Unexpected behavior of __getitem__ of TSDataSampler: get nothing when slicing instead of indexing

[LeetaH666]

🐛 Bug Description

When trying to get item from TSDataSampler using int type index, a "speed up" feature — slicing instead of indexing will get nothing for one specific index.

You would quickly notice what happened for the above code if indices = [-1, 0, 1, 2, ...] (because the nan_idx is -1), i.e., you would get nothing.

To Reproduce

A piece of testing code:

import numpy as np
import pandas as pd
from qlib.data.dataset import TSDataSampler

datetimes = [
    '2000-01-31', '2000-02-29', '2000-03-31', '2000-04-30', '2000-05-31'
]
instruments = ['000001', '000002', '000003', '000004', '000005']
index = pd.MultiIndex.from_product([pd.to_datetime(datetimes), instruments],
                                   names=['datetime', 'instrument'])
data = np.random.randn(len(datetimes) * len(instruments))
test_df = pd.DataFrame(data=data, index=index, columns=['ret'])
dataset = TSDataSampler(test_df, datetimes[0], datetimes[-1], step_len=2)
print(dataset[0])

Expected Behavior

Get an array with nan as the first element and some number as the second element.

Screenshot

Actual unexpected behavior:

Environment

• Qlib version: 0.9.3
• Python version: 3.8.18
• OS (Windows, Linux, MacOS): Linux
• Commit number (optional, please provide it if you are using the dev version):

Solution

I think it just need a simple modification of the if conditions, i.e., if (np.diff(indices) == 1).all(): -> if (np.diff(indices) == 1).all() and -1 not in indices:.