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exchange support expression buy sell limit

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Young
2021-07-14 13:05:36 +00:00
parent 7b9e338a0d
commit 571d27cba7
1 changed files with 47 additions and 16 deletions
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63
qlib/backtest/exchange.py
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@@ -26,7 +26,7 @@ class Exchange:
codes="all",
deal_price: Union[str, Tuple[str], List[str]] = None,
subscribe_fields=[],
limit_threshold=None,
limit_threshold: Union[Tuple[str, str], float, None] = None,
volume_threshold=None,
open_cost=0.0015,
close_cost=0.0025,
@@ -41,7 +41,7 @@ class Exchange:
:param end_time: closed end time for backtest
:param codes: list stock_id list or a string of instruments(i.e. all, csi500, sse50)
:param deal_price: Union[str, Tuple[str], List[str]]
:param deal_price: Union[str, Tuple[str, str], List[str]]
The `deal_price` supports following two types of input
- <deal_price> : str
- (<buy_price>, <sell_price>): Tuple[str] or List[str]
@@ -51,8 +51,16 @@ class Exchange:
- for example '$close', '$open', '$vwap' ("close" is OK. `Exchange` will help to prepend
"$" to the expression)
:param subscribe_fields: list, subscribe fields
:param limit_threshold: float, 0.1 for example, default None
:param subscribe_fields: list, subscribe fields. This expressions will be added to the query and `self.quote`.
It is useful when users want more fields to be queried
:param limit_threshold: Union[Tuple[str, str], float, None]
1) `None`: no limitation
2) float, 0.1 for example, default None
3) Tuple[str, str]: (<the expression for buying stock limitation>,
<the expression for sell stock limitation>)
`False` value indicates the stock is tradable
`True` value indicates the stock is limited and not tradable
:param volume_threshold: float, 0.1 for example, default None
:param open_cost: cost rate for open, default 0.0015
:param close_cost: cost rate for close, default 0.0025
@@ -97,7 +105,7 @@ class Exchange:
if limit_threshold is None:
if C.region == REG_CN:
self.logger.warning(f"limit_threshold not set. The stocks hit the limit may be bought/sold")
elif abs(limit_threshold) > 0.1:
elif self._get_limit_type(limit_threshold) == self.LT_FLT and abs(limit_threshold) > 0.1:
if C.region == REG_CN:
self.logger.warning(f"limit_threshold may not be set to a reasonable value")
@@ -119,13 +127,17 @@ class Exchange:
# $change is for calculating the limit of the stock
necessary_fields = {self.buy_price, self.sell_price, "$close", "$change", "$factor", "$volume"}
if self._get_limit_type(limit_threshold) == self.LT_TP_EXP:
for exp in limit_threshold:
necessary_fields.add(exp)
subscribe_fields = list(necessary_fields | set(subscribe_fields))
all_fields = list(necessary_fields | set(subscribe_fields))
self.all_fields = all_fields
self.open_cost = open_cost
self.close_cost = close_cost
self.min_cost = min_cost
self.limit_threshold = limit_threshold
self.limit_threshold: Union[Tuple[str, str], float, None] = limit_threshold
self.volume_threshold = volume_threshold
self.extra_quote = extra_quote
self.set_quote(codes, start_time, end_time)
@@ -133,6 +145,7 @@ class Exchange:
def set_quote(self, codes, start_time, end_time):
if len(codes) == 0:
codes = D.instruments()
self.quote = D.features(codes, self.all_fields, start_time, end_time, freq=self.freq, disk_cache=True).dropna(
subset=["$close"]
)
@@ -157,13 +170,7 @@ class Exchange:
self.trade_w_adj_price = False
# update limit
# check limit_threshold
if self.limit_threshold is None:
self.quote["limit_buy"] = False
self.quote["limit_sell"] = False
else:
# set limit
self._update_limit(buy_limit=self.limit_threshold, sell_limit=self.limit_threshold)
self._update_limit()
quote_df = self.quote
if self.extra_quote is not None:
@@ -194,9 +201,33 @@ class Exchange:
self.quote = quote_dict
def _update_limit(self, buy_limit, sell_limit):
self.quote["limit_buy"] = self.quote["$change"].ge(buy_limit)
self.quote["limit_sell"] = self.quote["$change"].le(-sell_limit)
LT_TP_EXP = "(exp)" # Tuple[str, str]
LT_FLT = "float" # float
LT_NONE = "none" # none
def _get_limit_type(self, limit_threshold):
if isinstance(limit_threshold, Tuple):
return self.LT_TP_EXP
elif isinstance(limit_threshold, float):
return self.LT_FLT
elif limit_threshold is None:
return self.LT_NONE
else:
raise NotImplementedError(f"This type of `limit_threshold` is not supported")
def _update_limit(self):
# check limit_threshold
lt_type = self._get_limit_type(self.limit_threshold)
if lt_type == self.LT_NONE:
self.quote["limit_buy"] = False
self.quote["limit_sell"] = False
elif lt_type == self.LT_TP_EXP:
# set limit
self.quote["limit_buy"] = self.quote[self.limit_threshold[0]]
self.quote["limit_sell"] = self.quote[self.limit_threshold[1]]
elif lt_type == self.LT_FLT:
self.quote["limit_buy"] = self.quote["$change"].ge(self.limit_threshold)
self.quote["limit_sell"] = self.quote["$change"].le(-self.limit_threshold) # pylint: disable=E1130
def check_stock_limit(self, stock_id, start_time, end_time, direction=None):
"""