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fix exchange bug

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This commit is contained in:
wangwenxi.handsome
2021-08-15 14:17:26 +00:00
committed by you-n-g
parent f67b99a30e
commit 222c2fd21a
2 changed files with 23 additions and 22 deletions
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41
qlib/backtest/high_performance_ds.py
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@@ -116,12 +116,12 @@ class PandasQuote(BaseQuote):
raise ValueError(f"fields must be None, str or list")
def _if_single_data(self, start_time, end_time):
if end_time - start_time < np.timedelta64(1, 'm'):
if end_time - start_time < np.timedelta64(1, "m"):
return True
if start_time.hour == 11 and start_time.minute == 29 and start_time.second == 0:
return True
return True
if start_time.hour == 14 and start_time.minute == 59 and start_time.second == 0:
return True
return True
return False
@@ -152,10 +152,10 @@ class NumpyQuote(BaseQuote):
# lru
self.muti_lru = {}
self.max_lru_len = 256
def _to_numpy(self, quote_df):
"""convert dataframe to numpy.
"""
"""convert dataframe to numpy."""
quote_dict = {}
date_dict = {}
date_list = {}
@@ -166,7 +166,7 @@ class NumpyQuote(BaseQuote):
for stock_id in date_dict:
date_dict[stock_id] = dict(zip(date_dict[stock_id], range(len(date_dict[stock_id]))))
return quote_dict, date_dict, date_list
def get_all_stock(self):
return self.data.keys()
@@ -187,25 +187,26 @@ class NumpyQuote(BaseQuote):
# get muti row data
else:
# check lru
if (start_time, end_time, fields, method) in self.muti_lru:
return self.muti_lru[(start_time, end_time, fields, method)]
if (stock_id, start_time, end_time, fields, method) in self.muti_lru:
return self.muti_lru[(stock_id, start_time, end_time, fields, method)]
start_id = bisect.bisect_left(self.dates_list[stock_id], start_time)
end_id = bisect.bisect_right(self.dates_list[stock_id], end_time)
if start_id == end_id:
return None
# it used for check if data is None
if fields is None:
return self.data[stock_id][start_id: end_id]
agg_stock_data = self._agg_data(self.data[stock_id][start_id: end_id, self.columns[fields]], method)
return self.data[stock_id][start_id:end_id]
agg_stock_data = self._agg_data(self.data[stock_id][start_id:end_id, self.columns[fields]], method)
# result lru
self.muti_lru[(start_time, end_time, fields, method)] = agg_stock_data
if len(self.muti_lru) >= self.max_lru_len:
self.muti_lru = self.muti_lru[64:]
self.muti_lru[(stock_id, start_time, end_time, fields, method)] = agg_stock_data
return agg_stock_data
def _agg_data(self, data, method):
"""Agg data by specific method.
"""
"""Agg data by specific method."""
if method == "sum":
return data.sum()
if method == "mean":
@@ -215,11 +216,11 @@ class NumpyQuote(BaseQuote):
if method == "all":
return data.all()
if method == "any":
return data.any()
return data.any()
if method == ts_data_last:
valid_data = data[data != np.NaN]
if len(valid_data) == 0:
return None
return None
else:
return valid_data[0]
@@ -237,12 +238,12 @@ class NumpyQuote(BaseQuote):
bool
True means one piece of data to obtaine.
"""
if end_time - start_time < np.timedelta64(1, 'm'):
if end_time - start_time < np.timedelta64(1, "m"):
return True
if start_time.hour == 11 and start_time.minute == 29 and start_time.second == 0:
return True
return True
if start_time.hour == 14 and start_time.minute == 59 and start_time.second == 0:
return True
return True
return False

4
qlib/backtest/report.py
View File

@@ -390,8 +390,8 @@ class Indicator:
return None, None
if isinstance(price_s, (int, float)):
price_s = pd.Series(price_s, index=[trade_start_time])
price_s = pd.Series(price_s, index=[trade_start_time])
# NOTE: there are some zeros in the trading price. These cases are known meaningless
# for aligning the previous logic, remove it.
price_s = price_s[~(price_s < 1e-08)] # remove zero and negative values.