fix data format bug & twap peeking strategy

qlib/backtest/executor.py

@@ -405,7 +405,7 @@ class NestedExecutor(BaseExecutor):
                 execute_result.extend(_inner_execute_result)
 
                 inner_order_indicators.append(
-                    self.inner_executor.trade_account.get_trade_indicator().get_order_indicator()
+                    self.inner_executor.trade_account.get_trade_indicator().get_order_indicator(raw=True)
                 )
             else:
                 # do nothing and just step forward

qlib/backtest/high_performance_ds.py

@@ -3,7 +3,7 @@
 
 
 import logging
-from typing import List, Tuple, Union, Callable, Iterable, Dict
+from typing import List, Text, Tuple, Union, Callable, Iterable, Dict
 from collections import OrderedDict
 
 import inspect
@@ -280,6 +280,21 @@ class BaseOrderIndicator:
 
         pass
 
+    def to_series(self) -> Dict[Text, pd.Series]:
+        """return the metrics as pandas series
+
+        for example: { "ffr":
+                SH600068    NaN
+                SH600079    1.0
+                SH600266    NaN
+                           ...
+                SZ300692    NaN
+                SZ300719    NaN,
+                ...
+         }
+        """
+        raise NotImplementedError(f"Please implement the `to_series` method")
+
 
 class PandasSingleMetric:
     """Each SingleMetric is based on pd.Series."""
@@ -429,3 +444,6 @@ class PandasOrderIndicator(BaseOrderIndicator):
                 tmp_metric = tmp_metric.add(indicator.data[metric], fill_value)
             metric_dict[metric] = tmp_metric.metric
         return metric_dict
+
+    def to_series(self):
+        return {k: v.metric for k, v in self.data.items()}

qlib/backtest/report.py

@@ -274,8 +274,8 @@ class Indicator:
         # self._trade_calendar = trade_calendar
 
     def record(self, trade_start_time):
-        self.order_indicator_his[trade_start_time] = self.order_indicator.data
-        self.trade_indicator_his[trade_start_time] = self.trade_indicator
+        self.order_indicator_his[trade_start_time] = self.get_order_indicator()
+        self.trade_indicator_his[trade_start_time] = self.get_trade_indicator()
 
     def _update_order_trade_info(self, trade_info: list):
         amount = dict()
@@ -587,8 +587,10 @@ class Indicator:
                 )
             )
 
-    def get_order_indicator(self):
-        return self.order_indicator
+    def get_order_indicator(self, raw: bool = False):
+        if raw:
+            return self.order_indicator
+        return self.order_indicator.to_series()
 
     def get_trade_indicator(self):
         return self.trade_indicator

qlib/contrib/strategy/rule_strategy.py

@@ -63,11 +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
             )