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fix little bug

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wangwenxi.handsome
2021-07-23 05:50:41 +00:00
parent 2c8a3ded08
commit 0ec6b87d39
3 changed files with 32 additions and 29 deletions
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2
qlib/backtest/exchange.py
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@@ -15,7 +15,7 @@ from ..config import C, REG_CN
from ..utils.resam import resam_ts_data, ts_data_last from ..utils.resam import resam_ts_data, ts_data_last
from ..log import get_module_logger from ..log import get_module_logger
from .order import Order, OrderDir, OrderHelper from .order import Order, OrderDir, OrderHelper
from .high_performane_ds import PandasQuote from .high_performance_ds import PandasQuote
class Exchange: class Exchange:

53
qlib/backtest/high_performance_ds.py
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@@ -25,6 +25,7 @@ class BaseQuote:
Iterable Iterable
all stock codes all stock codes
""" """
raise NotImplementedError(f"Please implement the `get_all_stock` method") raise NotImplementedError(f"Please implement the `get_all_stock` method")
def get_data( def get_data(
@@ -119,76 +120,80 @@ class BaseSingleMetric:
""" """
def __init__(self, metric: Union[dict, pd.Series]): def __init__(self, metric: Union[dict, pd.Series]):
pass raise NotImplementedError(f"Please implement the `__init__` method")
def __add__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric": def __add__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
pass raise NotImplementedError(f"Please implement the `__add__` method")
def __radd__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric": def __radd__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
return self + other return self + other
def __sub__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric": def __sub__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
pass raise NotImplementedError(f"Please implement the `__sub__` method")
def __rsub__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric": def __rsub__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
pass raise NotImplementedError(f"Please implement the `__rsub__` method")
def __mul__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric": def __mul__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
pass raise NotImplementedError(f"Please implement the `__mul__` method")
def __truediv__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric": def __truediv__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
pass raise NotImplementedError(f"Please implement the `__truediv__` method")
def __eq__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric": def __eq__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
pass raise NotImplementedError(f"Please implement the `__eq__` method")
def __gt__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric": def __gt__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
pass raise NotImplementedError(f"Please implement the `__gt__` method")
def __lt__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric": def __lt__(self, other: Union["BaseSingleMetric", int, float]) -> "BaseSingleMetric":
pass raise NotImplementedError(f"Please implement the `__lt__` method")
def __len__(self) -> int: def __len__(self) -> int:
pass raise NotImplementedError(f"Please implement the `__len__` method")
def sum(self) -> float: def sum(self) -> float:
pass raise NotImplementedError(f"Please implement the `sum` method")
def mean(self) -> float: def mean(self) -> float:
pass raise NotImplementedError(f"Please implement the `mean` method")
def count(self) -> int: def count(self) -> int:
pass """Return the count of the single metric, NaN is not included.
"""
raise NotImplementedError(f"Please implement the `count` method")
def abs(self) -> "BaseSingleMetric": def abs(self) -> "BaseSingleMetric":
pass raise NotImplementedError(f"Please implement the `abs` method")
def astype(self, type: type) -> "BaseSingleMetric": def astype(self, type: type) -> "BaseSingleMetric":
pass raise NotImplementedError(f"Please implement the `astype` method")
@property @property
def empty(self) -> bool: def empty(self) -> bool:
"""If metric is empyt, return True.""" """If metric is empyt, return True."""
pass raise NotImplementedError(f"Please implement the `empty` method")
def add(self, other: "BaseSingleMetric", fill_value: float = None) -> "BaseSingleMetric": def add(self, other: "BaseSingleMetric", fill_value: float = None) -> "BaseSingleMetric":
"""Replace np.NaN with fill_value in two metrics and add them.""" """Replace np.NaN with fill_value in two metrics and add them."""
pass raise NotImplementedError(f"Please implement the `add` method")
def apply(self, map_dict: dict) -> "BaseSingleMetric": def map(self, map_dict: dict) -> "BaseSingleMetric":
"""Replace the value of metric according to map_dict.""" """Replace the value of metric according to map_dict."""
pass raise NotImplementedError(f"Please implement the `map` method")
class BaseOrderIndicator: class BaseOrderIndicator:
""" """
The data structure of order indicator. The data structure of order indicator.
!!!NOTE: There are two ways to organize the data structure. Please choose a better way. !!!NOTE: There are two ways to organize the data structure. Please choose a better way.
1. one way is use BaseSingleMetric to represent each metric. For example, the data 1. One way is using BaseSingleMetric to represent each metric. For example, the data
structure of PandasOrderIndicator is Dict[str: PandasSingleMetric]. It uses structure of PandasOrderIndicator is Dict[str, PandasSingleMetric]. It uses
PandasSingleMetric based on pd.Series to represent each metric. PandasSingleMetric based on pd.Series to represent each metric.
2. the another way doesn't BaseSingleMetric to represent each metric. The data 2. The another way doesn't use BaseSingleMetric to represent each metric. The data
structure of PandasOrderIndicator is a whole matrix. structure of PandasOrderIndicator is a whole matrix. It means you are not neccesary
to inherit the BaseSingleMetric.
""" """
def assign(self, col: str, metric: Union[dict, pd.Series]): def assign(self, col: str, metric: Union[dict, pd.Series]):
@@ -367,7 +372,7 @@ class PandasSingleMetric:
def add(self, other, fill_value=None): def add(self, other, fill_value=None):
return PandasSingleMetric(self.metric.add(other.metric, fill_value=fill_value)) return PandasSingleMetric(self.metric.add(other.metric, fill_value=fill_value))
def apply(self, map_dict: dict): def map(self, map_dict: dict):
return PandasSingleMetric(self.metric.apply(map_dict)) return PandasSingleMetric(self.metric.apply(map_dict))

6
qlib/backtest/report.py
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@@ -6,8 +6,6 @@ from collections import OrderedDict
from logging import warning from logging import warning
import pathlib import pathlib
from typing import Dict, List, Tuple, Union, Callable from typing import Dict, List, Tuple, Union, Callable
import warnings
import inspect
import numpy as np import numpy as np
import pandas as pd import pandas as pd
@@ -18,7 +16,7 @@ from qlib.backtest.exchange import Exchange
from qlib.backtest.order import BaseTradeDecision, Order, OrderDir from qlib.backtest.order import BaseTradeDecision, Order, OrderDir
from qlib.backtest.utils import TradeCalendarManager from qlib.backtest.utils import TradeCalendarManager
from .high_performane_ds import PandasOrderIndicator from .high_performance_ds import PandasOrderIndicator
from ..data import D from ..data import D
from ..tests.config import CSI300_BENCH from ..tests.config import CSI300_BENCH
from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
@@ -329,7 +327,7 @@ class Indicator:
self.order_indicator.transfer(func, "trade_price") self.order_indicator.transfer(func, "trade_price")
def func_apply(trade_dir): def func_apply(trade_dir):
return trade_dir.apply(Order.parse_dir) return trade_dir.map(Order.parse_dir)
self.order_indicator.transfer(func_apply, "trade_dir") self.order_indicator.transfer(func_apply, "trade_dir")