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

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bxdd
2021-05-27 21:14:39 +08:00
parent 2ad61f12b3
commit 4085b447aa
27 changed files with 298 additions and 216 deletions
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29
qlib/utils/resam.py
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@@ -40,7 +40,7 @@ def parse_freq(freq: str) -> Tuple[int, str]:
raise ValueError(
"freq format is not supported, the freq should be like (n)month/mon, (n)week/w, (n)day/d, (n)minute/min"
)
_count = int(match_obj.group(1)) if match_obj.group(1) is None else 1
_count = int(match_obj.group(1)) if match_obj.group(1) else 1
_freq = match_obj.group(2)
_freq_format_dict = {
"month": "month",
@@ -58,7 +58,8 @@ def parse_freq(freq: str) -> Tuple[int, str]:
def resam_calendar(calendar_raw: np.ndarray, freq_raw: str, freq_sam: str) -> np.ndarray:
"""
Resample the calendar with frequency freq_raw into the calendar with frequency freq_sam
Assumption: The fix length (240) of the calendar in each day.
Assumption:
- Fix length (240) of the calendar in each day.
Parameters
----------
@@ -83,16 +84,19 @@ def resam_calendar(calendar_raw: np.ndarray, freq_raw: str, freq_sam: str) -> np
if freq_sam == "minute":
def cal_sam_minute(x, sam_minutes):
"""
Sample raw calendar into calendar with sam_minutes freq, shift represents the shift minute the market time
- open time of stock market is [9:30 - shift*pd.Timedelta(minutes=1)]
- mid close time of stock market is [11:29 - shift*pd.Timedelta(minutes=1)]
- mid open time of stock market is [13:00 - shift*pd.Timedelta(minutes=1)]
- close time of stock market is [14:59 - shift*pd.Timedelta(minutes=1)]
"""
day_time = pd.Timestamp(x.date())
shift = C.min_data_shift
# shift represents the shift minute the market time
# - open time of stock market is [9:30 - shift*pd.Timedelta(minutes=1)]
# - mid close time of stock market is [11:29 - shift*pd.Timedelta(minutes=1)]
# - mid open time of stock market is [13:30 - shift*pd.Timedelta(minutes=1)]
# - close time of stock market is [14:59 - shift*pd.Timedelta(minutes=1)]
open_time = day_time + pd.Timedelta(hours=9, minutes=30) - shift * pd.Timedelta(minutes=1)
mid_close_time = day_time + pd.Timedelta(hours=11, minutes=29) - shift * pd.Timedelta(minutes=1)
mid_open_time = day_time + pd.Timedelta(hours=13, minutes=30) - shift * pd.Timedelta(minutes=1)
mid_open_time = day_time + pd.Timedelta(hours=13, minutes=00) - shift * pd.Timedelta(minutes=1)
close_time = day_time + pd.Timedelta(hours=14, minutes=59) - shift * pd.Timedelta(minutes=1)
if open_time <= x <= mid_close_time:
@@ -101,7 +105,6 @@ def resam_calendar(calendar_raw: np.ndarray, freq_raw: str, freq_sam: str) -> np
minute_index = (x - mid_open_time).seconds // 60 + 120
else:
raise ValueError("datetime of calendar is out of range")
minute_index = minute_index // sam_minutes * sam_minutes
if 0 <= minute_index < 120:
@@ -109,7 +112,7 @@ def resam_calendar(calendar_raw: np.ndarray, freq_raw: str, freq_sam: str) -> np
elif 120 <= minute_index < 240:
return mid_open_time + (minute_index - 120) * pd.Timedelta(minutes=1)
else:
raise ValueError("calendar minute_index error")
raise ValueError("calendar minute_index error, check `min_data_shift` in qlib.config.C")
if freq_raw != "minute":
raise ValueError("when sampling minute calendar, freq of raw calendar must be minute or min")
@@ -189,11 +192,13 @@ def get_resam_calendar(
freq = "day"
except ValueError:
_calendar = Cal.calendar(
start_time=start_time, end_time=end_time, freq="min", freq_sam=freq, future=future
start_time=start_time, end_time=end_time, freq="1min", freq_sam=freq, future=future
)
freq = "min"
elif norm_freq == "minute":
_calendar = Cal.calendar(start_time=start_time, end_time=end_time, freq="min", freq_sam=freq, future=future)
_calendar = Cal.calendar(
start_time=start_time, end_time=end_time, freq="1min", freq_sam=freq, future=future
)
freq = "min"
else:
raise ValueError(f"freq {freq} is not supported")