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optimize_CI (#1314)

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Linlang
2022-10-20 08:38:05 +08:00
committed by GitHub
parent 3c62d131a5
commit 1861c8edaf
11 changed files with 70 additions and 78 deletions
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20
examples/rl/scripts/gen_backtest_orders.py
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@@ -22,19 +22,21 @@ instruments = sorted(set(df["instrument"]))
df_list = []
for instrument in instruments:
print(instrument)
cur_df = df[df["instrument"] == instrument]
dates = sorted(set([str(d).split(" ")[0] for d in cur_df["date"]]))
n = args.num_order
df_list.append(
pd.DataFrame({
"date": sorted(np.random.choice(dates, size=n, replace=False)),
"instrument": [instrument] * n,
"amount": np.random.randint(low=3, high=11, size=n) * 100.0,
"order_type": np.random.randint(low=0, high=2, size=n),
}).set_index(["date", "instrument"]),
pd.DataFrame(
{
"date": sorted(np.random.choice(dates, size=n, replace=False)),
"instrument": [instrument] * n,
"amount": np.random.randint(low=3, high=11, size=n) * 100.0,
"order_type": np.random.randint(low=0, high=2, size=n),
}
).set_index(["date", "instrument"]),
)
total_df = pd.concat(df_list)