Migrate amc4th training (#1316)

* Migrate amc4th training

* Refine RL example scripts

* Resolve PR comments

Co-authored-by: luocy16 <luocy16@mails.tsinghua.edu.cn>

examples/rl/scripts/gen_backtest_orders.py

@@ -0,0 +1,41 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import argparse
+import os
+import pandas as pd
+import numpy as np
+import pickle
+
+parser = argparse.ArgumentParser()
+parser.add_argument("--seed", type=int, default=20220926)
+parser.add_argument("--num_order", type=int, default=10)
+args = parser.parse_args()
+
+np.random.seed(args.seed)
+
+path = os.path.join("data", "pickle", "backtesttest.pkl")  # TODO: rename file
+df = pickle.load(open(path, "rb")).reset_index()
+df["date"] = df["datetime"].dt.date.astype("datetime64")
+
+instruments = sorted(set(df["instrument"]))
+df_list = []
+for instrument in instruments:
+    print(instrument)
+    
+    cur_df = df[df["instrument"] == instrument]
+    
+    dates = sorted(set([str(d).split(" ")[0] for d in cur_df["date"]]))
+    
+    n = args.num_order
+    df_list.append(
+        pd.DataFrame({
+            "date": sorted(np.random.choice(dates, size=n, replace=False)),
+            "instrument": [instrument] * n,
+            "amount": np.random.randint(low=3, high=11, size=n) * 100.0,
+            "order_type": np.random.randint(low=0, high=2, size=n),
+        }).set_index(["date", "instrument"]),
+    )
+
+total_df = pd.concat(df_list)
+total_df.to_csv("data/backtest_orders.csv")