Qlib simulator refinement (redo of PR 1244) (#1262)

* Use dict-like configuration

* Rename from_neutrader to integration

* SAOE strategy

* Optimize file structure

* Optimize code

* Format code

* create_state_maintainer_recursive

* Remove explicit time_per_step

* CI test passed

* Resolve PR comments

* Pass all CI

* Minor test issue

* Refine SAOE adapter logic

* Minor bugfix

* Cherry pick updates

* Resolve PR comments

* CI issues

* Refine adapter & saoe_data logic

* Resolve PR comments

* Resolve PR comments

* Rename ONE_SEC to EPS_T; complete backtest loop

* CI issue

* Resolve Yuge's PR comments

qlib/backtest/__init__.py

@@ -345,4 +345,4 @@ def format_decisions(
     return res
 
 
-__all__ = ["Order", "backtest"]
+__all__ = ["Order", "backtest", "get_strategy_executor"]

qlib/backtest/backtest.py

@@ -83,7 +83,9 @@ def collect_data_loop(
         while not trade_executor.finished():
             _trade_decision: BaseTradeDecision = trade_strategy.generate_trade_decision(_execute_result)
             _execute_result = yield from trade_executor.collect_data(_trade_decision, level=0)
+            trade_strategy.post_exe_step(_execute_result)
             bar.update(1)
+        trade_strategy.post_upper_level_exe_step()
 
     if return_value is not None:
         all_executors = trade_executor.get_all_executors()

qlib/backtest/decision.py

@@ -135,6 +135,21 @@ class Order:
         else:
             raise NotImplementedError(f"This type of input is not supported")
 
+    @property
+    def key_by_day(self) -> tuple:
+        """A hashable & unique key to identify this order, under the granularity in day."""
+        return self.stock_id, self.date, self.direction
+
+    @property
+    def key(self) -> tuple:
+        """A hashable & unique key to identify this order."""
+        return self.stock_id, self.start_time, self.end_time, self.direction
+
+    @property
+    def date(self) -> pd.Timestamp:
+        """Date of the order."""
+        return pd.Timestamp(self.start_time.replace(hour=0, minute=0, second=0))
+
 
 class OrderHelper:
     """

qlib/backtest/executor.py

@@ -114,7 +114,7 @@ class BaseExecutor:
         self.track_data = track_data
         self._trade_exchange = trade_exchange
         self.level_infra = LevelInfrastructure()
-        self.level_infra.reset_infra(common_infra=common_infra)
+        self.level_infra.reset_infra(common_infra=common_infra, executor=self)
         self._settle_type = settle_type
         self.reset(start_time=start_time, end_time=end_time, common_infra=common_infra)
         if common_infra is None:
@@ -134,6 +134,8 @@ class BaseExecutor:
         else:
             self.common_infra.update(common_infra)
 
+        self.level_infra.reset_infra(common_infra=self.common_infra)
+
         if common_infra.has("trade_account"):
             # NOTE: there is a trick in the code.
             # shallow copy is used instead of deepcopy.
@@ -256,6 +258,7 @@ class BaseExecutor:
         object
             trade decision
         """
+
         if self.track_data:
             yield trade_decision
 
@@ -296,6 +299,7 @@ class BaseExecutor:
 
         if return_value is not None:
             return_value.update({"execute_result": res})
+
         return res
 
     def get_all_executors(self) -> List[BaseExecutor]:
@@ -396,7 +400,7 @@ class NestedExecutor(BaseExecutor):
             trade_decision = updated_trade_decision
             # NEW UPDATE
             # create a hook for inner strategy to update outer decision
-            self.inner_strategy.alter_outer_trade_decision(trade_decision)
+            trade_decision = self.inner_strategy.alter_outer_trade_decision(trade_decision)
         return trade_decision
 
     def _collect_data(
@@ -473,6 +477,9 @@ class NestedExecutor(BaseExecutor):
                 # do nothing and just step forward
                 sub_cal.step()
 
+        # Let inner strategy know that the outer level execution is done.
+        self.inner_strategy.post_upper_level_exe_step()
+
         return execute_result, {"inner_order_indicators": inner_order_indicators, "decision_list": decision_list}
 
     def post_inner_exe_step(self, inner_exe_res: List[object]) -> None:

qlib/backtest/utils.py

@@ -3,9 +3,8 @@
 
 from __future__ import annotations
 
-import bisect
 from abc import abstractmethod
-from typing import TYPE_CHECKING, Any, Set, Tuple, Union
+from typing import Any, Set, Tuple, TYPE_CHECKING, Union
 
 import numpy as np
 
@@ -184,8 +183,8 @@ class TradeCalendarManager:
         Tuple[int, int]:
             the index of the range.  **the left and right are closed**
         """
-        left = bisect.bisect_right(list(self._calendar), start_time) - 1
-        right = bisect.bisect_right(list(self._calendar), end_time) - 1
+        left = np.searchsorted(self._calendar, start_time, side="right") - 1
+        right = np.searchsorted(self._calendar, end_time, side="right") - 1
         left -= self.start_index
         right -= self.start_index
 
@@ -248,7 +247,7 @@ class LevelInfrastructure(BaseInfrastructure):
         sub_level_infra:
         - **NOTE**: this will only work after _init_sub_trading !!!
         """
-        return {"trade_calendar", "sub_level_infra", "common_infra"}
+        return {"trade_calendar", "sub_level_infra", "common_infra", "executor"}
 
     def reset_cal(
         self,