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add data calendar API and refine order cal api

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This commit is contained in:
Young
2021-07-16 03:11:07 +00:00
parent d907817ce9
commit 344f4f69d2
8 changed files with 215 additions and 189 deletions
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36
qlib/contrib/strategy/model_strategy.py
View File

@@ -64,7 +64,7 @@ class TopkDropoutStrategy(ModelStrategy):
"""
super(TopkDropoutStrategy, self).__init__(
model, dataset, level_infra=level_infra, common_infra=common_infra, **kwargs
model, dataset, level_infra=level_infra, common_infra=common_infra, trade_exchange=trade_exchange, **kwargs
)
self.topk = topk
self.n_drop = n_drop
@@ -73,22 +73,6 @@ class TopkDropoutStrategy(ModelStrategy):
self.risk_degree = risk_degree
self.hold_thresh = hold_thresh
self.only_tradable = only_tradable
if trade_exchange is not None:
self.trade_exchange = trade_exchange
def reset_common_infra(self, common_infra):
"""
Parameters
----------
common_infra : dict, optional
common infrastructure for backtesting, by default None
- It should include `trade_account`, used to get position
- It should include `trade_exchange`, used to provide market info
"""
super(TopkDropoutStrategy, self).reset_common_infra(common_infra)
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
def get_risk_degree(self, trade_step=None):
"""get_risk_degree
@@ -278,28 +262,12 @@ class WeightStrategyBase(ModelStrategy):
- In minutely execution, the daily exchange is not usable, only the minutely exchange is recommended.
"""
super(WeightStrategyBase, self).__init__(
model, dataset, level_infra=level_infra, common_infra=common_infra, **kwargs
model, dataset, level_infra=level_infra, common_infra=common_infra, trade_exchange=trade_exchange, **kwargs
)
if isinstance(order_generator_cls_or_obj, type):
self.order_generator = order_generator_cls_or_obj()
else:
self.order_generator = order_generator_cls_or_obj
if trade_exchange is not None:
self.trade_exchange = trade_exchange
def reset_common_infra(self, common_infra):
"""
Parameters
----------
common_infra : dict, optional
common infrastructure for backtesting, by default None
- It should include `trade_account`, used to get position
- It should include `trade_exchange`, used to provide market info
"""
super(WeightStrategyBase, self).reset_common_infra(common_infra)
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
def get_risk_degree(self, trade_step=None):
"""get_risk_degree

142
qlib/contrib/strategy/rule_strategy.py
View File

@@ -20,48 +20,6 @@ from qlib.backtest.utils import get_start_end_idx
class TWAPStrategy(BaseStrategy):
"""TWAP Strategy for trading"""
def __init__(
self,
outer_trade_decision: BaseTradeDecision = None,
trade_exchange: Exchange = None,
level_infra: LevelInfrastructure = None,
common_infra: CommonInfrastructure = None,
):
"""
Parameters
----------
outer_trade_decision : BaseTradeDecision
the trade decision of outer strategy which this startegy relies
trade_exchange : Exchange
exchange that provides market info, used to deal order and generate report
- If `trade_exchange` is None, self.trade_exchange will be set with common_infra
- It allowes different trade_exchanges is used in different executions.
- For example:
- In daily execution, both daily exchange and minutely are usable, but the daily exchange is recommended because it run faster.
- In minutely execution, the daily exchange is not usable, only the minutely exchange is recommended.
"""
super(TWAPStrategy, self).__init__(
outer_trade_decision=outer_trade_decision, level_infra=level_infra, common_infra=common_infra
)
if trade_exchange is not None:
self.trade_exchange = trade_exchange
def reset_common_infra(self, common_infra):
"""
Parameters
----------
common_infra : CommonInfrastructure, optional
common infrastructure for backtesting, by default None
- It should include `trade_account`, used to get position
- It should include `trade_exchange`, used to provide market info
"""
super(TWAPStrategy, self).reset_common_infra(common_infra)
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
def reset(self, outer_trade_decision: BaseTradeDecision = None, **kwargs):
"""
Parameters
@@ -161,46 +119,6 @@ class SBBStrategyBase(BaseStrategy):
# 2. Supporting alter_outer_trade_decision
# 3. Supporting checking the availability of trade decision
def __init__(
self,
outer_trade_decision: BaseTradeDecision = None,
trade_exchange: Exchange = None,
level_infra: LevelInfrastructure = None,
common_infra: CommonInfrastructure = None,
):
"""
Parameters
----------
outer_trade_decision : BaseTradeDecision
the trade decision of outer strategy which this startegy relies
trade_exchange : Exchange
exchange that provides market info, used to deal order and generate report
- If `trade_exchange` is None, self.trade_exchange will be set with common_infra
- It allowes different trade_exchanges is used in different executions.
- For example:
- In daily execution, both daily exchange and minutely are usable, but the daily exchange is recommended because it run faster.
- In minutely execution, the daily exchange is not usable, only the minutely exchange is recommended.
"""
super(SBBStrategyBase, self).__init__(
outer_trade_decision=outer_trade_decision, level_infra=level_infra, common_infra=common_infra
)
if trade_exchange is not None:
self.trade_exchange = trade_exchange
def reset_common_infra(self, common_infra):
"""
Parameters
----------
common_infra : dict, optional
common infrastructure for backtesting, by default None
- It should include `trade_account`, used to get position
- It should include `trade_exchange`, used to provide market info
"""
super(SBBStrategyBase, self).reset_common_infra(common_infra)
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
def reset(self, outer_trade_decision: BaseTradeDecision = None, **kwargs):
"""
Parameters
@@ -395,7 +313,7 @@ class SBBStrategyEMA(SBBStrategyBase):
if isinstance(instruments, str):
self.instruments = D.instruments(instruments)
self.freq = freq
super(SBBStrategyEMA, self).__init__(outer_trade_decision, trade_exchange, level_infra, common_infra, **kwargs)
super(SBBStrategyEMA, self).__init__(outer_trade_decision, level_infra, common_infra, trade_exchange=trade_exchange, **kwargs)
def _reset_signal(self):
trade_len = self.trade_calendar.get_trade_len()
@@ -417,14 +335,8 @@ class SBBStrategyEMA(SBBStrategyBase):
reset level-shared infra
- After reset the trade calendar, the signal will be changed
"""
if not hasattr(self, "level_infra"):
self.level_infra = level_infra
else:
self.level_infra.update(level_infra)
if level_infra.has("trade_calendar"):
self.trade_calendar = level_infra.get("trade_calendar")
self._reset_signal()
super().reset_level_infra(level_infra)
self._reset_signal()
def _pred_price_trend(self, stock_id, pred_start_time=None, pred_end_time=None):
# if no signal, return mid trend
@@ -484,10 +396,11 @@ class ACStrategy(BaseStrategy):
if isinstance(instruments, str):
self.instruments = D.instruments(instruments)
self.freq = freq
super(ACStrategy, self).__init__(outer_trade_decision, level_infra, common_infra, **kwargs)
if trade_exchange is not None:
self.trade_exchange = trade_exchange
super(ACStrategy, self).__init__(outer_trade_decision,
level_infra,
common_infra,
trade_exchange=trade_exchange,
**kwargs)
def _reset_signal(self):
trade_len = self.trade_calendar.get_trade_len()
@@ -506,33 +419,13 @@ class ACStrategy(BaseStrategy):
for stock_id, stock_val in signal_df.groupby(level="instrument"):
self.signal[stock_id] = stock_val["volatility"].droplevel(level="instrument")
def reset_common_infra(self, common_infra):
"""
Parameters
----------
common_infra : CommonInfrastructure, optional
common infrastructure for backtesting, by default None
- It should include `trade_account`, used to get position
- It should include `trade_exchange`, used to provide market info
"""
super(ACStrategy, self).reset_common_infra(common_infra)
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
def reset_level_infra(self, level_infra):
"""
reset level-shared infra
- After reset the trade calendar, the signal will be changed
"""
if not hasattr(self, "level_infra"):
self.level_infra = level_infra
else:
self.level_infra.update(level_infra)
if level_infra.has("trade_calendar"):
self.trade_calendar = level_infra.get("trade_calendar")
self._reset_signal()
super().reset_level_infra(level_infra)
self._reset_signal()
def reset(self, outer_trade_decision: BaseTradeDecision = None, **kwargs):
"""
@@ -668,16 +561,11 @@ class RandomOrderStrategy(BaseStrategy):
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")
.get_order_helper()
.create(
self.common_infra.get("trade_exchange").get_order_helper().create(
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.trade_range)
@@ -732,9 +620,7 @@ class FileOrderStrategy(BaseStrategy):
execute_result will be ignored in FileOrderStrategy
"""
oh: OrderHelper = self.common_infra.get("trade_exchange").get_order_helper()
tc = self.trade_calendar
step = tc.get_trade_step()
start, end = tc.get_step_time(step)
start, _ = self.trade_calendar.get_step_time()
# CONVERSION: the bar is indexed by the time
try:
df = self.order_df.loc(axis=0)[start]
@@ -748,8 +634,6 @@ class FileOrderStrategy(BaseStrategy):
code=idx,
amount=row["amount"],
direction=Order.parse_dir(row["direction"]),
start_time=start,
end_time=end,
)
)
return TradeDecisionWO(order_list, self, self.trade_range)