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

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This commit is contained in:
Young
2021-07-16 03:12:09 +00:00
parent 344f4f69d2 f295497e2c
commit 5241b2f918
4 changed files with 24 additions and 20 deletions
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23
qlib/contrib/strategy/rule_strategy.py
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@@ -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