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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
This commit is contained in:
Huoran Li
2022-08-24 14:09:45 +08:00
committed by GitHub
parent e78fe48a26
commit 1d65d28b28
26 changed files with 1009 additions and 772 deletions

View File

@@ -2,6 +2,11 @@
# Licensed under the MIT License.
# REGION CONST
from typing import TypeVar
import numpy as np
import pandas as pd
REG_CN = "cn"
REG_US = "us"
REG_TW = "tw"
@@ -10,4 +15,8 @@ REG_TW = "tw"
EPS = 1e-12
# Infinity in integer
INF = 10**18
INF = int(1e18)
ONE_DAY = pd.Timedelta("1day")
ONE_MIN = pd.Timedelta("1min")
EPS_T = pd.Timedelta("1s") # use 1 second to exclude the right interval point
float_or_ndarray = TypeVar("float_or_ndarray", float, np.ndarray)