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Add config file in trade

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Update readme in trade
Update highfreq to delete nan order
This commit is contained in:
Mingzhe Han
2021-02-23 15:51:50 +08:00
parent bcae4bb22e
commit 3cf0d27a07
14 changed files with 763 additions and 36 deletions
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28
examples/highfreq/highfreq_handler.py
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@@ -10,7 +10,6 @@ class HighFreqHandler(DataHandlerLP):
instruments="csi300",
start_time=None,
end_time=None,
freq="1min",
infer_processors=[],
learn_processors=[],
fit_start_time=None,
@@ -37,13 +36,13 @@ class HighFreqHandler(DataHandlerLP):
"kwargs": {
"config": self.get_feature_config(),
"swap_level": False,
"freq": "1min",
},
}
super().__init__(
instruments=instruments,
start_time=start_time,
end_time=end_time,
freq=freq,
data_loader=data_loader,
infer_processors=infer_processors,
learn_processors=learn_processors,
@@ -63,9 +62,9 @@ class HighFreqHandler(DataHandlerLP):
def get_normalized_price_feature(price_field, shift=0):
"""Get normalized price feature ops"""
if shift == 0:
template_norm = "{0}/Ref(DayLast({1}), 240)"
template_norm = "Cut({0}/Ref(DayLast({1}), 240), 240, None)"
else:
template_norm = "Ref({0}, " + str(shift) + ")/Ref(DayLast({1}), 240)"
template_norm = "Cut(Ref({0}, " + str(shift) + ")/Ref(DayLast({1}), 240), 240, None)"
feature_ops = template_norm.format(
template_if.format(
@@ -91,7 +90,7 @@ class HighFreqHandler(DataHandlerLP):
names += ["$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1"]
fields += [
"{0}/Ref(DayLast(Mean({0}, 7200)), 240)".format(
"Cut({0}/Ref(DayLast(Mean({0}, 7200)), 240), 240, None)".format(
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
template_paused.format("$volume"),
template_paused.format(simpson_vwap),
@@ -102,7 +101,7 @@ class HighFreqHandler(DataHandlerLP):
]
names += ["$volume"]
fields += [
"Ref({0}, 240)/Ref(DayLast(Mean({0}, 7200)), 240)".format(
"Cut(Ref({0}, 240)/Ref(DayLast(Mean({0}, 7200)), 240), 240, None)".format(
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
template_paused.format("$volume"),
template_paused.format(simpson_vwap),
@@ -113,7 +112,7 @@ class HighFreqHandler(DataHandlerLP):
]
names += ["$volume_1"]
fields += [template_paused.format("Date($close)")]
fields += ["Cut({0}, 240, None)".format(template_paused.format("Date($close)"))]
names += ["date"]
return fields, names
@@ -124,20 +123,19 @@ class HighFreqBacktestHandler(DataHandler):
instruments="csi300",
start_time=None,
end_time=None,
freq="1min",
):
data_loader = {
"class": "QlibDataLoader",
"kwargs": {
"config": self.get_feature_config(),
"swap_level": False,
"freq": "1min",
},
}
super().__init__(
instruments=instruments,
start_time=start_time,
end_time=end_time,
freq=freq,
data_loader=data_loader,
)
@@ -151,18 +149,20 @@ class HighFreqBacktestHandler(DataHandler):
# Because there is no vwap field in the yahoo data, a method similar to Simpson integration is used to approximate vwap
simpson_vwap = "($open + 2*$high + 2*$low + $close)/6"
fields += [
template_fillnan.format(template_paused.format("$close")),
"Cut({0}, 240, None)".format(template_fillnan.format(template_paused.format("$close"))),
]
names += ["$close0"]
fields += [
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(simpson_vwap),
"Cut({0}, 240, None)".format(
template_if.format(
template_fillnan.format(template_paused.format("$close")),
template_paused.format(simpson_vwap),
)
)
]
names += ["$vwap0"]
fields += [
"If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0}))".format(
"Cut(If(IsNull({0}), 0, If(Or(Gt({1}, Mul(1.001, {3})), Lt({1}, Mul(0.999, {2}))), 0, {0})), 240, None)".format(
template_paused.format("$volume"),
template_paused.format(simpson_vwap),
template_paused.format("$low"),