├── .deepsource.toml ├── .github ├── ISSUE_TEMPLATE │ ├── bug-report.md │ ├── documentation.md │ ├── feature-request.md │ └── question.md ├── PULL_REQUEST_TEMPLATE.md ├── brew_install.sh ├── labeler.yml ├── release-drafter.yml └── workflows │ ├── labeler.yml │ ├── python-publish.yml │ ├── release-drafter.yml │ ├── stale.yml │ ├── test_qlib_from_pip.yml │ ├── test_qlib_from_source.yml │ └── test_qlib_from_source_slow.yml ├── .gitignore ├── .mypy.ini ├── .pre-commit-config.yaml ├── .pylintrc ├── .readthedocs.yml ├── CHANGES.rst ├── CODE_OF_CONDUCT.md ├── LICENSE ├── MANIFEST.in ├── README.md ├── SECURITY.md ├── docs ├── FAQ │ └── FAQ.rst ├── Makefile ├── _static │ ├── demo.sh │ └── img │ │ ├── QlibRL_framework.png │ │ ├── RL_framework.png │ │ ├── Task-Gen-Recorder-Collector.svg │ │ ├── analysis │ │ ├── analysis_model_IC.png │ │ ├── analysis_model_NDQ.png │ │ ├── analysis_model_auto_correlation.png │ │ ├── analysis_model_cumulative_return.png │ │ ├── analysis_model_long_short.png │ │ ├── analysis_model_monthly_IC.png │ │ ├── cumulative_return_buy.png │ │ ├── cumulative_return_buy_minus_sell.png │ │ ├── cumulative_return_hold.png │ │ ├── cumulative_return_sell.png │ │ ├── rank_label_buy.png │ │ ├── rank_label_hold.png │ │ ├── rank_label_sell.png │ │ ├── report.png │ │ ├── risk_analysis_annualized_return.png │ │ ├── risk_analysis_bar.png │ │ ├── risk_analysis_information_ratio.png │ │ ├── risk_analysis_max_drawdown.png │ │ ├── risk_analysis_std.png │ │ └── score_ic.png │ │ ├── change doc.gif │ │ ├── framework-abstract.jpg │ │ ├── framework.png │ │ ├── framework.svg │ │ ├── logo │ │ ├── 1.png │ │ ├── 2.png │ │ ├── 3.png │ │ ├── white_bg_rec+word.png │ │ ├── yel_bg_rec+word.png │ │ ├── yellow_bg_rec+word .png │ │ └── yellow_bg_rec.png │ │ ├── online_serving.png │ │ ├── qrcode │ │ └── gitter_qr.png │ │ └── topk_drop.png ├── advanced │ ├── PIT.rst │ ├── alpha.rst │ ├── serial.rst │ ├── server.rst │ └── task_management.rst ├── changelog │ └── changelog.rst ├── component │ ├── data.rst │ ├── highfreq.rst │ ├── meta.rst │ ├── model.rst │ ├── online.rst │ ├── recorder.rst │ ├── report.rst │ ├── rl │ │ ├── framework.rst │ │ ├── guidance.rst │ │ ├── overall.rst │ │ ├── quickstart.rst │ │ └── toctree.rst │ ├── strategy.rst │ └── workflow.rst ├── conf.py ├── developer │ └── code_standard_and_dev_guide.rst ├── hidden │ ├── client.rst │ ├── online.rst │ └── tuner.rst ├── index.rst ├── introduction │ ├── introduction.rst │ └── quick.rst ├── make.bat ├── reference │ └── api.rst ├── requirements.txt └── start │ ├── getdata.rst │ ├── initialization.rst │ ├── installation.rst │ └── integration.rst ├── examples ├── README.md ├── benchmarks │ ├── ADARNN │ │ ├── README.md │ │ ├── requirements.txt │ │ └── workflow_config_adarnn_Alpha360.yaml │ ├── ADD │ │ ├── README.md │ │ ├── requirements.txt │ │ └── workflow_config_add_Alpha360.yaml │ ├── ALSTM │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow_config_alstm_Alpha158.yaml │ │ └── workflow_config_alstm_Alpha360.yaml │ ├── CatBoost │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow_config_catboost_Alpha158.yaml │ │ ├── workflow_config_catboost_Alpha158_csi500.yaml │ │ ├── workflow_config_catboost_Alpha360.yaml │ │ └── workflow_config_catboost_Alpha360_csi500.yaml │ ├── DoubleEnsemble │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow_config_doubleensemble_Alpha158.yaml │ │ ├── workflow_config_doubleensemble_Alpha158_csi500.yaml │ │ ├── workflow_config_doubleensemble_Alpha360.yaml │ │ ├── workflow_config_doubleensemble_Alpha360_csi500.yaml │ │ └── workflow_config_doubleensemble_early_stop_Alpha158.yaml │ ├── GATs │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow_config_gats_Alpha158.yaml │ │ └── workflow_config_gats_Alpha360.yaml │ ├── GRU │ │ ├── README.md │ │ ├── csi300_gru_ts.pkl │ │ ├── model_gru_csi300.pkl │ │ ├── requirements.txt │ │ ├── workflow_config_gru_Alpha158.yaml │ │ └── workflow_config_gru_Alpha360.yaml │ ├── Graphs_dgl │ │ ├── eval_explanation.sh │ │ └── run_ts_dgl.py │ ├── HIST │ │ ├── README.md │ │ ├── qlib_csi300_stock_index.npy │ │ ├── requirements.txt │ │ └── workflow_config_hist_Alpha360.yaml │ ├── IGMTF │ │ ├── README.md │ │ ├── requirements.txt │ │ └── workflow_config_igmtf_Alpha360.yaml │ ├── KEMLP │ │ └── workflow_config_kemlp_Alpha158.yaml │ ├── KEnhance │ │ └── workflow_config_kenhance_Alpha360.yaml │ ├── KRNN │ │ ├── README.md │ │ ├── requirements.txt │ │ └── workflow_config_krnn_Alpha360.yaml │ ├── LSTM │ │ ├── README.md │ │ ├── csi300_lstm_ts.pkl │ │ ├── model_lstm_csi300.pkl │ │ ├── requirements.txt │ │ ├── workflow_config_lstm_Alpha158.yaml │ │ └── workflow_config_lstm_Alpha360.yaml │ ├── LightGBM │ │ ├── README.md │ │ ├── features_resample_N.py │ │ ├── features_sample.py │ │ ├── multi_freq_handler.py │ │ ├── requirements.txt │ │ ├── workflow_config_lightgbm_Alpha158.yaml │ │ ├── workflow_config_lightgbm_Alpha158_csi500.yaml │ │ ├── workflow_config_lightgbm_Alpha158_multi_freq.yaml │ │ ├── workflow_config_lightgbm_Alpha360.yaml │ │ ├── workflow_config_lightgbm_Alpha360_csi500.yaml │ │ ├── workflow_config_lightgbm_configurable_dataset.yaml │ │ └── workflow_config_lightgbm_multi_freq.yaml │ ├── Linear │ │ ├── requirements.txt │ │ ├── workflow_config_linear_Alpha158.yaml │ │ ├── workflow_config_linear_Alpha158_csi500.yaml │ │ └── workflow_config_linear_Alpha158_multi_pass_bt.yaml │ ├── Localformer │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow_config_localformer_Alpha158.yaml │ │ └── workflow_config_localformer_Alpha360.yaml │ ├── MASTER │ │ ├── README.md │ │ ├── config.sh │ │ ├── main.py │ │ ├── requirements.txt │ │ ├── run.sh │ │ └── workflow_config_master_Alpha158.yaml │ ├── MLP │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow_config_mlp_Alpha158.yaml │ │ ├── workflow_config_mlp_Alpha158_csi500.yaml │ │ ├── workflow_config_mlp_Alpha360.yaml │ │ └── workflow_config_mlp_Alpha360_csi500.yaml │ ├── README.md │ ├── RSR │ │ └── workflow_config_rsr_Alpha360.yaml │ ├── SFM │ │ ├── README.md │ │ ├── requirements.txt │ │ └── workflow_config_sfm_Alpha360.yaml │ ├── Sandwich │ │ ├── README.md │ │ ├── requirements.txt │ │ └── workflow_config_sandwich_Alpha360.yaml │ ├── TCN │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow_config_tcn_Alpha158.yaml │ │ └── workflow_config_tcn_Alpha360.yaml │ ├── TCTS │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow.png │ │ └── workflow_config_tcts_Alpha360.yaml │ ├── TFT │ │ ├── README.md │ │ ├── data_formatters │ │ │ ├── __init__.py │ │ │ ├── base.py │ │ │ └── qlib_Alpha158.py │ │ ├── expt_settings │ │ │ ├── __init__.py │ │ │ └── configs.py │ │ ├── libs │ │ │ ├── __init__.py │ │ │ ├── hyperparam_opt.py │ │ │ ├── tft_model.py │ │ │ └── utils.py │ │ ├── requirements.txt │ │ ├── tft.py │ │ └── workflow_config_tft_Alpha158.yaml │ ├── TRA │ │ ├── README.md │ │ ├── Reports.ipynb │ │ ├── configs │ │ │ ├── config_alstm.yaml │ │ │ ├── config_alstm_tra.yaml │ │ │ ├── config_alstm_tra_init.yaml │ │ │ ├── config_transformer.yaml │ │ │ ├── config_transformer_tra.yaml │ │ │ └── config_transformer_tra_init.yaml │ │ ├── data │ │ │ └── README.md │ │ ├── example.py │ │ ├── requirements.txt │ │ ├── run.sh │ │ ├── src │ │ │ ├── dataset.py │ │ │ └── model.py │ │ ├── workflow_config_tra_Alpha158.yaml │ │ ├── workflow_config_tra_Alpha158_full.yaml │ │ └── workflow_config_tra_Alpha360.yaml │ ├── TabNet │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow_config_TabNet_Alpha158.yaml │ │ └── workflow_config_TabNet_Alpha360.yaml │ ├── Transformer │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow_config_transformer_Alpha158.yaml │ │ └── workflow_config_transformer_Alpha360.yaml │ ├── XGBoost │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── workflow_config_xgboost_Alpha158.yaml │ │ └── workflow_config_xgboost_Alpha360.yaml │ ├── benchmark.py │ └── benchmark_kg.py ├── benchmarks_dynamic │ ├── C-MAML │ │ └── main.py │ ├── DDG-DA │ │ ├── Makefile │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── vis_data.py │ │ └── workflow.py │ ├── DDG-DA_ours │ │ ├── README.md │ │ ├── requirements.txt │ │ ├── rolling_benchmark.py │ │ ├── run.sh │ │ └── workflow.py │ ├── MetaCoG │ │ └── main.py │ ├── README.md │ ├── baseline │ │ ├── README.md │ │ ├── rolling_benchmark.py │ │ ├── workflow_config_lightgbm_Alpha158.yaml │ │ └── workflow_config_linear_Alpha158.yaml │ └── incremental │ │ ├── README.md │ │ ├── main.py │ │ ├── requirements.txt │ │ ├── run.sh │ │ └── slides_DoubleAdapt.pdf ├── data_demo │ ├── README.md │ ├── data_cache_demo.py │ └── data_mem_resuse_demo.py ├── ensemble │ └── ensemble.py ├── graph_demo │ ├── GSL_utils.py │ ├── graph_demo.py │ └── run_ts_dgl_GSL.py ├── highfreq │ ├── README.md │ ├── highfreq_handler.py │ ├── highfreq_ops.py │ ├── highfreq_processor.py │ ├── workflow.py │ └── workflow_config_High_Freq_Tree_Alpha158.yaml ├── hyperparameter │ └── LightGBM │ │ ├── Readme.md │ │ ├── hyperparameter_158.py │ │ ├── hyperparameter_360.py │ │ └── requirements.txt ├── model_interpreter │ └── feature.py ├── model_rolling │ ├── requirements.txt │ └── task_manager_rolling.py ├── nested_decision_execution │ ├── README.md │ └── workflow.py ├── online_srv │ ├── online_management_simulate.py │ ├── rolling_online_management.py │ └── update_online_pred.py ├── orderbook_data │ ├── README.md │ ├── create_dataset.py │ └── example.py ├── portfolio │ ├── README.md │ ├── config_enhanced_indexing.yaml │ └── prepare_riskdata.py ├── rl │ └── simple_example.ipynb ├── rl_order_execution │ ├── README.md │ ├── exp_configs │ │ ├── backtest_opds.yml │ │ ├── backtest_ppo.yml │ │ ├── backtest_twap.yml │ │ ├── train_opds.yml │ │ └── train_ppo.yml │ └── scripts │ │ ├── gen_pickle_data.py │ │ ├── gen_training_orders.py │ │ ├── merge_orders.py │ │ └── pickle_data_config.yml ├── rolling_process_data │ ├── README.md │ ├── rolling_handler.py │ └── workflow.py ├── run_all_model.py ├── tutorial │ └── detailed_workflow.ipynb ├── workflow_by_code.ipynb └── workflow_by_code.py ├── pyproject.toml ├── qlib ├── __init__.py ├── backtest │ ├── __init__.py │ ├── account.py │ ├── backtest.py │ ├── decision.py │ ├── exchange.py │ ├── executor.py │ ├── high_performance_ds.py │ ├── position.py │ ├── profit_attribution.py │ ├── report.py │ ├── signal.py │ └── utils.py ├── config.py ├── constant.py ├── contrib │ ├── README.md │ ├── __init__.py │ ├── data │ │ ├── __init__.py │ │ ├── data.py │ │ ├── dataset.py │ │ ├── handler.py │ │ ├── highfreq_handler.py │ │ ├── highfreq_processor.py │ │ ├── highfreq_provider.py │ │ ├── processor.py │ │ └── utils │ │ │ ├── __init__.py │ │ │ └── sepdf.py │ ├── eva │ │ ├── __init__.py │ │ └── alpha.py │ ├── evaluate.py │ ├── evaluate_portfolio.py │ ├── graph │ │ ├── __init__.py │ │ ├── stock_concept_data.py │ │ └── stock_stock_data.py │ ├── interpreter │ │ ├── attentionx.py │ │ ├── subgraphx.py │ │ └── xpath.py │ ├── meta │ │ ├── __init__.py │ │ ├── data_selection │ │ │ ├── __init__.py │ │ │ ├── dataset.py │ │ │ ├── model.py │ │ │ ├── net.py │ │ │ └── utils.py │ │ └── incremental │ │ │ ├── __init__.py │ │ │ ├── dataset.py │ │ │ ├── higher_optim.py │ │ │ ├── model.py │ │ │ ├── net.py │ │ │ └── utils.py │ ├── model │ │ ├── __init__.py │ │ ├── catboost_model.py │ │ ├── double_ensemble.py │ │ ├── gbdt.py │ │ ├── highfreq_gdbt_model.py │ │ ├── linear.py │ │ ├── pytorch_adarnn.py │ │ ├── pytorch_add.py │ │ ├── pytorch_alstm.py │ │ ├── pytorch_alstm_ts.py │ │ ├── pytorch_gats.py │ │ ├── pytorch_gats_dgl.py │ │ ├── pytorch_gats_ts.py │ │ ├── pytorch_graph_model_dgl.py │ │ ├── pytorch_gru.py │ │ ├── pytorch_gru_ts.py │ │ ├── pytorch_hist.py │ │ ├── pytorch_igmtf.py │ │ ├── pytorch_kemlp.py │ │ ├── pytorch_kenhance.py │ │ ├── pytorch_krnn.py │ │ ├── pytorch_localformer.py │ │ ├── pytorch_localformer_ts.py │ │ ├── pytorch_lstm.py │ │ ├── pytorch_lstm_ts.py │ │ ├── pytorch_master_ts.py │ │ ├── pytorch_nn.py │ │ ├── pytorch_rsr.py │ │ ├── pytorch_rsr_dgl.py │ │ ├── pytorch_sandwich.py │ │ ├── pytorch_sfm.py │ │ ├── pytorch_simplehgn_dgl.py │ │ ├── pytorch_tabnet.py │ │ ├── pytorch_tcn.py │ │ ├── pytorch_tcn_ts.py │ │ ├── pytorch_tcts.py │ │ ├── pytorch_tra.py │ │ ├── pytorch_transformer.py │ │ ├── pytorch_transformer_ts.py │ │ ├── pytorch_ts_GSL.py │ │ ├── pytorch_ts_dgl.py │ │ ├── pytorch_utils.py │ │ ├── tcn.py │ │ └── xgboost.py │ ├── online │ │ ├── __init__.py │ │ ├── manager.py │ │ ├── online_model.py │ │ ├── operator.py │ │ ├── user.py │ │ └── utils.py │ ├── ops │ │ ├── __init__.py │ │ └── high_freq.py │ ├── peft │ │ └── lora.py │ ├── report │ │ ├── __init__.py │ │ ├── analysis_model │ │ │ ├── __init__.py │ │ │ └── analysis_model_performance.py │ │ ├── analysis_position │ │ │ ├── __init__.py │ │ │ ├── cumulative_return.py │ │ │ ├── parse_position.py │ │ │ ├── rank_label.py │ │ │ ├── report.py │ │ │ ├── risk_analysis.py │ │ │ └── score_ic.py │ │ ├── data │ │ │ ├── __init__.py │ │ │ ├── ana.py │ │ │ └── base.py │ │ ├── graph.py │ │ └── utils.py │ ├── rolling │ │ ├── __init__.py │ │ ├── __main__.py │ │ ├── base.py │ │ └── ddgda.py │ ├── strategy │ │ ├── __init__.py │ │ ├── cost_control.py │ │ ├── optimizer │ │ │ ├── __init__.py │ │ │ ├── base.py │ │ │ ├── enhanced_indexing.py │ │ │ └── optimizer.py │ │ ├── order_generator.py │ │ ├── rule_strategy.py │ │ └── signal_strategy.py │ ├── torch.py │ ├── tuner │ │ ├── __init__.py │ │ ├── config.py │ │ ├── launcher.py │ │ ├── pipeline.py │ │ ├── space.py │ │ └── tuner.py │ └── workflow │ │ ├── __init__.py │ │ └── record_temp.py ├── data │ ├── __init__.py │ ├── _libs │ │ ├── __init__.py │ │ ├── expanding.pyx │ │ └── rolling.pyx │ ├── base.py │ ├── cache.py │ ├── client.py │ ├── data.py │ ├── dataset │ │ ├── __init__.py │ │ ├── handler.py │ │ ├── loader.py │ │ ├── processor.py │ │ ├── storage.py │ │ ├── utils.py │ │ └── weight.py │ ├── filter.py │ ├── inst_processor.py │ ├── ops.py │ ├── pit.py │ └── storage │ │ ├── __init__.py │ │ ├── file_storage.py │ │ └── storage.py ├── log.py ├── model │ ├── __init__.py │ ├── base.py │ ├── ens │ │ ├── __init__.py │ │ ├── ensemble.py │ │ └── group.py │ ├── interpret │ │ ├── __init__.py │ │ └── base.py │ ├── meta │ │ ├── __init__.py │ │ ├── dataset.py │ │ ├── model.py │ │ └── task.py │ ├── riskmodel │ │ ├── __init__.py │ │ ├── base.py │ │ ├── poet.py │ │ ├── shrink.py │ │ └── structured.py │ ├── trainer.py │ └── utils.py ├── rl │ ├── __init__.py │ ├── aux_info.py │ ├── contrib │ │ ├── __init__.py │ │ ├── backtest.py │ │ ├── naive_config_parser.py │ │ ├── train_onpolicy.py │ │ └── utils.py │ ├── data │ │ ├── __init__.py │ │ ├── base.py │ │ ├── integration.py │ │ ├── native.py │ │ └── pickle_styled.py │ ├── interpreter.py │ ├── order_execution │ │ ├── __init__.py │ │ ├── interpreter.py │ │ ├── network.py │ │ ├── policy.py │ │ ├── reward.py │ │ ├── simulator_qlib.py │ │ ├── simulator_simple.py │ │ ├── state.py │ │ ├── strategy.py │ │ └── utils.py │ ├── reward.py │ ├── seed.py │ ├── simulator.py │ ├── strategy │ │ ├── __init__.py │ │ └── single_order.py │ ├── trainer │ │ ├── __init__.py │ │ ├── api.py │ │ ├── callbacks.py │ │ ├── trainer.py │ │ └── vessel.py │ └── utils │ │ ├── __init__.py │ │ ├── data_queue.py │ │ ├── env_wrapper.py │ │ ├── finite_env.py │ │ └── log.py ├── run │ ├── __init__.py │ └── get_data.py ├── strategy │ ├── __init__.py │ └── base.py ├── tests │ ├── __init__.py │ ├── config.py │ └── data.py ├── typehint.py ├── utils │ ├── __init__.py │ ├── data.py │ ├── exceptions.py │ ├── file.py │ ├── index_data.py │ ├── mod.py │ ├── objm.py │ ├── paral.py │ ├── resam.py │ ├── serial.py │ └── time.py └── workflow │ ├── __init__.py │ ├── cli.py │ ├── exp.py │ ├── expm.py │ ├── online │ ├── __init__.py │ ├── manager.py │ ├── strategy.py │ ├── update.py │ └── utils.py │ ├── record_temp.py │ ├── recorder.py │ ├── task │ ├── __init__.py │ ├── collect.py │ ├── gen.py │ ├── manage.py │ └── utils.py │ └── utils.py ├── scripts ├── README.md ├── check_dump_bin.py ├── collect_info.py ├── data_collector │ ├── README.md │ ├── baostock_5min │ │ ├── README.md │ │ ├── collector.py │ │ └── requirements.txt │ ├── base.py │ ├── br_index │ │ ├── README.md │ │ ├── collector.py │ │ └── requirements.txt │ ├── cn_index │ │ ├── README.md │ │ ├── collector.py │ │ └── requirements.txt │ ├── contrib │ │ ├── fill_cn_1min_data │ │ │ ├── README.md │ │ │ ├── fill_cn_1min_data.py │ │ │ └── requirements.txt │ │ └── future_trading_date_collector │ │ │ ├── README.md │ │ │ ├── future_trading_date_collector.py │ │ │ └── requirements.txt │ ├── crowd_source │ │ └── README.md │ ├── crypto │ │ ├── README.md │ │ ├── collector.py │ │ └── requirement.txt │ ├── fund │ │ ├── README.md │ │ ├── collector.py │ │ └── requirements.txt │ ├── future_calendar_collector.py │ ├── index.py │ ├── pit │ │ ├── README.md │ │ ├── collector.py │ │ └── requirements.txt │ ├── us_index │ │ ├── README.md │ │ ├── collector.py │ │ └── requirements.txt │ ├── utils.py │ └── yahoo │ │ ├── README.md │ │ ├── collector.py │ │ └── requirements.txt ├── dump_bin.py ├── dump_pit.py └── get_data.py ├── setup.py └── tests ├── backtest ├── test_file_strategy.py └── test_high_freq_trading.py ├── conftest.py ├── data_mid_layer_tests ├── README.md ├── test_dataset.py ├── test_handler.py ├── test_handler_storage.py └── test_processor.py ├── dataset_tests ├── README.md └── test_datalayer.py ├── dependency_tests ├── README.md └── test_mlflow.py ├── misc ├── test_get_multi_proc.py ├── test_index_data.py ├── test_sepdf.py └── test_utils.py ├── ops ├── test_elem_operator.py └── test_special_ops.py ├── pytest.ini ├── rl ├── test_data_queue.py ├── test_finite_env.py ├── test_logger.py ├── test_qlib_simulator.py ├── test_saoe_simple.py └── test_trainer.py ├── rolling_tests └── test_update_pred.py ├── storage_tests └── test_storage.py ├── test_all_pipeline.py ├── test_contrib_model.py ├── test_contrib_workflow.py ├── test_dump_data.py ├── test_get_data.py ├── test_pit.py ├── test_register_ops.py ├── test_structured_cov_estimator.py └── test_workflow.py 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