{ "cells": [ { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "library path: /Users/xuanyidong/Desktop/XAutoDL/lib\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[61704:MainThread](2021-03-22 13:56:38,104) INFO - qlib.Initialization - [config.py:276] - default_conf: client.\n", "[61704:MainThread](2021-03-22 13:56:38,106) WARNING - qlib.Initialization - [config.py:291] - redis connection failed(host=127.0.0.1 port=6379), cache will not be used!\n", "[61704:MainThread](2021-03-22 13:56:38,680) INFO - qlib.Initialization - [__init__.py:46] - qlib successfully initialized based on client settings.\n", "[61704:MainThread](2021-03-22 13:56:38,681) INFO - qlib.Initialization - [__init__.py:47] - data_path=/Users/xuanyidong/.qlib/qlib_data/cn_data\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "{'class': 'DatasetH',\n", " 'kwargs': {'handler': {'class': 'Alpha158',\n", " 'kwargs': {'end_time': '2020-08-01',\n", " 'fit_end_time': '2014-12-31',\n", " 'fit_start_time': '2008-01-01',\n", " 'instruments': 'csi100',\n", " 'start_time': '2008-01-01'},\n", " 'module_path': 'qlib.contrib.data.handler'},\n", " 'segments': {'test': ('2017-01-01', '2020-08-01'),\n", " 'train': ('2008-01-01', '2014-12-31'),\n", " 'valid': ('2015-01-01', '2016-12-31')}},\n", " 'module_path': 'qlib.data.dataset'}\n" ] } ], "source": [ "import os\n", "import sys\n", "import qlib\n", "import pprint\n", "import numpy as np\n", "import pandas as pd\n", "\n", "from pathlib import Path\n", "\n", "__file__ = os.path.dirname(os.path.realpath(\"__file__\"))\n", "\n", "lib_dir = (Path(__file__).parent / \"..\" / \"lib\").resolve()\n", "print(\"library path: {:}\".format(lib_dir))\n", "assert lib_dir.exists(), \"{:} does not exist\".format(lib_dir)\n", "if str(lib_dir) not in sys.path:\n", " sys.path.insert(0, str(lib_dir))\n", "\n", "from qlib import config as qconfig\n", "from qlib.utils import init_instance_by_config\n", "\n", "qlib.init(provider_uri='~/.qlib/qlib_data/cn_data', region=qconfig.REG_CN)\n", "\n", "dataset_config = {\n", " \"class\": \"DatasetH\",\n", " \"module_path\": \"qlib.data.dataset\",\n", " \"kwargs\": {\n", " \"handler\": {\n", " \"class\": \"Alpha158\",\n", " \"module_path\": \"qlib.contrib.data.handler\",\n", " \"kwargs\": {\n", " \"start_time\": \"2008-01-01\",\n", " \"end_time\": \"2020-08-01\",\n", " \"fit_start_time\": \"2008-01-01\",\n", " \"fit_end_time\": \"2014-12-31\",\n", " \"instruments\": \"csi100\",\n", " },\n", " },\n", " \"segments\": {\n", " \"train\": (\"2008-01-01\", \"2014-12-31\"),\n", " \"valid\": (\"2015-01-01\", \"2016-12-31\"),\n", " \"test\": (\"2017-01-01\", \"2020-08-01\"),\n", " },\n", " },\n", " }\n", "pprint.pprint(dataset_config)\n", "dataset = init_instance_by_config(dataset_config)\n", "\n", "df_train, df_valid, df_test = dataset.prepare(\n", " [\"train\", \"valid\", \"test\"],\n", " col_set=[\"feature\", \"label\"],\n", " data_key=DataHandlerLP.DK_L,\n", " )" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "{'class': 'DatasetH',\n", " 'kwargs': {'handler': {'class': 'Alpha158',\n", " 'kwargs': {'end_time': '2020-08-01',\n", " 'fit_end_time': '2014-12-31',\n", " 'fit_start_time': '2008-01-01',\n", " 'instruments': 'csi300',\n", " 'start_time': '2008-01-01'},\n", " 'module_path': 'qlib.contrib.data.handler'},\n", " 'segments': {'test': ('2017-01-01', '2020-08-01'),\n", " 'train': ('2008-01-01', '2014-12-31'),\n", " 'valid': ('2015-01-01', '2016-12-31')}},\n", " 'module_path': 'qlib.data.dataset'}\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[95290:MainThread](2021-03-03 12:18:43,481) INFO - qlib.timer - [log.py:81] - Time cost: 237.911s | Loading data Done\n", "[95290:MainThread](2021-03-03 12:18:45,080) INFO - qlib.timer - [log.py:81] - Time cost: 0.465s | DropnaLabel Done\n", "[95290:MainThread](2021-03-03 12:18:51,572) INFO - qlib.timer - [log.py:81] - Time cost: 6.491s | CSZScoreNorm Done\n", "[95290:MainThread](2021-03-03 12:18:51,573) INFO - qlib.timer - [log.py:81] - Time cost: 8.090s | fit & process data Done\n", "[95290:MainThread](2021-03-03 12:18:51,573) INFO - qlib.timer - [log.py:81] - Time cost: 246.003s | Init data Done\n" ] } ], "source": [ "from trade_models.transformations import get_transformer\n", "\n", "model = get_transformer(None)" ] } ], "metadata": { "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.8.8" } }, "nbformat": 4, "nbformat_minor": 4 }