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black format & add comments & add randStrategy direction

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This commit is contained in:
Young
2021-06-28 08:16:51 +00:00
committed by you-n-g
parent 72c9593aa7
commit 27f0db669f
13 changed files with 132 additions and 102 deletions
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8
qlib/contrib/strategy/model_strategy.py
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@@ -15,6 +15,7 @@ class TopkDropoutStrategy(ModelStrategy):
# TODO:
# 1. Supporting leverage the get_range_limit result from the decision
# 2. Supporting alter_outer_trade_decision
# 3. Supporting checking the availability of trade decision
def __init__(
self,
model,
@@ -104,7 +105,7 @@ class TopkDropoutStrategy(ModelStrategy):
pred_start_time, pred_end_time = self.trade_calendar.get_step_time(trade_step, shift=1)
pred_score = resam_ts_data(self.pred_scores, start_time=pred_start_time, end_time=pred_end_time, method="last")
if pred_score is None:
return []
return TradeDecisionWO([], self)
if self.only_tradable:
# If The strategy only consider tradable stock when make decision
# It needs following actions to filter stocks
@@ -256,6 +257,7 @@ class WeightStrategyBase(ModelStrategy):
# TODO:
# 1. Supporting leverage the get_range_limit result from the decision
# 2. Supporting alter_outer_trade_decision
# 3. Supporting checking the availability of trade decision
def __init__(
self,
model,
@@ -332,9 +334,9 @@ class WeightStrategyBase(ModelStrategy):
pred_start_time, pred_end_time = self.trade_calendar.get_step_time(trade_step, shift=1)
pred_score = resam_ts_data(self.pred_scores, start_time=pred_start_time, end_time=pred_end_time, method="last")
if pred_score is None:
return []
return TradeDecisionWO([], self)
current_temp = copy.deepcopy(self.trade_position)
assert(isinstance(current_temp, Position)) # Avoid InfPosition
assert isinstance(current_temp, Position) # Avoid InfPosition
target_weight_position = self.generate_target_weight_position(
score=pred_score, current=current_temp, trade_start_time=trade_start_time, trade_end_time=trade_end_time

73
qlib/contrib/strategy/rule_strategy.py
View File

@@ -102,7 +102,7 @@ class TWAPStrategy(BaseStrategy):
trade_step = self.trade_calendar.get_trade_step()
# get the total count of trading step
start_idx, end_idx = get_start_end_idx(self, self.outer_trade_decision)
trade_len = end_idx - start_idx + 1
trade_len = end_idx - start_idx + 1
if trade_step < start_idx:
# It is not time to start trading
@@ -137,12 +137,16 @@ class TWAPStrategy(BaseStrategy):
# calculate the amount of one part, ceil the amount
# floor((trade_unit_cnt + trade_len - rel_trade_step) / (trade_len - rel_trade_step + 1)) == ceil(trade_unit_cnt / (trade_len - rel_trade_step + 1))
_order_amount = (
(trade_unit_cnt + trade_len - rel_trade_step - 1) // (trade_len - rel_trade_step) * _amount_trade_unit
(trade_unit_cnt + trade_len - rel_trade_step - 1)
// (trade_len - rel_trade_step)
* _amount_trade_unit
)
if order.direction == order.SELL:
# sell all amount at last
if self.trade_amount[order.stock_id] > 1e-5 and (_order_amount < 1e-5 or rel_trade_step == trade_len - 1):
if self.trade_amount[order.stock_id] > 1e-5 and (
_order_amount < 1e-5 or rel_trade_step == trade_len - 1
):
_order_amount = self.trade_amount[order.stock_id]
_order_amount = min(_order_amount, self.trade_amount[order.stock_id])
@@ -173,6 +177,7 @@ class SBBStrategyBase(BaseStrategy):
# TODO:
# 1. Supporting leverage the get_range_limit result from the decision
# 2. Supporting alter_outer_trade_decision
# 3. Supporting checking the availability of trade decision
def __init__(
self,
@@ -225,8 +230,7 @@ class SBBStrategyBase(BaseStrategy):
self.trade_trend = {}
self.trade_amount = {}
# init the trade amount of order and predicted trade trend
outer_order_generator = outer_trade_decision.generator()
for order in outer_order_generator:
for order in outer_trade_decision.get_decision():
self.trade_trend[order.stock_id] = self.TREND_MID
self.trade_amount[order.stock_id] = order.amount
@@ -248,8 +252,7 @@ class SBBStrategyBase(BaseStrategy):
pred_start_time, pred_end_time = self.trade_calendar.get_step_time(trade_step, shift=1)
order_list = []
# for each order in in self.outer_trade_decision
outer_order_generator = self.outer_trade_decision.generator(only_enable=True)
for order in outer_order_generator:
for order in self.outer_trade_decision.get_decision():
# get the price trend
if trade_step % 2 == 0:
# in the first of two adjacent bars, predict the price trend
@@ -379,9 +382,11 @@ class SBBStrategyEMA(SBBStrategyBase):
"""
(S)elect the (B)etter one among every two adjacent trading (B)ars to sell or buy with (EMA) signal.
"""
# TODO:
# 1. Supporting leverage the get_range_limit result from the decision
# 2. Supporting alter_outer_trade_decision
# 3. Supporting checking the availability of trade decision
def __init__(
self,
@@ -463,6 +468,7 @@ class ACStrategy(BaseStrategy):
# TODO:
# 1. Supporting leverage the get_range_limit result from the decision
# 2. Supporting alter_outer_trade_decision
# 3. Supporting checking the availability of trade decision
def __init__(
self,
lamb: float = 1e-6,
@@ -555,8 +561,7 @@ class ACStrategy(BaseStrategy):
if outer_trade_decision is not None:
self.trade_amount = {}
# init the trade amount of order and predicted trade trend
outer_order_generator = outer_trade_decision.generator()
for order in outer_order_generator:
for order in outer_trade_decision.get_decision():
self.trade_amount[order.stock_id] = order.amount
def generate_trade_decision(self, execute_result=None):
@@ -564,8 +569,6 @@ class ACStrategy(BaseStrategy):
trade_step = self.trade_calendar.get_trade_step()
# get the total count of trading step
trade_len = self.trade_calendar.get_trade_len()
# update outer trade decision
self.outer_trade_decision.update(self.trade_calendar)
# update the order amount
if execute_result is not None:
@@ -575,8 +578,7 @@ class ACStrategy(BaseStrategy):
trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
pred_start_time, pred_end_time = self.trade_calendar.get_step_time(trade_step, shift=1)
order_list = []
outer_order_generator = self.outer_trade_decision.generator(only_enable=True)
for order in outer_order_generator:
for order in self.outer_trade_decision.get_decision():
# if not tradable, continue
if not self.trade_exchange.is_stock_tradable(
stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
@@ -638,14 +640,16 @@ class ACStrategy(BaseStrategy):
class RandomOrderStrategy(BaseStrategy):
def __init__(self,
index_range: Tuple[int, int], # The range is closed on both left and right.
sample_ratio: float = 1.,
volume_ratio: float = 0.01,
market: str = "all",
*args,
**kwargs):
def __init__(
self,
index_range: Tuple[int, int], # The range is closed on both left and right.
sample_ratio: float = 1.0,
volume_ratio: float = 0.01,
market: str = "all",
direction: int = Order.BUY,
*args,
**kwargs,
):
"""
Parameters
----------
@@ -667,9 +671,12 @@ class RandomOrderStrategy(BaseStrategy):
self.sample_ratio = sample_ratio
self.volume_ratio = volume_ratio
self.market = market
self.direction = direction
exch: Exchange = self.common_infra.get("trade_exchange")
# TODO: this can't be online
self.volume = D.features(D.instruments(market), ["Mean(Ref($volume, 1), 10)"], start_time=exch.start_time, end_time=exch.end_time)
self.volume = D.features(
D.instruments(market), ["Mean(Ref($volume, 1), 10)"], start_time=exch.start_time, end_time=exch.end_time
)
self.volume_df = self.volume.iloc[:, 0].unstack()
def generate_trade_decision(self, execute_result=None):
@@ -677,15 +684,15 @@ class RandomOrderStrategy(BaseStrategy):
step_time_start, step_time_end = self.trade_calendar.get_step_time(trade_step)
order_list = []
for direction in Order.SELL, Order.BUY:
if step_time_start in self.volume_df:
for stock_id, volume in self.volume_df[step_time_start].dropna().sample(frac=self.sample_ratio).items():
order_list.append(
self.common_infra.get("trade_exchange").create_order(
code=stock_id,
amount=volume * self.volume_ratio,
start_time=step_time_start,
end_time=step_time_end,
direction=direction, # 1 for buy
))
if step_time_start in self.volume_df:
for stock_id, volume in self.volume_df[step_time_start].dropna().sample(frac=self.sample_ratio).items():
order_list.append(
self.common_infra.get("trade_exchange").create_order(
code=stock_id,
amount=volume * self.volume_ratio,
start_time=step_time_start,
end_time=step_time_end,
direction=self.direction,
)
)
return TradeDecisionWO(order_list, self, self.index_range)