Update to accomendate last updates of qlib

.latent-data/qlib

@@ -1 +1 @@
-Subproject commit d13c9ae01869a31f123285a792b674694f844370
+Subproject commit 0ef7c8e0e62f1b08f89f676eac97cbbd2bcc1657

configs/qlib/workflow_config_TabNet_Alpha360.yaml

@@ -0,0 +1,74 @@
+qlib_init:
+    provider_uri: "~/.qlib/qlib_data/cn_data"
+    region: cn
+market: &market all
+benchmark: &benchmark SH000300
+data_handler_config: &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
+    infer_processors:
+        - class: RobustZScoreNorm
+          kwargs:
+              fields_group: feature
+              clip_outlier: true
+        - class: Fillna
+          kwargs:
+              fields_group: feature
+    learn_processors:
+        - class: DropnaLabel
+        - class: CSRankNorm
+          kwargs:
+              fields_group: label
+    label: ["Ref($close, -2) / Ref($close, -1) - 1"]
+port_analysis_config: &port_analysis_config
+    strategy:
+        class: TopkDropoutStrategy
+        module_path: qlib.contrib.strategy.strategy
+        kwargs:
+            topk: 50
+            n_drop: 5
+    backtest:
+        verbose: False
+        limit_threshold: 0.095
+        account: 100000000
+        benchmark: *benchmark
+        deal_price: close
+        open_cost: 0.0005
+        close_cost: 0.0015
+        min_cost: 5
+task:
+    model:
+        class: TabnetModel
+        module_path: qlib.contrib.model.pytorch_tabnet
+        kwargs:
+            pretrain: True
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: Alpha360
+                module_path: qlib.contrib.data.handler
+                kwargs: *data_handler_config
+            segments:
+                pretrain: [2008-01-01, 2014-12-31]
+                pretrain_validation: [2015-01-01, 2020-08-01]
+                train: [2008-01-01, 2014-12-31]
+                valid: [2015-01-01, 2016-12-31]
+                test: [2017-01-01, 2020-08-01]
+    record: 
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: {}
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            ana_long_short: False
+            ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: 
+            config: *port_analysis_config

exps/trading/baselines.py

@@ -22,13 +22,13 @@ if str(lib_dir) not in sys.path:
     sys.path.insert(0, str(lib_dir))
 
 from procedures.q_exps import update_gpu
+from procedures.q_exps import update_market
 from procedures.q_exps import run_exp
 
 import qlib
 from qlib.utils import init_instance_by_config
 from qlib.workflow import R
 from qlib.utils import flatten_dict
-from qlib.log import set_log_basic_config
 
 
 def retrieve_configs():
@@ -49,6 +49,7 @@ def retrieve_configs():
     alg2names["SFM"] = "workflow_config_sfm_Alpha360.yaml"
     # DoubleEnsemble: A New Ensemble Method Based on Sample Reweighting and Feature Selection for Financial Data Analysis, https://arxiv.org/pdf/2010.01265.pdf
     alg2names["DoubleE"] = "workflow_config_doubleensemble_Alpha360.yaml"
+    alg2names["TabNet"] = "workflow_config_TabNet_Alpha360.yaml"
 
     # find the yaml paths
     alg2paths = OrderedDict()
@@ -66,6 +67,7 @@ def main(xargs, exp_yaml):
 
     with open(exp_yaml) as fp:
         config = yaml.safe_load(fp)
+    config = update_market(config, xargs.market)
     config = update_gpu(config, xargs.gpu)
 
     qlib.init(**config.get("qlib_init"))
@@ -77,7 +79,7 @@ def main(xargs, exp_yaml):
 
     for irun in range(xargs.times):
         run_exp(
-            config.get("task"), dataset, xargs.alg, "recorder-{:02d}-{:02d}".format(irun, xargs.times), xargs.save_dir
+            config.get("task"), dataset, xargs.alg, "recorder-{:02d}-{:02d}".format(irun, xargs.times), '{:}-{:}'.format(xargs.save_dir, xargs.market)
         )
 
 
@@ -87,6 +89,7 @@ if __name__ == "__main__":
 
     parser = argparse.ArgumentParser("Baselines")
     parser.add_argument("--save_dir", type=str, default="./outputs/qlib-baselines", help="The checkpoint directory.")
+    parser.add_argument("--market", type=str, default="all", choices=["csi100", "csi300", "all"], help="The market indicator.")
     parser.add_argument("--times", type=int, default=10, help="The repeated run times.")
     parser.add_argument("--gpu", type=int, default=0, help="The GPU ID used for train / test.")
     parser.add_argument("--alg", type=str, choices=list(alg2paths.keys()), required=True, help="The algorithm name.")

exps/trading/organize_results.py

@@ -105,7 +105,7 @@ def filter_finished(recorders):
 
 
 def query_info(save_dir, verbose):
-    R.reset_default_uri(save_dir)
+    R.set_uri(save_dir)
     experiments = R.list_experiments()
 
     key_map = {

lib/procedures/q_exps.py

@@ -3,15 +3,38 @@
 #####################################################
 
 import inspect
+import os
+import logging
 
 import qlib
 from qlib.utils import init_instance_by_config
 from qlib.workflow import R
 from qlib.utils import flatten_dict
-from qlib.log import set_log_basic_config
 from qlib.log import get_module_logger
 
 
+def set_log_basic_config(filename=None, format=None, level=None):
+    """
+    Set the basic configuration for the logging system.
+    See details at https://docs.python.org/3/library/logging.html#logging.basicConfig
+    :param filename: str or None
+        The path to save the logs.
+    :param format: the logging format
+    :param level: int
+    :return: Logger
+        Logger object.
+    """
+    from qlib.config import C
+
+    if level is None:
+        level = C.logging_level
+
+    if format is None:
+        format = C.logging_config["formatters"]["logger_format"]["format"]
+
+    logging.basicConfig(filename=filename, format=format, level=level)
+
+
 def update_gpu(config, gpu):
     config = config.copy()
     if "task" in config and "model" in config["task"]:
@@ -46,8 +69,8 @@ def run_exp(task_config, dataset, experiment_name, recorder_name, uri):
     # Let's start the experiment.
     with R.start(experiment_name=experiment_name, recorder_name=recorder_name, uri=uri):
         # Setup log
-        recorder_root_dir = R.get_recorder().root_uri
-        log_file = recorder_root_dir / "{:}.log".format(experiment_name)
+        recorder_root_dir = R.get_recorder().get_local_dir()
+        log_file = os.path.join(recorder_root_dir, "{:}.log".format(experiment_name))
         set_log_basic_config(log_file)
         logger = get_module_logger("q.run_exp")
         logger.info("task_config={:}".format(task_config))
@@ -56,8 +79,8 @@ def run_exp(task_config, dataset, experiment_name, recorder_name, uri):
 
         # Train model
         R.log_params(**flatten_dict(task_config))
-        if 'save_path' in inspect.getfullargspec(model.fit).args:
-          model_fit_kwargs['save_path'] = str(recorder_root_dir / 'model-ckps')
+        if "save_path" in inspect.getfullargspec(model.fit).args:
+            model_fit_kwargs["save_path"] = os.path.join(recorder_root_dir, "model-ckps")
         model.fit(**model_fit_kwargs)
         # Get the recorder
         recorder = R.get_recorder()