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add highfreq_backtest

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This commit is contained in:
bxdd
2021-01-14 14:22:24 +00:00
committed by you-n-g
parent 570bb272eb
commit 6a9105e065
3 changed files with 261 additions and 21 deletions
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55
qlib/contrib/evaluate.py
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@@ -11,7 +11,7 @@ from ..log import get_module_logger
from . import strategy as strategy_pool
from .strategy.strategy import BaseStrategy
from .backtest.exchange import Exchange
from .backtest.backtest import backtest as backtest_func, get_date_range
from .backtest.backtest import backtest as backtest_func, get_date_range, backtest_highfreq as backtest_highfreq_func
from ..data import D
from ..config import C
@@ -272,19 +272,46 @@ def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, **k
ex_args = {k: v for k, v in kwargs.items() if k in spec.args}
trade_exchange = get_exchange(pred, **ex_args)
# run backtest
report_df, positions = backtest_func(
pred=pred,
strategy=strategy,
trade_exchange=trade_exchange,
shift=shift,
verbose=verbose,
account=account,
benchmark=benchmark,
)
# for compatibility of the old API. return the dict positions
positions = {k: p.position for k, p in positions.items()}
return report_df, positions
if kwargs.get('highfreq_executor', False):
order_set = backtest_func(
pred=pred,
strategy=strategy,
trade_exchange=trade_exchange,
shift=shift,
verbose=verbose,
account=account,
benchmark=benchmark,
return_order=True,
)
executor = init_instance_by_config(kwargs.get('highfreq_executor'))
report_df, positions = backtest_highfreq_func(
pred=pred,
executor=executor,
trade_exchange=trade_exchange,
shift=shift,
order_set=order_set,
verbose=verbose,
account=account,
benchmark=benchmark
)
positions = {k: p.position for k, p in positions.items()}
return report_df, positions
else:
# run backtest
report_df, positions = backtest_func(
pred=pred,
strategy=strategy,
trade_exchange=trade_exchange,
shift=shift,
verbose=verbose,
account=account,
benchmark=benchmark,
return_order=False,
)
# for compatibility of the old API. return the dict positions
positions = {k: p.position for k, p in positions.items()}
return report_df, positions
def long_short_backtest(