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fix calculating base_price

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Young
2021-07-08 05:54:36 +00:00
parent e8f5a1e491
commit 17d8b8a7cc
4 changed files with 133 additions and 60 deletions
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12
qlib/backtest/account.py
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@@ -3,6 +3,7 @@
import copy
from typing import Dict, List
from qlib.utils import init_instance_by_config
import warnings
import pandas as pd
@@ -248,7 +249,7 @@ class Account:
atomic: bool,
outer_trade_decision: BaseTradeDecision,
trade_info: list = None,
inner_order_indicators: Indicator = None,
inner_order_indicators: List[Dict[str, pd.Series]] = None,
indicator_config: dict = {},
):
"""update account at each trading bar step
@@ -292,10 +293,15 @@ class Account:
self.indicator.clear()
if atomic:
self.indicator.update_order_indicators(trade_start_time, trade_end_time, trade_info, trade_exchange)
self.indicator.update_order_indicators(trade_info)
else:
self.indicator.agg_order_indicators(
inner_order_indicators, indicator_config=indicator_config, outer_trade_decision=outer_trade_decision
trade_start_time,
trade_end_time,
inner_order_indicators,
outer_trade_decision=outer_trade_decision,
trade_exchange=trade_exchange,
indicator_config=indicator_config,
)
self.indicator.cal_trade_indicators(trade_start_time, self.freq, indicator_config)