Releases: microsoft/qlib
Releases · microsoft/qlib
v0.9.3 🌈
Changes
🌟 Features
🐛 Bug Fixes
📚 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)
v0.9.2 🌈
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- Remove Outdated RL example @lihuoran (#1464)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)
v0.9.1 🌈
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)
v0.9.0 🌈
Changes
🌟 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)
v0.8.6 🌈
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)
v0.8.5 🌈
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)
v0.8.4 🌈
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)
v0.8.3 🌈
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
📚 Documentation
- Add Desc For the limitation of 3.9 @Wangwuyi123 (#863)
- Fix code and docs for issues @you-n-g (#853)
v0.8.1 🌈
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)
v0.8.0 🌈
Changes
- docs improvement @you-n-g (#730)
- Fix backtest @zhupr (#719)
- add logger @demon143 (#709)
- Add SigAnaRecord in to workflow_by_code.py @you-n-g (#707)
- support adding from date when updating pred @you-n-g (#703)
- Add A New Baseline: ADD @f-cg (#704)
- Fix high-freq data @zhupr (#702)
- Update task_management.rst @demon143 (#700)
- Update workflow_by_code.ipynb @wan9c9 (#697)
- Update task_management.rst @demon143 (#654)
- Merging Backtest improve @you-n-g (#694)
- Add AdaRNN baseline. @lwwang1995 (#689)
- add ops_warning_log to config @zhupr (#685)
- Callable Exp @you-n-g (#683)
- bugfix: Fix the problem that caused highfreq's yaml to be unusable @Ckend (#678)
- add default protocol_version @zhupr (#677)
- An example to get index from TSDataSampler @you-n-g (#679)
- handler demo cache @you-n-g (#606)
- Improve the backtest design and APIs @you-n-g (#650)
- More citations @markzhao98 (#673)
- Add A New Baseline: TCN @f-cg (#668)
- GPU identification bug fix for GATs @markzhao98 (#669)
- fix 'duplicate axis' error when updating cache @zhupr (#661)
- add logs in case of ops.py errors @zhupr (#659)
- Adjusting gbdt.py's parameter @you-n-g (#660)
🌟 Features
- Auto injecting model and dataset for Recorder @you-n-g (#645)
- Checking dataset empty @you-n-g (#647)
- Update TCTS. @lwwang1995 (#643)
- Add support for MacOS-11 @zhupr (#630)
🐛 Bug Fixes
- Fix update record bug @you-n-g (#723)
- improve the doc of auto init @you-n-g (#541)
- fix workflow_config_lightgbm_multi_freq.yaml @zhupr (#635)
- remove 3.6 @you-n-g (#629)