liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-06 20:41:09 +08:00
Code Activity

new high freq struc

Browse Source
This commit is contained in:
wangwenxi.handsome
2021-08-26 15:54:19 +00:00
committed by you-n-g
parent d9ad8ff791
commit 25f54ddaeb
6 changed files with 151 additions and 145 deletions
Download Patch File Download Diff File Expand all files Collapse all files

9
qlib/backtest/exchange.py
View File

@@ -9,19 +9,16 @@ if TYPE_CHECKING:
from qlib.backtest.position import BasePosition, Position
import random
import logging
from typing import List, Tuple, Union, Callable, Iterable
from typing import List, Tuple, Union
import numpy as np
import pandas as pd
from ..data.data import D
from ..data.dataset.utils import get_level_index
from ..config import C, REG_CN
from ..utils.resam import resam_ts_data, ts_data_last
from ..log import get_module_logger
from .order import Order, OrderDir, OrderHelper
from .high_performance_ds import PandasQuote, CN1Min_NumpyQuote
from .high_performance_ds import PandasQuote, CN1min_NumpyQuote
class Exchange:
@@ -39,7 +36,7 @@ class Exchange:
close_cost=0.0025,
min_cost=5,
extra_quote=None,
quote_cls=PandasQuote,
quote_cls=CN1min_NumpyQuote,
**kwargs,
):
"""__init__