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fix data format bug & twap peeking strategy

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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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2
qlib/backtest/executor.py
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@@ -405,7 +405,7 @@ class NestedExecutor(BaseExecutor):
execute_result.extend(_inner_execute_result) execute_result.extend(_inner_execute_result)
inner_order_indicators.append( 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: else:
# do nothing and just step forward # do nothing and just step forward

20
qlib/backtest/high_performance_ds.py
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@@ -3,7 +3,7 @@
import logging 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 from collections import OrderedDict
import inspect import inspect
@@ -280,6 +280,21 @@ class BaseOrderIndicator:
pass 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: class PandasSingleMetric:
"""Each SingleMetric is based on pd.Series.""" """Each SingleMetric is based on pd.Series."""
@@ -429,3 +444,6 @@ class PandasOrderIndicator(BaseOrderIndicator):
tmp_metric = tmp_metric.add(indicator.data[metric], fill_value) tmp_metric = tmp_metric.add(indicator.data[metric], fill_value)
metric_dict[metric] = tmp_metric.metric metric_dict[metric] = tmp_metric.metric
return metric_dict return metric_dict
def to_series(self):
return {k: v.metric for k, v in self.data.items()}

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

10
qlib/contrib/strategy/rule_strategy.py
View File

@@ -63,11 +63,11 @@ class TWAPStrategy(BaseStrategy):
trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step) trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
order_list = [] order_list = []
for order in self.outer_trade_decision.get_decision(): for order in self.outer_trade_decision.get_decision():
# if not tradable, continue # Don't peek the future information
if not self.trade_exchange.is_stock_tradable( # if not self.trade_exchange.is_stock_tradable(
stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time # stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
): # ):
continue # continue
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit( _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 stock_id=order.stock_id, start_time=order.start_time, end_time=order.end_time
) )