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Support Highfreq Backtest with the Model/Rule/RL Strategy #438

Merged
merged 223 commits into from
Sep 30, 2021
Merged

Support Highfreq Backtest with the Model/Rule/RL Strategy #438

merged 223 commits into from
Sep 30, 2021

Commits on Mar 19, 2021

  1. add sample & base class

    @bxdd
    bxdd committed Mar 19, 2021
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Commits on Apr 21, 2021

  1. update strategy

    @bxdd
    bxdd committed Apr 21, 2021
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  2. update report & account

    @bxdd
    bxdd committed Apr 21, 2021
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Commits on Apr 22, 2021

  1. update env & strategy, add workflow

    @bxdd
    bxdd committed Apr 22, 2021
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Commits on Apr 23, 2021

  1. update trade calendar & backtest workflow

    @bxdd
    bxdd committed Apr 23, 2021
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Commits on Apr 24, 2021

  1. fix bug

    @bxdd
    bxdd committed Apr 24, 2021
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Commits on Apr 26, 2021

  1. del outdate file

    @bxdd
    bxdd committed Apr 26, 2021
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Commits on Apr 28, 2021

  1. trade_account support multi bar report

    @bxdd
    bxdd committed Apr 28, 2021
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  2. update port_ana_record

    @bxdd
    bxdd committed Apr 28, 2021
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  3. black format

    @bxdd
    bxdd committed Apr 28, 2021
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Commits on Apr 29, 2021

  1. fix bug in recorder

    @bxdd
    bxdd committed Apr 29, 2021
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Commits on Apr 30, 2021

  1. fix bugs

    @bxdd
    bxdd committed Apr 30, 2021
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  2. solve the conflict

    @bxdd
    bxdd committed Apr 30, 2021
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  3. del old strategy

    @bxdd
    bxdd committed Apr 30, 2021
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Commits on May 6, 2021

  1. fix trade time bug

    @bxdd
    bxdd committed May 6, 2021
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  2. black format

    @bxdd
    bxdd committed May 6, 2021
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  3. update the internal bar strategy

    @bxdd
    bxdd committed May 6, 2021
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Commits on May 11, 2021

  1. fix some comments and add docstring

    @bxdd
    bxdd committed May 11, 2021
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Commits on May 12, 2021

  1. fix comments

    @bxdd
    bxdd committed May 12, 2021
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  2. fix rule_strategy reset method

    @bxdd
    bxdd committed May 12, 2021
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Commits on May 13, 2021

  1. fix rule_strategy bug

    @bxdd
    bxdd committed May 13, 2021
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  2. update rule_startegy & add README, notebook for multi-level trading

    @bxdd
    bxdd committed May 13, 2021
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Commits on May 14, 2021

  1. optimize rule_strategy performance

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Commits on May 19, 2021

  1. Update record_temp.py

    @you-n-g
    you-n-g authored May 19, 2021
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  2. Update sample.py

    @you-n-g
    you-n-g authored May 19, 2021
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Commits on May 24, 2021

  1. fix comments

    @bxdd
    bxdd committed May 24, 2021
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  2. Merge branch 'qlib_highfreq_backtest' of github.com:bxdd/qlib into bx… 

    …dd-qlib_highfreq_backtest
    @bxdd
    bxdd committed May 24, 2021
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  3. solve the conflict

    @bxdd
    bxdd committed May 24, 2021
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Commits on May 27, 2021

  1. rename var in backtest

    @bxdd
    bxdd committed May 27, 2021
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  2. move backtest to core, fix calendar bugs, add some docstring

    @bxdd
    bxdd committed May 27, 2021
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  3. Merge github.com:microsoft/qlib into bxdd-qlib_highfreq_backtest

    @bxdd
    bxdd committed May 27, 2021
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Commits on May 28, 2021

  1. Support loading for backtest

    @ultmaster
    ultmaster committed May 28, 2021
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  2. fix bugs & add highfreq backtest example

    @bxdd
    bxdd committed May 28, 2021
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  3. del DEBUG log

    @bxdd
    bxdd committed May 28, 2021
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  4. fix bugs

    @bxdd
    bxdd committed May 28, 2021
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Commits on May 31, 2021

  1. add infra interface & fix no KeyboardInterpret bug

    @bxdd
    bxdd committed May 31, 2021
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Commits on Jun 1, 2021

  1. Update simple playground

    @ultmaster
    ultmaster committed Jun 1, 2021
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  2. Merge branch 'nested_decision_exe' into rl-dummy

    @ultmaster
    ultmaster committed Jun 1, 2021
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  3. update Order with dataclass

    @bxdd
    bxdd committed Jun 1, 2021
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  4. black format

    @bxdd
    bxdd committed Jun 1, 2021
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  5. update workflow_by_code & update executor

    @bxdd
    bxdd committed Jun 1, 2021
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  6. solve conflict

    @bxdd
    bxdd committed Jun 1, 2021
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  7. Update init in backtest

    @ultmaster
    ultmaster committed Jun 1, 2021
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  8. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    @ultmaster
    ultmaster committed Jun 1, 2021
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  9. Playground checkpoint

    @ultmaster
    ultmaster committed Jun 1, 2021
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  10. fix CI

    @bxdd
    bxdd committed Jun 1, 2021
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Commits on Jun 2, 2021

  1. Update an initial version of RL

    @ultmaster
    ultmaster committed Jun 2, 2021
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  2. Finish RL dummy example

    @ultmaster
    ultmaster committed Jun 2, 2021
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  3. Add a few comments

    @ultmaster
    ultmaster committed Jun 2, 2021
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  4. Rename files

    @ultmaster
    ultmaster committed Jun 2, 2021
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  5. Refactor for strategy

    @ultmaster
    ultmaster committed Jun 2, 2021
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  6. Add RL strategy demo

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    ultmaster committed Jun 2, 2021
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Commits on Jun 3, 2021

  1. update Exchange

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    bxdd committed Jun 3, 2021
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Commits on Jun 4, 2021

  1. Update end-to-end example and requirements

    @ultmaster
    ultmaster committed Jun 4, 2021
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  2. Update impl for robustness

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    ultmaster committed Jun 4, 2021
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  3. update Exchange.deal_order

    @bxdd
    bxdd committed Jun 4, 2021
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  4. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    @ultmaster
    ultmaster committed Jun 4, 2021
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Commits on Jun 7, 2021

  1. Refine example

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    ultmaster committed Jun 7, 2021
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Commits on Jun 14, 2021

  1. fix comments & add VAStrategy & add trade indicator

    @bxdd
    bxdd committed Jun 14, 2021
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  2. update backtest time range

    @bxdd
    bxdd committed Jun 14, 2021
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Commits on Jun 21, 2021

  1. fix account bug & update indicator_analysis & fix some comments

    @bxdd
    bxdd committed Jun 21, 2021
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Commits on Jun 22, 2021

  1. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jun 22, 2021
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  2. Add shortcut in init

    v-mingzhehan committed Jun 22, 2021
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  3. fix bug in Exchange

    @bxdd
    bxdd committed Jun 22, 2021
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  4. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jun 22, 2021
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  5. Resolve init conflict

    v-mingzhehan committed Jun 22, 2021
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Commits on Jun 24, 2021

  1. add default executor config & update bug in indicator

    @bxdd
    bxdd committed Jun 24, 2021
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  2. support trade decision update

    @bxdd
    bxdd committed Jun 24, 2021
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Commits on Jun 27, 2021

  1. fix bug in resam feature

    @bxdd
    bxdd committed Jun 27, 2021
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Commits on Jun 28, 2021

  1. API enhancement

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    you-n-g committed Jun 28, 2021
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  2. add InfPosition

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    you-n-g committed Jun 28, 2021
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  3. successful run random order gen in day script

    @you-n-g
    you-n-g committed Jun 28, 2021
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  4. performance optimization for cal_sam_minute

    @you-n-g
    you-n-g committed Jun 28, 2021
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  5. return the detailed order indicator

    @you-n-g
    you-n-g committed Jun 28, 2021
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  6. fix bugs of random strategy

    @you-n-g
    you-n-g committed Jun 28, 2021
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  7. adapting strategies to latest interfaces.

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    you-n-g committed Jun 28, 2021
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  8. black format & add comments & add randStrategy direction

    @you-n-g
    you-n-g committed Jun 28, 2021
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  9. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    @ultmaster
    ultmaster committed Jun 28, 2021
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  10. Merge branch 'rl-dummy' of github.com:ultmaster/qlib into rl-dummy

    @ultmaster
    ultmaster committed Jun 28, 2021
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  11. add Handler Storage

    @bxdd
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Commits on Jun 30, 2021

  1. Fix account update bar_count bug

    @you-n-g
    you-n-g authored Jun 30, 2021
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  2. update HashingStockStorage

    @bxdd @you-n-g
    bxdd authored and you-n-g committed Jun 30, 2021
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  3. update handler_storage test

    @bxdd @you-n-g
    bxdd authored and you-n-g committed Jun 30, 2021
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  4. delMiniTimer in haandler storage test

    @bxdd @you-n-g
    bxdd authored and you-n-g committed Jun 30, 2021
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  5. add file order strategy

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    you-n-g committed Jun 30, 2021
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  6. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jun 30, 2021
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  7. improve the docstring

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    you-n-g committed Jun 30, 2021
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Commits on Jul 1, 2021

  1. Order patch

    v-mingzhehan committed Jul 1, 2021
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  2. optimize performance of resam data in rule_strategy & exchange

    @bxdd
    bxdd committed Jul 1, 2021
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  3. fix comments & update resam ts_last method

    @bxdd
    bxdd committed Jul 1, 2021
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Commits on Jul 3, 2021

  1. support parallel HF trading

    @you-n-g
    you-n-g committed Jul 3, 2021
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  2. fix comments

    @bxdd
    bxdd committed Jul 3, 2021
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  3. Merge pull request #493 from bxdd/optimize_resam_data 

    optimize performance of resam data in rule_strategy & exchange
    @bxdd
    bxdd authored Jul 3, 2021
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Commits on Jul 4, 2021

  1. fix ffr and order amount

    @you-n-g
    you-n-g committed Jul 4, 2021
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  2. fix ffr and order amount

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    you-n-g committed Jul 4, 2021
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Commits on Jul 5, 2021

  1. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jul 5, 2021
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Commits on Jul 6, 2021

  1. Support order dataframe

    v-mingzhehan committed Jul 6, 2021
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  2. fix annotation recursive error

    @you-n-g
    you-n-g committed Jul 6, 2021
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  3. supporting seperated buy and sell price

    @you-n-g
    you-n-g committed Jul 6, 2021
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  4. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jul 6, 2021
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  5. Constrain TWAP trade step

    v-mingzhehan committed Jul 6, 2021
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  6. fix TWAP strategy

    @you-n-g
    you-n-g committed Jul 6, 2021
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  7. simplify the portfolio-based report

    @you-n-g
    you-n-g committed Jul 6, 2021
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  8. Supporting skip empty decisions

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    you-n-g committed Jul 6, 2021
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  9. simplify the portfolio-based report

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    you-n-g committed Jul 6, 2021
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  10. Supporting skip empty decisions

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    you-n-g committed Jul 6, 2021
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Commits on Jul 7, 2021

  1. fill_placehorder

    @gandalf-in-web3 @you-n-g
    gandalf-in-web3 authored and you-n-g committed Jul 7, 2021
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  2. fix qrun

    @gandalf-in-web3 @you-n-g
    gandalf-in-web3 authored and you-n-g committed Jul 7, 2021
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  3. config_extend

    @you-n-g
    Wenxi Wang (FA Talent) authored and you-n-g committed Jul 7, 2021
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  4. high_fre_yaml

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Jul 7, 2021
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  5. yaml update

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Jul 7, 2021
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  6. code optimization

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Jul 7, 2021
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  7. fill placehorder dict and list

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Jul 7, 2021
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  8. fix all example

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Jul 7, 2021
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  9. add exchange kwargs

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Jul 7, 2021
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  10. use init_instance_by_config

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Jul 7, 2021
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  11. Merge branch 'main' into nested_decision_exe

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    you-n-g authored Jul 7, 2021
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  12. add supporting setting trade unit in exchange

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    you-n-g committed Jul 7, 2021
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  13. black format

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    you-n-g committed Jul 7, 2021
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  14. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jul 7, 2021
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Commits on Jul 8, 2021

  1. fix calculating base_price

    @you-n-g
    you-n-g committed Jul 8, 2021
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Commits on Jul 9, 2021

  1. align range limit

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    you-n-g committed Jul 9, 2021
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  2. fix calculating base_price

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    you-n-g committed Jul 9, 2021
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  3. align range limit

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    you-n-g committed Jul 9, 2021
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  4. update docsting

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    you-n-g committed Jul 9, 2021
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  5. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jul 9, 2021
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  6. move the pa sign from last step to first

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    you-n-g committed Jul 9, 2021
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Commits on Jul 11, 2021

  1. move the pa sign from last step to first

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Commits on Jul 12, 2021

  1. Fix circular import

    v-mingzhehan committed Jul 12, 2021
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Commits on Jul 13, 2021

  1. fix base price and volumn

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 13, 2021
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  2. Add more friendly index range by timing

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    you-n-g committed Jul 13, 2021
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Commits on Jul 14, 2021

  1. initial account by position

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    wangwenxi-handsome authored and you-n-g committed Jul 14, 2021
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  2. fix spell error

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Jul 14, 2021
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  3. add docs

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Jul 14, 2021
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  4. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jul 14, 2021
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  5. exchange support expression buy sell limit

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    you-n-g committed Jul 14, 2021
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Commits on Jul 15, 2021

  1. refactor index_range to trade_range

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  2. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
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  3. unify variable names

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    you-n-g committed Jul 15, 2021
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  4. *tuple

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  5. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into nested_decision_exe
    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 15, 2021
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Commits on Jul 16, 2021

  1. add data calendar API and refine order cal api

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    you-n-g committed Jul 16, 2021
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  2. Merge branch 'nested_decision_exe' of github.com:microsoft/qlib into … 

    …nested_decision_exe
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    you-n-g committed Jul 16, 2021
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  3. add PandasQuote

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 16, 2021
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  4. add doc

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    wangwenxi-handsome committed Jul 16, 2021
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  5. get qlib data in exchange

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 16, 2021
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  6. black and doc

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    wangwenxi-handsome committed Jul 16, 2021
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  7. callable

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    wangwenxi-handsome committed Jul 16, 2021
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Commits on Jul 17, 2021

  1. filter zero base price

    @you-n-g
    you-n-g committed Jul 17, 2021
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  2. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jul 17, 2021
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Commits on Jul 18, 2021

  1. add common_infra warning and fix time bug

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    you-n-g committed Jul 18, 2021
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  2. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jul 18, 2021
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  3. add get_data_cal_avail_range method

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    you-n-g committed Jul 18, 2021
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  4. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jul 18, 2021
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Commits on Jul 19, 2021

  1. fix order factor setting issue 

    Move the factor setting from init phase to dealing phase.
    @you-n-g
    you-n-g committed Jul 19, 2021
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  2. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jul 19, 2021
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Commits on Jul 20, 2021

  1. add print cash in verbose mode and code format

    @you-n-g
    you-n-g committed Jul 20, 2021
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  2. type checking update

    v-mingzhehan committed Jul 20, 2021
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Commits on Jul 21, 2021

  1. pandas_order_indicator

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 21, 2021
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  2. add order_indicator doc

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 21, 2021
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Commits on Jul 22, 2021

  1. high_performance_data_structure

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 22, 2021
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Commits on Jul 23, 2021

  1. Merge branch 'nested_decision_exe' into nested_decision_exe

    @you-n-g
    you-n-g authored Jul 23, 2021
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  2. Merge branch 'main' into nested_decision_exe

    @you-n-g
    you-n-g authored Jul 23, 2021
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  3. fix little bug

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 23, 2021
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  4. Merge branch 'nested_decision_exe' of https://github.com/wangwenxi-ha… 

    …ndsome/qlib into nested_decision_exe
    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 23, 2021
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  5. Merge pull request #520 from wangwenxi-handsome/nested_decision_exe 

    abstract Quote class from Exchange
    @you-n-g
    you-n-g authored Jul 23, 2021
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  6. black

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    wangwenxi-handsome committed Jul 23, 2021
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Commits on Jul 24, 2021

  1. Update Action

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    wangwenxi-handsome committed Jul 24, 2021
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  2. update action

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    wangwenxi-handsome committed Jul 24, 2021
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  3. Update Action

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    wangwenxi-handsome committed Jul 24, 2021
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Commits on Jul 25, 2021

  1. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into nested_decision_exe
    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 25, 2021
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  2. update position

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    wangwenxi-handsome committed Jul 25, 2021
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Commits on Jul 26, 2021

  1. support empty benchmark 

    Empty benchmark could accelerate the learning process
    @you-n-g
    you-n-g committed Jul 26, 2021
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  2. fix _get_base_vol_pri clip_time_range

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 26, 2021
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  3. fix black

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 26, 2021
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  4. add cash settlement mechanism

    @you-n-g
    you-n-g committed Jul 26, 2021
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Commits on Jul 27, 2021

  1. fix indicator

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 27, 2021
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  2. doc and black for indicator

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 27, 2021
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  3. fix data format bug & twap peeking strategy

    @you-n-g
    you-n-g committed Jul 27, 2021
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  4. Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib… 

    … into rl-dummy
    v-mingzhehan committed Jul 27, 2021
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  5. Restore examples

    v-mingzhehan committed Jul 27, 2021
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  6. Merge pull request #456 from ultmaster/rl-dummy 

    Dummy RL example on nested decision framework
    @you-n-g
    you-n-g authored Jul 27, 2021
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Commits on Jul 28, 2021

  1. new twap (more even)

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    you-n-g committed Jul 28, 2021
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Commits on Jul 29, 2021

  1. add suspend check in twap

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    you-n-g committed Jul 29, 2021
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Commits on Jul 31, 2021

  1. volume limit

    @wangwenxi-handsome
    wangwenxi-handsome committed Jul 31, 2021
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Commits on Aug 1, 2021

  1. volume limit update

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    wangwenxi-handsome committed Aug 1, 2021
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Commits on Aug 2, 2021

  1. fix vol limit bug

    @wangwenxi-handsome
    wangwenxi-handsome committed Aug 2, 2021
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  2. add __init__

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    wangwenxi-handsome committed Aug 2, 2021
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Commits on Aug 4, 2021

  1. Print volume limitation log

    @you-n-g
    you-n-g committed Aug 4, 2021
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Commits on Aug 6, 2021

  1. update position and negative cash

    @wangwenxi-handsome
    wangwenxi-handsome committed Aug 6, 2021
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Commits on Aug 8, 2021

  1. add position test

    @wangwenxi-handsome
    wangwenxi-handsome committed Aug 8, 2021
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Commits on Aug 9, 2021

  1. Fix bug when Account.benchmark_config is None

    @you-n-g
    you-n-g authored Aug 9, 2021
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Commits on Aug 12, 2021

  1. Cash Update (#559) 

    * fix negative cash

* update order test

* fix bug

* update file_order_test
    @wangwenxi-handsome
    wangwenxi-handsome authored Aug 12, 2021
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Commits on Aug 15, 2021

  1. Add a example to collecting all the decisions

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    you-n-g committed Aug 15, 2021
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Commits on Aug 31, 2021

  1. fix Path re

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    wangwenxi-handsome committed Aug 31, 2021
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Commits on Sep 2, 2021

  1. update exchange

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  2. fix exchange bug

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  3. numpy_order_indicator

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  4. fix nanmean

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  5. get_base_info

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  6. fix index data bug

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  7. update freq

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  8. align interface

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  9. add import order

    @you-n-g
    you-n-g committed Sep 2, 2021
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  10. type error bug

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    you-n-g committed Sep 2, 2021
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  11. index_data

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  12. new high freq struc

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  13. add lru

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  14. fix bug

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  15. draft design

    @you-n-g
    you-n-g committed Sep 2, 2021
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  16. Pass basic tests

    @you-n-g
    you-n-g committed Sep 2, 2021
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  17. fix bugs

    @you-n-g
    you-n-g committed Sep 2, 2021
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  18. fix metric calculation error

    @you-n-g
    you-n-g committed Sep 2, 2021
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  19. redundant references

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  20. broadcast_to and get single data

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  21. close and reindex

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  22. 250s

    @wangwenxi-handsome @you-n-g
    wangwenxi-handsome authored and you-n-g committed Sep 2, 2021
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  23. fix sum index data bug

    @you-n-g
    you-n-g committed Sep 2, 2021
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Commits on Sep 13, 2021

  1. Update the docs of Report

    @you-n-g
    you-n-g authored Sep 13, 2021
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  2. replace multi processing with joblib (#477) 

    * replace multi processing with joblib

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* update class Parallel and data.py

* Fix Parallel support for maxtasksperchild

Co-authored-by: wangw <1666490690@qq.com>
Co-authored-by: zhupr <zhu.pengrong@foxmail.com>
    @you-n-g @zhupr
    3 people authored Sep 13, 2021
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Commits on Sep 30, 2021

  1. Merge nested main (#597) 

    * MVP for Indian Stocks in qlib using yahooquery

* cleaned with black

* cleaned with black

* add YahooNormalizeIN and YahooNormalizeIN1d

* cleaned the code

* added 1min for IN and also updated readme

* update comments

* fix comments

* recorder support upload both raw file and directory

* fix comments

* Update README.md

* Fix docs of QlibRecorder

* sort index after loader (#538)

make sure the fetch method is based on a index-sorted pd.DataFrame

* refactor online serving rolling api

* refactor TRA

* format by black

* fix horizon

* fix TRA when use single head

* clean up

* improve pretrain

* update README

* fix tra when logdir is None

* fix tra when logdir is None

* Update strategy.py

* Update README.md

* Update README.md

* Conda Suggestion

* code standard docs

* Update ensemble.py (#560)

* Fix CI  Bug (#575)


Co-authored-by: yuxwang <anduinnn@foxmail.com>

* Update gen.py (#576)

* Fix multi-process loop calls (#574)

* check lexsort in the 'lazy_sort_index' function (#566)

* check lexsort

* check lexsort

* lexsort comment

* lexsort comment

* Delete .DS_Store

* Update README.md

* bug fix & use oracle transport pretrain

* mend

* Add `backend_freq_config` parameter, support multi-freq uri

* Add sample_config to QlibDataLoader, support multi-freq

* add multi-freq example

* get_cls_kwargs renamed get_callable_kwargs

* support multi-freq uri

* Add inst_processors to D.features

* Fix typo

* Fix the index type of the multi-freq example

* Fix duplicate mlflow directories in tests

* Add DataPathManager to QlibConfig && modify inst_processors to supports list only

* Modify the default value in the multi_freq example

* Modify client-server mode and dataset-cache to disable inst_processor

* Add wheel package to github CI

* fix comment

* Update FAQ.rst

* Update README.md

Fix wrong link

* Update the docs of TaskManager (#586)

* Update manage.py

* update yaml

* update run_all_model

* Modify the Feature to be case sensitive (#589)

* update README

* remove verbose

* fix spell bug

* fix typos (#592)

* Update Release Note

* fix portfolio bug

* Add calendar support for resample

* add freq kwargs

* test.yml: Remove redundant code (#595)

* Supporting shared processor (#596)

* Supporting shared processor

* fix readonly reverse bug

* remove pytests dependency

* with fit bug

* fix parameter error

* fix comments

* Fix undefined names in Python code (#599)

* Update pytorch_tabnet.py

$ `flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics`
```
./qlib/qlib/contrib/model/pytorch_tabnet.py:567:38: F821 undefined name 'inp'
            self.independ.append(GLU(inp, out_dim, vbs=vbs))
                                     ^
./qlib/examples/model_rolling/task_manager_rolling.py:75:18: F821 undefined name 'task_train'
        run_task(task_train, self.task_pool, experiment_name=self.experiment_name)
                 ^
2     F821 undefined name 'task_train'
2
```

* Fix undefined names in Python code

* from qlib.model.trainer import task_train

* update seed

* fix some docstring

* add comments

* Fix SimpleDatasetCache

* Update setup.py

updated classifiers

* Update setup.py

change to matplotlib==3.3

* Update python-publish.yml

added python 3.9

* updategrade version number

* Update model list

* fix the type of filter_pipe

* fix comment

* fix record_temp

* update cvxpy version

* Update code_standard.rst (#587)

* Update code_standard.rst

* Update docs/developer/code_standard.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* Add file lock for MLflowExpManager (#619)

* fix torch version

* Share version number (#620)

* Update initialization.rst (#622)

* Update initialization.rst

* Update docs/start/initialization.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* Update docs/start/initialization.rst

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* fix bugs for running previous exmaple

* fix deal amount bug

* update change doc (#623)

* Add files via upload

* Update README.md

* Update README.md

* Update README.md

* Delete change doc.gif

* Add files via upload

* Update README.md

* Delete change doc.gif

* Add files via upload

* Delete change doc.gif

* Add files via upload

* Update README.md

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

* update doc

* simplify run all model

* fix run all model bug

* Fix Models (#483)

* fix gat dataset

* fix tft model

* Update tft.py

* Fix tft.py

Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com>

* type and skip empty exp

* fix model yaml config

* fix tft import bug

* skip empty result

* fix model and yaml bug

* fix wrong generate parameter

* Modify multi-freq example (#626)

* modify the example of multi-freq

* add Copyright

* add a comment to average_ops.py

* modify the example of multi-freq

* add comment to multi_freq_handler.py

* add the Ref expression description to multi_freq_handler.py

* add expression description to multi_freq_handler.py

* update images

* fix workflow and update framework

Co-authored-by: Gaurav <2796gaurav@gmail.com>
Co-authored-by: 2796gaurav <17353992+2796gaurav@users.noreply.github.com>
Co-authored-by: bxdd <bxd98@126.com>
Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
Co-authored-by: Dong Zhou <Zhou.Dong@microsoft.com>
Co-authored-by: ZhangTP1996 <ztp18@mails.tsinghua.edu.cn>
Co-authored-by: demon143 <59681577+demon143@users.noreply.github.com>
Co-authored-by: Wangwuyi123 <51237097+Wangwuyi123@users.noreply.github.com>
Co-authored-by: yuxwang <anduinnn@foxmail.com>
Co-authored-by: Pengrong Zhu <zhu.pengrong@foxmail.com>
Co-authored-by: Mark Zhao <50850474+markzhao98@users.noreply.github.com>
Co-authored-by: cslwqxx <cslwqxx@users.noreply.github.com>
Co-authored-by: Dong Zhou <evanzd@users.noreply.github.com>
Co-authored-by: SaintMalik <37118134+saintmalik@users.noreply.github.com>
Co-authored-by: Christian Clauss <cclauss@me.com>
Co-authored-by: Anurag Kumar <mailanu98@gmail.com>
Co-authored-by: demon143 <785696300@qq.com>
    @wangwenxi-handsome @2796gaurav
    @bxdd @you-n-g @ZhangTP1996 @demon143 @Wangwuyi123 @Anduinnnnnn @zhupr @markzhao98 @cslwqxx @evanzd @saintmalik @cclauss @anukaal
    19 people authored Sep 30, 2021
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  2. Merge remote-tracking branch 'origin/main' into nested_decision_exe

    @you-n-g
    you-n-g committed Sep 30, 2021
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  3. fix backtest yaml

    @you-n-g
    you-n-g committed Sep 30, 2021
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