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add infra interface & fix no KeyboardInterpret bug

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bxdd
2021-05-31 20:40:11 +08:00
parent bf3b757294
commit 60e082e446
10 changed files with 120 additions and 72 deletions
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11
examples/multi_level_trading/README.md → examples/nested_decision_execution/README.md
View File

@@ -1,13 +1,6 @@
# Multi-level Trading
This worflow is an example for multi-level trading.
## Introduction
Qlib supports backtesting of various strategies, including portfolio management strategies, order split strategies, model-based strategies (such as deep learning models), rule-based strategies, and RL-based strategies.
And, Qlib also supports multi-level trading and backtesting. It means that users can use different strategies to trade at different frequencies.
# Nested Decision Execution
This worflow is an example for nested decision execution in backtesting. Qlib supports nested decision execution in backtesting. It means that users can use different strategies to make trade decision in different frequencies.
## Weekly Portfolio Generation and Daily Order Execution

7
examples/multi_level_trading/workflow.py → examples/nested_decision_execution/workflow.py
View File

@@ -4,7 +4,6 @@
import qlib
import fire
from qlib import backtest
from qlib.config import REG_CN, HIGH_FREQ_CONFIG
from qlib.data import D
from qlib.utils import exists_qlib_data, init_instance_by_config, flatten_dict
@@ -14,7 +13,7 @@ from qlib.tests.data import GetData
from qlib.backtest import collect_data
class MultiLevelTradingWorkflow:
class NestedDecisonExecutionWorkflow:
market = "csi300"
benchmark = "SH000300"
@@ -172,7 +171,7 @@ class MultiLevelTradingWorkflow:
print(f"Qlib data is not found in {provider_uri_1min}")
GetData().qlib_data(target_dir=provider_uri_1min, interval="1min", region=REG_CN)
# TODO: update new data
# TODO: update latest data
provider_uri_day = "~/.qlib/qlib_data/cn_data" # target_dir
if not exists_qlib_data(provider_uri_day):
print(f"Qlib data is not found in {provider_uri_day}")
@@ -260,4 +259,4 @@ class MultiLevelTradingWorkflow:
if __name__ == "__main__":
fire.Fire(MultiLevelTradingWorkflow)
fire.Fire(NestedDecisonExecutionWorkflow)

6
qlib/backtest/__init__.py
View File

@@ -7,6 +7,7 @@ from .executor import BaseExecutor
from .backtest import backtest as backtest_func
from .backtest import collect_data as data_generator
from .utils import CommonInfrastructure
from ..strategy.base import BaseStrategy
from ..utils import init_instance_by_config
from ..log import get_module_logger
@@ -101,10 +102,7 @@ def get_strategy_executor(
)
trade_exchange = get_exchange(**exchange_kwargs)
common_infra = {
"trade_account": trade_account,
"trade_exchange": trade_exchange,
}
common_infra = CommonInfrastructure(trade_account=trade_account, trade_exchange=trade_exchange)
trade_strategy = init_instance_by_config(strategy, accept_types=BaseStrategy, common_infra=common_infra)
trade_executor = init_instance_by_config(executor, accept_types=BaseExecutor, common_infra=common_infra)

20
qlib/backtest/executor.py
View File

@@ -9,7 +9,7 @@ from ..utils.resam import parse_freq
from .order import Order
from .exchange import Exchange
from .utils import TradeCalendarManager
from .utils import TradeCalendarManager, CommonInfrastructure, LevelInfrastructure
class BaseExecutor:
@@ -23,7 +23,7 @@ class BaseExecutor:
generate_report: bool = False,
verbose: bool = False,
track_data: bool = False,
common_infra: dict = {},
common_infra: CommonInfrastructure = None,
**kwargs,
):
"""
@@ -39,7 +39,7 @@ class BaseExecutor:
whether to generate trade_decision, will be used when making data for multi-level training
- If `self.track_data` is true, when making data for training, the input `trade_decision` of `execute` will be generated by `collect_data`
- Else, `trade_decision` will not be generated
common_infra : dict, optional:
common_infra : CommonInfrastructure, optional:
common infrastructure for backtesting, may including:
- trade_account : Account, optional
trade account for trading
@@ -63,11 +63,11 @@ class BaseExecutor:
else:
self.common_infra.update(common_infra)
if "trade_account" in common_infra:
if common_infra.has("trade_account"):
self.trade_account = copy.copy(common_infra.get("trade_account"))
self.trade_account.reset(freq=self.time_per_step, init_report=True)
def reset(self, track_data: bool = None, common_infra: dict = None, **kwargs):
def reset(self, track_data: bool = None, common_infra: CommonInfrastructure = None, **kwargs):
"""
- reset `start_time` and `end_time`, used in trade calendar
- reset `track_data`, used when making data for multi-level training
@@ -88,7 +88,7 @@ class BaseExecutor:
self.reset_common_infra(common_infra)
def get_level_infra(self):
return {"trade_calendar": self.trade_calendar}
return LevelInfrastructure(trade_calendar=self.trade_calendar)
def finished(self):
return self.trade_calendar.finished()
@@ -138,7 +138,7 @@ class NestedExecutor(BaseExecutor):
verbose: bool = False,
track_data: bool = False,
trade_exchange: Exchange = None,
common_infra: dict = {},
common_infra: CommonInfrastructure = None,
**kwargs,
):
"""
@@ -182,7 +182,7 @@ class NestedExecutor(BaseExecutor):
"""
super(NestedExecutor, self).reset_common_infra(common_infra)
if self.generate_report and "trade_exchange" in common_infra:
if self.generate_report and common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
self.inner_executor.reset_common_infra(common_infra)
@@ -257,7 +257,7 @@ class SimulatorExecutor(BaseExecutor):
verbose: bool = False,
track_data: bool = False,
trade_exchange: Exchange = None,
common_infra: dict = {},
common_infra: CommonInfrastructure = None,
**kwargs,
):
"""
@@ -286,7 +286,7 @@ class SimulatorExecutor(BaseExecutor):
- reset trade_exchange
"""
super(SimulatorExecutor, self).reset_common_infra(common_infra)
if "trade_exchange" in common_infra:
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
def execute(self, trade_decision):

44
qlib/backtest/utils.py
View File

@@ -2,6 +2,7 @@
# Licensed under the MIT License.
import pandas as pd
import warnings
from typing import Union
from ..utils.resam import get_resam_calendar
@@ -96,3 +97,46 @@ class TradeCalendarManager:
def get_all_time(self):
"""Get the start_time and end_time for trading"""
return self.start_time, self.end_time
class BaseInfrastructure:
def __init__(self, **kwargs):
self.reset_infra(**kwargs)
def get_support_infra(self):
raise NotImplementedError("`get_support_infra` is not implemented!")
def reset_infra(self, **kwargs):
support_infra = self.get_support_infra()
for k, v in kwargs.items():
if k in support_infra:
setattr(self, k, v)
else:
warnings.warn(f"{k} is ignored in `reset_infra`!")
def get(self, infra_name):
if hasattr(self, infra_name):
return getattr(self, infra_name)
else:
warnings.warn(f"infra {infra_name} is not found!")
def has(self, infra_name):
if infra_name in self.get_support_infra() and hasattr(self, infra_name):
return True
else:
return False
def update(self, other):
support_infra = other.get_support_infra()
infra_dict = {_infra: getattr(other, _infra) for _infra in support_infra if hasattr(other, _infra)}
self.reset_infra(**infra_dict)
class CommonInfrastructure(BaseInfrastructure):
def get_support_infra(self):
return ["trade_account", "trade_exchange"]
class LevelInfrastructure(BaseInfrastructure):
def get_support_infra(self):
return ["trade_calendar"]

4
qlib/contrib/strategy/cost_control.py
View File

@@ -18,8 +18,8 @@ class SoftTopkStrategy(WeightStrategyBase):
risk_degree=0.95,
buy_method="first_fill",
trade_exchange=None,
level_infra={},
common_infra={},
level_infra=None,
common_infra=None,
**kwargs,
):
"""Parameter

12
qlib/contrib/strategy/model_strategy.py
View File

@@ -22,8 +22,8 @@ class TopkDropoutStrategy(ModelStrategy):
hold_thresh=1,
only_tradable=False,
trade_exchange=None,
level_infra={},
common_infra={},
level_infra=None,
common_infra=None,
**kwargs,
):
"""
@@ -76,7 +76,7 @@ class TopkDropoutStrategy(ModelStrategy):
"""
super(TopkDropoutStrategy, self).reset_common_infra(common_infra)
if "trade_exchange" in common_infra:
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
def get_risk_degree(self, trade_step=None):
@@ -249,8 +249,8 @@ class WeightStrategyBase(ModelStrategy):
dataset,
order_generator_cls_or_obj=OrderGenWInteract,
trade_exchange=None,
level_infra={},
common_infra={},
level_infra=None,
common_infra=None,
**kwargs,
):
super(WeightStrategyBase, self).__init__(
@@ -274,7 +274,7 @@ class WeightStrategyBase(ModelStrategy):
"""
super(WeightStrategyBase, self).reset_common_infra(common_infra)
if "trade_exchange" in common_infra:
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
def get_risk_degree(self, trade_step=None):

54
qlib/contrib/strategy/rule_strategy.py
View File

@@ -1,4 +1,5 @@
import warnings
from typing import List, Union
from ...utils.resam import resam_ts_data
from ...data.data import D
@@ -6,6 +7,7 @@ from ...data.dataset.utils import convert_index_format
from ...strategy.base import BaseStrategy
from ...backtest.order import Order
from ...backtest.exchange import Exchange
from ...backtest.utils import CommonInfrastructure, LevelInfrastructure
class TWAPStrategy(BaseStrategy):
@@ -13,17 +15,20 @@ class TWAPStrategy(BaseStrategy):
def __init__(
self,
outer_trade_decision: object = None,
outer_trade_decision: List[Order] = None,
trade_exchange: Exchange = None,
level_infra: dict = {},
common_infra: dict = {},
level_infra: LevelInfrastructure = None,
common_infra: CommonInfrastructure = None,
):
"""
Parameters
----------
outer_trade_decision : List[Order]
the trade decison of outer strategy which this startegy relies, it should be List[Order] in TWAPStrategy
trade_exchange : Exchange
exchange that provides market info, used to deal order and generate report
- If `trade_exchange` is None, self.trade_exchange will be set with common_infra
"""
super(TWAPStrategy, self).__init__(
outer_trade_decision=outer_trade_decision, level_infra=level_infra, common_infra=common_infra
@@ -36,21 +41,21 @@ class TWAPStrategy(BaseStrategy):
"""
Parameters
----------
common_infra : dict, optional
common_infra : CommonInfrastructure, optional
common infrastructure for backtesting, by default None
- It should include `trade_account`, used to get position
- It should include `trade_exchange`, used to provide market info
"""
super(TWAPStrategy, self).reset_common_infra(common_infra)
if common_infra is not None:
if "trade_exchange" in common_infra:
self.trade_exchange = common_infra.get("trade_exchange")
def reset(self, outer_trade_decision: object = None, **kwargs):
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
def reset(self, outer_trade_decision: List[Order] = None, **kwargs):
"""
Parameters
----------
outer_trade_decision : object, optional
outer_trade_decision : List[Order], optional
"""
super(TWAPStrategy, self).reset(outer_trade_decision=outer_trade_decision, **kwargs)
@@ -127,14 +132,16 @@ class SBBStrategyBase(BaseStrategy):
def __init__(
self,
outer_trade_decision: object = None,
outer_trade_decision: List[Order] = None,
trade_exchange: Exchange = None,
level_infra: dict = {},
common_infra: dict = {},
level_infra: LevelInfrastructure = None,
common_infra: CommonInfrastructure = None,
):
"""
Parameters
----------
outer_trade_decision : List[Order]
the trade decison of outer strategy which this startegy relies, it should be List[Order] in SBBStrategyBase
trade_exchange : Exchange
exchange that provides market info, used to deal order and generate report
- If `trade_exchange` is None, self.trade_exchange will be set with common_infra
@@ -156,15 +163,14 @@ class SBBStrategyBase(BaseStrategy):
- It should include `trade_exchange`, used to provide market info
"""
super(SBBStrategyBase, self).reset_common_infra(common_infra)
if common_infra is not None:
if "trade_exchange" in common_infra:
self.trade_exchange = common_infra.get("trade_exchange")
if common_infra.has("trade_exchange"):
self.trade_exchange = common_infra.get("trade_exchange")
def reset(self, outer_trade_decision=None, **kwargs):
def reset(self, outer_trade_decision: List[Order] = None, **kwargs):
"""
Parameters
----------
outer_trade_decision : object, optional
outer_trade_decision : List[Order], optional
"""
super(SBBStrategyBase, self).reset(outer_trade_decision=outer_trade_decision, **kwargs)
if outer_trade_decision is not None:
@@ -324,18 +330,18 @@ class SBBStrategyEMA(SBBStrategyBase):
def __init__(
self,
outer_trade_decision=[],
instruments="csi300",
freq="day",
outer_trade_decision: List[Order] = None,
instruments: Union[List, str] = "csi300",
freq: str = "day",
trade_exchange: Exchange = None,
level_infra={},
common_infra={},
level_infra: LevelInfrastructure = None,
common_infra: CommonInfrastructure = None,
**kwargs,
):
"""
Parameters
----------
instruments : str, optional
instruments : Union[List, str], optional
instruments of EMA signal, by default "csi300"
freq : str, optional
freq of EMA signal, by default "day"
@@ -375,7 +381,7 @@ class SBBStrategyEMA(SBBStrategyBase):
else:
self.level_infra.update(level_infra)
if "trade_calendar" in level_infra:
if level_infra.has("trade_calendar"):
self.trade_calendar = level_infra.get("trade_calendar")
self._reset_signal()

33
qlib/strategy/base.py
View File

@@ -7,6 +7,7 @@ from ..data.dataset import DatasetH
from ..data.dataset.utils import convert_index_format
from ..rl.interpreter import ActionInterpreter, StateInterpreter
from ..utils import init_instance_by_config
from ..backtest.utils import CommonInfrastructure, LevelInfrastructure
class BaseStrategy:
@@ -15,8 +16,8 @@ class BaseStrategy:
def __init__(
self,
outer_trade_decision: object = None,
level_infra: dict = {},
common_infra: dict = {},
level_infra: LevelInfrastructure = None,
common_infra: CommonInfrastructure = None,
):
"""
Parameters
@@ -25,9 +26,9 @@ class BaseStrategy:
the trade decison of outer strategy which this startegy relies, and it will be traded in [start_time, end_time], by default None
- If the strategy is used to split trade decison, it will be used
- If the strategy is used for portfolio management, it can be ignored
level_infra : dict, optional
level_infra : LevelInfrastructure, optional
level shared infrastructure for backtesting, including trade calendar
common_infra : dict, optional
common_infra : CommonInfrastructure, optional
common infrastructure for backtesting, including trade_account, trade_exchange, .etc
"""
@@ -39,7 +40,7 @@ class BaseStrategy:
else:
self.level_infra.update(level_infra)
if "trade_calendar" in level_infra:
if level_infra.has("trade_calendar"):
self.trade_calendar = level_infra.get("trade_calendar")
def reset_common_infra(self, common_infra):
@@ -48,10 +49,16 @@ class BaseStrategy:
else:
self.common_infra.update(common_infra)
if "trade_account" in common_infra:
if common_infra.has("trade_account"):
self.trade_position = common_infra.get("trade_account").current
def reset(self, level_infra: dict = None, common_infra: dict = None, outer_trade_decision=None, **kwargs):
def reset(
self,
level_infra: LevelInfrastructure = None,
common_infra: CommonInfrastructure = None,
outer_trade_decision=None,
**kwargs,
):
"""
- reset `level_infra`, used to reset trade calendar, .etc
- reset `common_infra`, used to reset `trade_account`, `trade_exchange`, .etc
@@ -86,8 +93,8 @@ class ModelStrategy(BaseStrategy):
model: BaseModel,
dataset: DatasetH,
outer_trade_decision: object = None,
level_infra: dict = {},
common_infra: dict = {},
level_infra: LevelInfrastructure = None,
common_infra: CommonInfrastructure = None,
**kwargs,
):
"""
@@ -122,8 +129,8 @@ class RLStrategy(BaseStrategy):
self,
policy,
outer_trade_decision: object = None,
level_infra: dict = {},
common_infra: dict = {},
level_infra: LevelInfrastructure = None,
common_infra: CommonInfrastructure = None,
**kwargs,
):
"""
@@ -145,8 +152,8 @@ class RLIntStrategy(RLStrategy):
state_interpreter: Union[dict, StateInterpreter],
action_interpreter: Union[dict, ActionInterpreter],
outer_trade_decision: object = None,
level_infra: dict = {},
common_infra: dict = {},
level_infra: LevelInfrastructure = None,
common_infra: CommonInfrastructure = None,
**kwargs,
):
"""

1
qlib/workflow/utils.py
View File

@@ -46,3 +46,4 @@ def experiment_kill_signal_handler(signum, frame):
End an experiment when user kill the program through keyboard (CTRL+C, etc.).
"""
R.end_exp(recorder_status=Recorder.STATUS_FA)
raise KeyboardInterrupt