liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-14 00:06:58 +08:00
Code Activity

Format code with the latest version of black.

Browse Source
This commit is contained in:
Charles Young
2021-02-22 11:25:42 +08:00
parent 2f9d45e03a
commit 37871389b9
41 changed files with 526 additions and 116 deletions
Download Patch File Download Diff File Expand all files Collapse all files

5
qlib/contrib/strategy/cost_control.py
View File

@@ -57,7 +57,10 @@ class SoftTopkStrategy(WeightStrategyBase):
final_stock_weight[stock_id] -= sw
if self.buy_method == "first_fill":
for stock_id in buy_signal_stocks:
add_weight = min(max(1 / self.topk - final_stock_weight.get(stock_id, 0), 0.0), sold_stock_weight,)
add_weight = min(
max(1 / self.topk - final_stock_weight.get(stock_id, 0), 0.0),
sold_stock_weight,
)
final_stock_weight[stock_id] = final_stock_weight.get(stock_id, 0.0) + add_weight
sold_stock_weight -= add_weight
elif self.buy_method == "average_fill":

12
qlib/contrib/strategy/order_generator.py
View File

@@ -102,10 +102,14 @@ class OrderGenWInteract(OrderGenerator):
# strategy 1 : generate amount_position by weight_position
# Use API in Exchange()
target_amount_dict = trade_exchange.generate_amount_position_from_weight_position(
weight_position=target_weight_position, cash=current_tradable_value, trade_date=trade_date,
weight_position=target_weight_position,
cash=current_tradable_value,
trade_date=trade_date,
)
order_list = trade_exchange.generate_order_for_target_amount_position(
target_position=target_amount_dict, current_position=current_amount_dict, trade_date=trade_date,
target_position=target_amount_dict,
current_position=current_amount_dict,
trade_date=trade_date,
)
return order_list
@@ -160,6 +164,8 @@ class OrderGenWOInteract(OrderGenerator):
else:
continue
order_list = trade_exchange.generate_order_for_target_amount_position(
target_position=amount_dict, current_position=current.get_stock_amount_dict(), trade_date=trade_date,
target_position=amount_dict,
current_position=current.get_stock_amount_dict(),
trade_date=trade_date,
)
return order_list