RL Training pipeline on 5-min data (#1415)

* Workflow runnable

* CI

* Slight changes to make the workflow runnable. The changes of handler/provider should be reverted before merging.

* Train experiment successful

* Refine handler & provider

* CI issues

* Resolve PR comments

* Resolve PR comments

* CI issues

* Fix test issue

* Black

Author: lihuoran

qlib/contrib/data/highfreq_handler.py

@@ -113,8 +113,11 @@ def __init__(
         fit_end_time=None,
         drop_raw=True,
         day_length=240,
+        freq="1min",
+        columns=["$open", "$high", "$low", "$close", "$vwap"],
     ):
         self.day_length = day_length
+        self.columns = columns
 
         infer_processors = check_transform_proc(infer_processors, fit_start_time, fit_end_time)
         learn_processors = check_transform_proc(learn_processors, fit_start_time, fit_end_time)
@@ -124,7 +127,7 @@ def __init__(
             "kwargs": {
                 "config": self.get_feature_config(),
                 "swap_level": False,
-                "freq": "1min",
+                "freq": freq,
             },
         }
         super().__init__(
@@ -160,19 +163,13 @@ def get_normalized_price_feature(price_field, shift=0):
             )
             return feature_ops
 
-        fields += [get_normalized_price_feature("$open", 0)]
-        fields += [get_normalized_price_feature("$high", 0)]
-        fields += [get_normalized_price_feature("$low", 0)]
-        fields += [get_normalized_price_feature("$close", 0)]
-        fields += [get_normalized_price_feature("$vwap", 0)]
-        names += ["$open", "$high", "$low", "$close", "$vwap"]
+        for column_name in self.columns:
+            fields.append(get_normalized_price_feature(column_name, 0))
+            names.append(column_name)
 
-        fields += [get_normalized_price_feature("$open", self.day_length)]
-        fields += [get_normalized_price_feature("$high", self.day_length)]
-        fields += [get_normalized_price_feature("$low", self.day_length)]
-        fields += [get_normalized_price_feature("$close", self.day_length)]
-        fields += [get_normalized_price_feature("$vwap", self.day_length)]
-        names += ["$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1"]
+        for column_name in self.columns:
+            fields.append(get_normalized_price_feature(column_name, self.day_length))
+            names.append(column_name + "_1")
 
         # calculate and fill nan with 0
         fields += [
@@ -258,14 +255,17 @@ def __init__(
         start_time=None,
         end_time=None,
         day_length=240,
+        freq="1min",
+        columns=["$close", "$vwap", "$volume"],
     ):
         self.day_length = day_length
+        self.columns = set(columns)
         data_loader = {
             "class": "QlibDataLoader",
             "kwargs": {
                 "config": self.get_feature_config(),
                 "swap_level": False,
-                "freq": "1min",
+                "freq": freq,
             },
         }
         super().__init__(
@@ -279,21 +279,24 @@ def get_feature_config(self):
         fields = []
         names = []
 
-        template_paused = f"Cut({{0}}, {self.day_length * 2}, None)"
-        template_fillnan = "FFillNan({0})"
-        template_if = "If(IsNull({1}), {0}, {1})"
-        fields += [
-            template_paused.format(template_fillnan.format("$close")),
-        ]
-        names += ["$close0"]
-
-        fields += [
-            template_paused.format(template_if.format(template_fillnan.format("$close"), "$vwap")),
-        ]
-        names += ["$vwap0"]
-
-        fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$volume"))]
-        names += ["$volume0"]
+        if "$close" in self.columns:
+            template_paused = f"Cut({{0}}, {self.day_length * 2}, None)"
+            template_fillnan = "FFillNan({0})"
+            template_if = "If(IsNull({1}), {0}, {1})"
+            fields += [
+                template_paused.format(template_fillnan.format("$close")),
+            ]
+            names += ["$close0"]
+
+        if "$vwap" in self.columns:
+            fields += [
+                template_paused.format(template_if.format(template_fillnan.format("$close"), "$vwap")),
+            ]
+            names += ["$vwap0"]
+
+        if "$volume" in self.columns:
+            fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$volume"))]
+            names += ["$volume0"]
 
         return fields, names
 

qlib/contrib/data/highfreq_provider.py

@@ -28,6 +28,7 @@ def __init__(
         feature_conf: dict,
         label_conf: Optional[dict] = None,
         backtest_conf: dict = None,
+        freq: str = "1min",
         **kwargs,
     ) -> None:
         self.start_time = start_time
@@ -42,6 +43,7 @@ def __init__(
         self.backtest_conf = backtest_conf
         self.qlib_conf = qlib_conf
         self.logger = get_module_logger("HighFreqProvider")
+        self.freq = freq
 
     def get_pre_datasets(self):
         """Generate the training, validation and test datasets for prediction
@@ -116,8 +118,8 @@ def _prepare_calender_cache(self):
         # This code used the copy-on-write feature of Linux
         # to avoid calculating the calendar multiple times in the subprocess.
         # This code may accelerate, but may be not useful on Windows and Mac Os
-        Cal.calendar(freq="1min")
-        get_calendar_day(freq="1min")
+        Cal.calendar(freq=self.freq)
+        get_calendar_day(freq=self.freq)
 
     def _gen_dataframe(self, config, datasets=["train", "valid", "test"]):
         try:
@@ -240,7 +242,7 @@ def _gen_day_dataset(self, config, conf_type):
         with open(path + "tmp_dataset.pkl", "rb") as f:
             new_dataset = pkl.load(f)
 
-        time_list = D.calendar(start_time=self.start_time, end_time=self.end_time, freq="1min")[::240]
+        time_list = D.calendar(start_time=self.start_time, end_time=self.end_time, freq=self.freq)[::240]
 
         def generate_dataset(times):
             if os.path.isfile(path + times.strftime("%Y-%m-%d") + ".pkl"):
@@ -283,7 +285,7 @@ def _gen_stock_dataset(self, config, conf_type):
 
         instruments = D.instruments(market="all")
         stock_list = D.list_instruments(
-            instruments=instruments, start_time=self.start_time, end_time=self.end_time, freq="1min", as_list=True
+            instruments=instruments, start_time=self.start_time, end_time=self.end_time, freq=self.freq, as_list=True
         )
 
         def generate_dataset(stock):

qlib/rl/contrib/train_onpolicy.py

@@ -8,6 +8,7 @@
 
 import numpy as np
 import pandas as pd
+import qlib
 import torch
 import yaml
 from qlib.backtest import Order
@@ -17,7 +18,9 @@
 from qlib.rl.interpreter import ActionInterpreter, StateInterpreter
 from qlib.rl.order_execution import SingleAssetOrderExecutionSimple
 from qlib.rl.reward import Reward
-from qlib.rl.trainer import Checkpoint, train
+from qlib.rl.trainer import Checkpoint, backtest, train
+from qlib.rl.trainer.callbacks import Callback, EarlyStopping, MetricsWriter
+from qlib.rl.utils.log import CsvWriter
 from qlib.utils import init_instance_by_config
 from tianshou.policy import BasePolicy
 from torch import nn
@@ -98,40 +101,54 @@ def train_and_test(
     action_interpreter: ActionInterpreter,
     policy: BasePolicy,
     reward: Reward,
+    run_backtest: bool,
 ) -> None:
+    qlib.init()
+
     order_root_path = Path(data_config["source"]["order_dir"])
 
+    data_granularity = simulator_config.get("data_granularity", 1)
+
     def _simulator_factory_simple(order: Order) -> SingleAssetOrderExecutionSimple:
         return SingleAssetOrderExecutionSimple(
             order=order,
             data_dir=Path(data_config["source"]["data_dir"]),
             ticks_per_step=simulator_config["time_per_step"],
+            data_granularity=data_granularity,
             deal_price_type=data_config["source"].get("deal_price_column", "close"),
             vol_threshold=simulator_config["vol_limit"],
         )
 
-    train_dataset = LazyLoadDataset(
-        order_file_path=order_root_path / "train",
-        data_dir=Path(data_config["source"]["data_dir"]),
-        default_start_time_index=data_config["source"]["default_start_time"],
-        default_end_time_index=data_config["source"]["default_end_time"],
-    )
-    valid_dataset = LazyLoadDataset(
-        order_file_path=order_root_path / "valid",
-        data_dir=Path(data_config["source"]["data_dir"]),
-        default_start_time_index=data_config["source"]["default_start_time"],
-        default_end_time_index=data_config["source"]["default_end_time"],
-    )
+    assert data_config["source"]["default_start_time_index"] % data_granularity == 0
+    assert data_config["source"]["default_end_time_index"] % data_granularity == 0
+
+    train_dataset, valid_dataset, test_dataset = [
+        LazyLoadDataset(
+            order_file_path=order_root_path / tag,
+            data_dir=Path(data_config["source"]["data_dir"]),
+            default_start_time_index=data_config["source"]["default_start_time_index"] // data_granularity,
+            default_end_time_index=data_config["source"]["default_end_time_index"] // data_granularity,
+        )
+        for tag in ("train", "valid", "test")
+    ]
 
-    callbacks = []
     if "checkpoint_path" in trainer_config:
+        callbacks: List[Callback] = []
+        callbacks.append(MetricsWriter(dirpath=Path(trainer_config["checkpoint_path"])))
         callbacks.append(
             Checkpoint(
-                dirpath=Path(trainer_config["checkpoint_path"]),
-                every_n_iters=trainer_config["checkpoint_every_n_iters"],
+                dirpath=Path(trainer_config["checkpoint_path"]) / "checkpoints",
+                every_n_iters=trainer_config.get("checkpoint_every_n_iters", 1),
                 save_latest="copy",
             ),
         )
+    if "earlystop_patience" in trainer_config:
+        callbacks.append(
+            EarlyStopping(
+                patience=trainer_config["earlystop_patience"],
+                monitor="val/pa",
+            )
+        )
 
     trainer_kwargs = {
         "max_iters": trainer_config["max_epoch"],
@@ -160,8 +177,21 @@ def _simulator_factory_simple(order: Order) -> SingleAssetOrderExecutionSimple:
         vessel_kwargs=vessel_kwargs,
     )
 
+    if run_backtest:
+        backtest(
+            simulator_fn=_simulator_factory_simple,
+            state_interpreter=state_interpreter,
+            action_interpreter=action_interpreter,
+            initial_states=test_dataset,
+            policy=policy,
+            logger=CsvWriter(Path(trainer_config["checkpoint_path"])),
+            reward=reward,
+            finite_env_type=trainer_kwargs["finite_env_type"],
+            concurrency=trainer_kwargs["concurrency"],
+        )
+
 
-def main(config: dict) -> None:
+def main(config: dict, run_backtest: bool) -> None:
     if "seed" in config["runtime"]:
         seed_everything(config["runtime"]["seed"])
 
@@ -200,6 +230,7 @@ def main(config: dict) -> None:
         state_interpreter=state_interpreter,
         policy=policy,
         reward=reward,
+        run_backtest=run_backtest,
     )
 
 
@@ -211,9 +242,10 @@ def main(config: dict) -> None:
 
     parser = argparse.ArgumentParser()
     parser.add_argument("--config_path", type=str, required=True, help="Path to the config file")
+    parser.add_argument("--run_backtest", action="store_true", help="Run backtest workflow after training is finished")
     args = parser.parse_args()
 
     with open(args.config_path, "r") as input_stream:
         config = yaml.safe_load(input_stream)
 
-    main(config)
+    main(config, run_backtest=args.run_backtest)

qlib/rl/data/pickle_styled.py

@@ -83,7 +83,16 @@ def _find_pickle(filename_without_suffix: Path) -> Path:
 
 @lru_cache(maxsize=10)  # 10 * 40M = 400MB
 def _read_pickle(filename_without_suffix: Path) -> pd.DataFrame:
-    return pd.read_pickle(_find_pickle(filename_without_suffix))
+    df = pd.read_pickle(_find_pickle(filename_without_suffix))
+    index_cols = df.index.names
+
+    df = df.reset_index()
+    for date_col_name in ["date", "datetime"]:
+        if date_col_name in df:
+            df[date_col_name] = pd.to_datetime(df[date_col_name])
+    df = df.set_index(index_cols)
+
+    return df
 
 
 class SimpleIntradayBacktestData(BaseIntradayBacktestData):
@@ -161,6 +170,7 @@ def __init__(
         time_index: pd.Index,
     ) -> None:
         proc = _read_pickle((data_dir if isinstance(data_dir, Path) else Path(data_dir)) / stock_id)
+
         # We have to infer the names here because,
         # unfortunately they are not included in the original data.
         cnames = _infer_processed_data_column_names(feature_dim)

qlib/rl/order_execution/reward.py

@@ -21,10 +21,13 @@ class PAPenaltyReward(Reward[SAOEState]):
     ----------
     penalty
         The penalty for large volume in a short time.
+    scale
+        The weight used to scale up or down the reward.
     """
 
-    def __init__(self, penalty: float = 100.0):
+    def __init__(self, penalty: float = 100.0, scale: float = 1.0) -> None:
         self.penalty = penalty
+        self.scale = scale
 
     def reward(self, simulator_state: SAOEState) -> float:
         whole_order = simulator_state.order.amount
@@ -43,4 +46,4 @@ def reward(self, simulator_state: SAOEState) -> float:
 
         self.log("reward/pa", pa)
         self.log("reward/penalty", penalty)
-        return reward
+        return reward * self.scale

qlib/rl/order_execution/simulator_simple.py

@@ -36,6 +36,8 @@ class SingleAssetOrderExecutionSimple(Simulator[Order, SAOEState, float]):
     ----------
     order
         The seed to start an SAOE simulator is an order.
+    data_granularity
+        Number of ticks between consecutive data entries.
     ticks_per_step
         How many ticks per step.
     data_dir
@@ -71,14 +73,17 @@ def __init__(
         self,
         order: Order,
         data_dir: Path,
+        data_granularity: int = 1,
         ticks_per_step: int = 30,
         deal_price_type: DealPriceType = "close",
         vol_threshold: Optional[float] = None,
     ) -> None:
         super().__init__(initial=order)
 
+        assert ticks_per_step % data_granularity == 0
+
         self.order = order
-        self.ticks_per_step: int = ticks_per_step
+        self.ticks_per_step: int = ticks_per_step // data_granularity
         self.deal_price_type = deal_price_type
         self.vol_threshold = vol_threshold
         self.data_dir = data_dir
@@ -132,6 +137,8 @@ def step(self, amount: float) -> None:
         ticks_position = self.position - np.cumsum(exec_vol)
 
         self.position -= exec_vol.sum()
+        if abs(self.position) < 1e-6:
+            self.position = 0.0
         if self.position < -EPS or (exec_vol < -EPS).any():
             raise ValueError(f"Execution volume is invalid: {exec_vol} (position = {self.position})")
 

qlib/rl/trainer/__init__.py

@@ -4,8 +4,17 @@
 """Train, test, inference utilities."""
 
 from .api import backtest, train
-from .callbacks import Checkpoint, EarlyStopping
+from .callbacks import Checkpoint, EarlyStopping, MetricsWriter
 from .trainer import Trainer
 from .vessel import TrainingVessel, TrainingVesselBase
 
-__all__ = ["Trainer", "TrainingVessel", "TrainingVesselBase", "Checkpoint", "EarlyStopping", "train", "backtest"]
+__all__ = [
+    "Trainer",
+    "TrainingVessel",
+    "TrainingVesselBase",
+    "Checkpoint",
+    "EarlyStopping",
+    "MetricsWriter",
+    "train",
+    "backtest",
+]