Merge branch 'nested_decision_exe' of github.com:microsoft/qlib into nested_decision_exe

qlib/backtest/order.py

@@ -128,8 +128,8 @@ class OrderHelper:
         code: str,
         amount: float,
         direction: OrderDir,
-        start_time: Union[str, pd.Timestamp]=None,
-        end_time: Union[str, pd.Timestamp]=None,
+        start_time: Union[str, pd.Timestamp] = None,
+        end_time: Union[str, pd.Timestamp] = None,
     ) -> Order:
         """
         help to create a order
@@ -410,7 +410,7 @@ class BaseTradeDecision:
                 _start_idx, _end_idx = max(0, _start_idx), min(self.total_step - 1, _end_idx)
         return _start_idx, _end_idx
 
-    def get_data_cal_range_limit(self, rtype: str="full",  raise_error: bool = False) -> Tuple[int, int]:
+    def get_data_cal_range_limit(self, rtype: str = "full", raise_error: bool = False) -> Tuple[int, int]:
         """
         get the range limit based on data calendar
 

qlib/backtest/utils.py

@@ -100,7 +100,7 @@ class TradeCalendarManager:
         Parameters
         ----------
         trade_step : int, optional
-            the number of trading step finished, by default None to indicate
+            the number of trading step finished, by default None to indicate current step
         shift : int, optional
             shift bars , by default 0
 
@@ -239,8 +239,9 @@ class LevelInfrastructure(BaseInfrastructure):
         if self.has("trade_calendar"):
             self.get("trade_calendar").reset(freq, start_time=start_time, end_time=end_time)
         else:
-            self.reset_infra(trade_calendar=TradeCalendarManager(freq, start_time=start_time, end_time=end_time,
-                level_infra=self))
+            self.reset_infra(
+                trade_calendar=TradeCalendarManager(freq, start_time=start_time, end_time=end_time, level_infra=self)
+            )
 
     def set_sub_level_infra(self, sub_level_infra: LevelInfrastructure):
         """this will make the calendar access easier when acrossing multi-levels"""

qlib/contrib/strategy/rule_strategy.py

@@ -313,7 +313,9 @@ class SBBStrategyEMA(SBBStrategyBase):
         if isinstance(instruments, str):
             self.instruments = D.instruments(instruments)
         self.freq = freq
-        super(SBBStrategyEMA, self).__init__(outer_trade_decision, level_infra, common_infra, trade_exchange=trade_exchange,  **kwargs)
+        super(SBBStrategyEMA, self).__init__(
+            outer_trade_decision, level_infra, common_infra, trade_exchange=trade_exchange, **kwargs
+        )
 
     def _reset_signal(self):
         trade_len = self.trade_calendar.get_trade_len()
@@ -396,11 +398,9 @@ class ACStrategy(BaseStrategy):
         if isinstance(instruments, str):
             self.instruments = D.instruments(instruments)
         self.freq = freq
-        super(ACStrategy, self).__init__(outer_trade_decision,
-                                         level_infra,
-                                         common_infra,
-                                         trade_exchange=trade_exchange,
-                                         **kwargs)
+        super(ACStrategy, self).__init__(
+            outer_trade_decision, level_infra, common_infra, trade_exchange=trade_exchange, **kwargs
+        )
 
     def _reset_signal(self):
         trade_len = self.trade_calendar.get_trade_len()
@@ -561,11 +561,14 @@ class RandomOrderStrategy(BaseStrategy):
         if step_time_start in self.volume_df:
             for stock_id, volume in self.volume_df[step_time_start].dropna().sample(frac=self.sample_ratio).items():
                 order_list.append(
-                    self.common_infra.get("trade_exchange").get_order_helper().create(
+                    self.common_infra.get("trade_exchange")
+                    .get_order_helper()
+                    .create(
                         code=stock_id,
                         amount=volume * self.volume_ratio,
                         direction=self.direction,
-                    ))
+                    )
+                )
         return TradeDecisionWO(order_list, self, self.trade_range)
 
 
@@ -575,7 +578,9 @@ class FileOrderStrategy(BaseStrategy):
     - This class provides an interface for user to read orders from csv files.
     """
 
-    def __init__(self, file: Union[IO, str, Path], trade_range: Union[Tuple[int, int], TradeRange]= None, *args, **kwargs):
+    def __init__(
+        self, file: Union[IO, str, Path], trade_range: Union[Tuple[int, int], TradeRange] = None, *args, **kwargs
+    ):
         """
 
         Parameters

qlib/strategy/base.py

@@ -91,10 +91,9 @@ class BaseStrategy:
         1. Users want to initialize his strategy by overriding `reset`, but they don't want to affect the `_reset` called
         when initialization
         """
-        self._reset(level_infra=level_infra,
-                    common_infra=common_infra,
-                    outer_trade_decision=outer_trade_decision,
-                    **kwargs)
+        self._reset(
+            level_infra=level_infra, common_infra=common_infra, outer_trade_decision=outer_trade_decision, **kwargs
+        )
 
     def _reset(
         self,
@@ -114,7 +113,6 @@ class BaseStrategy:
         if outer_trade_decision is not None:
             self.outer_trade_decision = outer_trade_decision
 
-
     def generate_trade_decision(self, execute_result=None):
         """Generate trade decision in each trading bar