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fix bug

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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
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16
qlib/backtest/report.py
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@@ -4,15 +4,14 @@
from collections import OrderedDict
import pathlib
from typing import Dict, List, Tuple
from typing import Dict, List, Tuple, Union
import numpy as np
import pandas as pd
from qlib.backtest.exchange import Exchange
from qlib.backtest.order import BaseTradeDecision, Order, OrderDir
from .high_performance_ds import PandasOrderIndicator, NumpyOrderIndicator
from .high_performance_ds import PandasOrderIndicator, NumpyOrderIndicator, SingleMetric
from ..utils.index_data import IndexData, SingleData
from ..tests.config import CSI300_BENCH
from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
@@ -305,8 +304,9 @@ class Indicator:
def _update_order_fulfill_rate(self):
def func(deal_amount, amount):
# deal_amount is np.NaN when there is no inner decision. So full fill rate is 0.
tmp_deal_amount = deal_amount.replace({np.NaN: 0})
# deal_amount is np.NaN or None when there is no inner decision. So full fill rate is 0.
tmp_deal_amount = deal_amount.reindex(amount.index, 0)
tmp_deal_amount = tmp_deal_amount.replace({np.NaN: 0})
return tmp_deal_amount / amount
self.order_indicator.transfer(func, "ffr")
@@ -385,7 +385,7 @@ class Indicator:
if price_s is None:
return None, None
if isinstance(price_s, (int, float, np.signedinteger, np.floating)):
if isinstance(price_s, (int, float, np.number)):
price_s = IndexData.Series(price_s, [trade_start_time])
elif isinstance(price_s, SingleData):
pass
@@ -400,7 +400,7 @@ class Indicator:
if agg == "vwap":
volume_s = trade_exchange.get_volume(inst, trade_start_time, trade_end_time, method=None)
if isinstance(volume_s, (int, float, np.floating)):
if isinstance(volume_s, (int, float, np.number)):
volume_s = IndexData.Series(volume_s, [trade_start_time])
volume_s = volume_s.reindex(price_s.index)
elif agg == "twap":
@@ -414,7 +414,7 @@ class Indicator:
def _agg_base_price(
self,
inner_order_indicators: List[Dict[str, pd.Series]],
inner_order_indicators: List[Dict[str, Union[SingleMetric, SingleData]]],
decision_list: List[Tuple[BaseTradeDecision, pd.Timestamp, pd.Timestamp]],
trade_exchange: Exchange,
pa_config: dict = {},