move backtest to core, fix calendar bugs, add some docstring

qlib/backtest/__init__.py

@@ -0,0 +1,132 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+from .account import Account
+from .exchange import Exchange
+from .executor import BaseExecutor
+from .backtest import backtest as backtest_func
+from .backtest import collect_data as data_generator
+
+from ..strategy.base import BaseStrategy
+from ..utils import init_instance_by_config
+from ..log import get_module_logger
+from ..config import C
+
+
+logger = get_module_logger("backtest caller")
+
+
+def get_exchange(
+    exchange=None,
+    freq="day",
+    start_time=None,
+    end_time=None,
+    codes="all",
+    subscribe_fields=[],
+    open_cost=0.0015,
+    close_cost=0.0025,
+    min_cost=5.0,
+    trade_unit=None,
+    limit_threshold=None,
+    deal_price=None,
+):
+    """get_exchange
+
+    Parameters
+    ----------
+
+    # exchange related arguments
+    exchange: Exchange().
+    subscribe_fields: list
+        subscribe fields.
+    open_cost : float
+        open transaction cost.
+    close_cost : float
+        close transaction cost.
+    min_cost : float
+        min transaction cost.
+    trade_unit : int
+        100 for China A.
+    deal_price: str
+        dealing price type: 'close', 'open', 'vwap'.
+    limit_threshold : float
+        limit move 0.1 (10%) for example, long and short with same limit.
+
+    Returns
+    -------
+    :class: Exchange
+    an initialized Exchange object
+    """
+
+    if trade_unit is None:
+        trade_unit = C.trade_unit
+    if limit_threshold is None:
+        limit_threshold = C.limit_threshold
+    if deal_price is None:
+        deal_price = C.deal_price
+    if exchange is None:
+        logger.info("Create new exchange")
+        # handle exception for deal_price
+        if deal_price[0] != "$":
+            deal_price = "$" + deal_price
+
+        exchange = Exchange(
+            freq=freq,
+            start_time=start_time,
+            end_time=end_time,
+            codes=codes,
+            deal_price=deal_price,
+            subscribe_fields=subscribe_fields,
+            limit_threshold=limit_threshold,
+            open_cost=open_cost,
+            close_cost=close_cost,
+            trade_unit=trade_unit,
+            min_cost=min_cost,
+        )
+        return exchange
+    else:
+        return init_instance_by_config(exchange, accept_types=Exchange)
+
+
+def get_strategy_executor(
+    start_time, end_time, strategy, executor, benchmark="SH000300", account=1e9, exchange_kwargs={}
+):
+    trade_account = Account(
+        init_cash=account,
+        benchmark_config={
+            "benchmark": benchmark,
+            "start_time": start_time,
+            "end_time": end_time,
+        },
+    )
+    trade_exchange = get_exchange(**exchange_kwargs)
+
+    common_infra = {
+        "trade_account": trade_account,
+        "trade_exchange": trade_exchange,
+    }
+
+    trade_strategy = init_instance_by_config(strategy, accept_types=BaseStrategy, common_infra=common_infra)
+    trade_executor = init_instance_by_config(executor, accept_types=BaseExecutor, common_infra=common_infra)
+
+    return trade_strategy, trade_executor
+
+
+def backtest(start_time, end_time, strategy, executor, benchmark="SH000300", account=1e9, exchange_kwargs={}):
+
+    trade_strategy, trade_executor = get_strategy_executor(
+        start_time, end_time, strategy, executor, benchmark, account, exchange_kwargs
+    )
+    report_dict = backtest_func(start_time, end_time, trade_strategy, trade_executor)
+
+    return report_dict
+
+
+def collect_data(start_time, end_time, strategy, executor, benchmark="SH000300", account=1e9, exchange_kwargs={}):
+
+    trade_strategy, trade_executor = get_strategy_executor(
+        start_time, end_time, strategy, executor, benchmark, account, exchange_kwargs
+    )
+    report_dict = yield from data_generator(start_time, end_time, trade_strategy, trade_executor)
+
+    return report_dict