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Merge branch 'nested_decision_exe' of https://github.com/wangwenxi-handsome/qlib into nested_decision_exe

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wangwenxi.handsome
2021-07-23 05:52:09 +00:00
parent 0ec6b87d39 bbba9600a1
commit 301e0477ec
12 changed files with 343 additions and 234 deletions
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9
qlib/backtest/report.py
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@@ -349,7 +349,10 @@ class Indicator:
trade_exchange: Exchange,
pa_config: dict = {},
):
"""Get the base volume and price information"""
"""
Get the base volume and price information
All the base price values are rooted from this function
"""
agg = pa_config.get("agg", "twap").lower()
price = pa_config.get("price", "deal_price").lower()
@@ -372,10 +375,12 @@ class Indicator:
# NOTE: there are some zeros in the trading price. These cases are known meaningless
# for aligning the previous logic, remove it.
# price_s = price_s.mask(np.isclose(price_s, 0))
price_s = price_s[~(price_s < 1e-08)] # remove zero and negative values.
# NOTE ~(price_s < 1e-08) is different from price_s >= 1e-8
if agg == "vwap":
volume_s = trade_exchange.get_volume(inst, trade_start_time, trade_end_time, method=None)
volume_s = volume_s.reindex(price_s.index)
elif agg == "twap":
volume_s = pd.Series(1, index=price_s.index)
else: