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update env & strategy, add workflow

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bxdd
2021-04-22 22:28:01 +08:00
parent 8979d786a9
commit 39deb7d27f
12 changed files with 319 additions and 363 deletions
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examples/highfreq/data/highfreq_handler.py Normal file
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from qlib.data.dataset.handler import DataHandler, DataHandlerLP
from qlib.data.dataset.processor import Processor
from qlib.utils import get_cls_kwargs
from qlib.log import TimeInspector
class HighFreqHandler(DataHandlerLP):
def __init__(
self,
instruments="csi300",
start_time=None,
end_time=None,
infer_processors=[],
learn_processors=[],
fit_start_time=None,
fit_end_time=None,
drop_raw=True,
):
def check_transform_proc(proc_l):
new_l = []
for p in proc_l:
p["kwargs"].update(
{
"fit_start_time": fit_start_time,
"fit_end_time": fit_end_time,
}
)
new_l.append(p)
return new_l
infer_processors = check_transform_proc(infer_processors)
learn_processors = check_transform_proc(learn_processors)
data_loader = {
"class": "QlibDataLoader",
"kwargs": {
"config": self.get_feature_config(),
"swap_level": False,
"freq": "1min",
},
}
super().__init__(
instruments=instruments,
start_time=start_time,
end_time=end_time,
data_loader=data_loader,
infer_processors=infer_processors,
learn_processors=learn_processors,
drop_raw=drop_raw,
)
def get_feature_config(self):
fields = []
names = []
template_if = "If(IsNull({1}), {0}, {1})"
template_paused = "Select(Or(IsNull($paused), Eq($paused, 0.0)), {0})"
template_fillnan = "BFillNan(FFillNan({0}))"
# Because there is no vwap field in the yahoo data, a method similar to Simpson integration is used to approximate vwap
simpson_vwap = "($open + 2*$high + 2*$low + $close)/6"
def get_normalized_price_feature(price_field, shift=0):
"""Get normalized price feature ops"""
if shift == 0:
template_norm = "Cut({0}/Ref(DayLast({1}), 240), 240, None)"
else:
template_norm = "Cut(Ref({0}, " + str(shift) + ")/Ref(DayLast({1}), 240), 240, None)"
feature_ops = template_norm.format(
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(price_field),
),
template_fillnan.format(template_paused.format("$close")),
)
return feature_ops
fields += [get_normalized_price_feature("$open", 0)]
fields += [get_normalized_price_feature("$high", 0)]
fields += [get_normalized_price_feature("$low", 0)]
fields += [get_normalized_price_feature("$close", 0)]
fields += [get_normalized_price_feature(simpson_vwap, 0)]
names += ["$open", "$high", "$low", "$close", "$vwap"]
fields += [get_normalized_price_feature("$open", 240)]
fields += [get_normalized_price_feature("$high", 240)]
fields += [get_normalized_price_feature("$low", 240)]
fields += [get_normalized_price_feature("$close", 240)]
fields += [get_normalized_price_feature(simpson_vwap, 240)]
names += ["$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1"]
fields += [
"Cut({0}/Ref(DayLast(Mean({0}, 7200)), 240), 240, None)".format(
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
template_paused.format("$volume"),
template_paused.format(simpson_vwap),
template_paused.format("$low"),
template_paused.format("$high"),
)
)
]
names += ["$volume"]
fields += [
"Cut(Ref({0}, 240)/Ref(DayLast(Mean({0}, 7200)), 240), 240, None)".format(
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
template_paused.format("$volume"),
template_paused.format(simpson_vwap),
template_paused.format("$low"),
template_paused.format("$high"),
)
)
]
names += ["$volume_1"]
fields += ["Cut({0}, 240, None)".format(template_paused.format("Date($close)"))]
names += ["date"]
return fields, names
class HighFreqBacktestHandler(DataHandler):
def __init__(
self,
instruments="csi300",
start_time=None,
end_time=None,
):
data_loader = {
"class": "QlibDataLoader",
"kwargs": {
"config": self.get_feature_config(),
"swap_level": False,
"freq": "1min",
},
}
super().__init__(
instruments=instruments,
start_time=start_time,
end_time=end_time,
data_loader=data_loader,
)
def get_feature_config(self):
fields = []
names = []
template_if = "If(IsNull({1}), {0}, {1})"
template_paused = "Select(Or(IsNull($paused), Eq($paused, 0.0)), {0})"
template_fillnan = "BFillNan(FFillNan({0}))"
# Because there is no vwap field in the yahoo data, a method similar to Simpson integration is used to approximate vwap
simpson_vwap = "($open + 2*$high + 2*$low + $close)/6"
fields += [
"Cut({0}, 240, None)".format(template_fillnan.format(template_paused.format("$close"))),
]
names += ["$close0"]
fields += [
"Cut({0}, 240, None)".format(
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(simpson_vwap),
)
)
]
names += ["$vwap0"]
fields += [
"Cut(If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0})), 240, None)".format(
template_paused.format("$volume"),
template_paused.format(simpson_vwap),
template_paused.format("$low"),
template_paused.format("$high"),
)
]
names += ["$volume0"]
return fields, names