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Constrain TWAP trade step

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v-mingzhehan
2021-07-06 08:47:55 +00:00
parent e214557e3a
commit 354f7e68c2
1 changed files with 2 additions and 2 deletions
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4
qlib/contrib/strategy/rule_strategy.py
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@@ -108,8 +108,8 @@ class TWAPStrategy(BaseStrategy):
start_idx, end_idx = get_start_end_idx(self, self.outer_trade_decision)
trade_len = end_idx - start_idx + 1
if trade_step < start_idx:
# It is not time to start trading
if trade_step < start_idx or trade_step > end_idx:
# It is not time to start trading or trading has ended.
return TradeDecisionWO(order_list=[], strategy=self)
rel_trade_step = trade_step - start_idx # trade_step relative to start_idx