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fix ffr and order amount

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Young
2021-07-04 06:41:34 +00:00
parent 9b74a19b14
commit 50c0e99f98
4 changed files with 57 additions and 12 deletions
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29
qlib/backtest/report.py
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@@ -4,6 +4,8 @@
from collections import OrderedDict
from logging import warning
from typing import List
from qlib.backtest.order import BaseTradeDecision, Order
import pandas as pd
import pathlib
import warnings
@@ -241,13 +243,13 @@ class Indicator:
trade_cost = dict()
for order, _trade_val, _trade_cost, _trade_price in trade_info:
amount[order.stock_id] = order.amount * (order.direction * 2 - 1)
deal_amount[order.stock_id] = order.deal_amount * (order.direction * 2 - 1)
amount[order.stock_id] = order.amount_delta
deal_amount[order.stock_id] = order.deal_amount_delta
trade_price[order.stock_id] = _trade_price
trade_value[order.stock_id] = _trade_val * (order.direction * 2 - 1)
trade_value[order.stock_id] = _trade_val * order.sign
trade_cost[order.stock_id] = _trade_cost
self.order_indicator["amount"] = pd.Series(amount)
self.order_indicator["amount"] = self.order_indicator["inner_amount"] = pd.Series(amount)
self.order_indicator["deal_amount"] = pd.Series(deal_amount)
self.order_indicator["trade_price"] = pd.Series(trade_price)
self.order_indicator["trade_value"] = pd.Series(trade_value)
@@ -271,13 +273,13 @@ class Indicator:
) / self.order_indicator["base_price"]
def _agg_order_trade_info(self, inner_order_indicators):
amount = pd.Series()
inner_amount = pd.Series()
deal_amount = pd.Series()
trade_price = pd.Series()
trade_value = pd.Series()
trade_cost = pd.Series()
for _order_indicator in inner_order_indicators:
amount = amount.add(_order_indicator["amount"], fill_value=0)
inner_amount = inner_amount.add(_order_indicator["inner_amount"], fill_value=0)
deal_amount = deal_amount.add(_order_indicator["deal_amount"], fill_value=0)
trade_price = trade_price.add(
_order_indicator["trade_price"] * _order_indicator["deal_amount"], fill_value=0
@@ -285,13 +287,21 @@ class Indicator:
trade_value = trade_value.add(_order_indicator["trade_value"], fill_value=0)
trade_cost = trade_cost.add(_order_indicator["trade_cost"], fill_value=0)
self.order_indicator["amount"] = amount
self.order_indicator["inner_amount"] = inner_amount
self.order_indicator["deal_amount"] = deal_amount
trade_price /= self.order_indicator["deal_amount"]
self.order_indicator["trade_price"] = trade_price
self.order_indicator["trade_value"] = trade_value
self.order_indicator["trade_cost"] = trade_cost
def _update_trade_amount(self, outer_trade_decision: BaseTradeDecision):
# NOTE: these indicator is designed for order execution, so the
decision: List[Order] = outer_trade_decision.get_decision()
if decision is None:
self.order_indicator["amount"] = pd.Series()
else:
self.order_indicator["amount"] = pd.Series({order.stock_id: order.amount_delta for order in decision})
def _agg_order_fulfill_rate(self):
self.order_indicator["ffr"] = self.order_indicator["deal_amount"] / self.order_indicator["amount"]
@@ -367,8 +377,11 @@ class Indicator:
self._update_order_fulfill_rate()
self._update_order_price_advantage(trade_exchange, trade_start_time, trade_end_time)
def agg_order_indicators(self, inner_order_indicators, indicator_config={}):
def agg_order_indicators(
self, inner_order_indicators, outer_trade_decision: BaseTradeDecision, indicator_config={}
):
self._agg_order_trade_info(inner_order_indicators)
self._update_trade_amount(outer_trade_decision)
self._agg_order_fulfill_rate()
pa_config = indicator_config.get("pa_config", {})
self._agg_order_price_advantage(inner_order_indicators, base_price=pa_config.get("base_price", "twap"))