liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-19 10:24:35 +08:00
Code Activity

fix indicator

Browse Source
This commit is contained in:
wangwenxi.handsome
2021-07-27 09:06:13 +00:00
parent fcca242807
commit 66971d5f0d
2 changed files with 29 additions and 9 deletions
Download Patch File Download Diff File Expand all files Collapse all files

8
qlib/backtest/report.py
View File

@@ -308,7 +308,8 @@ class Indicator:
def _update_order_fulfill_rate(self):
def func(deal_amount, amount):
return deal_amount / amount
tmp_deal_amount = deal_amount.replace({np.NaN: 0})
return deal_amount / tmp_deal_amount
self.order_indicator.transfer(func, "ffr")
@@ -323,12 +324,13 @@ class Indicator:
self.order_indicator.assign(metric, metric_dict[metric])
def func(trade_price, deal_amount):
return trade_price / deal_amount
tmp_deal_amount = deal_amount.replace({0: np.NaN})
return trade_price / tmp_deal_amount
self.order_indicator.transfer(func, "trade_price")
def func_apply(trade_dir):
return trade_dir.map(Order.parse_dir)
return trade_dir.apply(Order.parse_dir)
self.order_indicator.transfer(func_apply, "trade_dir")