Add Qlib highfreq doc & Update DatatSet Init Method

docs/advanced/serial.rst

@@ -0,0 +1,42 @@
+.. _serial:
+
+=================================
+Serialization
+=================================
+.. currentmodule:: qlib
+
+Introduction
+===================
+``Qlib`` supports dumping the state of ``DataHandler``, ``DataSet``, ``Processor`` and ``Model``, etc. into a disk and reloading them. 
+
+Serializable Class
+========================
+
+``Qlib`` provides a base class ``qlib.utils.serial.Serializable``, whose state can be dumped in or loaded from disk in `pickle` format. 
+When users dump the state of the ``Serializable`` instance, the attributes of the instance whose name **does not** start with `_` will be saved on the disk.
+
+Example
+==========================
+``Qlib``'s serializable class includes  ``DataHandler``, ``DataSet``, ``Processor`` and ``Model``, etc., which are subclass of  ``qlib.utils.serial.Serializable``. 
+Specifically, ``qlib.data.dataset.DatasetH`` is one of them. Users can serialize ``DatasetH`` as follows.
+
+.. code-block:: Python
+
+    ##=============dump dataset=============
+    dataset.to_pickle(path="dataset.pkl") # dataset is the instance of qlib.data.dataset.DatasetH
+
+    ##=============reload dataset=============
+    with open("dataset.pkl", "rb") as file_dataset:
+        dataset = pickle.load(file_dataset)
+
+.. note::
+    Only state of ``DatasetH`` should be saved on the disk, such as some `mean` and `variance` used for data normalization, etc. 
+
+    After reloading the ``DatasetH``, users need to reinitialize it. It means that users can reset some states of ``DatasetH`` or ``QlibDataHandler`` such as `instruments`, `start_time`, `end_time` and `segments`, etc.,  and generate new data according to the states (data is not state and should not be saved on the disk).
+
+A more detailed example is in this `link <https://github.com/microsoft/qlib/tree/main/examples/highfreq>`_.
+
+
+API
+===================
+Please refer to `Serializable API <../reference/api.html#module-qlib.utils.serial.Serializable>`_.

docs/component/data.rst

@@ -31,7 +31,7 @@ Qlib Format Data
 We've specially designed a data structure to manage financial data, please refer to the `File storage design section in Qlib paper <https://arxiv.org/abs/2009.11189>`_ for detailed information.
 Such data will be stored with filename suffix `.bin` (We'll call them `.bin` file, `.bin` format, or qlib format). `.bin` file is designed for scientific computing on finance data.
 
-``Qlib`` provides two different off-the-shelf dataset, which can be accessed through this `link <https://github.com/microsoft/qlib/blob/main/qlib/contrib/data/handler.py>`_:
+``Qlib`` provides two different off-the-shelf datasets, which can be accessed through this `link <https://github.com/microsoft/qlib/blob/main/qlib/contrib/data/handler.py>`_:
 
 ========================  =================  ================
 Dataset                   US Market          China Market
@@ -41,6 +41,7 @@ Alpha360                  √                  √
 Alpha158                  √                  √
 ========================  =================  ================
 
+Also, ``Qlib`` provides a high-frequency dataset. Users can run a high-frequency dataset example through this `link <https://github.com/microsoft/qlib/tree/main/examples/highfreq>`_.
 
 Qlib Format Dataset
 --------------------

docs/index.rst

@@ -49,6 +49,7 @@ Document Structure
 
    Building Formulaic Alphas <advanced/alpha.rst>
    Online & Offline mode <advanced/server.rst>
+   Serialization <advanced/serial.rst>
 
 .. toctree::
    :maxdepth: 3

docs/reference/api.rst

@@ -152,4 +152,14 @@ Recorder
 Record Template
 --------------------
 .. automodule:: qlib.workflow.record_temp
+    :members:
+
+
+Utils
+====================
+
+Serializable
+--------------------
+
+.. automodule:: qlib.utils.serial.Serializable
     :members:

examples/highfreq/README.md

@@ -0,0 +1,28 @@
+# High-Frequency Dataset
+
+This dataset is an example for RL high frequency trading.
+
+## Get High-Frequency Data
+
+Get high-frequency data by running the following command:
+```bash
+    python workflow.py get_data
+```
+
+## Dump & Reload & Reinitialize the Dataset
+
+
+The High-Frequency Dataset is implemented as `qlib.data.dataset.DatasetH` in the `workflow.py`. `DatatsetH` is the subclass of [`qlib.utils.serial.Serializable`](https://qlib.readthedocs.io/en/latest/advanced/serial.html), whose state can be dumped in or loaded from disk in `pickle` format.
+
+### About Reinitialization
+
+After reloading `Dataset` from disk, `Qlib` also support reinitializing the dataset. It means that users can reset some states of `Dataset` or `DataHandler` such as `instruments`, `start_time`, `end_time` and `segments`, etc.,  and generate new data according to the states.
+
+The example is given in `workflow.py`, users can run the code as follows.
+
+### Run the Code
+
+Run the example by running the following command:
+```bash
+    python workflow.py dump_and_load_dataset
+```

examples/highfreq/workflow.py

@@ -9,7 +9,7 @@
 import pickle
 import numpy as np
 import pandas as pd
-from qlib.config import HIGH_FREQ_CONFIG
+from qlib.config import REG_CN, HIGH_FREQ_CONFIG
 from qlib.contrib.model.gbdt import LGBModel
 from qlib.contrib.data.handler import Alpha158
 from qlib.contrib.strategy.strategy import TopkDropoutStrategy
@@ -123,8 +123,7 @@ def get_data(self):
         backtest_train, backtest_test = dataset_backtest.prepare(["train", "test"])
         print(backtest_train, backtest_test)
 
-        del xtrain, xtest
-        del backtest_train, backtest_test
+        return
 
     def dump_and_load_dataset(self):
         """dump and load dataset state on disk"""
@@ -146,18 +145,39 @@ def dump_and_load_dataset(self):
             dataset_backtest = pickle.load(file_dataset_backtest)
 
         self._prepare_calender_cache()
-        ##=============reload_dataset=============
-        dataset.init(init_type=DataHandlerLP.IT_LS)
-        dataset_backtest.init()
+        ##=============reinit dataset=============
+        dataset.init(
+            handler_kwargs={
+                "init_type": DataHandlerLP.IT_LS,
+                "start_time": "2021-01-19 00:00:00",
+                "end_time": "2021-01-25 16:00:00",
+            },
+            segment_kwargs={
+                "test": (
+                    "2021-01-19 00:00:00",
+                    "2021-01-25 16:00:00",
+                ),
+            },
+        )
+        dataset_backtest.init(
+            handler_kwargs={
+                "start_time": "2021-01-19 00:00:00",
+                "end_time": "2021-01-25 16:00:00",
+            },
+            segment_kwargs={
+                "test": (
+                    "2021-01-19 00:00:00",
+                    "2021-01-25 16:00:00",
+                ),
+            },
+        )
 
         ##=============get data=============
-        xtrain, xtest = dataset.prepare(["train", "test"])
-        backtest_train, backtest_test = dataset_backtest.prepare(["train", "test"])
+        xtest = dataset.prepare(["test"])
+        backtest_test = dataset_backtest.prepare(["test"])
 
-        print(xtrain, xtest)
-        print(backtest_train, backtest_test)
-        del xtrain, xtest
-        del backtest_train, backtest_test
+        print(xtest, backtest_test)
+        return
 
 
 if __name__ == "__main__":

qlib/data/dataset/__init__.py

@@ -87,9 +87,42 @@ def __init__(self, handler: Union[dict, DataHandler], segments: dict):
         """
         super().__init__(handler, segments)
 
-    def init(self, **kwargs):
-        """Initialize the DatasetH, Only parameters belonging to handler.init will be passed in"""
-        self.handler.init(**kwargs)
+    def init(self, handler_kwargs: dict = None, segment_kwargs: dict = None):
+        """
+        Initialize the DatasetH
+
+        Parameters
+        ----------
+        handler_kwargs : dict
+            Config of DataHanlder, which could include the following arguments:
+
+            - arguments of DataHandler.conf_data, such as 'instruments', 'start_time' and 'end_time'.
+
+            - arguments of DataHandler.init, such as 'enable_cache', etc.
+
+        segment_kwargs : dict
+            Config of segments which is same as 'segments' in DatasetH.setup_data
+
+        """
+        if handler_kwargs:
+            if not isinstance(handler_kwargs, dict):
+                raise TypeError(f"param handler_kwargs must be type dict, not {type(handler_kwargs)}")
+            kwargs_init = {}
+            kwargs_conf_data = {}
+            conf_data_arg = {"instruments", "start_time", "end_time"}
+            for k, v in handler_kwargs.items():
+                if k in conf_data_arg:
+                    kwargs_conf_data.update({k: v})
+                else:
+                    kwargs_init.update({k: v})
+
+            self.handler.conf_data(**kwargs_conf_data)
+            self.handler.init(**kwargs_init)
+
+        if segment_kwargs:
+            if not isinstance(segment_kwargs, dict):
+                raise TypeError(f"param handler_kwargs must be type dict, not {type(segment_kwargs)}")
+            self.segments = segment_kwargs.copy()
 
     def setup_data(self, handler: Union[dict, DataHandler], segments: dict):
         """