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fix base price and volumn

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This commit is contained in:
wangwenxi.handsome
2021-07-13 16:15:52 +08:00
parent 45bde7527e
commit 4c4b30ebec
1 changed files with 7 additions and 1 deletions
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8
qlib/backtest/report.py
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@@ -371,6 +371,10 @@ class Indicator:
else: else:
raise NotImplementedError(f"This type of input is not supported") raise NotImplementedError(f"This type of input is not supported")
# if there is no stock data during the time period
if(price_s is None):
return None, None
# NOTE: there are some zeros in the trading price. These cases are known meaningless # NOTE: there are some zeros in the trading price. These cases are known meaningless
# for aligning the previous logic, remove it. # for aligning the previous logic, remove it.
# price_s = price_s.mask(np.isclose(price_s, 0)) # price_s = price_s.mask(np.isclose(price_s, 0))
@@ -443,7 +447,7 @@ class Indicator:
bp_new, bv_new = {}, {} bp_new, bv_new = {}, {}
for pr, v, (inst, direction) in zip(bp_s.values, bv_s.values, trade_dir.items()): for pr, v, (inst, direction) in zip(bp_s.values, bv_s.values, trade_dir.items()):
if np.isnan(pr): if np.isnan(pr):
bp_new[inst], bv_new[inst] = self._get_base_vol_pri( bp_tmp, bv_tmp = self._get_base_vol_pri(
inst, inst,
start, start,
end, end,
@@ -452,6 +456,8 @@ class Indicator:
trade_exchange=trade_exchange, trade_exchange=trade_exchange,
pa_config=pa_config, pa_config=pa_config,
) )
if((bp_tmp is not None) and (bv_tmp is not None)):
bp_new[inst], bv_new[inst] = bp_tmp, bv_tmp
else: else:
bp_new[inst], bv_new[inst] = pr, v bp_new[inst], bv_new[inst] = pr, v