Order execution open source (#1447)

* Waiting for bin data

* Complete readme

* CI

* Add inst filter by time

* Update qlib/data/dataset/processor.py

* typo

* Fix time filter bug

* Add Filter and set Universe

* Complete data pipeline

* Fix Provider Logger Info Args

* Add DQN; a minor bugfix in ppo reward.

* update readme. modify assertion logic in strategy check.

* Fix Doc issues and fix black

* Fix pylint Error

---------

Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>

examples/rl_order_execution/exp_configs/backtest_ppo.yml

@@ -0,0 +1,59 @@
+order_file: ./data/orders/test_orders.pkl
+start_time: "9:30"
+end_time: "14:54"
+qlib:
+  provider_uri_5min: ./data/bin/
+  feature_root_dir: ./data/pickle/
+  feature_columns_today: [
+    "$open", "$high", "$low", "$close", "$vwap", "$bid", "$ask", "$volume",
+    "$bidV", "$bidV1", "$bidV3", "$bidV5", "$askV", "$askV1", "$askV3", "$askV5"
+  ]
+  feature_columns_yesterday: [
+    "$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1", "$bid_1", "$ask_1", "$volume_1",
+    "$bidV_1", "$bidV1_1", "$bidV3_1", "$bidV5_1", "$askV_1", "$askV1_1", "$askV3_1", "$askV5_1"
+  ]
+exchange:
+  limit_threshold: null
+  deal_price: ["$close", "$close"]
+  volume_threshold: null
+strategies:
+  1day:
+    class: SAOEIntStrategy
+    kwargs:
+      data_granularity: 5
+      action_interpreter:
+        class: CategoricalActionInterpreter
+        kwargs:
+          max_step: 8
+          values: 4
+        module_path: qlib.rl.order_execution.interpreter
+      network:
+        class: Recurrent
+        kwargs: {}
+        module_path: qlib.rl.order_execution.network
+      policy:
+        class: PPO  # PPO, DQN
+        kwargs:
+          lr: 0.0001
+          # Restore `weight_file` once the training workflow finishes. You can change the checkpoint file you want to use.
+          # weight_file: outputs/ppo/checkpoints/latest.pth
+        module_path: qlib.rl.order_execution.policy
+      state_interpreter:
+        class: FullHistoryStateInterpreter
+        kwargs:
+          data_dim: 5
+          data_ticks: 48
+          max_step: 8
+          processed_data_provider:
+            class: PickleProcessedDataProvider
+            kwargs:
+              data_dir: ./data/pickle_dataframe/feature
+            module_path: qlib.rl.data.pickle_styled
+        module_path: qlib.rl.order_execution.interpreter
+    module_path: qlib.rl.order_execution.strategy
+  30min:
+    class: TWAPStrategy
+    kwargs: {}
+    module_path: qlib.contrib.strategy.rule_strategy
+concurrency: 16
+output_dir: outputs/ppo/