.

.

.

qlib/rl/order_execution/from_neutrader/feature.py

@@ -5,7 +5,7 @@ from typing import List, Optional
 import pandas as pd
 
 import qlib
-from qlib.config import QlibConfig, REG_CN
+from qlib.config import REG_CN
 from qlib.contrib.ops.high_freq import BFillNan, Cut, Date, DayCumsum, DayLast, FFillNan, IsInf, IsNull, Select
 from qlib.data.dataset import DatasetH
 
@@ -71,12 +71,12 @@ class DataWrapper:
         return data
 
 
-def init_qlib(config: QlibConfig, part: Optional[str] = None) -> None:
+def init_qlib(config: dict, part: Optional[str] = None) -> None:
     global _dataset
 
     provider_uri_map = {
-        "day": config.provider_uri_day.as_posix(),
-        "1min": config.provider_uri_1min.as_posix(),
+        "day": config["provider_uri_day"].as_posix(),
+        "1min": config["provider_uri_1min"].as_posix(),
     }
     qlib.init(
         region=REG_CN,
@@ -114,11 +114,11 @@ def init_qlib(config: QlibConfig, part: Optional[str] = None) -> None:
     # this won't work if it's put outside in case of multiprocessing
 
     if part is None:
-        feature_path = config.feature_root_dir / "feature.pkl"
-        backtest_path = config.feature_root_dir / "backtest.pkl"
+        feature_path = config["feature_root_dir"] / "feature.pkl"
+        backtest_path = config["feature_root_dir"] / "backtest.pkl"
     else:
-        feature_path = config.feature_root_dir / "feature" / (part + ".pkl")
-        backtest_path = config.feature_root_dir / "backtest" / (part + ".pkl")
+        feature_path = config["feature_root_dir"] / "feature" / (part + ".pkl")
+        backtest_path = config["feature_root_dir"] / "backtest" / (part + ".pkl")
 
     with feature_path.open("rb") as f:
         print(feature_path)
@@ -129,7 +129,7 @@ def init_qlib(config: QlibConfig, part: Optional[str] = None) -> None:
     _dataset = DataWrapper(
         feature_dataset,
         backtest_dataset,
-        config.feature_columns_today,
-        config.feature_columns_yesterday,
+        config["feature_columns_today"],
+        config["feature_columns_yesterday"],
         _internal=True,
     )

qlib/rl/order_execution/simulator_qlib.py

@@ -12,7 +12,6 @@ import pandas as pd
 from qlib.backtest.decision import BaseTradeDecision, Order, OrderHelper, TradeDecisionWO, TradeRange, TradeRangeByTime
 from qlib.backtest.executor import BaseExecutor, NestedExecutor
 from qlib.backtest.utils import CommonInfrastructure
-from qlib.config import QlibConfig
 from qlib.constant import EPS
 from qlib.rl.data.pickle_styled import QlibIntradayBacktestData
 from qlib.rl.order_execution.from_neutrader.config import ExchangeConfig
@@ -31,7 +30,7 @@ from qlib.strategy.base import BaseStrategy
 
 class DecomposedStrategy(BaseStrategy):
     def __init__(self) -> None:
-        super(DecomposedStrategy, self).__init__()
+        super().__init__()
 
         self.execute_order: Optional[Order] = None
         self.execute_result: List[Tuple[Order, float, float, float]] = []
@@ -91,7 +90,7 @@ class SingleOrderStrategy(BaseStrategy):
 
 class StateMaintainer:
     def __init__(self, order: Order, tick_index: pd.DatetimeIndex, twap_price: float) -> None:
-        super(StateMaintainer, self).__init__()
+        super().__init__()
 
         self.position = order.amount
         self._order = order
@@ -224,16 +223,16 @@ class StateMaintainer:
         )
 
 
-class QlibSimulator(Simulator[Order, SAOEState, float]):
+class SingleAssetQlibSimulator(Simulator[Order, SAOEState, float]):
     def __init__(
         self,
         order: Order,
         time_per_step: str,
-        qlib_config: QlibConfig,
+        qlib_config: dict,
         inner_executor_fn: Callable[[str, CommonInfrastructure], BaseExecutor],
         exchange_config: ExchangeConfig,
     ) -> None:
-        super(QlibSimulator, self).__init__(
+        super().__init__(
             initial=None,  # TODO
         )
 

qlib/rl/order_execution/simulator_simple.py

@@ -16,6 +16,8 @@ from qlib.rl.simulator import Simulator
 from qlib.rl.utils import LogLevel
 from qlib.typehint import TypedDict
 
+# TODO: Integrating Qlib's native data with simulator_simple
+
 __all__ = ["SAOEMetrics", "SAOEState", "SingleAssetOrderExecution"]
 
 ONE_SEC = pd.Timedelta("1s")  # use 1 second to exclude the right interval point
@@ -158,7 +160,7 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
         deal_price_type: DealPriceType = "close",
         vol_threshold: Optional[float] = None,
     ) -> None:
-        super(SingleAssetOrderExecution, self).__init__(initial=order)
+        super().__init__(initial=order)
 
         self.order = order
         self.ticks_per_step: int = ticks_per_step

qlib/rl/order_execution/tests/test_simulator_qlib.py

@@ -5,10 +5,9 @@ import pandas as pd
 from qlib.backtest.decision import Order, OrderDir
 from qlib.backtest.executor import NestedExecutor, SimulatorExecutor
 from qlib.backtest.utils import CommonInfrastructure
-from qlib.config import QlibConfig
 from qlib.contrib.strategy import TWAPStrategy
 from qlib.rl.order_execution import CategoricalActionInterpreter
-from qlib.rl.order_execution.simulator_qlib import ExchangeConfig, QlibSimulator
+from qlib.rl.order_execution.simulator_qlib import ExchangeConfig, SingleAssetQlibSimulator
 
 TOTAL_POSITION = 2100.0
 
@@ -27,7 +26,7 @@ def get_order() -> Order:
     )
 
 
-def get_simulator(order: Order) -> QlibSimulator:
+def get_simulator(order: Order) -> SingleAssetQlibSimulator:
     def _inner_executor_fn(time_per_step: str, common_infra: CommonInfrastructure) -> NestedExecutor:
         return NestedExecutor(
             time_per_step=time_per_step,
@@ -45,21 +44,19 @@ def get_simulator(order: Order) -> QlibSimulator:
         )
 
     # fmt: off
-    qlib_config = QlibConfig(
-        {
-            "provider_uri_day": Path("C:/workspace/NeuTrader/data_sample/cn/qlib_amc_1d"),
-            "provider_uri_1min": Path("C:/workspace/NeuTrader/data_sample/cn/qlib_amc_1min"),
-            "feature_root_dir": Path("C:/workspace/NeuTrader/data_sample/cn/qlib_amc_handler_stock"),
-            "feature_columns_today": [
-                "$open", "$high", "$low", "$close", "$vwap", "$bid", "$ask", "$volume",
-                "$bidV", "$bidV1", "$bidV3", "$bidV5", "$askV", "$askV1", "$askV3", "$askV5",
-            ],
-            "feature_columns_yesterday": [
-                "$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1", "$bid_1", "$ask_1", "$volume_1",
-                "$bidV_1", "$bidV1_1", "$bidV3_1", "$bidV5_1", "$askV_1", "$askV1_1", "$askV3_1", "$askV5_1",
-            ],
-        }
-    )
+    qlib_config = {
+        "provider_uri_day": Path("C:/workspace/NeuTrader/data_sample/cn/qlib_amc_1d"),
+        "provider_uri_1min": Path("C:/workspace/NeuTrader/data_sample/cn/qlib_amc_1min"),
+        "feature_root_dir": Path("C:/workspace/NeuTrader/data_sample/cn/qlib_amc_handler_stock"),
+        "feature_columns_today": [
+            "$open", "$high", "$low", "$close", "$vwap", "$bid", "$ask", "$volume",
+            "$bidV", "$bidV1", "$bidV3", "$bidV5", "$askV", "$askV1", "$askV3", "$askV5",
+        ],
+        "feature_columns_yesterday": [
+            "$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1", "$bid_1", "$ask_1", "$volume_1",
+            "$bidV_1", "$bidV1_1", "$bidV3_1", "$bidV5_1", "$askV_1", "$askV1_1", "$askV3_1", "$askV5_1",
+        ],
+    }
     # fmt: on
 
     exchange_config = ExchangeConfig(
@@ -78,7 +75,7 @@ def get_simulator(order: Order) -> QlibSimulator:
         generate_report=False,
     )
 
-    return QlibSimulator(
+    return SingleAssetQlibSimulator(
         order=order,
         time_per_step="30min",
         qlib_config=qlib_config,