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fix bugs & add highfreq backtest example

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bxdd
2021-05-28 22:29:21 +08:00
parent 6a636546c4
commit 029b63c9dd
8 changed files with 168 additions and 42 deletions
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4
qlib/backtest/executor.py
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@@ -304,7 +304,7 @@ class SimulatorExecutor(BaseExecutor):
if self.verbose:
if order.direction == Order.SELL: # sell
print(
"[I {:%Y-%m-%d}]: sell {}, price {:.2f}, amount {}, deal_amount {}, factor {}, value {:.2f}.".format(
"[I {:%Y-%m-%d %H:%M:%S}]: sell {}, price {:.2f}, amount {}, deal_amount {}, factor {}, value {:.2f}.".format(
trade_start_time,
order.stock_id,
trade_price,
@@ -316,7 +316,7 @@ class SimulatorExecutor(BaseExecutor):
)
else:
print(
"[I {:%Y-%m-%d}]: buy {}, price {:.2f}, amount {}, deal_amount {}, factor {}, value {:.2f}.".format(
"[I {:%Y-%m-%d %H:%M:%S}]: buy {}, price {:.2f}, amount {}, deal_amount {}, factor {}, value {:.2f}.".format(
trade_start_time,
order.stock_id,
trade_price,

4
qlib/backtest/utils.py
View File

@@ -41,7 +41,7 @@ class TradeCalendarManager:
- self.trade_step : The number of trading step finished, self.trade_step can be [0, 1, 2, ..., self.trade_len - 1]
"""
_calendar, freq, freq_sam = get_resam_calendar(freq=freq)
self.trade_calendar = _calendar
self._calendar = _calendar
_, _, _start_index, _end_index = Cal.locate_index(start_time, end_time, freq=freq, freq_sam=freq_sam)
self.start_index = _start_index
self.end_index = _end_index
@@ -91,7 +91,7 @@ class TradeCalendarManager:
"""
trade_step = trade_step - shift
calendar_index = self.start_index + trade_step
return self.trade_calendar[calendar_index], self.trade_calendar[calendar_index + 1] - pd.Timedelta(seconds=1)
return self._calendar[calendar_index], self._calendar[calendar_index + 1] - pd.Timedelta(seconds=1)
def get_all_time(self):
"""Get the start_time and end_time for trading"""