Update to accomendate last updates of qlib

exps/trading/baselines.py

@@ -22,13 +22,13 @@ if str(lib_dir) not in sys.path:
     sys.path.insert(0, str(lib_dir))
 
 from procedures.q_exps import update_gpu
+from procedures.q_exps import update_market
 from procedures.q_exps import run_exp
 
 import qlib
 from qlib.utils import init_instance_by_config
 from qlib.workflow import R
 from qlib.utils import flatten_dict
-from qlib.log import set_log_basic_config
 
 
 def retrieve_configs():
@@ -49,6 +49,7 @@ def retrieve_configs():
     alg2names["SFM"] = "workflow_config_sfm_Alpha360.yaml"
     # DoubleEnsemble: A New Ensemble Method Based on Sample Reweighting and Feature Selection for Financial Data Analysis, https://arxiv.org/pdf/2010.01265.pdf
     alg2names["DoubleE"] = "workflow_config_doubleensemble_Alpha360.yaml"
+    alg2names["TabNet"] = "workflow_config_TabNet_Alpha360.yaml"
 
     # find the yaml paths
     alg2paths = OrderedDict()
@@ -66,6 +67,7 @@ def main(xargs, exp_yaml):
 
     with open(exp_yaml) as fp:
         config = yaml.safe_load(fp)
+    config = update_market(config, xargs.market)
     config = update_gpu(config, xargs.gpu)
 
     qlib.init(**config.get("qlib_init"))
@@ -77,7 +79,7 @@ def main(xargs, exp_yaml):
 
     for irun in range(xargs.times):
         run_exp(
-            config.get("task"), dataset, xargs.alg, "recorder-{:02d}-{:02d}".format(irun, xargs.times), xargs.save_dir
+            config.get("task"), dataset, xargs.alg, "recorder-{:02d}-{:02d}".format(irun, xargs.times), '{:}-{:}'.format(xargs.save_dir, xargs.market)
         )
 
 
@@ -87,6 +89,7 @@ if __name__ == "__main__":
 
     parser = argparse.ArgumentParser("Baselines")
     parser.add_argument("--save_dir", type=str, default="./outputs/qlib-baselines", help="The checkpoint directory.")
+    parser.add_argument("--market", type=str, default="all", choices=["csi100", "csi300", "all"], help="The market indicator.")
     parser.add_argument("--times", type=int, default=10, help="The repeated run times.")
     parser.add_argument("--gpu", type=int, default=0, help="The GPU ID used for train / test.")
     parser.add_argument("--alg", type=str, choices=list(alg2paths.keys()), required=True, help="The algorithm name.")