# !/usr/bin/env python3 # Copyright (c) 2021 Institute for Quantum Computing, Baidu Inc. All Rights Reserved. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. r""" Quantum portfolio optimization. """ import os import sys from typing import Dict import logging import argparse import toml import datetime import pandas as pd from paddle_quantum.finance.qpo import portfolio_combination_optimization from paddle_quantum.finance import DataSimulator def main(args): # logger configure log_path = args.logger logger = logging.Logger(name='logger_qpo') logger_file_handler = logging.FileHandler(log_path) logger_file_handler.setFormatter(logging.Formatter(r'%(levelname)s %(asctime)s %(message)s')) logger_file_handler.setLevel(logging.INFO) logger.addHandler(logger_file_handler) logger.warning("------------------- Process starts -------------------") # data preparation parsed_configs: Dict = toml.load(args.config) num_asset = parsed_configs["stock_para"]["num_asset"] if parsed_configs['stock'] == 'demo': stock_file_path = os.path.join(this_file_path, './demo_stock.csv') stocks_name = [("STOCK%s" % i) for i in range(num_asset)] source_data = pd.read_csv(stock_file_path) processed_data = [source_data['closePrice'+str(i)].tolist() for i in range(num_asset)] data = DataSimulator(stocks_name) data.set_data(processed_data) logger.warning(f"******************* {num_asset} stocks processed *******************") elif parsed_configs['stock'] == 'random': stocks_name = [("STOCK%s" % i) for i in range(num_asset)] data = DataSimulator(stocks=stocks_name, start=datetime.datetime( *parsed_configs['random_data']['start_time']), end=datetime.datetime(*parsed_configs['random_data']['end_time'])) data.randomly_generate() logger.warning(f"******************* {num_asset} stocks randomly generated *******************") elif parsed_configs['stock'] == 'custom': stock_file_path = parsed_configs["custom_data_path"] stocks_name = [("STOCK%s" % i) for i in range(num_asset)] source_data = pd.read_csv(stock_file_path) processed_data = [source_data['closePrice'+str(i)].tolist() for i in range(num_asset)] data = DataSimulator(stocks_name) data.set_data(processed_data) logger.warning(f"******************* {num_asset} stocks processed *******************") # load model parameters risk_weight = parsed_configs["stock_para"]["risk_weight"] budget = parsed_configs["stock_para"]["budget"] penalty = parsed_configs["stock_para"]["penalty"] circuit_depth = parsed_configs["train_para"]["circuit_depth"] iters = parsed_configs["train_para"]["iterations"] lr = parsed_configs["train_para"]["learning_rate"] # optimization logger.warning("******************* Train starts *******************") invest = portfolio_combination_optimization(num_asset, data, iters, lr, risk_weight, budget, penalty, circuit=circuit_depth, logger=logger, compare=True) logger.warning("******************* Train ends *******************") logger.warning(f"******************* Output is {invest} *******************") logger.warning("------------------- Process ends -------------------") if __name__ == "__main__": this_file_path = sys.path[0] parser = argparse.ArgumentParser(description="Quantum portfolio optimization with paddle quantum.") parser.add_argument( "--config", default=os.path.join(this_file_path, './config.toml'), type=str, help="The path of toml format config file.") parser.add_argument( "--logger", default=os.path.join(this_file_path, './qpo_log.log'), type=str, help="The path of log file saved.") main(parser.parse_args())