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RL backtest pipeline on 5-min data (#1417)

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* Workflow runnable

* CI

* Slight changes to make the workflow runnable. The changes of handler/provider should be reverted before merging.

* Train experiment successful

* Refine handler & provider

* test passed

* Ready to test on server

* Minor

* Test passed

* TWAP training

* Add PPOReward

* Add a FIXME

* Refine PPO reward according to PR comments

* Minor

* Resolve PR comments

* CI issues

* CI issues

* CI issues
This commit is contained in:
Huoran Li
2023-02-13 12:43:22 +08:00
committed by GitHub
parent 6295939346
commit 5eb5ac1f1f
25 changed files with 251 additions and 167 deletions
Download Patch File Download Diff File Expand all files Collapse all files

6
qlib/backtest/__init__.py
View File

@@ -40,8 +40,8 @@ def get_exchange(
open_cost: float = 0.0015,
close_cost: float = 0.0025,
min_cost: float = 5.0,
limit_threshold: Union[Tuple[str, str], float, None] = None,
deal_price: Union[str, Tuple[str, str], List[str]] = None,
limit_threshold: Union[Tuple[str, str], float, None] | None = None,
deal_price: Union[str, Tuple[str, str], List[str]] | None = None,
**kwargs: Any,
) -> Exchange:
"""get_exchange
@@ -284,7 +284,7 @@ def collect_data(
account: Union[float, int, dict] = 1e9,
exchange_kwargs: dict = {},
pos_type: str = "Position",
return_value: dict = None,
return_value: dict | None = None,
) -> Generator[object, None, None]:
"""initialize the strategy and executor, then collect the trade decision data for rl training

4
qlib/backtest/account.py
View File

@@ -152,7 +152,9 @@ class Account:
# trading related metrics(e.g. high-frequency trading)
self.indicator = Indicator()
def reset(self, freq: str = None, benchmark_config: dict = None, port_metr_enabled: bool = None) -> None:
def reset(
self, freq: str | None = None, benchmark_config: dict | None = None, port_metr_enabled: bool | None = None
) -> None:
"""reset freq and report of account
Parameters

2
qlib/backtest/backtest.py
View File

@@ -55,7 +55,7 @@ def collect_data_loop(
end_time: Union[pd.Timestamp, str],
trade_strategy: BaseStrategy,
trade_executor: BaseExecutor,
return_value: dict = None,
return_value: dict | None = None,
) -> Generator[BaseTradeDecision, Optional[BaseTradeDecision], None]:
"""Generator for collecting the trade decision data for rl training

6
qlib/backtest/decision.py
View File

@@ -254,7 +254,7 @@ class IdxTradeRange(TradeRange):
self._start_idx = start_idx
self._end_idx = end_idx
def __call__(self, trade_calendar: TradeCalendarManager = None) -> Tuple[int, int]:
def __call__(self, trade_calendar: TradeCalendarManager | None = None) -> Tuple[int, int]:
return self._start_idx, self._end_idx
def clip_time_range(self, start_time: pd.Timestamp, end_time: pd.Timestamp) -> Tuple[pd.Timestamp, pd.Timestamp]:
@@ -315,7 +315,7 @@ class BaseTradeDecision(Generic[DecisionType]):
2. Same as `case 1.3`
"""
def __init__(self, strategy: BaseStrategy, trade_range: Union[Tuple[int, int], TradeRange] = None) -> None:
def __init__(self, strategy: BaseStrategy, trade_range: Union[Tuple[int, int], TradeRange, None] = None) -> None:
"""
Parameters
----------
@@ -554,7 +554,7 @@ class TradeDecisionWO(BaseTradeDecision[Order]):
self,
order_list: List[Order],
strategy: BaseStrategy,
trade_range: Union[Tuple[int, int], TradeRange] = None,
trade_range: Union[Tuple[int, int], TradeRange, None] = None,
) -> None:
super().__init__(strategy, trade_range=trade_range)
self.order_list = cast(List[Order], order_list)

26
qlib/backtest/exchange.py
View File

@@ -41,10 +41,10 @@ class Exchange:
start_time: Union[pd.Timestamp, str] = None,
end_time: Union[pd.Timestamp, str] = None,
codes: Union[list, str] = "all",
deal_price: Union[str, Tuple[str, str], List[str]] = None,
deal_price: Union[str, Tuple[str, str], List[str], None] = None,
subscribe_fields: list = [],
limit_threshold: Union[Tuple[str, str], float, None] = None,
volume_threshold: Union[tuple, dict] = None,
volume_threshold: Union[tuple, dict, None] = None,
open_cost: float = 0.0015,
close_cost: float = 0.0025,
min_cost: float = 5.0,
@@ -340,7 +340,7 @@ class Exchange:
stock_id: str,
start_time: pd.Timestamp,
end_time: pd.Timestamp,
direction: int = None,
direction: int | None = None,
) -> bool:
"""
Parameters
@@ -406,7 +406,7 @@ class Exchange:
stock_id: str,
start_time: pd.Timestamp,
end_time: pd.Timestamp,
direction: int = None,
direction: int | None = None,
) -> bool:
# check if stock can be traded
return not (
@@ -421,8 +421,8 @@ class Exchange:
def deal_order(
self,
order: Order,
trade_account: Account = None,
position: BasePosition = None,
trade_account: Account | None = None,
position: BasePosition | None = None,
dealt_order_amount: Dict[str, float] = defaultdict(float),
) -> Tuple[float, float, float]:
"""
@@ -586,7 +586,7 @@ class Exchange:
)
return amount_dict
def get_real_deal_amount(self, current_amount: float, target_amount: float, factor: float = None) -> float:
def get_real_deal_amount(self, current_amount: float, target_amount: float, factor: float | None = None) -> float:
"""
Calculate the real adjust deal amount when considering the trading unit
:param current_amount:
@@ -712,8 +712,8 @@ class Exchange:
def _get_factor_or_raise_error(
self,
factor: float = None,
stock_id: str = None,
factor: float | None = None,
stock_id: str | None = None,
start_time: pd.Timestamp = None,
end_time: pd.Timestamp = None,
) -> float:
@@ -728,8 +728,8 @@ class Exchange:
def get_amount_of_trade_unit(
self,
factor: float = None,
stock_id: str = None,
factor: float | None = None,
stock_id: str | None = None,
start_time: pd.Timestamp = None,
end_time: pd.Timestamp = None,
) -> Optional[float]:
@@ -762,8 +762,8 @@ class Exchange:
def round_amount_by_trade_unit(
self,
deal_amount: float,
factor: float = None,
stock_id: str = None,
factor: float | None = None,
stock_id: str | None = None,
start_time: pd.Timestamp = None,
end_time: pd.Timestamp = None,
) -> float:

12
qlib/backtest/executor.py
View File

@@ -31,8 +31,8 @@ class BaseExecutor:
generate_portfolio_metrics: bool = False,
verbose: bool = False,
track_data: bool = False,
trade_exchange: Exchange = None,
common_infra: CommonInfrastructure = None,
trade_exchange: Exchange | None = None,
common_infra: CommonInfrastructure | None = None,
settle_type: str = BasePosition.ST_NO,
**kwargs: Any,
) -> None:
@@ -161,7 +161,7 @@ class BaseExecutor:
"""
return self.level_infra.get("trade_calendar")
def reset(self, common_infra: CommonInfrastructure = None, **kwargs: Any) -> None:
def reset(self, common_infra: CommonInfrastructure | None = None, **kwargs: Any) -> None:
"""
- reset `start_time` and `end_time`, used in trade calendar
- reset `common_infra`, used to reset `trade_account`, `trade_exchange`, .etc
@@ -227,7 +227,7 @@ class BaseExecutor:
def collect_data(
self,
trade_decision: BaseTradeDecision,
return_value: dict = None,
return_value: dict | None = None,
level: int = 0,
) -> Generator[Any, Any, List[object]]:
"""Generator for collecting the trade decision data for rl training
@@ -327,7 +327,7 @@ class NestedExecutor(BaseExecutor):
track_data: bool = False,
skip_empty_decision: bool = True,
align_range_limit: bool = True,
common_infra: CommonInfrastructure = None,
common_infra: CommonInfrastructure | None = None,
**kwargs: Any,
) -> None:
"""
@@ -534,7 +534,7 @@ class SimulatorExecutor(BaseExecutor):
generate_portfolio_metrics: bool = False,
verbose: bool = False,
track_data: bool = False,
common_infra: CommonInfrastructure = None,
common_infra: CommonInfrastructure | None = None,
trade_type: str = TT_SERIAL,
**kwargs: Any,
) -> None:

3
qlib/backtest/position.py
View File

@@ -1,6 +1,7 @@
# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
from __future__ import annotations
from datetime import timedelta
from typing import Any, Dict, List, Union
@@ -320,7 +321,7 @@ class Position(BasePosition):
self.position[stock]["price"] = price_dict[stock]
self.position["now_account_value"] = self.calculate_value()
def _init_stock(self, stock_id: str, amount: float, price: float = None) -> None:
def _init_stock(self, stock_id: str, amount: float, price: float | None = None) -> None:
"""
initialization the stock in current position

21
qlib/backtest/report.py
View File

@@ -1,6 +1,7 @@
# Copyright (c) Microsoft Corporation.
# Licensed under the MIT License.
from __future__ import annotations
import pathlib
from collections import OrderedDict
@@ -86,7 +87,7 @@ class PortfolioMetrics:
self.benches: dict = OrderedDict()
self.latest_pm_time: Optional[pd.TimeStamp] = None
def init_bench(self, freq: str = None, benchmark_config: dict = None) -> None:
def init_bench(self, freq: str | None = None, benchmark_config: dict | None = None) -> None:
if freq is not None:
self.freq = freq
self.benchmark_config = benchmark_config
@@ -149,15 +150,15 @@ class PortfolioMetrics:
self,
trade_start_time: Union[str, pd.Timestamp] = None,
trade_end_time: Union[str, pd.Timestamp] = None,
account_value: float = None,
cash: float = None,
return_rate: float = None,
total_turnover: float = None,
turnover_rate: float = None,
total_cost: float = None,
cost_rate: float = None,
stock_value: float = None,
bench_value: float = None,
account_value: float | None = None,
cash: float | None = None,
return_rate: float | None = None,
total_turnover: float | None = None,
turnover_rate: float | None = None,
total_cost: float | None = None,
cost_rate: float | None = None,
stock_value: float | None = None,
bench_value: float | None = None,
) -> None:
# check data
if None in [

4
qlib/backtest/utils.py
View File

@@ -31,7 +31,7 @@ class TradeCalendarManager:
freq: str,
start_time: Union[str, pd.Timestamp] = None,
end_time: Union[str, pd.Timestamp] = None,
level_infra: LevelInfrastructure = None,
level_infra: LevelInfrastructure | None = None,
) -> None:
"""
Parameters
@@ -99,7 +99,7 @@ class TradeCalendarManager:
def get_trade_step(self) -> int:
return self.trade_step
def get_step_time(self, trade_step: int = None, shift: int = 0) -> Tuple[pd.Timestamp, pd.Timestamp]:
def get_step_time(self, trade_step: int | None = None, shift: int = 0) -> Tuple[pd.Timestamp, pd.Timestamp]:
"""
Get the left and right endpoints of the trade_step'th trading interval