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update Exchange.deal_order

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bxdd
2021-06-04 14:41:38 +08:00
parent 8aee853a11
commit 46d253b457
2 changed files with 9 additions and 15 deletions
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21
qlib/backtest/exchange.py
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@@ -246,8 +246,8 @@ class Exchange:
order, trade_account.current if trade_account else position order, trade_account.current if trade_account else position
) )
# update account # update account
if trade_val > 0: if order.deal_amount > 1e-5:
# If the order can only be deal 0 trade_val. Nothing to be updated # If the order can only be deal 0 aomount. Nothing to be updated
# Otherwise, it will result some stock with 0 amount in the position # Otherwise, it will result some stock with 0 amount in the position
if trade_account: if trade_account:
trade_account.update_order(order=order, trade_val=trade_val, cost=trade_cost, trade_price=trade_price) trade_account.update_order(order=order, trade_val=trade_val, cost=trade_cost, trade_price=trade_price)
@@ -454,30 +454,21 @@ class Exchange:
trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time) trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time)
if order.direction == Order.SELL: if order.direction == Order.SELL:
# sell # sell
current_amount = position.get_stock_amount(order.stock_id)
if position is not None: if position is not None:
current_amount = (
position.get_stock_amount(order.stock_id) if position.check_stock(order.stock_id) else 0
)
if np.isclose(order.amount, current_amount): if np.isclose(order.amount, current_amount):
# when selling last stock. The amount don't need rounding # when selling last stock. The amount don't need rounding
order.deal_amount = order.amount order.deal_amount = order.amount
elif order.amount > current_amount: elif order.amount > current_amount:
self.logger.warning(
f"order amount {order.amount} is greater than current amount {current_amount}, {current_amount} amount of stock is dealed"
)
order.deal_amount = self.round_amount_by_trade_unit(current_amount, order.factor) order.deal_amount = self.round_amount_by_trade_unit(current_amount, order.factor)
else: else:
order.deal_amount = self.round_amount_by_trade_unit(order.amount, order.factor) order.deal_amount = self.round_amount_by_trade_unit(order.amount, order.factor)
else: else:
# TODO: We don't know current position. # TODO: We don't know current position.
# We choose to sell all # We choose to sell all
order.deal_amount = order.amount
if not np.isclose(order.amount, current_amount) and order.amount > current_amount:
self.logger.warning(
f"order amount {order.amount} is greater than current amount {current_amount}, {current_amount} amount of stock is dealed"
)
order.deal_amount = current_amount
else:
order.deal_amount = order.amount
order.deal_amount = self._get_amount_by_volume( order.deal_amount = self._get_amount_by_volume(
order.stock_id, order.start_time, order.end_time, order.deal_amount order.stock_id, order.start_time, order.end_time, order.deal_amount

3
qlib/backtest/position.py
View File

@@ -73,6 +73,9 @@ class Position:
def del_stock(self, stock_id): def del_stock(self, stock_id):
del self.position[stock_id] del self.position[stock_id]
def check_stock(self, stock_id):
return stock_id in self.position
def update_order(self, order, trade_val, cost, trade_price): def update_order(self, order, trade_val, cost, trade_price):
# handle order, order is a order class, defined in exchange.py # handle order, order is a order class, defined in exchange.py
if order.direction == Order.BUY: if order.direction == Order.BUY: