liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-15 00:36:55 +08:00
Code Activity

fix bug

Browse Source
This commit is contained in:
wangwenxi.handsome
2021-08-27 10:48:10 +00:00
committed by you-n-g
parent 7ee4a207bc
commit 43a8f502ed
6 changed files with 109 additions and 137 deletions
Download Patch File Download Diff File Expand all files Collapse all files

26
qlib/backtest/exchange.py
View File

@@ -18,7 +18,7 @@ from ..config import C, REG_CN
from ..utils.resam import resam_ts_data, ts_data_last
from ..log import get_module_logger
from .order import Order, OrderDir, OrderHelper
from .high_performance_ds import PandasQuote, CN1min_NumpyQuote
from .high_performance_ds import PandasQuote, CN1minNumpyQuote
class Exchange:
@@ -36,7 +36,7 @@ class Exchange:
close_cost=0.0025,
min_cost=5,
extra_quote=None,
quote_cls=CN1min_NumpyQuote,
quote_cls=CN1minNumpyQuote,
**kwargs,
):
"""__init__
@@ -327,20 +327,20 @@ class Exchange:
"""
if direction is None:
buy_limit = self.quote.get_data(stock_id, start_time, end_time, fields="limit_buy", method="all")
sell_limit = self.quote.get_data(stock_id, start_time, end_time, fields="limit_sell", method="all")
buy_limit = self.quote.get_data(stock_id, start_time, end_time, field="limit_buy", method="all")
sell_limit = self.quote.get_data(stock_id, start_time, end_time, field="limit_sell", method="all")
return buy_limit or sell_limit
elif direction == Order.BUY:
return self.quote.get_data(stock_id, start_time, end_time, fields="limit_buy", method="all")
return self.quote.get_data(stock_id, start_time, end_time, field="limit_buy", method="all")
elif direction == Order.SELL:
return self.quote.get_data(stock_id, start_time, end_time, fields="limit_sell", method="all")
return self.quote.get_data(stock_id, start_time, end_time, field="limit_sell", method="all")
else:
raise ValueError(f"direction {direction} is not supported!")
def check_stock_suspended(self, stock_id, start_time, end_time):
# is suspended
if stock_id in self.quote.get_all_stock():
return self.quote.get_data(stock_id, start_time, end_time) is None
return self.quote.get_data(stock_id, start_time, end_time, "$close") is None
else:
return True
@@ -411,10 +411,10 @@ class Exchange:
return self.quote.get_data(stock_id, start_time, end_time, method=method)
def get_close(self, stock_id, start_time, end_time, method=ts_data_last):
return self.quote.get_data(stock_id, start_time, end_time, fields="$close", method=method)
return self.quote.get_data(stock_id, start_time, end_time, field="$close", method=method)
def get_volume(self, stock_id, start_time, end_time, method="sum"):
return self.quote.get_data(stock_id, start_time, end_time, fields="$volume", method=method)
return self.quote.get_data(stock_id, start_time, end_time, field="$volume", method=method)
def get_deal_price(self, stock_id, start_time, end_time, direction: OrderDir, method=ts_data_last):
if direction == OrderDir.SELL:
@@ -423,7 +423,7 @@ class Exchange:
pstr = self.buy_price
else:
raise NotImplementedError(f"This type of input is not supported")
deal_price = self.quote.get_data(stock_id, start_time, end_time, fields=pstr, method=method)
deal_price = self.quote.get_data(stock_id, start_time, end_time, field=pstr, method=method)
if method is not None and (np.isclose(deal_price, 0.0) or np.isnan(deal_price)):
self.logger.warning(f"(stock_id:{stock_id}, trade_time:{(start_time, end_time)}, {pstr}): {deal_price}!!!")
self.logger.warning(f"setting deal_price to close price")
@@ -441,7 +441,7 @@ class Exchange:
assert start_time is not None and end_time is not None, "the time range must be given"
if stock_id not in self.quote.get_all_stock():
return None
return self.quote.get_data(stock_id, start_time, end_time, fields="$factor", method=ts_data_last)
return self.quote.get_data(stock_id, start_time, end_time, field="$factor", method=ts_data_last)
def generate_amount_position_from_weight_position(
self, weight_position, cash, start_time, end_time, direction=OrderDir.BUY
@@ -684,7 +684,7 @@ class Exchange:
order.stock_id,
order.start_time,
order.end_time,
fields=limit[1],
field=limit[1],
method="sum",
)
vol_limit_num.append(limit_value)
@@ -693,7 +693,7 @@ class Exchange:
order.stock_id,
order.start_time,
order.end_time,
fields=limit[1],
field=limit[1],
method=ts_data_last,
)
vol_limit_num.append(limit_value - dealt_order_amount[order.stock_id])