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Code Activity

Migrate NeuTrader to Qlib RL (#1169)

Browse Source 
* Refine previous version RL codes

* Polish utils/__init__.py

* Draft

* Use | instead of Union

* Simulator & action interpreter

* Test passed

* Migrate to SAOEState & new qlib interpreter

* Black format

* . Revert file_storage change

* Refactor file structure & renaming functions

* Enrich test cases

* Add QlibIntradayBacktestData

* Test interpreter

* Black format

* .

.

.

* Rename receive_execute_result()

* Use indicator to simplify state update

* Format code

* Modify data path

* Adjust file structure

* Minor change

* Add copyright message

* Format code

* Rename util functions

* Add CI

* Pylint issue

* Remove useless code to pass pylint

* Pass mypy

* Mypy issue

* mypy issue

* mypy issue

* Revert "mypy issue"

This reverts commit 8eb1b0174e.

* mypy issue

* mypy issue

* Fix the numpy version incompatible bug

* Fix a minor typing issue

* Try to skip python 3.7 test for qlib simulator

* Resolve PR comments by Yuge; solve several CI issues.

* Black issue

* Fix a low-level type error

* Change data name

* Resolve PR comments. Leave TODOs in the code base.

Co-authored-by: Young <afe.young@gmail.com>
This commit is contained in:
Huoran Li
2022-08-01 09:56:07 +08:00
committed by GitHub
parent 687edd79d0
commit 2752bdc92c
35 changed files with 1305 additions and 257 deletions
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5
tests/rl/test_saoe_simple.py
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@@ -9,7 +9,6 @@ from typing import NamedTuple
import numpy as np
import pandas as pd
import pytest
import torch
from tianshou.data import Batch
@@ -17,8 +16,8 @@ from qlib.backtest import Order
from qlib.config import C
from qlib.log import set_log_with_config
from qlib.rl.data import pickle_styled
from qlib.rl.trainer import backtest, train
from qlib.rl.order_execution import *
from qlib.rl.trainer import backtest, train
from qlib.rl.utils import ConsoleWriter, CsvWriter, EnvWrapperStatus
pytestmark = pytest.mark.skipif(sys.version_info < (3, 8), reason="Pickle styled data only supports Python >= 3.8")
@@ -38,7 +37,7 @@ CN_POLICY_WEIGHTS_DIR = CN_DATA_DIR / "weights"
def test_pickle_data_inspect():
data = pickle_styled.load_intraday_backtest_data(BACKTEST_DATA_DIR, "AAL", "2013-12-11", "close", 0)
data = pickle_styled.load_simple_intraday_backtest_data(BACKTEST_DATA_DIR, "AAL", "2013-12-11", "close", 0)
assert len(data) == 390
data = pickle_styled.load_intraday_processed_data(