Recent released features | Feature | Status | | -- | ------ | |Temporal Routing Adaptor (TRA) | Released on July 30, 2021 | | Transformer & Localformer | Released on July 22, 2021 | | Release Qlib v0.7.0 | Released on July 12, 2021 | | TCTS Model | Released on July 1, 2021 | | Online serving and automatic model rolling | ⭐️ Released on May 17, 2021 | | DoubleEnsemble Model | Released on Mar 2, 2021 | | High-frequency data processing example | Released on Feb 5, 2021 | | High-frequency trading example | Part of code released on Jan 28, 2021 | | High-frequency data(1min) | Released on Jan 27, 2021 | | Tabnet Model | Released on Jan 22, 2021 |
Features released before 2021 are not listed here.
Qlib is an AI-oriented quantitative investment platform, which aims to realize the potential, empower the research, and create the value of AI technologies in quantitative investment.
It contains the full ML pipeline of data processing, model training, back-testing; and covers the entire chain of quantitative investment: alpha seeking, risk modeling, portfolio optimization, and order execution.
With Qlib, users can easily try ideas to create better Quant investment strategies.
For more details, please refer to our paper "Qlib: An AI-oriented Quantitative Investment Platform".
New features under development(order by estimated release time). Your feedbacks about the features are very important. | Feature | Status | | -- | ------ | | Planning-based portfolio optimization | Under review: https://github.com/microsoft/qlib/pull/280 | | Fund data supporting and analysis | Under review: https://github.com/microsoft/qlib/pull/292 | | Point-in-Time database | Under review: https://github.com/microsoft/qlib/pull/343 | | High-frequency trading | Under review: https://github.com/microsoft/qlib/pull/408 | | Meta-Learning-based data selection | Initial opensource version under development |
At the module level, Qlib is a platform that consists of the above components. The components are designed as loose-coupled modules, and each component could be used stand-alone.
This quick start guide tries to demonstrate
This table demonstrates the supported Python version of
| | install with pip | install from source | plot |
| ------------- |:---------------------:|:--------------------:|:----:|
| Python 3.6 | ✔️ | ✔️ (only with
Anaconda) | ✔️ |
| Python 3.7 | ✔️ | ✔️ | ✔️ |
| Python 3.8 | ✔️ | ✔️ | ✔️ |
| Python 3.9 | ❌ | ✔️ | ❌ |
Qlibfrom source. If users use Python 3.6 on their machines, it is recommended to upgrade Python to version 3.7 or use
conda's Python to install
Qlibsupports running workflows such as training models, doing backtest and plot most of the related figures (those included in notebook). However, plotting for the model performance is not supported for now and we will fix this when the dependent packages are upgraded in the future.
Users can easily install
Qlib by pip according to the following command.
pip install pyqlib
Note: pip will install the latest stable qlib. However, the main branch of qlib is in active development. If you want to test the latest scripts or functions in the main branch. Please install qlib with the methods below.
Also, users can install the latest dev version
Qlib by the source code according to the following steps:
Qlib from source, users need to install some dependencies:
pip install numpy pip install --upgrade cython
Clone the repository and install
Qlib as follows.
pip install pyqlibbefore:
git clone https://github.com/microsoft/qlib.git && cd qlib python setup.py install
pip install pyqlib:
git clone https://github.com/microsoft/qlib.git && cd qlib pip install .
Note: Only the command
pip install . can overwrite the stable version installed by
pip install pyqlib, while the command
python setup.py install can't.
Tips: If you fail to install
Qlib or run the examples in your environment, comparing your steps and the CI workflow may help you find the problem.
Load and prepare data by running the following code:
# get 1d data python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data --region cn # get 1min data python scripts/get_data.py qlib_data --target_dir ~/.qlib/qlib_data/cn_data_1min --region cn --interval 1min
This dataset is created by public data collected by crawler scripts, which have been released in the same repository. Users could create the same dataset with it.
Please pay ATTENTION that the data is collected from Yahoo Finance, and the data might not be perfect. We recommend users to prepare their own data if they have a high-quality dataset. For more information, users can refer to the related document.
It is recommended that users update the data manually once (--trading_date 2021-05-25) and then set it to update automatically.
For more information refer to: yahoo collector
Automatic update of data to the "qlib" directory each trading day(Linux)
set up timed tasks:
* * * * 1-5 python <script path> update_data_to_bin --qlib_data_1d_dir <user data dir>
Manual update of data
python scripts/data_collector/yahoo/collector.py update_data_to_bin --qlib_data_1d_dir <user data dir> --trading_date <start date> --end_date <end date>
Qlib provides a tool named
qrun to run the whole workflow automatically (including building dataset, training models, backtest and evaluation). You can start an auto quant research workflow and have a graphical reports analysis according to the following steps:
Quant Research Workflow: Run
qrun with lightgbm workflow config (workflow_config_lightgbm_Alpha158.yaml as following.
cd examples # Avoid running program under the directory contains `qlib` qrun benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
If users want to use
qrun under debug mode, please use the following command:
python -m pdb qlib/workflow/cli.py examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
The result of
qrun is as follows, please refer to Intraday Trading for more details about the result.
'The following are analysis results of the excess return without cost.' risk mean 0.000708 std 0.005626 annualized_return 0.178316 information_ratio 1.996555 max_drawdown -0.081806 'The following are analysis results of the excess return with cost.' risk mean 0.000512 std 0.005626 annualized_return 0.128982 information_ratio 1.444287 max_drawdown -0.091078
Here are detailed documents for
qrun and workflow.
Graphical Reports Analysis: Run
jupyter notebook to get graphical reports
Forecasting signal (model prediction) analysis
Explanation of above results
The automatic workflow may not suit the research workflow of all Quant researchers. To support a flexible Quant research workflow, Qlib also provides a modularized interface to allow researchers to build their own workflow by code. Here is a demo for customized Quant research workflow by code.
Here is a list of models built on
Your PR of new Quant models is highly welcomed.
The performance of each model on the
Alpha360 dataset can be found here.
All the models listed above are runnable with
Qlib. Users can find the config files we provide and some details about the model through the benchmarks folder. More information can be retrieved at the model files listed above.
Qlib provides three different ways to run a single model, users can pick the one that fits their cases best:
Users can use the tool
qrun mentioned above to run a model's workflow based from a config file.
Users can create a
workflow_by_code python script based on the one listed in the
Users can use the script
run_all_model.py listed in the
examples folder to run a model. Here is an example of the specific shell command to be used:
python run_all_model.py --models=lightgbm, where the
--models arguments can take any number of models listed above(the available models can be found in benchmarks). For more use cases, please refer to the file's docstrings.
Qlib also provides a script
run_all_model.py which can run multiple models for several iterations. (Note: the script only support Linux for now. Other OS will be supported in the future. Besides, it doesn't support parallel running the same model for multiple times as well, and this will be fixed in the future development too.)
The script will create a unique virtual environment for each model, and delete the environments after training. Thus, only experiment results such as
backtest results will be generated and stored.
Here is an example of running all the models for 10 iterations:
python run_all_model.py 10
It also provides the API to run specific models at once. For more use cases, please refer to the file's docstrings.
Dataset plays a very important role in Quant. Here is a list of the datasets built on
|Dataset||US Market||China Market|
Here is a tutorial to build dataset with
Your PR to build new Quant dataset is highly welcomed.
cd docs/ conda install sphinx sphinx_rtd_theme -y # Otherwise, you can install them with pip # pip install sphinx sphinx_rtd_theme make html
You can also view the latest document online directly.
Qlib is in active and continuing development. Our plan is in the roadmap, which is managed as a github project.
The data server of Qlib can either deployed as
Offline mode or
Online mode. The default mode is offline mode.
Offline mode, the data will be deployed locally.
Online mode, the data will be deployed as a shared data service. The data and their cache will be shared by all the clients. The data retrieval performance is expected to be improved due to a higher rate of cache hits. It will consume less disk space, too. The documents of the online mode can be found in Qlib-Server. The online mode can be deployed automatically with Azure CLI based scripts. The source code of online data server can be found in Qlib-Server repository.
The performance of data processing is important to data-driven methods like AI technologies. As an AI-oriented platform, Qlib provides a solution for data storage and data processing. To demonstrate the performance of Qlib data server, we compare it with several other data storage solutions.
We evaluate the performance of several storage solutions by finishing the same task, which creates a dataset (14 features/factors) from the basic OHLCV daily data of a stock market (800 stocks each day from 2007 to 2020). The task involves data queries and processing.
|HDF5||MySQL||MongoDB||InfluxDB||Qlib -E -D||Qlib +E -D||Qlib +E +D|
|Total (1CPU) (seconds)||184.43.7||365.37.5||253.66.7||368.23.6||147.08.8||47.61.0||7.40.3|
|Total (64CPU) (seconds)||8.80.6||4.20.2|
+(-)Eindicates with (out)
+(-)Dindicates with (out)
Most general-purpose databases take too much time to load data. After looking into the underlying implementation, we find that data go through too many layers of interfaces and unnecessary format transformations in general-purpose database solutions. Such overheads greatly slow down the data loading process. Qlib data are stored in a compact format, which is efficient to be combined into arrays for scientific computation.
Qlib, please create pull requests.
Join IM discussion groups: |Gitter| |----| ||
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