Kronos/qlib/scripts/check_dump_bin.py

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

from pathlib import Path
from concurrent.futures import ProcessPoolExecutor

import qlib
from qlib.data import D

import fire
import datacompy
import pandas as pd
from tqdm import tqdm
from loguru import logger


class CheckBin:
    NOT_IN_FEATURES = "not in features"
    COMPARE_FALSE = "compare False"
    COMPARE_TRUE = "compare True"
    COMPARE_ERROR = "compare error"

    def __init__(
        self,
        qlib_dir: str,
        csv_path: str,
        check_fields: str = None,
        freq: str = "day",
        symbol_field_name: str = "symbol",
        date_field_name: str = "date",
        file_suffix: str = ".csv",
        max_workers: int = 16,
    ):
        """

        Parameters
        ----------
        qlib_dir : str
            qlib dir
        csv_path : str
            origin csv path
        check_fields : str, optional
            check fields, by default None, check qlib_dir/features/<first_dir>/*.<freq>.bin
        freq : str, optional
            freq, value from ["day", "1m"]
        symbol_field_name: str, optional
            symbol field name, by default "symbol"
        date_field_name: str, optional
            date field name, by default "date"
        file_suffix: str, optional
            csv file suffix, by default ".csv"
        max_workers: int, optional
            max workers, by default 16
        """
        self.qlib_dir = Path(qlib_dir).expanduser()
        bin_path_list = list(self.qlib_dir.joinpath("features").iterdir())
        self.qlib_symbols = sorted(map(lambda x: x.name.lower(), bin_path_list))
        qlib.init(
            provider_uri=str(self.qlib_dir.resolve()),
            mount_path=str(self.qlib_dir.resolve()),
            auto_mount=False,
            redis_port=-1,
        )
        csv_path = Path(csv_path).expanduser()
        self.csv_files = sorted(csv_path.glob(f"*{file_suffix}") if csv_path.is_dir() else [csv_path])

        if check_fields is None:
            check_fields = list(map(lambda x: x.name.split(".")[0], bin_path_list[0].glob(f"*.bin")))
        else:
            check_fields = check_fields.split(",") if isinstance(check_fields, str) else check_fields
        self.check_fields = list(map(lambda x: x.strip(), check_fields))
        self.qlib_fields = list(map(lambda x: f"${x}", self.check_fields))
        self.max_workers = max_workers
        self.symbol_field_name = symbol_field_name
        self.date_field_name = date_field_name
        self.freq = freq
        self.file_suffix = file_suffix

    def _compare(self, file_path: Path):
        symbol = file_path.name.strip(self.file_suffix)
        if symbol.lower() not in self.qlib_symbols:
            return self.NOT_IN_FEATURES
        # qlib data
        qlib_df = D.features([symbol], self.qlib_fields, freq=self.freq)
        qlib_df.rename(columns={_c: _c.strip("$") for _c in qlib_df.columns}, inplace=True)
        # csv data
        origin_df = pd.read_csv(file_path)
        origin_df[self.date_field_name] = pd.to_datetime(origin_df[self.date_field_name])
        if self.symbol_field_name not in origin_df.columns:
            origin_df[self.symbol_field_name] = symbol
        origin_df.set_index([self.symbol_field_name, self.date_field_name], inplace=True)
        origin_df.index.names = qlib_df.index.names
        origin_df = origin_df.reindex(qlib_df.index)
        try:
            compare = datacompy.Compare(
                origin_df,
                qlib_df,
                on_index=True,
                abs_tol=1e-08,  # Optional, defaults to 0
                rel_tol=1e-05,  # Optional, defaults to 0
                df1_name="Original",  # Optional, defaults to 'df1'
                df2_name="New",  # Optional, defaults to 'df2'
            )
            _r = compare.matches(ignore_extra_columns=True)
            return self.COMPARE_TRUE if _r else self.COMPARE_FALSE
        except Exception as e:
            logger.warning(f"{symbol} compare error: {e}")
            return self.COMPARE_ERROR

    def check(self):
        """Check whether the bin file after ``dump_bin.py`` is executed is consistent with the original csv file data"""
        logger.info("start check......")

        error_list = []
        not_in_features = []
        compare_false = []
        with tqdm(total=len(self.csv_files)) as p_bar:
            with ProcessPoolExecutor(max_workers=self.max_workers) as executor:
                for file_path, _check_res in zip(self.csv_files, executor.map(self._compare, self.csv_files)):
                    symbol = file_path.name.strip(self.file_suffix)
                    if _check_res == self.NOT_IN_FEATURES:
                        not_in_features.append(symbol)
                    elif _check_res == self.COMPARE_ERROR:
                        error_list.append(symbol)
                    elif _check_res == self.COMPARE_FALSE:
                        compare_false.append(symbol)
                    p_bar.update()

        logger.info("end of check......")
        if error_list:
            logger.warning(f"compare error: {error_list}")
        if not_in_features:
            logger.warning(f"not in features: {not_in_features}")
        if compare_false:
            logger.warning(f"compare False: {compare_false}")
        logger.info(
            f"total {len(self.csv_files)}, {len(error_list)} errors, {len(not_in_features)} not in features, {len(compare_false)} compare false"
        )


if __name__ == "__main__":
    fire.Fire(CheckBin)