qlib

Changes

🌟 Features

• feat: data improve, support parquet @you-n-g (#1966)
• feat: use pydantic-settings for MLflow config and update dependencies @you-n-g (#1962)
• refactor: introduce BaseDataHandler and unify fetch interface @you-n-g (#1958)
• Implement geometric accumulation mode for risk_analysis function @SunsetWolf (#1938)
• Add util function to help automatically get horizon @chenditc (#1509)
• [feat] fix a bug and adapt general_nn for use with rdagent_qlib @WinstonLiyt (#1928)
• DRAFT add Data Health Checker @benheckmann (#1574)

🐛 Bug Fixes

• fix: upgrade the method of installing LightGBM on MacOS @SunsetWolf (#1980)
• disable pylint error @SunsetWolf (#1960)
• Fixing Security Vulnerabilities @SunsetWolf (#1941)
• The plotly figure is empty in the code block "Basic data" @ziphei (#1902)
• [fix] keep group_keys=False in Average Ensemble @lingbai-kong (#1913)
• fix ci error @SunsetWolf (#1921)
• Fix issue 1892 @SunsetWolf (#1916)
• fix fillna bug @SunsetWolf (#1914)
• fix col name error when fetch data @SunsetWolf (#1904)
• fix pkl file not loading in StaticDataLoader @SunsetWolf (#1896)
• Fix csi300 constituents url @SunsetWolf (#1883)
• Fix the empty price_s case and self.instruments in SBBStrategyEMA. @ChiahungTai (#1677)
• Bump version @SunsetWolf (#1872)

📚 Documentation

• feat: data improve, support parquet @you-n-g (#1966)
• fix: typo @EmreKb (#1943)
• Update README.md @you-n-g (#1940)
• doc: update README.md @you-n-g (#1929)
• [Fix]Update data preparation part in README.md @YeewahChan (#1924)
• fixed a problem with multi index caused by the default value of groupkey @SunsetWolf (#1917)
• fix bugs in the documentation @SunsetWolf (#1918)
• DRAFT add Data Health Checker @benheckmann (#1574)
• Update links to chenditc/investment_data to always point to latest release @codecnotsupported (#1877)
• Fix broken URL for RL @SunsetWolf (#1881)
• Bump version @SunsetWolf (#1872)

🧹 Maintenance

• fixed a problem with multi index caused by the default value of groupkey @SunsetWolf (#1917)

Changes

🌟 Features

• Ptnn4both datatypes and alignment tests @taozhiwang (#1827)
• More dataloader example @SunsetWolf (#1823)
• Nested data loader @you-n-g (#1822)
• Add some misc features. @you-n-g (#1816)

🐛 Bug Fixes

• Fix Async Call @you-n-g (#1869)
• fix duplicate log @qianyun210603 (#1661)
• Fix Yahoo daily data format inconsistent @Fivele-Li (#1517)
• Fix TSDataSampler Slicing Bug #1716 @YeewahChan (#1803)
• fix panic during normalizing the invalid data @m3ngyang (#1698)
• fix the bug that the HS_SYMBOLS_URL is 404 @zhstark (#1758)

📚 Documentation

• update python version @SunsetWolf (#1868)
• Saurabh12571257/main @SunsetWolf (#1866)
• add dockerfile @SunsetWolf (#1817)
• Update README.md to show rdagent in qlib front page @peteryang1 (#1848)
• Update README.md @shenguanjiejie (#1839)
• fix break img @SunsetWolf (#1842)
• Update README.md @you-n-g (#1840)
• Ptnn4both datatypes and alignment tests @taozhiwang (#1827)
• add a note for code standard @taozhiwang (#1814)
• change weight data download url @SunsetWolf (#1812)
• Fix typo @akazeakari (#1811)
• fix logo display error @SunsetWolf (#1804)
• Update Dev in README.md @you-n-g (#1800)

🧹 Maintenance

• Update publish @SunsetWolf (#1871)
• Update urllib3 to fix security issue @chenditc (#1829)
• Update index_data.py for datatype conversion and alignment @taozhiwang (#1813)
• Fix typo datatime etc. @akazeakari (#1809)
• Add "mse" metric option to ALSTM.metric_fn @raikiriww (#1810)
• Update utils.py for typo @block-gpt (#1751)
• changed concat of strings to f-strings and redundant type conversion … @igeni (#1767)

Changes

• data_collector: cn_index: fix missing dependencies package in requirements.txt @feilongfl (#1770)
• bump version @SunsetWolf (#1784)

🐛 Bug Fixes

• fix get data error @SunsetWolf (#1793)
• Fix the bug of reading string NA as NaN in the function exists_qlib_data. @OzzyXu (#1736)

📚 Documentation

• fix get data error @SunsetWolf (#1793)
• fix document @SunsetWolf (#1788)
• fix docs @SunsetWolf (#1721)

🧹 Maintenance

• Delete redundant copy() code to speed up @playfund (#1732)
• Update dump_pit.py @eltociear (#1759)
• Fix issue 1729 @SunsetWolf (#1776)

Changes

🌟 Features

• Add exploration noise to rl training collector @chenditc (#1481)
• Add multi pass portfolio analysis record @chenditc (#1546)

🐛 Bug Fixes

• fix the warning @Andyli1007 (#1656)

📚 Documentation

• Enhance README with LightGBM Installation Guidance for Mac M1 Users @Xisen-Wang (#1766)
• download orderbook data @SunsetWolf (#1754)
• add_baostock_collector @SunsetWolf (#1641)
• Update data.rst @computerscienceiscool (#1679)
• Update README.md @eltociear (#1637)
• Update quick.rst @computerscienceiscool (#1667)
• fix docs @SunsetWolf (#1618)
• Improve readability of documents @Fivele-Li (#1524)
• Update introduction.rst @computerscienceiscool (#1578)
• Update README.md @GeneLiuXe (#1553)
• Update introduction.rst @computerscienceiscool (#1579)

🧹 Maintenance

• update package version in requirements#1399#1400 @kimzhuan (#1521)
• suppress the SettingWithCopyWarning of pandas @Fivele-Li (#1513)
• Troubleshooting pip version issues in CI @Fivele-Li (#1504)
• fix_pip_ci @SunsetWolf (#1608)
• Bump Version & Fix CI @you-n-g (#1606)

Changes

🌟 Features

• Adjust rolling api @you-n-g (#1594)

🐛 Bug Fixes

• fix the download token check error @m3ngyang (#1577)

📚 Documentation

• Adjust rolling api @you-n-g (#1594)
• Update qlibrl docs. @lwwang1995 (#1588)
• Update README.md for RL @you-n-g (#1573)

🧹 Maintenance

• Fixed pyqlib version issue on macos @SunsetWolf (#1605)
• Postpone PR stale. @you-n-g (#1591)
• fix_pip_ci @SunsetWolf (#1584)

Changes

🌟 Features

• Update release-drafter.yml @you-n-g (#1569)
• Resolve RL FIXMES @lihuoran (#1503)
• Add base config in yml @Fivele-Li (#1500)
• Add support for redis password @Chaoyingz (#1508)
• Refine DDG-DA @you-n-g (#1472)
• Order execution open source @lihuoran (#1447)
• Add ipynb format check @Cadenza-Li (#1439)
• RL backtest pipeline on 5-min data @lihuoran (#1417)

🐛 Bug Fixes

• Fix TCN model input dimension mismatch @Fivele-Li (#1520)
• fix_DDG-DA_workflow_bug @Fivele-Li (#1516)
• provide dtype to empty series to suppress warning; fix typo @qianyun210603 (#1449)
• Specify the tianshou version to match the dev environment to avoid th… @Fivele-Li (#1502)
• normpath for Windows @Fivele-Li (#1495)
• [BUGFIX] potential file// url parsing error @qianyun210603 (#1475)

📚 Documentation

• change get_data url @SunsetWolf (#1558)
• Update on Dynamic Benchmark @wendili-cs (#1539)
• added KRNN and Sandwich models and their example results based on Alpha360 @yaxuan999 (#1414)
• Fix TCN model input dimension mismatch @Fivele-Li (#1520)
• Refine Qlib RL data format @lihuoran (#1480)
• Refine DDG-DA @you-n-g (#1472)
• Update Docs about some concepts in DataHandler @you-n-g (#1485)
• fix: removed extra blank link between sections @saurabh12571257 (#1451)
• Remove Outdated RL example @lihuoran (#1464)
• Order execution open source @lihuoran (#1447)

🧹 Maintenance

• Fix CI @you-n-g (#1529)
• Fix deprecated syntax in numpy @Chaoyingz (#1507)
• Remove unused DNNModelPytorch params @hirotasoshu (#1470)
• update ubuntu CI version; @Fivele-Li (#1488)
• fix_pylint_w0719 @SunsetWolf (#1463)
• Improve annotation & documentation for handler @you-n-g (#1312)

Changes

• RL Training pipeline on 5-min data @lihuoran (#1415)
• Plot enhancement @qianyun210603 (#1390)
• add label to PR Automatically @SunsetWolf (#1393)
• Remove Wrong Package Name @you-n-g (#1394)
• The limit threshold in Taiwan stock market is also 10%. @ChiahungTai (#1391)
• fix some typo in doc/comments @qianyun210603 (#1389)
• optimize_yahoo_collector @SunsetWolf (#1388)

🌟 Features

• [BUGFIX] allow sell in limit-up case and allow buy in limit-down case in topk strategy @qianyun210603 (#1407)
• fix subprocess.check_output bug @SunsetWolf (#1409)
• fix_labeler_bug @SunsetWolf (#1406)
• fix typo, staticmethod etc. @qianyun210603 (#1402)

🐛 Bug Fixes

• Fix ZScoreNorm processor bug @SunsetWolf (#1398)

📚 Documentation

• Simple RL notebook @lihuoran (#1395)
• [DDG-DA] Update crowd-sourced data results @wendili-cs (#1405)
• fix typo, staticmethod etc. @qianyun210603 (#1402)

Changes

• Qlib data doc @chenditc (#1207)

🌟 Features

• Fix logging_level: make logging level specified in qlib.init applies to all loggers @qianyun210603 (#1368)
• Add early stopping to double ensemble model, add example @chenditc (#1375)
• Set _artifact_uri when mlflow_run is not None. @ChiahungTai (#1367)
• Optimize the implementation of uri & Fix async log bug @you-n-g (#1364)
• update TSDataSampler refineing the memory layout of data array to speed up NN training @peteryang1 (#1342)
• Refine RL todos @lihuoran (#1332)
• Don't disable existing logger when initializing qlib. @jingedawang (#1339)
• Use mock data for element operator tests. @ChiahungTai (#1330)
• fixed_flake8_error_in_CI @SunsetWolf (#1325)
• optimize_CI @SunsetWolf (#1314)
• Migrate amc4th training @lihuoran (#1316)
• Add REG_US and REG_TW into test case: test_utils.py. @ChiahungTai (#1310)
• RL backtest with simulator @lihuoran (#1299)
• General handler for open source data preprocessing @Arthur-Null (#1302)
• Migrate backtest logic from NT @lihuoran (#1263)
• Qlib simulator refinement (redo of PR 1244) @lihuoran (#1262)
• Add simplified download command @HyeongminMoon (#1234)
• Add csi500 benchmark for MLP model. @jingedawang (#1215)
• Add Linear model results on dataset=csi500 @aprilpear (#1210)
• Add result of DoubleEnsemble model on csi500 @huajunzhao (#1201)
• Update LightGBM alpha158 csi500 result @tecton (#1199)
• Add csi500 experiment result to CatBoost @lcrun (#1197)
• More time for slow test @you-n-g (#1247)
• Migrate NeuTrader to Qlib RL @lihuoran (#1169)
• Update handler.py to fix CI @you-n-g (#1227)
• Update test_qlib_from_source_slow.yml @you-n-g (#1222)
• Add data handler for order book data @Arthur-Null (#1212)
• Use average weights in DoubleEnsemble. @lwwang1995 (#1205)
• Be compatible with Google Colab @you-n-g (#1188)
• Add a make.bat file in docs folder for Windows @bingyao (#1131)
• Adding ChangeInstrument op @wan9c9 (#1005)
• Add retry for git actions & Fix MacOS Segment Error @you-n-g (#1173)
• Backtest Mypy @lihuoran (#1130)
• Auto log uncommmitted code @you-n-g (#1167)
• Qlib RL framework (stage 2) - trainer @ultmaster (#1125)
• change_pitdata_source @SunsetWolf (#1171)
• split_CI @SunsetWolf (#1141)
• Add time limit for CI @you-n-g (#1127)

🐛 Bug Fixes

• Fix warning in processor.py. @ChiahungTai (#1386)
• Fix RL example bug @lihuoran (#1384)
• Resolve issues while running Automatic update of daily frequency data (from yahoo finance) for US region @HyeongminMoon (#1358)
• Fix RL command Error @you-n-g (#1382)
• Fix the Errors/Warnings when building Qlib's documentation @MaximSmolskiy (#1381)
• fix csi500 end date issue @qianyun210603 (#1373)
• Fixed log_param error @SunsetWolf (#1362)
• Bug fix for Rank and WMA operators @qianyun210603 (#1228)
• fix bug in clip_outlier in class RobustZScoreNorm(Processor) @NotF404 (#1294)
• Fix Import Path Error @you-n-g (#1347)
• fix position access error @lerit (#1267)
• fix dump_bin @lerit (#1273)
• Update cache.py @wony-zheng (#1329)
• fixed_flake8_error_in_CI @SunsetWolf (#1325)
• optimize_CI @SunsetWolf (#1314)
• Fix _update_dealt_order_amount bug. @lihuoran (#1291)
• Fix CI pylint bug @you-n-g (#1270)
• fix_yahoo_collector_bug @SunsetWolf (#1257)
• fixes #1187 error "Please install necessary libs for CatBoostModel." @OussCHE (#1246)
• BUGFIX: remove_fields_space() function will drop Feature object field @wony-zheng (#1213)
• chore: bugfix, judging system platform error on Mac @plpycoin (#1177)
• fix bug on TRA dataset @HyeongminMoon (#1135)
• Fix mount path bug @you-n-g (#1129)

📚 Documentation

• Fix the Errors/Warnings when building Qlib's documentation @MaximSmolskiy (#1381)
• Fix typos and grammar errors in docstrings and comments @qianyun210603 (#1366)
• Fix typo. @ChiahungTai (#1365)
• Fix the Errors with unexpected indentation when building Qlib's documentation @MaximSmolskiy (#1352)
• Fix the Warnings with duplicate object description when building Qlib's documentation @MaximSmolskiy (#1353)
• Fix the Warnings in rst files when building Qlib's documentation @MaximSmolskiy (#1349)
• Add docs for qlib.rl @lwwang1995 (#1322)
• Correct errors and typos in doc strings @qianyun210603 (#1338)
• Update README.md @wan9c9 (#1279)
• fix:doc for search_records @lerit (#1287)
• Fix typo @ChiahungTai (#1308)
• Add docs for the reampling example. @you-n-g (#1285)
• Expm typo fix add log @wan9c9 (#1271)
• update recorder.rst fixed typo @animic (#1264)
• Update signal_strategy.py @ChengzhenDu (#1251)
• Refine type hint and recorder @you-n-g (#1248)
• add liability @wangershi (#1230)
• Update README.md fixed typo @EricChangMSR (#1221)
• Update the math of Metrics @you-n-g (#1211)
• Update docs of strategy @you-n-g (#1209)
• Update Data Updating Docs @you-n-g (#1203)
• Add introduction for workflow_by_code.py @you-n-g (#1186)
• Update FAQ for benchmarks @you-n-g (#1185)
• Improve the style of documentation @bingyao (#1132)
• Update README.md @lwwang1995 (#1179)
• Update test_qlib_from_source_slow.yml's timeout setting. @you-n-g (#1178)
• Qlib dev doc @you-n-g (#1142)

Changes

🌟 Features

• Csi500 example @you-n-g (#1126)
• Add log info for ensemble @you-n-g (#1113)
• opt local trainer (better mem releasing) @you-n-g (#1116)
• Refine backtest codes @lihuoran (#1120)
• fix_pylint_for_CI @SunsetWolf (#1119)
• change_datasource @SunsetWolf (#1109)
• Add .idea/ into gitignore @lihuoran (#1110)
• Add .idea/ into gitignore @lihuoran (#1108)
• init_instance_by_config enhancement @you-n-g (#1103)
• Qlib RL framework (stage 1) - single-asset order execution @ultmaster (#1076)
• fix_issue_1060 @SunsetWolf (#1092)
• add_test_pit @SunsetWolf (#1089)
• fix_macos_CI @SunsetWolf (#1081)
• fix SepDataFrame when we del it to empty @you-n-g (#1082)
• Make sepdf more like DataFrame @you-n-g (#1080)

🐛 Bug Fixes

• Fix hist_ref in update.py @you-n-g (#1096)
• add gym @you-n-g (#1104)
• Update detailed_workflow.ipynb @ChiahungTai (#1084)
• fix_issue_715 @SunsetWolf (#1070)
• Fixed pandas FutureWarning @Hubedge (#1073)
• Missing f prefix on f-strings fix @code-review-doctor (#1072)

📚 Documentation

• Fixed a few mixed Chinese punctuation typos @bingyao (#1123)
• Refine backtest codes @lihuoran (#1120)
• Add explanation for the evalution metrics of Qlib @you-n-g (#1090)
• Qlib RL framework (stage 1) - single-asset order execution @ultmaster (#1076)
• Update README.md @you-n-g (#1091)
• fix_issue_1060 @SunsetWolf (#1092)
• Add instructions to add models @you-n-g (#1088)
• Yahoo data Docs @you-n-g (#1077)
• fix_macos_CI @SunsetWolf (#1081)
• Fixed typos in workflow.rst @jingedawang (#1068)

Changes

• update doc for TopK-Drop @wan9c9 (#1015)
• Known Limitations In Recorder @you-n-g (#999)
• Fix pit docs format @Chaoyingz (#957)
• Add REG_TW. @ChiahungTai (#955)

🌟 Features

• fast fillna @you-n-g (#1074)
• fix_issue_1019 @SunsetWolf (#1046)
• Change Power to a NpPairOperator @wuzhe1234 (#1052)
• Use the region in qlib.config for FileCalendarStorage. @ChiahungTai (#1049)
• Update test_macos.yml with test doc @Wangwuyi123 (#1055)
• update ci with test doc @Wangwuyi123 (#1054)
• Add the HIST and IGMTF model on Alpha360 @Wentao-Xu (#1040)
• Add high-frequency feature engineering code @Arthur-Null (#1022)
• Add Qlib notebook tutorial @you-n-g (#1037)
• Ibovespa index support @igor17400 (#990)
• Fix Chinese punctuation regex comment @Chaoyingz (#1012)
• Add pre-commit @you-n-g (#992)
• Support feature names contain Chinese punctuation @Chaoyingz (#1003)
• Add PRef operator (#988) @Chaoyingz (#1000)
• Add lightgbm min version. @ChiahungTai (#995)
• Add backtest example to online simulation @you-n-g (#984)
• Optimize the pit collector script @Chaoyingz (#982)
• Fix pit download_data script TypeError (#978) @Chaoyingz (#979)
• Skip idx.is_lexsorted() when pandas version is larger than 1.3.0. @ChiahungTai (#973)
• Use callback in LGBM.train. @ChiahungTai (#974)
• Remove redundant import [fix pylint] @you-n-g (#962)
• feat: add instrument context to inst_processor @PalanQu (#959)
• Fix csi500 @SunsetWolf (#938)
• Support Point-in-time Data Operation @bxdd (#343)

🐛 Bug Fixes

• Fix shared DF Error @you-n-g (#1044)
• fix tra dataset bug @you-n-g (#1050)
• Fixed issue #943 about TCTS init_fore_model @TuozhenLiu (#1047)
• chore: bug-fix for crypto data collector @plpycoin (#1038)
• Update setup.py to fix doc @Wangwuyi123 (#1043)
• update cli.py @wan9c9 (#1008)
• Fix pit download_data script TypeError (#978) @Chaoyingz (#979)
• Fix load_object bug @you-n-g (#977)
• safe remove file and more friendly log @you-n-g (#967)

📚 Documentation

• Update setup.py @you-n-g (#1048)
• Update README.md @qinmoelei (#1039)
• Add Qlib notebook tutorial @you-n-g (#1037)
• Add docs for CSRankNorm @you-n-g (#1032)
• fix ddgda run all bug & pylint @you-n-g (#1031)
• Fix format for PULL_REQUEST_TEMPLATE.md @Chaoyingz (#1001)
• Add lightgbm min version. @ChiahungTai (#995)
• Add backtest example to online simulation @you-n-g (#984)
• Fix comment typo @Chaoyingz (#987)
• fix-issue948 @SunsetWolf (#986)
• Update report.rst Metric @you-n-g (#980)
• Update Tool Info @you-n-g (#981)
• Update yahooquery marked words @Wangwuyi123 (#966)
• fix annotation in PIT script @bxdd (#958)