Run stock qlib ML workflows (LightGBM → signal → backtest) directly on the TradeAC parquet lake. No CSV/bin dump, no data conversion: the lake's calendar, instrument master, OHLCV bars and pre-computed ta-lib features plug into qlib as first-class data providers, and a custom DataHandlerLP (TACHandler) exposes them through the normal qlib dataset/processor pipeline.

$ qrun workflows/workflow_lgb_taclake.yaml --experiment_name tac-lake-lgb

trains a LightGBM, records predictions/labels, evaluates the signal (IC/RankIC), runs a daily TopkDropoutStrategy backtest with cost model and risk analysis, and logs everything to mlflow (sqlite).

Layout

tac-qlib/
├── tac_qlib/
│   ├── qlib_init.py                  # qlib_init() drop-in wired to the lake providers
│   ├── data/
│   │   ├── config.py                 # LakeConfig: paths + metadata readers, freq↔timeframe map
│   │   └── providers.py              # LakeCalendarProvider / LakeInstrumentProvider / LakeFeatureProvider
│   └── contrib/data/
│       └── handler.py                # TACHandler (DataHandlerLP) + DropAllNaN processor
├── workflows/
│   └── workflow_lgb_taclake.yaml     # qrun workflow: train -> signal -> backtest
├── examples/
│   └── run_backtest.py               # same loop as the workflow, plain Python (no yaml)
└── tests/
    └── test_lake_providers.py        # plain-assert smoke tests

Requirements / install

Python 3.12, qlib nightly (0.1.dev2066 in the repo venv), pandas/pyarrow, lightgbm.
The TradeAC lake (see below). TAC_LAKE_DIR is mandatory (no default) — set it to the lake root, or pass the lake_root kwargs.

The lake (data layout)

$TAC_LAKE_DIR/
├── market=US/
│   └── timeframe=1d/
│       └── symbol=AAPL.parquet        # OHLCV bars: t, date, o, h, l, c, v, n, vw
├── features/
│   └── market=US/timeframe=1d/
│       └── symbol=AAPL.parquet        # ta-lib indicators, wide format: t, sma_5, rsi_14, ...
├── calendar.parquet                   # trading days per market
├── coverage.parquet                   # per (market,timeframe,symbol) loaded windows
└── symbols.parquet                    # asset master

Field routing (tac_qlib/data/config.py):

$open $high $low $close $volume $vwap → bar parquet columns; $amount = v * vw, $avg_amount = vw.
$factor $change $trade_unit $suspend_flag → all-NaN (not stored; the backtest Exchange only needs $close).
anything else (e.g. $rsi_14, $sma_20) → a ta-lib column in the features parquet.

Step 1 — Prepare data

The lake is populated and backfilled with the tac-engine MCP lake tools (see tac-engine/skills/tradeac-lake). Typical sequence:

Seed the trading calendar from historical auctions (so the 1d completeness check has an expected day set): backfill_lake_calendar(symbols="AAPL,MSFT,...").
Backfill bars: get_lake_bars(symbols="AAPL,MSFT,...", timeframe="1d", start="2026-02-09") (lazy: missing windows are fetched from Alpaca and persisted; sip/iex auto-fallback on 403).
Persist features: get_lake_ta(symbol="AAPL", timeframe="1d", indicators="sma_5,sma_20,rsi_14,macd,bb,atr_14", persist=true). Only indicators that exist in every features file are auto-loaded by the handler; add columns per symbol by re-running get_lake_ta.
get_lake_symbols / get_lake_coverage to verify the universe and loaded windows.

TACHandler discovers the feature columns itself (get_common_feature_fields = the intersection of columns across all features files), so no config change is needed as the lake grows.

Step 2 — Preprocess

Preprocessing happens in TACHandler (a DataHandlerLP), composed from standard qlib processors:

infer (DEFAULT_INFER_PROCESSORS), applied to the input features:
1. DropAllNaN — drops columns that are all-NaN over the fit window (fixes the lake's fully-empty ta-lib columns, e.g. a stoch_* output that is NaN from the start). The drop set is fixed in fit() and applied identically to train/valid/test so feature columns never diverge.
2. ProcessInf, ZScoreNorm (fit on the fit window), Fillna.
learn (DEFAULT_LEARN_PROCESSORS), applied to the label: DropnaLabel, CSZScoreNorm.

Handler kwargs (used by both the workflow yaml and the Python API):

kwarg	default	meaning
`instruments`	`all`	universe; list, `all`, or a named pool from `markets:`
`start_time` / `end_time`	–	queried window (must be within the lake calendar)
`fit_start_time` / `fit_end_time`	start/end	window the fit-able processors (ZScoreNorm, DropAllNaN) fit on
`freq`	`day`	maps to the lake timeframe (`day`→`1d`, `1min`→`1m`, …)
`feature_fields`	auto	raw OHLCV + common ta-lib columns; or an explicit list
`label`	`Ref($close,-2)/Ref($close,-1)-1`	qlib expression for the target
`lake_root` / `market`	`$TAC_LAKE_DIR` / `US`	lake location (required) / market partition

Only daily (1d) is currently supported by the calendar provider; intraday freq raises NotImplementedError.

Step 3 — Train

Either write the model task in yaml and run qrun (see Glue with qrun), or train in Python:

from qlib.data.dataset import DatasetH
from tac_qlib.qlib_init import qlib_init
from tac_qlib.contrib.data.handler import TACHandler
from qlib.contrib.model.gbdt import LGBModel
from qlib.workflow import R

qlib_init(provider_uri=os.environ["TAC_LAKE_DIR"], market="US", freq="day")

handler = TACHandler(
    instruments="all",
    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=os.environ["TAC_LAKE_DIR"], market="US",
)
dataset = DatasetH(handler=handler, segments={
    "train": ("2026-03-01", "2026-05-31"),
    "valid": ("2026-06-01", "2026-06-30"),
    "test":  ("2026-07-01", "2026-08-06"),
})

model = LGBModel(n_estimators=200, learning_rate=0.05, num_leaves=15, ...)
with R.start(experiment_name="tac-lake-demo"):
    model.fit(dataset)                 # trains on the train segment

Step 4 — Test / evaluate the signal

model.predict(dataset) returns the prediction on the test segment (a (datetime, instrument) Series). Evaluate it with qlib's SigAnaRecord / sig_analysis:

from qlib.workflow.record_temp import SigAnaRecord
from qlib.contrib.evaluate import signal_analysis

pred = model.predict(dataset)                     # "score" column
label = dataset.prepare("test", col_set="label", data_key=DataHandlerLP.DK_I)["LABEL0"]
# per-day + overall IC / ICIR / RankIC / RankICIR
report = signal_analysis(pred, label)

In the workflow this is automatic (SigAnaRecord): the run logs IC 0.0072 / ICIR 0.016 / RankIC 0.0138 / RankICIR 0.034 for the default split — weak but the plumbing is verified.

Step 5 — Backtesting

from qlib.contrib.evaluate import backtest_daily, risk_analysis
from qlib.contrib.strategy.signal_strategy import TopkDropoutStrategy

strategy = TopkDropoutStrategy(signal=pred, topk=2, n_drop=1, only_tradable=True, risk_degree=0.95)
report_normal, positions_normal = backtest_daily(
    start_time="2026-07-01", end_time="2026-08-06",
    strategy=strategy, account=1_000_000, benchmark=None,   # lake has no index quotes
    exchange_kwargs={"codes": universe, "deal_price": "$close", "freq": "day",
                     "open_cost": 0.0005, "close_cost": 0.0015, "min_cost": 5.0},
)
risk = risk_analysis(report_normal["return"], freq="day")

TopkDropoutStrategy is the default mapping prediction → positions (hold top-k, drop n_drop per day). For other sizing frameworks — equal/score-weighting, softmax, z-score, fractional Kelly, mean-variance — subclass qlib.contrib.strategy.SignalStrategy and implement generate_trade_decision (see ../.tmp/signalTrade.md for the recipe catalogue).
The Exchange needs $close; other fields the backtest probes ($factor, $trade_unit) are all-NaN and fine.
Benchmark: pick any symbol the lake holds (e.g. benchmark: AAPL); null benchmark triggers benign "Mean of empty slice" warnings from the risk analysis.

Step 6 — Predict

SignalRecord already saved pred.pkl (test segment) during the qrun run. For predictions on arbitrary data:

pred = model.predict(dataset)                       # predict on the "test" segment
pred.to_frame("score").to_pickle("pred.pkl")        # (datetime, instrument) x ["score"]

To predict a live/rolling window instead of the configured test segment, point a handler's segments["test"] at the window of interest, or call model.predict(dataset, segment="test") after overriding the segment.

Glue everything with qrun

workflows/workflow_lgb_taclake.yaml wires the whole chain (init → train → signal record → signal analysis → backtest + risk analysis) into one qrun invocation:

cd tac-qlib
qrun workflows/workflow_lgb_taclake.yaml --experiment_name tac-lake-lgb
# custom lake root:
TAC_LAKE_DIR=/path/to/lake qrun workflows/workflow_lgb_taclake.yaml --experiment_name tac-lake-lgb

YAML anatomy:

qlib_init — points provider_uri at the lake and installs the lake providers by their full class paths (tac_qlib.data.providers.Lake*Provider), plus an exp_manager backed by sqlite:///<lake>/mlruns.db (avoids mlflow's filesystem-backend maintenance-mode opt-in). The unified R&D store lives under the lake root: mlruns.db + mlruns/<exp>/<run>/. Override the tracking URI with MLRUNS_URI.
task.model — LGBModel hyperparameters.
task.dataset — DatasetH over TACHandler; segments.train/valid/test split the window; fit_start_time/fit_end_time pin the processor fit window to train.
task.record — ordered records:
1. SignalRecord → writes pred.pkl (and label.pkl).
2. SigAnaRecord → sig_analysis/{ic,ric}.pkl (IC/ICIR/RankIC/RankICIR).
3. PortAnaRecord → daily TopkDropoutStrategy backtest + risk_analysis_freq: 1d → portfolio_analysis/*.pkl (report, positions, indicators, risk metrics, benchmark & cost-adjusted excess returns).

Run artifacts land under the mlflow run: <lake>/mlruns/<exp>/<run>/artifacts/*.pkl (metadata in <lake>/mlruns.db).

Template notes:

The header uses jinja2 ({%- set LAKE = TAC_LAKE_DIR %}) — TAC_LAKE_DIR is required and names the lake root. Do not use -%} on the closing tag — it strips the newline and glues qlib_init: onto the comment line (YAML parse error).
qrun is qlib.cli.run:run (fire): positional CONFIG_PATH + --experiment_name / --uri_folder. No --config flag.

Manual (no-yaml) path

examples/run_backtest.py runs the identical loop in plain Python (good for parametrizing universe, features, label, topk, costs):

.venv/bin/python tac-qlib/examples/run_backtest.py
.venv/bin/python tac-qlib/examples/run_backtest.py --features '$close,$rsi_14,$sma_5,$macd' \
    --universe AAPL,MSFT,TSLA,USO,SLV,TLT --topk 2 --n-drop 1 --output ./backtest_out

Writes pred.pkl, report_normal.csv, positions_normal.csv, risk.csv to the output dir.

Reference

tac_qlib/data/providers.py — the three lake providers; they match qlib's provider interface (feature() keyed by calendar position, list_instruments() with listing spans, load_calendar()), so the expression engine, DatasetH and the backtest Exchange work unchanged.
tac_qlib/contrib/data/handler.py — TACHandler (DataHandlerLP over QlibDataLoader), DropAllNaN, get_common_feature_fields, discover_feature_fields.
tac_qlib/data/config.py — LakeConfig path/reader helpers, FREQ_TO_TIMEFRAME, BAR_FIELD_MAP, resolve_lake_root ($TAC_LAKE_DIR, required — fails fast if unset).
Tests (no pytest; plain asserts):

.venv/bin/python tac-qlib/tests/test_lake_providers.py

README.md Unescape Escape

tac-qlib