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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy

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v-mingzhehan
2021-07-27 14:32:36 +00:00
parent bdebe12cf2 0d41ca26ab
commit 0b607da690
41 changed files with 2644 additions and 340 deletions
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17
qlib/contrib/strategy/rule_strategy.py
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@@ -18,7 +18,12 @@ from qlib.backtest.utils import get_start_end_idx
class TWAPStrategy(BaseStrategy):
"""TWAP Strategy for trading"""
"""TWAP Strategy for trading
NOTE:
- This TWAP strategy will celling round when trading. This will make the TWAP trading strategy produce the order
ealier when the total trade unit of amount is less than the trading step
"""
def reset(self, outer_trade_decision: BaseTradeDecision = None, **kwargs):
"""
@@ -58,11 +63,11 @@ class TWAPStrategy(BaseStrategy):
trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
order_list = []
for order in self.outer_trade_decision.get_decision():
# if not tradable, continue
if not self.trade_exchange.is_stock_tradable(
stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
):
continue
# Don't peek the future information
# if not self.trade_exchange.is_stock_tradable(
# stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
# ):
# continue
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(
stock_id=order.stock_id, start_time=order.start_time, end_time=order.end_time
)