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Code Activity

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

Browse Source 
* 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
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26
qlib/backtest/exchange.py
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@@ -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: