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add infra interface & fix no KeyboardInterpret bug

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This commit is contained in:
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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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