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fix impact cost

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Dong Zhou
2021-10-22 08:58:37 +00:00
parent b70caff522
commit 7313b4dad0
1 changed files with 6 additions and 4 deletions
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10
qlib/backtest/exchange.py
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@@ -732,8 +732,12 @@ class Exchange:
# - It simulates that the large order is submitted, but partial is dealt regardless of rounding by trading unit. # - It simulates that the large order is submitted, but partial is dealt regardless of rounding by trading unit.
self._clip_amount_by_volume(order, dealt_order_amount) self._clip_amount_by_volume(order, dealt_order_amount)
# TODO: the adjusted cost ratio can be overestimated as deal_amount will be clipped in the next steps
trade_val = order.deal_amount * trade_price
adj_cost_ratio = self.impact_cost * (trade_val / total_trade_val) ** 2
if order.direction == Order.SELL: if order.direction == Order.SELL:
cost_ratio = self.close_cost cost_ratio = self.close_cost + adj_cost_ratio
# sell # sell
# if we don't know current position, we choose to sell all # if we don't know current position, we choose to sell all
# Otherwise, we clip the amount based on current position # Otherwise, we clip the amount based on current position
@@ -756,7 +760,7 @@ class Exchange:
self.logger.debug(f"Order clipped due to cash limitation: {order}") self.logger.debug(f"Order clipped due to cash limitation: {order}")
elif order.direction == Order.BUY: elif order.direction == Order.BUY:
cost_ratio = self.open_cost cost_ratio = self.open_cost + adj_cost_ratio
# buy # buy
if position is not None: if position is not None:
cash = position.get_cash() cash = position.get_cash()
@@ -778,8 +782,6 @@ class Exchange:
else: else:
raise NotImplementedError("order type {} error".format(order.type)) raise NotImplementedError("order type {} error".format(order.type))
trade_val = order.deal_amount * trade_price
cost_ratio += self.impact_cost * (trade_val / total_trade_val) ** 2
trade_cost = max(trade_val * cost_ratio, self.min_cost) trade_cost = max(trade_val * cost_ratio, self.min_cost)
if trade_val <= 1e-5: if trade_val <= 1e-5:
# if dealing is not successful, the trade_cost should be zero. # if dealing is not successful, the trade_cost should be zero.