Bug: sort_index() result discarded in filter.py — timestamp series may be unsorted

[warren618]

Description

In qlib/data/filter.py line 163, timestamp_series.sort_index() is called but its return value is discarded:

timestamp_series.sort_index()  # returns new Series, original unchanged

pandas.Series.sort_index() returns a new sorted Series and does not modify in place (unlike sort_index(inplace=True)). The unsorted series is then iterated to build timestamp ranges, which can produce incorrect filter boundaries.

Fix

- timestamp_series.sort_index()
+ timestamp_series = timestamp_series.sort_index()

I will submit a fix shortly.

[agenthaulk]

Hi, I'd like to take this issue. The root cause is clear — sort_index() returns a new Series but the result is discarded.

I plan to submit a fix within 24 hours:

• Assign the sorted result back to timestamp_series
• Add a regression test to verify correct chronological ordering

Please let me know if this is still available or if there's anything else I should be aware of. Thanks!

[agenthaulk]

Hi, I've submitted the fix in PR #2180. The change assigns the sort_index() result back to timestamp_series as discussed. Looking forward to the maintainers' review. Thanks!