liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-11 23:06:58 +08:00
Code Activity

.

Browse Source 
.

.
This commit is contained in:
Huoran Li
2022-07-21 09:31:33 +08:00
parent 7d466890c0
commit 3ab9df2504
4 changed files with 34 additions and 36 deletions
Download Patch File Download Diff File Expand all files Collapse all files

20
qlib/rl/order_execution/from_neutrader/feature.py
View File

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

11
qlib/rl/order_execution/simulator_qlib.py
View File

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

4
qlib/rl/order_execution/simulator_simple.py
View File

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

35
qlib/rl/order_execution/tests/test_simulator_qlib.py
View File

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