From 2e49a5f7c0f47e157f3512c65f37f1a62ec060d1 Mon Sep 17 00:00:00 2001
From: Dong Zhou <Zhou.Dong@microsoft.com>
Date: Fri, 15 Oct 2021 07:04:47 +0000
Subject: [PATCH] fix order generator

---
 qlib/contrib/strategy/order_generator.py | 25 +++++++++++++-----------
 1 file changed, 14 insertions(+), 11 deletions(-)

diff --git a/qlib/contrib/strategy/order_generator.py b/qlib/contrib/strategy/order_generator.py
index 34102d88a..ee20be947 100644
--- a/qlib/contrib/strategy/order_generator.py
+++ b/qlib/contrib/strategy/order_generator.py
@@ -82,16 +82,17 @@ class OrderGenWInteract(OrderGenerator):
         """
         # calculate current_tradable_value
         current_amount_dict = current.get_stock_amount_dict()
+
         current_total_value = trade_exchange.calculate_amount_position_value(
             amount_dict=current_amount_dict,
-            trade_start_time=trade_start_time,
-            trade_end_time=trade_end_time,
+            start_time=trade_start_time,
+            end_time=trade_end_time,
             only_tradable=False,
         )
         current_tradable_value = trade_exchange.calculate_amount_position_value(
             amount_dict=current_amount_dict,
-            trade_start_time=trade_start_time,
-            trade_end_time=trade_end_time,
+            start_time=trade_start_time,
+            end_time=trade_end_time,
             only_tradable=True,
         )
         # add cash
@@ -105,9 +106,7 @@ class OrderGenWInteract(OrderGenerator):
             # value. Then just sell all the stocks
             target_amount_dict = copy.deepcopy(current_amount_dict.copy())
             for stock_id in list(target_amount_dict.keys()):
-                if trade_exchange.is_stock_tradable(
-                    stock_id, trade_start_time=trade_start_time, trade_end_time=trade_end_time
-                ):
+                if trade_exchange.is_stock_tradable(stock_id, start_time=trade_start_time, end_time=trade_end_time):
                     del target_amount_dict[stock_id]
         else:
             # consider cost rate
@@ -118,8 +117,8 @@ class OrderGenWInteract(OrderGenerator):
             target_amount_dict = trade_exchange.generate_amount_position_from_weight_position(
                 weight_position=target_weight_position,
                 cash=current_tradable_value,
-                trade_start_time=trade_start_time,
-                trade_end_time=trade_end_time,
+                start_time=trade_start_time,
+                end_time=trade_end_time,
             )
         order_list = trade_exchange.generate_order_for_target_amount_position(
             target_position=target_amount_dict,
@@ -172,13 +171,17 @@ class OrderGenWOInteract(OrderGenerator):
         for stock_id in target_weight_position:
             # Current rule will ignore the stock that not hold and cannot be traded at predict date
             if trade_exchange.is_stock_tradable(
-                stock_id=stock_id, trade_start_time=trade_start_time, trade_end_time=trade_end_time
+                stock_id=stock_id, start_time=trade_start_time, end_time=trade_end_time
+            ) and trade_exchange.is_stock_tradable(
+                stock_id=stock_id, start_time=pred_start_time, end_time=pred_end_time
             ):
                 amount_dict[stock_id] = (
                     risk_total_value
                     * target_weight_position[stock_id]
-                    / trade_exchange.get_close(stock_id, trade_start_time=pred_start_time, trade_end_time=pred_end_time)
+                    / trade_exchange.get_close(stock_id, start_time=pred_start_time, end_time=pred_end_time)
                 )
+                # TODO: Qlib use None to represent trading suspension. So last close price can't be the estimated trading price.
+                # Maybe a close price with forward fill will be a better solution.
             elif stock_id in current_stock:
                 amount_dict[stock_id] = (
                     risk_total_value * target_weight_position[stock_id] / current.get_stock_price(stock_id)