param = ckp_data["start_epoch"], ckp_data["best_param"]
results_dict = ckp_data["results_dict"]
self.model.load_state_dict(ckp_data["net_state_dict"])
self.train_optimizer.load_state_dict(ckp_data["opt_state_dict"])
self.logger.info("Resume from existing checkpoint: {:}".format(ckp_path))
else:
stop_steps, best_score, best_epoch = 0, -np.inf, -1
start_epoch, best_param = 0, None
results_dict = dict(
train=OrderedDict(), valid=OrderedDict(), test=OrderedDict()
)
_, eval_str = _internal_test(-1, results_dict)
self.logger.info(
"Training from scratch, metrics@start: {:}".format(eval_str)
)
for iepoch in range(start_epoch, self.opt_config["epochs"]):
self.logger.info(
"Epoch={:03d}/{:03d} ::==>> Best valid @{:03d} ({:.6f})".format(
iepoch, self.opt_config["epochs"], best_epoch, best_score
)
)
train_loss, train_score = self.train_or_test_epoch(
train_loader,
self.model,
self.loss_fn,
self.metric_fn,
True,
self.train_optimizer,
)
self.logger.info(
"Training :: loss={:.6f}, score={:.6f}".format(train_loss, train_score)
)
current_eval_scores, eval_str = _internal_test(iepoch, results_dict)
self.logger.info("Evaluating :: {:}".format(eval_str))
if current_eval_scores["valid"] > best_score:
stop_steps, best_epoch, best_score = (
0,
iepoch,
current_eval_scores["valid"],
)
best_param = copy.deepcopy(self.model.state_dict())
else:
stop_steps += 1
if stop_steps >= self.opt_config["early_stop"]:
self.logger.info(
"early stop at {:}-th epoch, where the best is @{:}".format(
iepoch, best_epoch
)
)
break
save_info = dict(
net_config=self.net_config,
opt_config=self.opt_config,
net_state_dict=self.model.state_dict(),
opt_state_dict=self.train_optimizer.state_dict(),
best_param=best_param,
stop_steps=stop_steps,
best_score=best_score,
best_epoch=best_epoch,
results_dict=results_dict,
start_epoch=iepoch + 1,
)
torch.save(save_info, ckp_path)
self.logger.info(
"The best score: {:.6f} @ {:02d}-th epoch".format(best_score, best_epoch)
)
self.model.load_state_dict(best_param)
_, eval_str = _internal_test("final", results_dict)
self.logger.info("Reload the best parameter :: {:}".format(eval_str))
if self.use_gpu:
torch.cuda.empty_cache()
self.fitted = True
def predict(self, dataset):
if not self.fitted:
raise ValueError("The model is not fitted yet!")
x_test = dataset.prepare("test", col_set="feature")
index = x_test.index
self.model.eval()
x_values = x_test.values
sample_num, batch_size = x_values.shape[0], self.opt_config["batch_size"]
preds = []
for begin in range(sample_num)[::batch_size]:
if sample_num - begin < batch_size:
end = sample_num
else:
end = begin + batch_size
x_batch = torch.from_numpy(x_values[begin:end]).float().to(self.device)
with torch.no_grad():
pred = self.model(x_batch).detach().cpu().numpy()
preds.append(pred)
return pd.Series(np.concatenate(preds), index=index)

4
lib/trade_models/quant_transformer.py
View File

@@ -308,10 +308,10 @@ class QuantTransformer(Model):
torch.cuda.empty_cache() torch.cuda.empty_cache()
self.fitted = True self.fitted = True
def predict(self, dataset): def predict(self, dataset, segment="test"):
if not self.fitted: if not self.fitted:
raise ValueError("The model is not fitted yet!") raise ValueError("The model is not fitted yet!")
x_test = dataset.prepare("test", col_set="feature") x_test = dataset.prepare(segment, col_set="feature")
index = x_test.index index = x_test.index
self.model.eval() self.model.eval()

8
scripts/trade/tsf.sh
View File

@@ -1,6 +1,7 @@
#!/bin/bash #!/bin/bash
# #
# bash scripts/trade/tsf.sh 0 csi300 3 # bash scripts/trade/tsf.sh 0 csi300 3 0
# bash scripts/trade/tsf.sh 0 csi300 3 0.1
# bash scripts/trade/tsf.sh 1 csi100 3 # bash scripts/trade/tsf.sh 1 csi100 3
# bash scripts/trade/tsf.sh 1 all 3 # bash scripts/trade/tsf.sh 1 all 3
# #
@@ -8,7 +9,7 @@ set -e
echo script name: $0 echo script name: $0
echo $# arguments echo $# arguments
if [ "$#" -ne 3 ] ;then if [ "$#" -ne 4 ] ;then
echo "Input illegal number of parameters " $# echo "Input illegal number of parameters " $#
exit 1 exit 1
fi fi
@@ -16,12 +17,13 @@ fi
gpu=$1 gpu=$1
market=$2 market=$2
depth=$3 depth=$3
drop=$4
channels="6 12 24 32 48 64" channels="6 12 24 32 48 64"
for channel in ${channels} for channel in ${channels}
do do
python exps/trading/baselines.py --alg TSF-${depth}x${channel}-d0 --gpu ${gpu} --market ${market} python exps/trading/baselines.py --alg TSF-${depth}x${channel}-d${drop} --gpu ${gpu} --market ${market}
done done