test_dataset.py

# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.

import unittest
import sys
from qlib.tests import TestAutoData
from qlib.data.dataset import TSDatasetH
import numpy as np
import time
from qlib.data.dataset.handler import DataHandlerLP


class TestDataset(TestAutoData):
    def testTSDataset(self):
        tsdh = TSDatasetH(
            handler={
                "class": "Alpha158",
                "module_path": "qlib.contrib.data.handler",
                "kwargs": {
                    "start_time": "2008-01-01",
                    "end_time": "2020-08-01",
                    "fit_start_time": "2008-01-01",
                    "fit_end_time": "2014-12-31",
                    "instruments": "csi300",
                    "infer_processors": [
                        {"class": "FilterCol", "kwargs": {"col_list": ["RESI5", "WVMA5", "RSQR5"]}},
                        {"class": "RobustZScoreNorm", "kwargs": {"fields_group": "feature", "clip_outlier": "true"}},
                        {"class": "Fillna", "kwargs": {"fields_group": "feature"}},
                    ],
                    "learn_processors": [
                        "DropnaLabel",
                        {"class": "CSRankNorm", "kwargs": {"fields_group": "label"}},  # CSRankNorm
                    ],
                },
            },
            segments={
                "train": ("2008-01-01", "2014-12-31"),
                "valid": ("2015-01-01", "2016-12-31"),
                "test": ("2017-01-01", "2020-08-01"),
            },
        )
        tsds_train = tsdh.prepare("train", data_key=DataHandlerLP.DK_L)  # Test the correctness
        tsds = tsdh.prepare("valid", data_key=DataHandlerLP.DK_L)

        t = time.time()
        for idx in np.random.randint(0, len(tsds_train), size=2000):
            _ = tsds_train[idx]
        print(f"2000 sample takes {time.time() - t}s")

        t = time.time()
        for _ in range(20):
            data = tsds_train[np.random.randint(0, len(tsds_train), size=2000)]
        print(data.shape)
        print(f"2000 sample(batch index) * 20 times takes {time.time() - t}s")

        # The dimension of sample is same as tabular data, but it will return timeseries data of the sample

        # We have two method to get the time-series of a sample

        # 1) sample by int index directly
        tsds[len(tsds) - 1]

        # 2) sample by <datetime,instrument> index
        data_from_ds = tsds["2016-12-31", "SZ300315"]

        # Check the data
        # Get data from DataFrame Directly
        data_from_df = (
            tsdh._handler.fetch(data_key=DataHandlerLP.DK_L)
            .loc(axis=0)["2015-01-01":"2016-12-31", "SZ300315"]
            .iloc[-30:]
            .values
        )

        equal = np.isclose(data_from_df, data_from_ds)
        self.assertTrue(equal[~np.isnan(data_from_df)].all())


if __name__ == "__main__":
    unittest.main(verbosity=10)

    # User could use following code to run test when using line_profiler
    # td = TestDataset()
    # td.setUpClass()
    # td.testTSDataset()