Migrate amc4th training (microsoft#1316)

* Migrate amc4th training

* Refine RL example scripts

* Resolve PR comments

Co-authored-by: luocy16 <[email protected]>

.gitignore

@@ -24,6 +24,9 @@ qlib/VERSION.txt
 qlib/data/_libs/expanding.cpp
 qlib/data/_libs/rolling.cpp
 examples/estimator/estimator_example/
+examples/rl/data/
+examples/rl/checkpoints/
+examples/rl/outputs/
 
 *.egg-info/
 

examples/rl/README.md

@@ -0,0 +1,55 @@
+This folder contains a simple example of how to run Qlib RL. It contains:
+
+```
+.
+├── experiment_config
+│   ├── backtest       # Backtest config
+│   └── training       # Training config
+├── README.md          # Readme (the current file)
+└── scripts            # Scripts for data pre-processing
+```
+
+## Data preparation
+
+Use [AzCopy](https://learn.microsoft.com/en-us/azure/storage/common/storage-use-azcopy-v10) to download data:
+
+```
+azcopy copy https://qlibpublic.blob.core.windows.net/data/rl/qlib_rl_example_data ./ --recursive
+mv qlib_rl_example_data data
+```
+
+The downloaded data will be placed at `./data`. The original data are in `data/csv`. To create all data needed by the case, run:
+
+```
+bash scripts/data_pipeline.sh
+```
+
+After the execution finishes, the `data/` directory should be like:
+
+```
+data
+├── backtest_orders.csv
+├── bin
+├── csv
+├── pickle
+├── pickle_dataframe
+└── training_order_split
+```
+
+## Run training
+
+Run:
+
+```
+python ../../qlib/rl/contrib/train_onpolicy.py --config_path ./experiment_config/training/config.yml
+```
+
+After training, checkpoints will be stored under `checkpoints/`.
+
+## Run backtest
+
+```
+python ../../qlib/rl/contrib/backtest.py --config_path ./experiment_config/backtest/config.py
+```
+
+The backtest workflow will use the trained model in `checkpoints/`. The backtest summary can be found in `outputs/`.

examples/rl/experiment_config/backtest/config.py

@@ -0,0 +1,53 @@
+_base_ = ["./twap.yml"]
+
+strategies = {
+    "_delete_": True,
+    "30min": {
+        "class": "TWAPStrategy",
+        "module_path": "qlib.contrib.strategy.rule_strategy",
+        "kwargs": {},
+    },
+    "1day": {
+        "class": "SAOEIntStrategy",
+        "module_path": "qlib.rl.order_execution.strategy",
+        "kwargs": {
+            "state_interpreter": {
+                "class": "FullHistoryStateInterpreter",
+                "module_path": "qlib.rl.order_execution.interpreter",
+                "kwargs": {
+                    "max_step": 8,
+                    "data_ticks": 240,
+                    "data_dim": 6,
+                    "processed_data_provider": {
+                        "class": "PickleProcessedDataProvider",
+                        "module_path": "qlib.rl.data.pickle_styled",
+                        "kwargs": {
+                            "data_dir": "./data/pickle_dataframe/feature",
+                        },
+                    },
+                },
+            },
+            "action_interpreter": {
+                "class": "CategoricalActionInterpreter",
+                "module_path": "qlib.rl.order_execution.interpreter",
+                "kwargs": {
+                    "values": 14,
+                    "max_step": 8,
+                },
+            },
+            "network": {
+                "class": "Recurrent",
+                "module_path": "qlib.rl.order_execution.network",
+                "kwargs": {},
+            },
+            "policy": {
+                "class": "PPO",
+                "module_path": "qlib.rl.order_execution.policy",
+                "kwargs": {
+                    "lr": 1.0e-4,
+                    "weight_file": "./checkpoints/latest.pth",
+                },
+            },
+        },
+    },
+}

examples/rl/experiment_config/backtest/twap.yml

@@ -0,0 +1,21 @@
+order_file: ./data/backtest_orders.csv
+start_time: "9:45"
+end_time: "14:44"
+qlib:
+  provider_uri_1min: ./data/bin
+  feature_root_dir: ./data/pickle
+  feature_columns_today: [
+    "$open", "$high", "$low", "$close", "$vwap", "$volume",
+  ]
+  feature_columns_yesterday: [
+    "$open_v1", "$high_v1", "$low_v1", "$close_v1", "$vwap_v1", "$volume_v1",
+  ]
+exchange:
+  limit_threshold: ['$close == 0', '$close == 0']
+  deal_price: ["If($close == 0, $vwap, $close)", "If($close == 0, $vwap, $close)"]
+  volume_threshold:
+    all: ["cum", "0.2 * DayCumsum($volume, '9:45', '14:44')"]
+    buy: ["current", "$close"]
+    sell: ["current", "$close"]
+strategies: {}  # Placeholder
+concurrency: 5

examples/rl/experiment_config/training/config.yml

@@ -0,0 +1,59 @@
+simulator:
+  time_per_step: 30
+  vol_limit: null
+env:
+  concurrency: 1
+  parallel_mode: dummy
+action_interpreter:
+  class: CategoricalActionInterpreter
+  kwargs:
+    values: 14
+    max_step: 8
+  module_path: qlib.rl.order_execution.interpreter
+state_interpreter:
+  class: FullHistoryStateInterpreter
+  kwargs:
+    data_dim: 6
+    data_ticks: 240
+    max_step: 8
+    processed_data_provider:
+      class: PickleProcessedDataProvider
+      module_path: qlib.rl.data.pickle_styled
+      kwargs:
+        data_dir: ./data/pickle_dataframe/feature
+  module_path: qlib.rl.order_execution.interpreter
+reward:
+  class: PAPenaltyReward
+  kwargs:
+    penalty: 100.0
+  module_path: qlib.rl.order_execution.reward
+data:
+  source:
+    order_dir: ./data/training_order_split
+    data_dir: ./data/pickle_dataframe/backtest
+    total_time: 240
+    default_start_time: 0
+    default_end_time: 240
+    proc_data_dim: 6
+  num_workers: 0
+  queue_size: 20
+network:
+  class: Recurrent
+  module_path: qlib.rl.order_execution.network
+policy:
+  class: PPO
+  kwargs:
+    lr: 0.0001
+  module_path: qlib.rl.order_execution.policy
+runtime:
+  seed: 42
+  use_cuda: false
+trainer:
+  max_epoch: 2
+  repeat_per_collect: 5
+  earlystop_patience: 2
+  episode_per_collect: 20
+  batch_size: 16
+  val_every_n_epoch: 1
+  checkpoint_path: ./checkpoints
+  checkpoint_every_n_iters: 1

examples/rl/scripts/collect_pickle_dataframe.py

@@ -0,0 +1,21 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import os
+import pickle
+import pandas as pd
+from tqdm import tqdm
+
+os.makedirs(os.path.join("data", "pickle_dataframe"), exist_ok=True)
+
+for tag in ("backtest", "feature"):
+    df = pickle.load(open(os.path.join("data", "pickle", f"{tag}.pkl"), "rb"))
+    df = pd.concat(list(df.values())).reset_index()
+    df["date"] = df["datetime"].dt.date.astype("datetime64")
+    instruments = sorted(set(df["instrument"]))
+
+    os.makedirs(os.path.join("data", "pickle_dataframe", tag), exist_ok=True)
+    for instrument in tqdm(instruments):
+        cur = df[df["instrument"] == instrument].sort_values(by=["datetime"])
+        cur = cur.set_index(["instrument", "datetime", "date"])
+        pickle.dump(cur, open(os.path.join("data", "pickle_dataframe", tag, f"{instrument}.pkl"), "wb"))

examples/rl/scripts/data_pipeline.sh

@@ -0,0 +1,14 @@
+# Generate `bin` format data
+set -e
+python ../../scripts/dump_bin.py dump_all --csv_path ./data/csv --qlib_dir ./data/bin --include_fields open,close,high,low,vwap,volume --symbol_field_name symbol --date_field_name date --freq 1min
+
+# Generate pickle format data
+python scripts/gen_pickle_data.py -c scripts/pickle_data_config.yml
+if [ -e stat/ ]; then
+    rm -r stat/
+fi
+python scripts/collect_pickle_dataframe.py
+
+# Sample orders
+python scripts/gen_training_orders.py
+python scripts/gen_backtest_orders.py

examples/rl/scripts/gen_backtest_orders.py

@@ -0,0 +1,41 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import argparse
+import os
+import pandas as pd
+import numpy as np
+import pickle
+
+parser = argparse.ArgumentParser()
+parser.add_argument("--seed", type=int, default=20220926)
+parser.add_argument("--num_order", type=int, default=10)
+args = parser.parse_args()
+
+np.random.seed(args.seed)
+
+path = os.path.join("data", "pickle", "backtesttest.pkl")  # TODO: rename file
+df = pickle.load(open(path, "rb")).reset_index()
+df["date"] = df["datetime"].dt.date.astype("datetime64")
+
+instruments = sorted(set(df["instrument"]))
+df_list = []
+for instrument in instruments:
+    print(instrument)
+
+    cur_df = df[df["instrument"] == instrument]
+
+    dates = sorted(set([str(d).split(" ")[0] for d in cur_df["date"]]))
+
+    n = args.num_order
+    df_list.append(
+        pd.DataFrame({
+            "date": sorted(np.random.choice(dates, size=n, replace=False)),
+            "instrument": [instrument] * n,
+            "amount": np.random.randint(low=3, high=11, size=n) * 100.0,
+            "order_type": np.random.randint(low=0, high=2, size=n),
+        }).set_index(["date", "instrument"]),
+    )
+
+total_df = pd.concat(df_list)
+total_df.to_csv("data/backtest_orders.csv")

examples/rl/scripts/gen_pickle_data.py

@@ -0,0 +1,43 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import yaml
+import argparse
+import os
+from copy import deepcopy
+
+from qlib.contrib.data.highfreq_provider import HighFreqProvider
+
+loader = yaml.FullLoader
+
+if __name__ == "__main__":
+    parser = argparse.ArgumentParser()
+    parser.add_argument("-c", "--config", type=str, default="config.yml")
+    parser.add_argument("-d", "--dest", type=str, default=".")
+    parser.add_argument("-s", "--split", type=str, choices=["none", "date", "stock", "both"], default="stock")
+    args = parser.parse_args()
+
+    conf = yaml.load(open(args.config), Loader=loader)
+
+    for k, v in conf.items():
+        if isinstance(v, dict) and "path" in v:
+            v["path"] = os.path.join(args.dest, v["path"])
+    provider = HighFreqProvider(**conf)
+
+    # Gen dataframe
+    if "feature_conf" in conf:
+        feature = provider._gen_dataframe(deepcopy(provider.feature_conf))
+    if "backtest_conf" in conf:
+        backtest = provider._gen_dataframe(deepcopy(provider.backtest_conf))
+
+    provider.feature_conf['path'] = os.path.splitext(provider.feature_conf['path'])[0] + '/'
+    provider.backtest_conf['path'] = os.path.splitext(provider.backtest_conf['path'])[0] + '/'
+    # Split by date
+    if args.split == "date" or args.split == "both":
+        provider._gen_day_dataset(deepcopy(provider.feature_conf), "feature")
+        provider._gen_day_dataset(deepcopy(provider.backtest_conf), "backtest")
+
+    # Split by stock
+    if args.split == "stock" or args.split == "both":
+        provider._gen_stock_dataset(deepcopy(provider.feature_conf), "feature")
+        provider._gen_stock_dataset(deepcopy(provider.backtest_conf), "backtest")

examples/rl/scripts/gen_training_orders.py

@@ -0,0 +1,37 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import argparse
+import os
+import pandas as pd
+import numpy as np
+import pickle
+
+parser = argparse.ArgumentParser()
+parser.add_argument("--seed", type=int, default=20220926)
+parser.add_argument("--stock", type=str, default="AAPL")
+parser.add_argument("--train_size", type=int, default=10)
+parser.add_argument("--valid_size", type=int, default=2)
+parser.add_argument("--test_size", type=int, default=2)
+args = parser.parse_args()
+
+np.random.seed(args.seed)
+
+os.makedirs(os.path.join("data", "training_order_split"), exist_ok=True)
+
+for group, n in zip(("train", "valid", "test"), (args.train_size, args.valid_size, args.test_size)):
+    path = os.path.join("data", "pickle", f"backtest{group}.pkl")
+    df = pickle.load(open(path, "rb")).reset_index()
+    df["date"] = df["datetime"].dt.date.astype("datetime64")
+
+    dates = sorted(set([str(d).split(" ")[0] for d in df["date"]]))
+
+    data_df = pd.DataFrame({
+        "date": sorted(np.random.choice(dates, size=n, replace=False)),
+        "instrument": [args.stock] * n,
+        "amount": np.random.randint(low=3, high=11, size=n) * 100.0,
+        "order_type": [0] * n,
+    }).set_index(["date", "instrument"])
+
+    os.makedirs(os.path.join("data", "training_order_split", group), exist_ok=True)
+    pickle.dump(data_df, open(os.path.join("data", "training_order_split", group, f"{args.stock}.pkl"), "wb"))