"""Smoke tests: qlib against the TradeAC lake (plain asserts, no pytest needed). Run:: .venv/bin/python tests/test_lake_providers.py """ import os import sys import numpy as np import pandas as pd sys.path.insert(0, os.path.join(os.path.dirname(__file__), "..")) # TAC_LAKE_DIR is mandatory (no default fallback). Fail fast if it is missing. LAKE_ROOT = os.environ["TAC_LAKE_DIR"] def main(): from tac_qlib.qlib_init import qlib_init qlib_init(provider_uri=LAKE_ROOT, market="US", freq="day", log_level="WARN") from qlib.data import D from qlib.data.data import Cal, ExpressionD, Inst, DatasetD # ---- calendar --------------------------------------------------------- cal = Cal.calendar(freq="day") assert isinstance(cal, (list, np.ndarray)) and len(cal) >= 100, f"calendar too small: {len(cal)}" print(f"[ok] calendar: {len(cal)} trading days, {pd.Timestamp(cal[0]).date()} -> {pd.Timestamp(cal[-1]).date()}") # ---- instruments ------------------------------------------------------ inst = Inst.list_instruments({"market": "all"}, start_time=cal[0], end_time=cal[-1], freq="day") assert len(inst) >= 5, f"expected >=5 instruments, got {inst}" print(f"[ok] instruments: {sorted(inst)}") # ---- raw features ----------------------------------------------------- start, end = "2026-03-01", "2026-06-30" df = D.features(sorted(inst)[:4], ["$close", "$volume", "$vwap"], start, end, freq="day") assert not df.empty assert df.columns.tolist() == ["$close", "$volume", "$vwap"] assert not df["$close"].isna().all() # index must be the (datetime, instrument) MultiIndex, sorted assert isinstance(df.index, pd.MultiIndex) assert df.index.names == [df.index.names[0], df.index.names[1]] n_rows = len(df) print(f"[ok] D.features: {len(df)} rows x {len(df.columns)} cols; close sample:\n{df['$close'].head(3)}") # NaN for fields the lake does not store df_unk = D.features(sorted(inst)[:2], ["$factor", "$change"], start, end, freq="day") assert df_unk["$factor"].isna().all() and df_unk["$change"].isna().all() print("[ok] unknown fields ($factor/$change) are all-NaN") # ---- expression engine (Option A / qlib defaults) --------------------- exp = "Ref($close,-2)/$close-1" # same default label as Alpha158 sym = sorted(inst)[0] # use a symbol that is actually in the lake s = ExpressionD.expression(sym, exp, start_time=start, end_time=end, freq="day") assert isinstance(s, pd.Series) and len(s) > 0 assert s.notna().any() print(f"[ok] ExpressionD.expression: {len(s)} values, sample:\n{s.head(3)}") # a full dataset can be materialised through the expression engine df_ds = DatasetD.dataset(sorted(inst), [exp], start, end, freq="day") assert isinstance(df_ds, pd.DataFrame) and len(df_ds) > 0 print(f"[ok] DatasetD.dataset: {df_ds.shape}") # ---- TACHandler: feature discovery + DropAllNaN ------------------------ from tac_qlib.contrib.data.handler import TACHandler h = TACHandler( instruments=sorted(inst)[:6], start_time="2026-03-01", end_time="2026-08-06", fit_start_time="2026-03-01", fit_end_time="2026-05-31", freq="day", lake_root=LAKE_ROOT, market="US", ) # the lake's stoch_* columns are fully NaN -> they must be dropped by DropAllNaN assert not any("stoch" in str(c) for c in h._infer.columns), h._infer.columns.tolist() # train/valid/test must expose identical feature columns from qlib.data.dataset import DatasetH from qlib.data.dataset.handler import DataHandlerLP ds = DatasetH( handler=h, segments={ "train": ("2026-03-01", "2026-05-31"), "valid": ("2026-06-01", "2026-06-30"), "test": ("2026-07-01", "2026-08-06"), }, ) cols = { seg: ds.prepare(segments=seg, col_set="feature", data_key=DataHandlerLP.DK_I).columns.tolist() for seg in ("train", "valid", "test") } assert cols["train"] == cols["valid"] == cols["test"], cols print(f"[ok] TACHandler: {len(cols['train'])} features, stoch dropped, segments aligned") print("\nALL LAKE PROVIDER CHECKS PASSED") if __name__ == "__main__": main()