Qlib Versions Save

Changes

• fix the warning @Andyli1007 (#1656)
• Add exploration noise to rl training collector @chenditc (#1481)
• fix_pip_ci @SunsetWolf (#1608)
• Bump Version & Fix CI @you-n-g (#1606)

🌟 Features

• Add multi pass portfolio analysis record @chenditc (#1546)

📚 Documentation

• 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)

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)

Changes

• Update initialization.rst @SunsetWolf (#941)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TabNet @dependabot (#898)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/Transformer @dependabot (#897)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/hyperparameter/LightGBM @dependabot (#896)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/XGBoost @dependabot (#895)

🌟 Features

• [949] - Remove argument internal in BaseRun::download_data. @ChiahungTai (#953)
• Fix error message in position.py @cuicorey (#922)
• Fix wrong error messages. @ChiahungTai (#946)
• [931] Remove mutable default argument. @ChiahungTai (#932)
• performance mprovement @you-n-g (#921)
• Add data analysis feature for report @you-n-g (#918)
• Enhance pytorch nn @you-n-g (#917)
• Fix pylint @SunsetWolf (#888)
• Add more docs about initialization @you-n-g (#880)
• Make the logic of handler Clear @you-n-g (#877)

🐛 Bug Fixes

• fix bug @wan9c9 (#950)
• [930] Fix typo HasingStockStorage to HashingStockStorage. @ChiahungTai (#947)
• Support Reweighter for HighFreq Model @you-n-g (#908)
• add weight param @aurora5161 (#907)
• fix workflow bug @you-n-g (#882)

📚 Documentation

• Update Metric Explanation @you-n-g (#920)
• Add data analysis feature for report @you-n-g (#918)
• Update README.md @wendili-cs (#915)
• Some links about high-frequency trading @you-n-g (#884)
• Update Portfolio README.md @you-n-g (#900)
• Update Benchmark Docs @you-n-g (#899)
• Docs improvement of backtest @you-n-g (#885)
• Update handler processors docs @you-n-g (#879)
• expression example @you-n-g (#887)
• Docs to get original price @you-n-g (#878)

Changes

• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/ADARNN @dependabot (#870)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/ADD @dependabot (#869)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/ALSTM @dependabot (#868)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/CatBoost @dependabot (#867)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/DoubleEnsemble @dependabot (#866)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/GRU @dependabot (#833)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/LightGBM @dependabot (#830)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/SFM @dependabot (#829)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TCTS @dependabot (#834)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/GATs @dependabot (#831)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TRA @dependabot (#832)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/Localformer @dependabot (#835)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/MLP @dependabot (#836)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/TCN @dependabot (#837)
• Bump numpy from 1.17.4 to 1.21.0 in /examples/benchmarks/LSTM @dependabot (#838)

🌟 Features

• fall back error @you-n-g (#875)
• Disable Cache By Default @you-n-g (#871)
• Supporting Arctic Backend Provider & Orderbook, Tick Data Example @luocy16 (#744)
• Add future calendar collector @zhupr (#795)

🐛 Bug Fixes

• Remove arctic from Qlib core to Contrib @you-n-g (#865)
• Fix pytorch_nn.py step bug @you-n-g (#864)

📚 Documentation

• Add Desc For the limitation of 3.9 @Wangwuyi123 (#863)
• Fix code and docs for issues @you-n-g (#853)

Changes

🌟 Features

• pylint code refine & Fix nested example @you-n-g (#848)
• chore: remove hard code input dimension of model pytorch_tcts @PalanQu (#843)
• [840] - Test case for operators. @ChiahungTai (#841)
• DDG-DA paper code @you-n-g (#743)
• [807] Move the REG_CONSTANT/EPS to constant.py. @ChiahungTai (#811)
• Some Optimization of online code @you-n-g (#784)
• Add Crypto dataset from coingecko @b4thesunrise (#733)
• Reformat example data names: use {region}_data for 1-day data, and {region}_data_1min for 1-min data @cning112 (#781)
• support optimization based strategy @evanzd (#754)
• Add hook for supporting RL strategy @you-n-g (#768)
• Enhance Task Dict Var @you-n-g (#778)
• Add Cache to avoid frequently loading Calendar @you-n-g (#766)
• Update BCELoss in MLP model @cuicorey (#756)
• solve VERSION.txt bug @b4thesunrise (#732)
• Hyperopt upgrade @upgradvisor-bot (#741)
• Add method parameter for volume @you-n-g (#734)

🐛 Bug Fixes

• Fix the read the docs error @you-n-g (#852)
• pylint code refine & Fix nested example @you-n-g (#848)
• fix: highfreq_gdbt_model of prepare data @PalanQu (#846)
• Fix some warnings in log.py. @ChiahungTai (#805)
• Fix $volume normalization issue @2young-2simple-sometimes-naive (#792)
• Fix account shared bug @you-n-g (#791)
• fix dump_bin:DumpDataUpdate @zhupr (#783)
• Fix torch models on cpu @cning112 (#782)
• fix cn_index collector @zhupr (#780)
• Use encoding="utf-8" in open. @ChiahungTai (#773)
• fix IndexError of the last trading day in backtest calendar @zhupr (#751)
• remove unneeded code from workflow_by_code.ipynb && fix analysis_model_performance @zhupr (#740)

📚 Documentation

• Add description of the pr template. @ChiahungTai (#812)
• Fix typos and comments. @ChiahungTai (#815)
• Update README.md @you-n-g (#802)
• Fix BaseStrategy path. @ChiahungTai (#801)
• Add a more understandable example of data workflow @you-n-g (#797)
• fix_typo @SunsetWolf (#790)
• Update Contributor list @you-n-g (#779)
• Update Docs of Alpha360 @you-n-g (#777)
• Replace scripts/get_data.py to get_data.py. @ChiahungTai (#775)
• Fix typo leanable to learnable. @ChiahungTai (#774)
• Add docs about the patameters @you-n-g (#771)
• add description of dataset document @zhupr (#742)