Fix high-freq data (microsoft#702)

* fix the collector.py yahoo 1min factor calculation

* fix HFSignalRecord

examples/highfreq/README.md

@@ -30,6 +30,7 @@ Run the example by running the following command:
 ## Benchmarks Performance
 ### Signal Test
 Here are the results of signal test for benchmark models. We will keep updating benchmark models in future.
+
 | Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Long precision| Short Precision | Long-Short Average Return | Long-Short Average Sharpe |
 |---|---|---|---|---|---|---|---|---|---|
-| LightGBM | Alpha158 | 0.3042±0.00 | 1.5372±0.00| 0.3117±0.00 | 1.6258±0.00 | 0.6720±0.00 | 0.6870±0.00 | 0.000769±0.00 | 1.0190±0.00 |
+| LightGBM | Alpha158 | 0.0349±0.00 | 0.3805±0.00| 0.0435±0.00 | 0.4724±0.00 | 0.5111±0.00 | 0.5428±0.00 | 0.000074±0.00 | 0.2677±0.00 |

qlib/workflow/record_temp.py

@@ -1,27 +1,21 @@
 #  Copyright (c) Microsoft Corporation.
 #  Licensed under the MIT License.
 
-from qlib.backtest import executor
-import re
 import logging
 import warnings
 import pandas as pd
-from pathlib import Path
 from pprint import pprint
 from typing import Union, List, Optional
-from collections import defaultdict
 
 from qlib.utils.exceptions import LoadObjectError
-from ..contrib.evaluate import indicator_analysis, risk_analysis, indicator_analysis
+from ..contrib.evaluate import risk_analysis, indicator_analysis
 
 from ..data.dataset import DatasetH
 from ..data.dataset.handler import DataHandlerLP
 from ..backtest import backtest as normal_backtest
-from ..utils import init_instance_by_config, get_module_by_module_path
 from ..log import get_module_logger
 from ..utils import flatten_dict, class_casting
 from ..utils.time import Freq
-from ..strategy.base import BaseStrategy
 from ..contrib.eva.alpha import calc_ic, calc_long_short_return, calc_long_short_prec
 
 
@@ -215,6 +209,7 @@ class HFSignalRecord(SignalRecord):
     """
 
     artifact_path = "hg_sig_analysis"
+    depend_cls = SignalRecord
 
     def __init__(self, recorder, **kwargs):
         super().__init__(recorder=recorder)

scripts/data_collector/cn_index/collector.py

@@ -96,6 +96,27 @@ def html_table_index(self) -> int:
         """
         raise NotImplementedError()
 
+    def format_datetime(self, inst_df: pd.DataFrame) -> pd.DataFrame:
+        """formatting the datetime in an instrument
+
+        Parameters
+        ----------
+        inst_df: pd.DataFrame
+            inst_df.columns = [self.SYMBOL_FIELD_NAME, self.START_DATE_FIELD, self.END_DATE_FIELD]
+
+        Returns
+        -------
+
+        """
+        if self.freq != "day":
+            inst_df[self.START_DATE_FIELD] = inst_df[self.START_DATE_FIELD].apply(
+                lambda x: (pd.Timestamp(x) + pd.Timedelta(hours=9, minutes=30)).strftime("%Y-%m-%d %H:%M:%S")
+            )
+            inst_df[self.END_DATE_FIELD] = inst_df[self.END_DATE_FIELD].apply(
+                lambda x: (pd.Timestamp(x) + pd.Timedelta(hours=15, minutes=0)).strftime("%Y-%m-%d %H:%M:%S")
+            )
+        return inst_df
+
     def get_changes(self) -> pd.DataFrame:
         """get companies changes
 
@@ -284,7 +305,12 @@ def html_table_index(self):
 
 
 def get_instruments(
-    qlib_dir: str, index_name: str, method: str = "parse_instruments", request_retry: int = 5, retry_sleep: int = 3
+    qlib_dir: str,
+    index_name: str,
+    method: str = "parse_instruments",
+    freq: str = "day",
+    request_retry: int = 5,
+    retry_sleep: int = 3,
 ):
     """
 
@@ -296,6 +322,8 @@ def get_instruments(
         index name, value from ["csi100", "csi300"]
     method: str
         method, value from ["parse_instruments", "save_new_companies"]
+    freq: str
+        freq, value from ["day", "1min"]
     request_retry: int
         request retry, by default 5
     retry_sleep: int
@@ -312,7 +340,7 @@ def get_instruments(
     """
     _cur_module = importlib.import_module("data_collector.cn_index.collector")
     obj = getattr(_cur_module, f"{index_name.upper()}")(
-        qlib_dir=qlib_dir, index_name=index_name, request_retry=request_retry, retry_sleep=retry_sleep
+        qlib_dir=qlib_dir, index_name=index_name, freq=freq, request_retry=request_retry, retry_sleep=retry_sleep
     )
     getattr(obj, method)()
 

scripts/data_collector/index.py

@@ -26,7 +26,14 @@ class IndexBase:
     ADD = "add"
     INST_PREFIX = ""
 
-    def __init__(self, index_name: str, qlib_dir: [str, Path] = None, request_retry: int = 5, retry_sleep: int = 3):
+    def __init__(
+        self,
+        index_name: str,
+        qlib_dir: [str, Path] = None,
+        freq: str = "day",
+        request_retry: int = 5,
+        retry_sleep: int = 3,
+    ):
         """
 
         Parameters
@@ -35,6 +42,8 @@ def __init__(self, index_name: str, qlib_dir: [str, Path] = None, request_retry:
             index name
         qlib_dir: str
             qlib directory, by default Path(__file__).resolve().parent.joinpath("qlib_data")
+        freq: str
+            freq, value from ["day", "1min"]
         request_retry: int
             request retry, by default 5
         retry_sleep: int
@@ -49,6 +58,7 @@ def __init__(self, index_name: str, qlib_dir: [str, Path] = None, request_retry:
         self.cache_dir.mkdir(exist_ok=True, parents=True)
         self._request_retry = request_retry
         self._retry_sleep = retry_sleep
+        self.freq = freq
 
     @property
     @abc.abstractmethod
@@ -106,6 +116,21 @@ def get_changes(self) -> pd.DataFrame:
         """
         raise NotImplementedError("rewrite get_changes")
 
+    @abc.abstractmethod
+    def format_datetime(self, inst_df: pd.DataFrame) -> pd.DataFrame:
+        """formatting the datetime in an instrument
+
+        Parameters
+        ----------
+        inst_df: pd.DataFrame
+            inst_df.columns = [self.SYMBOL_FIELD_NAME, self.START_DATE_FIELD, self.END_DATE_FIELD]
+
+        Returns
+        -------
+
+        """
+        raise NotImplementedError("rewrite format_datetime")
+
     def save_new_companies(self):
         """save new companies
 
@@ -206,6 +231,7 @@ def parse_instruments(self):
         _inst_prefix = self.INST_PREFIX.strip()
         if _inst_prefix:
             inst_df["save_inst"] = inst_df[self.SYMBOL_FIELD_NAME].apply(lambda x: f"{_inst_prefix}{x}")
+        inst_df = self.format_datetime(inst_df)
         inst_df.to_csv(
             self.instruments_dir.joinpath(f"{self.index_name.lower()}.txt"), sep="\t", index=False, header=None
         )

scripts/data_collector/us_index/collector.py

@@ -37,9 +37,16 @@ class WIKIIndex(IndexBase):
     # https://superuser.com/questions/613313/why-cant-we-make-con-prn-null-folder-in-windows
     INST_PREFIX = ""
 
-    def __init__(self, index_name: str, qlib_dir: [str, Path] = None, request_retry: int = 5, retry_sleep: int = 3):
+    def __init__(
+        self,
+        index_name: str,
+        qlib_dir: [str, Path] = None,
+        freq: str = "day",
+        request_retry: int = 5,
+        retry_sleep: int = 3,
+    ):
         super(WIKIIndex, self).__init__(
-            index_name=index_name, qlib_dir=qlib_dir, request_retry=request_retry, retry_sleep=retry_sleep
+            index_name=index_name, qlib_dir=qlib_dir, freq=freq, request_retry=request_retry, retry_sleep=retry_sleep
         )
 
         self._target_url = f"{WIKI_URL}/{WIKI_INDEX_NAME_MAP[self.index_name.upper()]}"
@@ -71,6 +78,24 @@ def get_changes(self) -> pd.DataFrame:
         """
         raise NotImplementedError("rewrite get_changes")
 
+    def format_datetime(self, inst_df: pd.DataFrame) -> pd.DataFrame:
+        """formatting the datetime in an instrument
+
+        Parameters
+        ----------
+        inst_df: pd.DataFrame
+            inst_df.columns = [self.SYMBOL_FIELD_NAME, self.START_DATE_FIELD, self.END_DATE_FIELD]
+
+        Returns
+        -------
+
+        """
+        if self.freq != "day":
+            inst_df[self.END_DATE_FIELD] = inst_df[self.END_DATE_FIELD].apply(
+                lambda x: (pd.Timestamp(x) + pd.Timedelta(hours=23, minutes=59)).strftime("%Y-%m-%d %H:%M:%S")
+            )
+        return inst_df
+
     @property
     def calendar_list(self) -> List[pd.Timestamp]:
         """get history trading date
@@ -245,7 +270,12 @@ def parse_instruments(self):
 
 
 def get_instruments(
-    qlib_dir: str, index_name: str, method: str = "parse_instruments", request_retry: int = 5, retry_sleep: int = 3
+    qlib_dir: str,
+    index_name: str,
+    method: str = "parse_instruments",
+    freq: str = "day",
+    request_retry: int = 5,
+    retry_sleep: int = 3,
 ):
     """
 
@@ -257,6 +287,8 @@ def get_instruments(
         index name, value from ["SP500", "NASDAQ100", "DJIA", "SP400"]
     method: str
         method, value from ["parse_instruments", "save_new_companies"]
+    freq: str
+        freq, value from ["day", "1min"]
     request_retry: int
         request retry, by default 5
     retry_sleep: int
@@ -265,15 +297,15 @@ def get_instruments(
     Examples
     -------
         # parse instruments
-        $ python collector.py --index_name SP500 --qlib_dir ~/.qlib/qlib_data/cn_data --method parse_instruments
+        $ python collector.py --index_name SP500 --qlib_dir ~/.qlib/qlib_data/us_data --method parse_instruments
 
         # parse new companies
-        $ python collector.py --index_name SP500 --qlib_dir ~/.qlib/qlib_data/cn_data --method save_new_companies
+        $ python collector.py --index_name SP500 --qlib_dir ~/.qlib/qlib_data/us_data --method save_new_companies
 
     """
     _cur_module = importlib.import_module("data_collector.us_index.collector")
     obj = getattr(_cur_module, f"{index_name.upper()}Index")(
-        qlib_dir=qlib_dir, index_name=index_name, request_retry=request_retry, retry_sleep=retry_sleep
+        qlib_dir=qlib_dir, index_name=index_name, freq=freq, request_retry=request_retry, retry_sleep=retry_sleep
     )
     getattr(obj, method)()
 

scripts/data_collector/yahoo/collector.py

@@ -601,11 +601,19 @@ def adjusted_price(self, df: pd.DataFrame) -> pd.DataFrame:
             #   - Close price adjusted for splits. Adjusted close price adjusted for both dividends and splits.
             #   - data_1d.adjclose: Adjusted close price adjusted for both dividends and splits.
             #   - data_1d.close: `data_1d.adjclose / (close for the first trading day that is not np.nan)`
-            df["date_tmp"] = df[self._date_field_name].apply(lambda x: pd.Timestamp(x).date())
-            df.set_index("date_tmp", inplace=True)
-            df.loc[:, "factor"] = data_1d["close"] / df["close"]
-            df.loc[:, "paused"] = data_1d["paused"]
-            df.reset_index("date_tmp", drop=True, inplace=True)
+            def _calc_factor(df_1d: pd.DataFrame):
+                try:
+                    _date = pd.Timestamp(pd.Timestamp(df_1d[self._date_field_name].iloc[0]).date())
+                    df_1d["factor"] = (
+                        data_1d.loc[_date]["close"] / df_1d.loc[df_1d["close"].last_valid_index()]["close"]
+                    )
+                    df_1d["paused"] = data_1d.loc[_date]["paused"]
+                except Exception:
+                    df_1d["factor"] = np.nan
+                    df_1d["paused"] = np.nan
+                return df_1d
+
+            df = df.groupby([df[self._date_field_name].dt.date]).apply(_calc_factor)
 
             if self.CONSISTENT_1d:
                 # the date sequence is consistent with 1d