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Order execution open source (#1447)

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* 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>
This commit is contained in:
Huoran Li
2023-03-13 12:06:28 +08:00
committed by GitHub
parent f98e04ca9d
commit 653c082e7a
24 changed files with 742 additions and 42 deletions
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6
qlib/contrib/data/highfreq_handler.py
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@@ -115,6 +115,7 @@ class HighFreqGeneralHandler(DataHandlerLP):
day_length=240,
freq="1min",
columns=["$open", "$high", "$low", "$close", "$vwap"],
inst_processors=None,
):
self.day_length = day_length
self.columns = columns
@@ -128,6 +129,7 @@ class HighFreqGeneralHandler(DataHandlerLP):
"config": self.get_feature_config(),
"swap_level": False,
"freq": freq,
"inst_processors": inst_processors,
},
}
super().__init__(
@@ -257,6 +259,7 @@ class HighFreqGeneralBacktestHandler(DataHandler):
day_length=240,
freq="1min",
columns=["$close", "$vwap", "$volume"],
inst_processors=None,
):
self.day_length = day_length
self.columns = set(columns)
@@ -266,6 +269,7 @@ class HighFreqGeneralBacktestHandler(DataHandler):
"config": self.get_feature_config(),
"swap_level": False,
"freq": freq,
"inst_processors": inst_processors,
},
}
super().__init__(
@@ -311,6 +315,7 @@ class HighFreqOrderHandler(DataHandlerLP):
learn_processors=[],
fit_start_time=None,
fit_end_time=None,
inst_processors=None,
drop_raw=True,
):
@@ -323,6 +328,7 @@ class HighFreqOrderHandler(DataHandlerLP):
"config": self.get_feature_config(),
"swap_level": False,
"freq": "1min",
"inst_processors": inst_processors,
},
}
super().__init__(