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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy

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v-mingzhehan
2021-07-19 04:18:17 +00:00
parent 25ff62f542 92f2891664
commit 62583ea6ec
5 changed files with 75 additions and 23 deletions
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8
qlib/contrib/evaluate.py
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@@ -73,20 +73,20 @@ def indicator_analysis(df, method="mean"):
Parameters
----------
df : pandas.DataFrame
columns: like ['pa', 'pos', 'ffr', 'amount', 'value'].
columns: like ['pa', 'pos', 'ffr', 'deal_amount', 'value'].
Necessary fields:
- 'pa' is the price advantage in trade indicators
- 'pos' is the positive rate in trade indicators
- 'ffr' is the fulfill rate in trade indicators
Optional fields:
- 'amount' is the total deal amount, only necessary when method is 'amount_weighted'
- 'deal_amount' is the total deal deal_amount, only necessary when method is 'amount_weighted'
- 'value' is the total trade value, only necessary when method is 'value_weighted'
index: Index(datetime)
method : str, optional
statistics method of pa/ffr, by default "mean"
- if method is 'mean', count the mean statistical value of each trade indicator
- if method is 'amount_weighted', count the amount weighted mean statistical value of each trade indicator
- if method is 'amount_weighted', count the deal_amount weighted mean statistical value of each trade indicator
- if method is 'value_weighted', count the value weighted mean statistical value of each trade indicator
Note: statistics method of pos is always "mean"
@@ -97,7 +97,7 @@ def indicator_analysis(df, method="mean"):
"""
weights_dict = {
"mean": df["count"],
"amount_weighted": df["amount"].abs(),
"amount_weighted": df["deal_amount"].abs(),
"value_weighted": df["value"].abs(),
}
if method not in weights_dict:

2
qlib/contrib/strategy/model_strategy.py
View File

@@ -194,7 +194,6 @@ class TopkDropoutStrategy(ModelStrategy):
start_time=trade_start_time,
end_time=trade_end_time,
direction=Order.SELL, # 0 for sell, 1 for buy
factor=factor,
)
# is order executable
if self.trade_exchange.check_order(sell_order):
@@ -231,7 +230,6 @@ class TopkDropoutStrategy(ModelStrategy):
start_time=trade_start_time,
end_time=trade_end_time,
direction=Order.BUY, # 1 for buy
factor=factor,
)
buy_order_list.append(buy_order)
return TradeDecisionWO(sell_order_list + buy_order_list, self)

21
qlib/contrib/strategy/rule_strategy.py
View File

@@ -63,7 +63,9 @@ class TWAPStrategy(BaseStrategy):
stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
):
continue
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(order.factor)
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(stock_id=order.stock_id,
start_time=order.start_time,
end_time=order.end_time)
_order_amount = None
# considering trade unit
if _amount_trade_unit is None:
@@ -99,7 +101,6 @@ class TWAPStrategy(BaseStrategy):
start_time=trade_start_time,
end_time=trade_end_time,
direction=order.direction, # 1 for buy
factor=order.factor,
)
order_list.append(_order)
return TradeDecisionWO(order_list=order_list, strategy=self)
@@ -168,7 +169,9 @@ class SBBStrategyBase(BaseStrategy):
self.trade_trend[order.stock_id] = _pred_trend
continue
# get amount of one trade unit
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(order.factor)
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(stock_id=order.stock_id,
start_time=order.start_time,
end_time=order.end_time)
if _pred_trend == self.TREND_MID:
_order_amount = None
# considering trade unit
@@ -201,7 +204,6 @@ class SBBStrategyBase(BaseStrategy):
start_time=trade_start_time,
end_time=trade_end_time,
direction=order.direction,
factor=order.factor,
)
order_list.append(_order)
@@ -248,7 +250,6 @@ class SBBStrategyBase(BaseStrategy):
start_time=trade_start_time,
end_time=trade_end_time,
direction=order.direction, # 1 for buy
factor=order.factor,
)
order_list.append(_order)
else:
@@ -267,7 +268,6 @@ class SBBStrategyBase(BaseStrategy):
start_time=trade_start_time,
end_time=trade_end_time,
direction=order.direction, # 1 for buy
factor=order.factor,
)
order_list.append(_order)
@@ -471,7 +471,9 @@ class ACStrategy(BaseStrategy):
if sig_sam is None or np.isnan(sig_sam):
# no signal, TWAP
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(order.factor)
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(stock_id=order.stock_id,
start_time=order.start_time,
end_time=order.end_time)
if _amount_trade_unit is None:
# divide the order into equal parts, and trade one part
_order_amount = self.trade_amount[order.stock_id] / (trade_len - trade_step)
@@ -492,7 +494,10 @@ class ACStrategy(BaseStrategy):
np.sinh(kappa * (trade_len - trade_step)) - np.sinh(kappa * (trade_len - trade_step - 1))
) / np.sinh(kappa * trade_len)
_order_amount = order.amount * amount_ratio
_order_amount = self.trade_exchange.round_amount_by_trade_unit(_order_amount, order.factor)
_order_amount = self.trade_exchange.round_amount_by_trade_unit(_order_amount,
stock_id=order.stock_id,
start_time=order.start_time,
end_time=order.end_time)
if order.direction == order.SELL:
# sell all amount at last