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fix: gen_training_orders.py bugs

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Linlang
2025-09-26 12:14:49 +08:00
parent 7d66e4b788
commit 209f208ff6
1 changed files with 3 additions and 3 deletions
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6
examples/rl_order_execution/scripts/gen_training_orders.py
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@@ -17,11 +17,11 @@ def generate_order(stock: str, start_idx: int, end_idx: int) -> bool:
if len(df) == 0 or df.isnull().values.any() or min(df["$volume0"]) < 1e-5: if len(df) == 0 or df.isnull().values.any() or min(df["$volume0"]) < 1e-5:
return False return False
df["date"] = df["datetime"].dt.date.astype("datetime64") df["date"] = df["datetime"].dt.date.astype("datetime64[ns]")
df = df.set_index(["instrument", "datetime", "date"]) df = df.set_index(["instrument", "datetime", "date"])
df = df.groupby("date", group_keys=False).take(range(start_idx, end_idx)).droplevel(level=0) df = df.groupby("date", group_keys=True).take(range(start_idx, end_idx)).droplevel(level=0)
order_all = pd.DataFrame(df.groupby(level=(2, 0), group_keys=False).mean().dropna()) order_all = pd.DataFrame(df.groupby(level=(2, 0), group_keys=True).mean().dropna())
order_all["amount"] = np.random.lognormal(-3.28, 1.14) * order_all["$volume0"] order_all["amount"] = np.random.lognormal(-3.28, 1.14) * order_all["$volume0"]
order_all = order_all[order_all["amount"] > 0.0] order_all = order_all[order_all["amount"] > 0.0]
order_all["order_type"] = 0 order_all["order_type"] = 0