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new high freq struc

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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
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20
qlib/backtest/report.py
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@@ -3,25 +3,19 @@
from collections import OrderedDict
from logging import warning
import pathlib
from typing import Dict, List, Tuple, Union, Callable
from typing import Dict, List, Tuple
import numpy as np
import pandas as pd
from pandas.core import groupby
from pandas.core.frame import DataFrame
from qlib.backtest.exchange import Exchange
from qlib.backtest.order import BaseTradeDecision, Order, OrderDir
from qlib.backtest.utils import TradeCalendarManager
from .high_performance_ds import PandasOrderIndicator, NumpyOrderIndicator
from ..utils.index_data import IndexData, SingleData
from ..data import D
from ..utils.index_data import IndexData, SingleData
from ..tests.config import CSI300_BENCH
from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
from ..utils.time import Freq
from .order import IdxTradeRange
@@ -391,9 +385,7 @@ class Indicator:
if price_s is None:
return None, None
if isinstance(price_s, pd.Series):
price_s = IndexData.Series(price_s)
elif isinstance(price_s, (int, float, np.floating)):
if isinstance(price_s, (int, float, np.signedinteger, np.floating)):
price_s = IndexData.Series(price_s, [trade_start_time])
elif isinstance(price_s, SingleData):
pass
@@ -479,10 +471,10 @@ class Indicator:
bv_new = IndexData.Series(bv_new)
bp_all.append(bp_new)
bv_all.append(bv_new)
bp_all = IndexData.concat(bp_all, axis = 1)
bv_all = IndexData.concat(bv_all, axis = 1)
bp_all = IndexData.concat(bp_all, axis=1)
bv_all = IndexData.concat(bv_all, axis=1)
base_volume = bv_all.sum(axis = 1)
base_volume = bv_all.sum(axis=1)
self.order_indicator.assign("base_volume", base_volume.to_dict())
self.order_indicator.assign("base_price", ((bp_all * bv_all).sum(axis=1) / base_volume).to_dict())