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simpson vwap

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This commit is contained in:
bxdd
2021-01-26 14:32:08 +00:00
parent e4ecea55e4
commit 1b569d371d
3 changed files with 78 additions and 65 deletions
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54
examples/high_freq/highfreq_handler.py
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@@ -7,7 +7,7 @@ from qlib.log import TimeInspector
class HighFreqHandler(DataHandlerLP):
def __init__(
self,
instruments="csi500",
instruments="csi300",
start_time=None,
end_time=None,
freq="1min",
@@ -55,8 +55,10 @@ class HighFreqHandler(DataHandlerLP):
names = []
template_if = "If(IsNull({1}), {0}, {1})"
template_paused = "Select(Eq($paused, 0.0), {0})"
#template_paused = "Select(Eq($paused, 0.0), {0})"
template_paused="{0}"
template_fillnan = "FFillNan({0})"
simpson_vwap = "($open + 2*$high + 2*$low + $close)/6"
fields += [
"{0}/Ref(DayLast({1}), 240)".format(
template_if.format(
@@ -87,11 +89,9 @@ class HighFreqHandler(DataHandlerLP):
fields += ["{0}/Ref(DayLast({0}), 240)".format(template_fillnan.format(template_paused.format("$close")))]
fields += [
"{0}/Ref(DayLast({1}), 240)".format(
"If(IsNull({1}), {0}, If(Or(Or(Or(Eq({1}, np.inf), Eq({1}, -np.inf)), Eq({1}, 0)), Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2})))), {0}, {1}))".format(
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format("$vwap"),
template_paused.format("$low"),
template_paused.format("$high"),
template_paused.format(simpson_vwap),
),
template_fillnan.format(template_paused.format("$close")),
)
@@ -128,13 +128,12 @@ class HighFreqHandler(DataHandlerLP):
fields += [
"Ref({0}, 240)/Ref(DayLast({0}), 240)".format(template_fillnan.format(template_paused.format("$close")))
]
fields += [
"Ref({0}, 240)/Ref(DayLast({1}), 240)".format(
"If(IsNull({1}), {0}, If(Or(Or(Or(Eq({1}, np.inf), Eq({1}, -np.inf)), Eq({1}, 0)), Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2})))), {0}, {1}))".format(
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format("$vwap"),
template_paused.format("$low"),
template_paused.format("$high"),
template_paused.format(simpson_vwap),
),
template_fillnan.format(template_paused.format("$close")),
)
@@ -143,10 +142,9 @@ class HighFreqHandler(DataHandlerLP):
fields += [
"{0}/Ref(DayLast(Mean({0}, 7200)), 240)".format(
"If(IsNull({1}), 0, If(Or(Gt({2}, Mul(1.001, {4})), Lt({2}, Mul(0.999, {3}))), 0, {1}))".format(
template_fillnan.format(template_paused.format("$close")),
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
template_paused.format("$volume"),
template_paused.format("$vwap"),
template_paused.format(simpson_vwap),
template_paused.format("$low"),
template_paused.format("$high"),
)
@@ -155,10 +153,9 @@ class HighFreqHandler(DataHandlerLP):
names += ["$volume"]
fields += [
"Ref({0}, 240)/Ref(DayLast(Mean({0}, 7200)), 240)".format(
"If(IsNull({1}), 0, If(Or(Gt({2}, Mul(1.001, {4})), Lt({2}, Mul(0.999, {3}))), 0, {1}))".format(
template_fillnan.format(template_paused.format("$close")),
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
template_paused.format("$volume"),
template_paused.format("$vwap"),
template_paused.format(simpson_vwap),
template_paused.format("$low"),
template_paused.format("$high"),
)
@@ -199,21 +196,26 @@ class HighFreqBacktestHandler(DataHandler):
names = []
template_if = "If(Eq({1}, np.nan), {0}, {1})"
template_paused = "Select(Eq($paused, 0.0), {0})"
#template_paused = "Select(Eq($paused, 0.0), {0})"
template_paused="{0}"
template_fillnan = "FFillNan({0})"
simpson_vwap = "($open + 2*$high + 2*$low + $close)/6"
#fields += [
# template_fillnan.format(template_paused.format("$close")),
#]
fields += [template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(simpson_vwap),
)]
names += ["$vwap_0"]
fields += [
template_fillnan.format(template_paused.format("$close")),
]
names += ["$vwap0"]
fields += [
"If(Eq({1}, np.nan), 0, If(Or(Gt({2}, Mul(1.001, {4})), Lt({2}, Mul(0.999, {3}))), 0, {1}))".format(
template_fillnan.format(template_paused.format("$close")),
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
template_paused.format("$volume"),
template_paused.format("$vwap"),
template_paused.format(simpson_vwap),
template_paused.format("$low"),
template_paused.format("$high"),
)
]
names += ["$volume0"]
names += ["$volume_0"]
return fields, names