limit cs factors only on linux due to multiprocessing limitation

README.md

@@ -14,7 +14,7 @@ I will try to merge some non-debateable features/bugfix to the original qlib. Bu
 # Features
 | Feature                        | Description                                                              | Status |
 |--------------------------------|--------------------------------------------------------------------------| -- |
-| Cross Sectional Factor         | Add cross-sectional factors such as cross-sectional ranking; average etc | Done |
+| Cross Sectional Factor         | Add cross-sectional factors such as cross-sectional ranking; average etc | Done (Linux only) |
 | Orthogonalization preprocesser | Add preprocessers to do Schimit and Symetric Orthogonalization           | Done |
 | Support non-adjusted data      | Add support for non-adjusted data                                        | Done |
 | Enhanced plotting I            | Use rangebreak to allow Datetime axis in plottings                       | [Merged](https://github.com/microsoft/qlib/pull/1390) |

qlib/data/data.py

@@ -10,6 +10,7 @@
 import bisect
 import copy
 import multiprocessing
+import platform
 import queue
 from collections import deque
 from typing import List, Optional, Union
@@ -662,7 +663,11 @@ def __call__(self):
                     return [self.col_names[this_idx]] + col_names
                 return self.col_names
 
-        if len(cs_levels) > 1 and C["joblib_backend"] == "multiprocessing":  # pylint: disable=R1702
+        if len(cs_levels) > 1:
+            if C["joblib_backend"] != "multiprocessing":  # pylint: disable=R1702
+                raise RuntimeError("only multiprocessing backend is supported for cross-section data")
+            if platform.system() == "Windows":
+                raise SystemError("Cross-section data not supported due to the limitation of multiprocessing.")
             get_module_logger("data").info("shared memory created")
             shared_mgr = multiprocessing.Manager()
             shared_data_cache = shared_mgr.dict()