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support non-full-fill rate of executor

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Young
2020-11-10 12:36:44 +00:00
parent b6867c6161
commit 490910b994
4 changed files with 25 additions and 31 deletions
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18
qlib/contrib/backtest/account.py
View File

@@ -49,42 +49,38 @@ class Account:
return self.current.position["cash"]
def update_state_from_order(self, order, trade_val, cost, trade_price):
# update cash
if order.direction == Order.SELL: # 0 for sell
self.current.position["cash"] += trade_val - cost
elif order.direction == Order.BUY: # 1 for buy
self.current.position["cash"] -= trade_val + cost
else:
raise NotImplementedError("{} ".format(order.direction))
# update turnover
self.to += trade_val
# update cost
self.ct += cost
# update return
# update self.rtn from order
trade_amount = trade_val / trade_price
if order.direction == Order.SELL: # 0 for sell
# when sell stock, get profit from price change
profit = trade_val - self.current.get_stock_price(order.stock_id) * order.deal_amount
profit = trade_val - self.current.get_stock_price(order.stock_id) * trade_amount
self.rtn += profit # note here do not consider cost
elif order.direction == Order.BUY: # 1 for buy
# when buy stock, we get return for the rtn computing method
# profit in buy order is to make self.rtn is consistent with self.earning at the end of date
profit = self.current.get_stock_price(order.stock_id) * order.deal_amount - trade_val
profit = self.current.get_stock_price(order.stock_id) * trade_amount - trade_val
self.rtn += profit
def update_order(self, order, trade_val, cost, trade_price):
# if stock is sold out, no stock price information in Position, then we should update account first, then update current position
# if stock is bought, there is no stock in current position, update current, then update account
# The cost will be substracted from the cash at last. So the trading logic can ignore the cost calculation
trade_amount = trade_val / trade_price
if order.direction == Order.SELL:
# sell stock
self.update_state_from_order(order, trade_val, cost, trade_price)
# update current position
# for may sell all of stock_id
self.current.update_order(order, trade_price)
self.current.update_order(order, trade_val, cost, trade_price)
else:
# buy stock
# deal order, then update state
self.current.update_order(order, trade_price)
self.current.update_order(order, trade_val, cost, trade_price)
self.update_state_from_order(order, trade_val, cost, trade_price)
def update_daily_end(self, today, trader):

9
qlib/contrib/backtest/exchange.py
View File

@@ -208,14 +208,9 @@ class Exchange:
# If the order can only be deal 0 trade_val. Nothing to be updated
# Otherwise, it will result some stock with 0 amount in the position
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)
elif position:
position.update_order(order, trade_price)
position.update_order(order=order, trade_val=trade_val, cost=trade_cost, trade_price=trade_price)
return trade_val, trade_cost, trade_price

24
qlib/contrib/backtest/position.py
View File

@@ -43,38 +43,44 @@ class Position:
self.position[stock_id]["price"] = price
self.position[stock_id]["weight"] = 0 # update the weight in the end of the trade date
def buy_stock(self, stock_id, amount, price):
def buy_stock(self, stock_id, trade_val, cost, trade_price):
trade_amount = trade_val / trade_price
if stock_id not in self.position:
self.init_stock(stock_id=stock_id, amount=amount, price=price)
self.init_stock(stock_id=stock_id, amount=trade_amount, price=trade_price)
else:
# exist, add amount
self.position[stock_id]["amount"] += amount
self.position[stock_id]["amount"] += trade_amount
def sell_stock(self, stock_id, amount):
self.position["cash"] -= trade_val + cost
def sell_stock(self, stock_id, trade_val, cost, trade_price):
trade_amount = trade_val / trade_price
if stock_id not in self.position:
raise KeyError("{} not in current position".format(stock_id))
else:
# decrease the amount of stock
self.position[stock_id]["amount"] -= amount
self.position[stock_id]["amount"] -= trade_amount
# check if to delete
if self.position[stock_id]["amount"] < -1e-5:
raise ValueError(
"only have {} {}, require {}".format(self.position[stock_id]["amount"], stock_id, amount)
"only have {} {}, require {}".format(self.position[stock_id]["amount"], stock_id, trade_amount)
)
elif abs(self.position[stock_id]["amount"]) <= 1e-5:
self.del_stock(stock_id)
self.position["cash"] += trade_val - cost
def del_stock(self, stock_id):
del self.position[stock_id]
def update_order(self, order, trade_price):
def update_order(self, order, trade_val, cost, trade_price):
# handle order, order is a order class, defined in exchange.py
if order.direction == Order.BUY:
# BUY
self.buy_stock(stock_id=order.stock_id, amount=order.deal_amount, price=trade_price)
self.buy_stock(order.stock_id, trade_val, cost, trade_price)
elif order.direction == Order.SELL:
# SELL
self.sell_stock(stock_id=order.stock_id, amount=order.deal_amount)
self.sell_stock(order.stock_id, trade_val, cost, trade_price)
else:
raise NotImplementedError("do not suppotr order direction {}".format(order.direction))

5
qlib/contrib/strategy/strategy.py
View File

@@ -238,7 +238,6 @@ class TopkDropoutStrategy(BaseStrategy, ListAdjustTimer):
sell_order_list = []
buy_order_list = []
# load score
cash = current_temp.get_cash()
current_stock_list = current_temp.get_stock_list()
last = score_series.reindex(current_stock_list).sort_values(ascending=False).index
today = (
@@ -275,8 +274,6 @@ class TopkDropoutStrategy(BaseStrategy, ListAdjustTimer):
if trade_exchange.check_order(sell_order):
sell_order_list.append(sell_order)
trade_val, trade_cost, trade_price = trade_exchange.deal_order(sell_order, position=current_temp)
# update cash
cash += trade_val - trade_cost
# sold
del self.stock_count[code]
else:
@@ -292,7 +289,7 @@ class TopkDropoutStrategy(BaseStrategy, ListAdjustTimer):
# buy new stock
# note the current has been changed
current_stock_list = current_temp.get_stock_list()
value = cash * self.risk_degree / len(buy) if len(buy) > 0 else 0
value = current_temp.get_cash() * self.risk_degree / len(buy) if len(buy) > 0 else 0
# open_cost should be considered in the real trading environment, while the backtest in evaluate.py does not consider it
# as the aim of demo is to accomplish same strategy as evaluate.py, so comment out this line