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This commit is contained in:
Huoran Li
2022-07-22 11:57:56 +08:00
parent 53dde5146c
commit 00def78e7a
4 changed files with 17 additions and 10 deletions
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4
qlib/rl/order_execution/from_neutrader/feature.py
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@@ -91,7 +91,7 @@ def init_qlib(config: dict, part: Optional[str] = None) -> None:
"class": "FileCalendarStorage", "class": "FileCalendarStorage",
"module_path": "qlib.data.storage.file_storage", "module_path": "qlib.data.storage.file_storage",
"kwargs": {"provider_uri_map": provider_uri_map}, "kwargs": {"provider_uri_map": provider_uri_map},
} },
}, },
}, },
feature_provider={ feature_provider={
@@ -102,7 +102,7 @@ def init_qlib(config: dict, part: Optional[str] = None) -> None:
"class": "FileFeatureStorage", "class": "FileFeatureStorage",
"module_path": "qlib.data.storage.file_storage", "module_path": "qlib.data.storage.file_storage",
"kwargs": {"provider_uri_map": provider_uri_map}, "kwargs": {"provider_uri_map": provider_uri_map},
} },
}, },
}, },
provider_uri=provider_uri_map, provider_uri=provider_uri_map,

3
qlib/rl/order_execution/reward.py
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@@ -6,9 +6,10 @@ from __future__ import annotations
from typing import cast from typing import cast
import numpy as np import numpy as np
from qlib.rl.reward import Reward from qlib.rl.reward import Reward
from .simulator_simple import SAOEState, SAOEMetrics from .simulator_simple import SAOEMetrics, SAOEState
__all__ = ["PAPenaltyReward"] __all__ = ["PAPenaltyReward"]

16
qlib/rl/order_execution/simulator_qlib.py
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@@ -21,7 +21,8 @@ from qlib.rl.order_execution.utils import (
_convert_tick_str_to_int, _convert_tick_str_to_int,
_dataframe_append, _dataframe_append,
_get_common_infra, _get_common_infra,
_get_portfolio_and_indicator, _get_ticks_slice, _get_portfolio_and_indicator,
_get_ticks_slice,
_price_advantage, _price_advantage,
) )
from qlib.rl.simulator import Simulator from qlib.rl.simulator import Simulator
@@ -83,7 +84,7 @@ class SingleOrderStrategy(BaseStrategy):
code=self._instrument, code=self._instrument,
amount=self._order.amount, amount=self._order.amount,
direction=Order.parse_dir(self._order.direction), direction=Order.parse_dir(self._order.direction),
) ),
] ]
return TradeDecisionWO(order_list, self, self._trade_range) return TradeDecisionWO(order_list, self, self._trade_range)
@@ -126,7 +127,7 @@ class StateMaintainer:
execute_result[0][0].start_time, execute_result[0][0].start_time,
execute_result[-1][0].start_time, execute_result[-1][0].start_time,
method=None, method=None,
) ),
) )
trade_value = all_indicators["1min"].iloc[-num_step:]["value"].values trade_value = all_indicators["1min"].iloc[-num_step:]["value"].values
@@ -153,8 +154,13 @@ class StateMaintainer:
self.history_steps, self.history_steps,
[ [
self._collect_single_order_metric( self._collect_single_order_metric(
execute_order, execute_order.start_time, market_volume, market_price, exec_vol.sum(), exec_vol, execute_order,
) execute_order.start_time,
market_volume,
market_price,
exec_vol.sum(),
exec_vol,
),
], ],
) )

4
qlib/rl/order_execution/utils.py
View File

@@ -1,6 +1,6 @@
from __future__ import annotations from __future__ import annotations
from typing import Any, cast, List, Optional, Tuple from typing import Any, List, Optional, Tuple, cast
import numpy as np import numpy as np
import pandas as pd import pandas as pd
@@ -10,7 +10,7 @@ from qlib.backtest.account import Account
from qlib.backtest.decision import OrderDir from qlib.backtest.decision import OrderDir
from qlib.backtest.executor import BaseExecutor from qlib.backtest.executor import BaseExecutor
from qlib.rl.order_execution.from_neutrader.config import ExchangeConfig from qlib.rl.order_execution.from_neutrader.config import ExchangeConfig
from qlib.rl.order_execution.simulator_simple import _float_or_ndarray, ONE_SEC from qlib.rl.order_execution.simulator_simple import ONE_SEC, _float_or_ndarray
from qlib.utils.time import Freq from qlib.utils.time import Freq