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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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20
qlib/backtest/exchange.py
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@@ -281,27 +281,27 @@ class Exchange:
return trade_val, trade_cost, trade_price
def get_quote_info(self, stock_id, start_time, end_time):
return resam_ts_data(self.quote[stock_id], start_time, end_time, method=ts_data_last)
def get_quote_info(self, stock_id, start_time, end_time, method=ts_data_last):
return resam_ts_data(self.quote[stock_id], start_time, end_time, method=method)
def get_close(self, stock_id, start_time, end_time):
return resam_ts_data(self.quote[stock_id]["$close"], start_time, end_time, method=ts_data_last)
def get_close(self, stock_id, start_time, end_time, method=ts_data_last):
return resam_ts_data(self.quote[stock_id]["$close"], start_time, end_time, method=method)
def get_volume(self, stock_id, start_time, end_time):
return resam_ts_data(self.quote[stock_id]["$volume"], start_time, end_time, method="sum")
def get_volume(self, stock_id, start_time, end_time, method="sum"):
return resam_ts_data(self.quote[stock_id]["$volume"], start_time, end_time, method=method)
def get_deal_price(self, stock_id, start_time, end_time, direction: OrderDir):
def get_deal_price(self, stock_id, start_time, end_time, direction: OrderDir, method=ts_data_last):
if direction == OrderDir.SELL:
pstr = self.sell_price
elif direction == OrderDir.BUY:
pstr = self.buy_price
else:
raise NotImplementedError(f"This type of input is not supported")
deal_price = resam_ts_data(self.quote[stock_id][pstr], start_time, end_time, method=ts_data_last)
if np.isclose(deal_price, 0.0) or np.isnan(deal_price):
deal_price = resam_ts_data(self.quote[stock_id][pstr], start_time, end_time, method=method)
if method is not None and (np.isclose(deal_price, 0.0) or np.isnan(deal_price)):
self.logger.warning(f"(stock_id:{stock_id}, trade_time:{(start_time, end_time)}, {pstr}): {deal_price}!!!")
self.logger.warning(f"setting deal_price to close price")
deal_price = self.get_close(stock_id, start_time, end_time)
deal_price = self.get_close(stock_id, start_time, end_time, method)
return deal_price
def get_factor(self, stock_id, start_time, end_time) -> Union[float, None]: