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volume limit

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wangwenxi.handsome
2021-07-31 09:31:01 +00:00
parent 73f5cc0a2b
commit 5c2ddac7f0
3 changed files with 232 additions and 18 deletions
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167
qlib/backtest/exchange.py
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@@ -68,7 +68,31 @@ class Exchange:
<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 volume_threshold: Union[
Dict[
"all": Union(str, List[str], Tuple[str]),
"buy": Union(str, List[str], Tuple[str]),
"sell": Union(str, List[str], Tuple[str]),
],
Union(str, List[str], Tuple[str],
]
1) str means one volume limit. In another words, each volume limit is a string.
There are two kinds of string to represent limit.
- the first kind of string is qlib data expression but it must starts with "$".
such as "$askV1", "$bidV1 * 0.8"
- the second kind of string is composed of special fields. Currently we only
supports #market and #dealed. #market is market volume so far that day.
!!!Note that if you use the #market field, you must register the DayCumsum operator
in qlib.contrib.ops.high_freq when initial the qlib. #dealed is dealed order num so far that day.
such as "0.8 * #market - #dealed", "0.6 * #market"
2) "all" means the volume limits are both of buying and selling.
"buy" means the volume limits of buying. "sell" means the volume limits of selling.
Different volume limits will be aggregated with min(). If volume_threshold is only
Union(str, List[str], Tuple[str]) instead of a dict, the volume limits are for
both by deault.
3) e.g. {"all": ("#market * 0.2 - #dealed"), "buy": ("$askV1"), "sell": ("$bidV1")}
:param open_cost: cost rate for open, default 0.0015
:param close_cost: cost rate for close, default 0.0025
:param trade_unit: trade unit, 100 for China A market.
@@ -134,11 +158,15 @@ class Exchange:
# $factor is for rounding to the trading unit
# $change is for calculating the limit of the stock
# 　get volume limit from kwargs
self.buy_vol_limit, self.sell_vol_limit, vol_lt_fields = self._get_vol_limit(volume_threshold)
necessary_fields = {self.buy_price, self.sell_price, "$close", "$change", "$factor", "$volume"}
if self.limit_type == self.LT_TP_EXP:
for exp in limit_threshold:
necessary_fields.add(exp)
all_fields = list(necessary_fields | set(subscribe_fields))
all_fields = necessary_fields | vol_lt_fields
all_fields = list(all_fields | set(subscribe_fields))
self.all_fields = all_fields
self.open_cost = open_cost
@@ -234,6 +262,61 @@ class Exchange:
self.quote_df["limit_buy"] = self.quote_df["$change"].ge(limit_threshold)
self.quote_df["limit_sell"] = self.quote_df["$change"].le(-limit_threshold) # pylint: disable=E1130
def _get_vol_limit(self, volume_threshold):
"""
preproccess the volume limit.
get the fields need to get from qlib.
get the volume limit list of buying and selling which is composed of all limits.
Parameters
----------
volume_threshold :
please refer to the doc of exchange.
Returns
-------
fields: set
the fields need to get from qlib.
buy_vol_limit: List[str]
all volume limits of buying.
sell_vol_limit: List[str]
all volume limits of selling.
Raises
------
ValueError
the format of volume_threshold is not supported.
"""
if volume_threshold is None:
return None, None, set()
fields = set()
buy_vol_limit = []
sell_vol_limit = []
if isinstance(volume_threshold, (str, tuple, list)):
volume_threshold = {"all": volume_threshold}
for key in volume_threshold:
vol_limits = volume_threshold[key]
if isinstance(vol_limits, str):
vol_limits = [vol_limits]
for vol_lt in vol_limits:
# the str is qlib data expression when the first character is "$".
if vol_lt[0] == "$":
fields.add(vol_lt)
# the str is composed of special_fields
elif "#market" in vol_lt:
fields.add("DayCumsum($volume)")
else:
raise ValueError(f"volume limit string must be qlib expression or special_fields")
if key in ("buy", "all"):
buy_vol_limit.append(vol_lt)
if key in ("sell", "all"):
sell_vol_limit.append(vol_lt)
return buy_vol_limit, sell_vol_limit, fields
def check_stock_limit(self, stock_id, start_time, end_time, direction=None):
"""
Parameters
@@ -282,7 +365,9 @@ class Exchange:
else:
return True
def deal_order(self, order, trade_account: Account = None, position: BasePosition = None):
def deal_order(
self, order, trade_account: Account = None, position: BasePosition = None, deal_order_num: dict = None
):
"""
Deal order when the actual transaction
@@ -291,6 +376,7 @@ class Exchange:
:param order: Deal the order.
:param trade_account: Trade account to be updated after dealing the order.
:param position: position to be updated after dealing the order.
:param deal_order_num: the dealed order num dict with the format of {"buy":{stock_id: int}, "sell":{stock_id: int}}
:return: trade_val, trade_cost, trade_price
"""
# check order first.
@@ -305,7 +391,7 @@ class Exchange:
trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time, order.direction)
# NOTE: order will be changed in this function
trade_val, trade_cost = self._calc_trade_info_by_order(
order, trade_account.current if trade_account else position
order, trade_account.current if trade_account else position, deal_order_num
)
if order.deal_amount > 1e-5:
# If the order can only be deal 0 amount. Nothing to be updated
@@ -569,14 +655,64 @@ class Exchange:
return (deal_amount * factor + 0.1) // self.trade_unit * self.trade_unit / factor
return deal_amount
def _get_amount_by_volume(self, stock_id, trade_start_time, trade_end_time, deal_amount):
if self.volume_threshold is not None:
tradable_amount = self.get_volume(stock_id, trade_start_time, trade_end_time) * self.volume_threshold
return max(min(tradable_amount, deal_amount), 0)
else:
return deal_amount
def _get_amount_by_volume(self, order: Order, deal_order_num: dict) -> int:
"""parse the capacity limit string and return the actual number of orders that can be executed.
def _calc_trade_info_by_order(self, order, position: Position):
Parameters
----------
order : Order
the order to be executed.
deal_order_num : dict
the dealed order num dict with the format of {"buy":{stock_id: int}, "sell":{stock_id: int}}
Returns
-------
int
the actual number of orders that can be executed, due to the volume limit.
"""
if order.direction == Order.BUY:
vol_limit = self.buy_vol_limit
deal_order_num = deal_order_num["buy"]
elif order.direction == Order.SELL:
vol_limit = self.sell_vol_limit
deal_order_num = deal_order_num["sell"]
if vol_limit is None:
return order.deal_amount
vol_limit_num = []
for limit in vol_limit:
assert isinstance(limit, str)
if limit[0] == "$":
vol_limit_num.append(
str(
self.quote.get_data(
order.stock_id,
order.start_time,
order.end_time,
fields=limit,
method=ts_data_last,
)
)
)
else:
if "#market in limit":
market_limit = self.quote.get_data(
order.stock_id,
order.start_time,
order.end_time,
fields="DayCumsum($volume)",
method=ts_data_last,
)
limit_tmp = limit.replace("#market", f"{market_limit}")
if "#dealed in limit":
limit_tmp = limit_tmp.replace("#dealed", f"{deal_order_num[order.stock_id]}")
vol_limit_num.append(limit_tmp)
vol_limit_num = min([eval(i) for i in vol_limit_num])
return max(min(vol_limit_num, order.deal_amount), 0)
def _calc_trade_info_by_order(self, order, position: Position, deal_order_num):
"""
Calculation of trade info
@@ -584,6 +720,7 @@ class Exchange:
:param order:
:param position: Position
:param deal_order_num: the dealed order num dict with the format of {"buy":{stock_id: int}, "sell":{stock_id: int}}
:return: trade_val, trade_cost
"""
@@ -607,9 +744,7 @@ class Exchange:
# We choose to sell all
order.deal_amount = order.amount
order.deal_amount = self._get_amount_by_volume(
order.stock_id, order.start_time, order.end_time, order.deal_amount
)
order.deal_amount = self._get_amount_by_volume(order, deal_order_num)
trade_val = order.deal_amount * trade_price
trade_cost = max(trade_val * self.close_cost, self.min_cost)
elif order.direction == Order.BUY:
@@ -629,9 +764,7 @@ class Exchange:
# Unknown amount of money. Just round the amount
order.deal_amount = self.round_amount_by_trade_unit(order.amount, order.factor)
order.deal_amount = self._get_amount_by_volume(
order.stock_id, order.start_time, order.end_time, order.deal_amount
)
order.deal_amount = self._get_amount_by_volume(order, deal_order_num)
trade_val = order.deal_amount * trade_price
trade_cost = max(trade_val * self.open_cost, self.min_cost)
else: