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PortAnaRecord not supporting highfreq data #341

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2young-2simple-sometimes-naive opened this issue Mar 15, 2021 · 2 comments
Open

PortAnaRecord not supporting highfreq data #341

2young-2simple-sometimes-naive opened this issue Mar 15, 2021 · 2 comments
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@2young-2simple-sometimes-naive
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[32154:MainThread](2021-03-15 01:13:58,756) WARNING - qlib.Initialization - [config.py:292] - redis connection failed(host=127.0.0.1 port=6379), cache will not be used!
[32154:MainThread](2021-03-15 01:13:58,760) INFO - qlib.Initialization - [__init__.py:46] - qlib successfully initialized based on client settings.
[32154:MainThread](2021-03-15 01:13:58,760) INFO - qlib.Initialization - [__init__.py:47] - data_path=xxxxxxxxxxxxxxxxxxxxx/qlib_data/hour
[32154:MainThread](2021-03-15 01:16:29,323) INFO - qlib.timer - [log.py:77] - Time cost: 148.341s | Loading data Done
[32154:MainThread](2021-03-15 01:16:44,864) INFO - qlib.timer - [log.py:77] - Time cost: 11.575s | DropnaLabel Done
[32154:MainThread](2021-03-15 01:16:48,886) INFO - qlib.timer - [log.py:77] - Time cost: 4.021s | CSRankNorm Done
[32154:MainThread](2021-03-15 01:16:48,886) INFO - qlib.timer - [log.py:77] - Time cost: 19.562s | fit & process data Done
[32154:MainThread](2021-03-15 01:16:48,886) INFO - qlib.timer - [log.py:77] - Time cost: 167.905s | Init data Done
[32154:MainThread](2021-03-15 01:17:30,866) INFO - qlib.workflow - [expm.py:248] - No tracking URI is provided. Use the default tracking URI.
[32154:MainThread](2021-03-15 01:17:30,869) INFO - qlib.workflow - [expm.py:284] - <mlflow.tracking.client.MlflowClient object at 0x2b1a7bf54940>
[32154:MainThread](2021-03-15 01:17:30,997) INFO - qlib.workflow - [exp.py:182] - Experiment 1 starts running ...
[32154:MainThread](2021-03-15 01:17:38,976) INFO - qlib.workflow - [recorder.py:270] - Recorder fcbe541714924bf59c8d72cdc582fb4f starts running under Experiment 1 ...
[32154:MainThread](2021-03-15 02:06:02,266) INFO - qlib.workflow - [record_temp.py:126] - Signal record 'pred.pkl' has been saved as the artifact of the Experiment 1
[32154:MainThread](2021-03-15 02:06:02,607) INFO - qlib.backtest caller - [__init__.py:148] - Create new exchange
[32154:MainThread](2021-03-15 02:06:02,646) ERROR - qlib.workflow - [utils.py:35] - An exception has been raised[ValueError: calendar not exists for freq day].
  File "./workflow-highfreq.py", line 45, in <module>
    par.generate()
  File "xxxxxxxxxxxxxxxxxxxxx/.venv/lib/python3.7/site-packages/pyqlib-0.6.3.99-py3.7-linux-x86_64.egg/qlib/workflow/record_temp.py", line 243, in generate
    report_dict = normal_backtest(pred_score, strategy=self.strategy, **self.backtest_config)
  File "xxxxxxxxxxxxxxxxxxxxx/.venv/lib/python3.7/site-packages/pyqlib-0.6.3.99-py3.7-linux-x86_64.egg/qlib/contrib/backtest/__init__.py", line 303, in backtest
    trade_exchange = get_exchange(pred, **ex_args)
  File "xxxxxxxxxxxxxxxxxxxxx/.venv/lib/python3.7/site-packages/pyqlib-0.6.3.99-py3.7-linux-x86_64.egg/qlib/contrib/backtest/__init__.py", line 158, in get_exchange
    dates = np.append(dates, get_date_range(dates[-1], left_shift=1, right_shift=shift))
  File "xxxxxxxxxxxxxxxxxxxxx/.venv/lib/python3.7/site-packages/pyqlib-0.6.3.99-py3.7-linux-x86_64.egg/qlib/utils/__init__.py", line 498, in get_date_range
    start = get_date_by_shift(trading_date, left_shift, future=future)
  File "xxxxxxxxxxxxxxxxxxxxx/.venv/lib/python3.7/site-packages/pyqlib-0.6.3.99-py3.7-linux-x86_64.egg/qlib/utils/__init__.py", line 518, in get_date_by_shift
    cal = D.calendar(future=future)
  File "xxxxxxxxxxxxxxxxxxxxx/.venv/lib/python3.7/site-packages/pyqlib-0.6.3.99-py3.7-linux-x86_64.egg/qlib/data/data.py", line 928, in calendar
    return Cal.calendar(start_time, end_time, freq, future=future)
  File "xxxxxxxxxxxxxxxxxxxxx/.venv/lib/python3.7/site-packages/pyqlib-0.6.3.99-py3.7-linux-x86_64.egg/qlib/data/data.py", line 534, in calendar
    _calendar, _calendar_index = self._get_calendar(freq, future)
  File "xxxxxxxxxxxxxxxxxxxxx/.venv/lib/python3.7/site-packages/pyqlib-0.6.3.99-py3.7-linux-x86_64.egg/qlib/data/data.py", line 120, in _get_calendar
    _calendar = np.array(self.load_calendar(freq, future))
  File "xxxxxxxxxxxxxxxxxxxxx/.venv/lib/python3.7/site-packages/pyqlib-0.6.3.99-py3.7-linux-x86_64.egg/qlib/data/data.py", line 529, in load_calendar
    raise ValueError("calendar not exists for freq " + freq)
@2young-2simple-sometimes-naive 2young-2simple-sometimes-naive added the bug Something isn't working label Mar 15, 2021
@you-n-g
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you-n-g commented Mar 17, 2021

We are trying to add some forecasting examples for high frequency trading,
Please stay tuned for furthur updates.
#310

@Yunlong-He
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highfreq backtest still not supported after 3 years?

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@you-n-g @Yunlong-He @2young-2simple-sometimes-naive