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fix data format bug & twap peeking strategy

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This commit is contained in:
Young
2021-07-27 14:16:18 +00:00
parent ba1c575aa9
commit 0d41ca26ab
4 changed files with 31 additions and 11 deletions
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10
qlib/backtest/report.py
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@@ -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