fix(client): fix missing dependencies and unsafe pickle usage (#2072)

* fix(client): fix missing dependencies and unsafe pickle usage

* ci: exclude client extra from default install to avoid macOS CI failures

* fix: CI error

* ci: install dependencies with --no-cache-dir to avoid disk space issues

Author: SunsetWolf

Makefile

@@ -74,34 +74,37 @@ prerequisite:
 
 # Install the package in editable mode.
 dependencies:
-	python -m pip install -e .
+	python -m pip install --no-cache-dir -e .
 
 lightgbm:
-	python -m pip install lightgbm --prefer-binary
+	python -m pip install --no-cache-dir lightgbm --prefer-binary
 
 rl:
-	python -m pip install -e .[rl]
+	python -m pip install --no-cache-dir -e .[rl]
 
 develop:
-	python -m pip install -e .[dev]
+	python -m pip install --no-cache-dir -e .[dev]
 
 lint:
-	python -m pip install -e .[lint]
+	python -m pip install --no-cache-dir -e .[lint]
 
 docs:
-	python -m pip install -e .[docs]
+	python -m pip install --no-cache-dir -e .[docs]
 
 package:
-	python -m pip install -e .[package]
+	python -m pip install --no-cache-dir -e .[package]
 
 test:
-	python -m pip install -e .[test]
+	python -m pip install --no-cache-dir -e .[test]
 
 analysis:
-	python -m pip install -e .[analysis]
+	python -m pip install --no-cache-dir -e .[analysis]
+
+client:
+	python -m pip install --no-cache-dir -e .[client]
 
 all:
-	python -m pip install -e .[pywinpty,dev,lint,docs,package,test,analysis,rl]
+	python -m pip install --no-cache-dir -e .[pywinpty,dev,lint,docs,package,test,analysis,rl]
 
 install: prerequisite dependencies
 

pyproject.toml

@@ -101,6 +101,10 @@ analysis = [
   "plotly",
   "statsmodels",
 ]
+client = [
+  "python-socketio<6",
+  "tables",
+]
 
 # In the process of releasing a new version, when checking the manylinux package with twine, an error is reported:
 # InvalidDistribution: Invalid distribution metadata: unrecognized or malformed field 'license-file'

qlib/data/client.py

@@ -2,15 +2,15 @@
 # Licensed under the MIT License.
 
 
-from __future__ import division
-from __future__ import print_function
+from __future__ import division, print_function
+
+import json
 
 import socketio
 
 import qlib
-from ..config import C
+
 from ..log import get_module_logger
-import pickle
 
 
 class Client:
@@ -96,7 +96,7 @@ def request_callback(*args):
         self.logger.debug("connected")
         # The pickle is for passing some parameters with special type(such as
         # pd.Timestamp)
-        request_content = {"head": head_info, "body": pickle.dumps(request_content, protocol=C.dump_protocol_version)}
+        request_content = {"head": head_info, "body": json.dumps(request_content, default=str)}
         self.sio.on(request_type + "_response", request_callback)
         self.logger.debug("try sending")
         self.sio.emit(request_type + "_request", request_content)