mirror of
https://github.com/microsoft/qlib.git
synced 2026-07-11 23:06:58 +08:00
Cash Update (#559)
* fix negative cash * update order test * fix bug * update file_order_test
This commit is contained in:
wangwenxi-handsome
committed by
GitHub
GitHub
parent
05b9fb5a47
commit
735153a50d
@@ -16,6 +16,8 @@ class FileStrTest(TestAutoData):
|
||||
|
||||
EXAMPLE_FILE = DIRNAME / "order_example.csv"
|
||||
|
||||
DEAL_NUM_FOR_1000 = 123.47105436976445
|
||||
|
||||
def _gen_orders(self) -> pd.DataFrame:
|
||||
headers = [
|
||||
"datetime",
|
||||
@@ -24,11 +26,18 @@ class FileStrTest(TestAutoData):
|
||||
"direction",
|
||||
]
|
||||
orders = [
|
||||
["20200102", self.TEST_INST, "1000", "sell"],
|
||||
# test cash limit for buying
|
||||
["20200103", self.TEST_INST, "1000", "buy"],
|
||||
# test min_cost for buying
|
||||
["20200103", self.TEST_INST, "1", "buy"],
|
||||
# test held stock limit for selling
|
||||
["20200106", self.TEST_INST, "1000", "sell"],
|
||||
["20200106", self.TEST_INST, "1000", "buy"],
|
||||
["20200106", self.TEST_INST, "949.7773413058803", "sell"],
|
||||
# test cash limit for buying
|
||||
["20200107", self.TEST_INST, "1000", "buy"],
|
||||
# test min_cost for selling
|
||||
["20200108", self.TEST_INST, "1", "sell"],
|
||||
# test selling all stocks
|
||||
["20200110", self.TEST_INST, str(self.DEAL_NUM_FOR_1000), "sell"],
|
||||
]
|
||||
return pd.DataFrame(orders, columns=headers).set_index(["datetime", "instrument"])
|
||||
|
||||
@@ -54,7 +63,7 @@ class FileStrTest(TestAutoData):
|
||||
backtest_config = {
|
||||
"start_time": start_time,
|
||||
"end_time": end_time,
|
||||
"account": 100000000,
|
||||
"account": 30000,
|
||||
"benchmark": None, # benchmark is not required here for trading
|
||||
"exchange_kwargs": {
|
||||
"freq": freq,
|
||||
@@ -62,9 +71,9 @@ class FileStrTest(TestAutoData):
|
||||
"deal_price": "close",
|
||||
"open_cost": 0.0005,
|
||||
"close_cost": 0.0015,
|
||||
"min_cost": 5,
|
||||
"min_cost": 500,
|
||||
"codes": codes,
|
||||
"trade_unit": 100,
|
||||
"trade_unit": 2,
|
||||
},
|
||||
# "pos_type": "InfPosition" # Position with infinitive position
|
||||
}
|
||||
@@ -80,7 +89,16 @@ class FileStrTest(TestAutoData):
|
||||
},
|
||||
},
|
||||
}
|
||||
backtest(executor=executor_config, strategy=strategy_config, **backtest_config)
|
||||
report_dict, indicator_dict = backtest(executor=executor_config, strategy=strategy_config, **backtest_config)
|
||||
|
||||
# ffr valid
|
||||
ffr_dict = indicator_dict["1day"]["ffr"].to_dict()
|
||||
ffr_dict = {str(date).split()[0]: ffr_dict[date] for date in ffr_dict}
|
||||
assert ffr_dict["2020-01-03"] == 0
|
||||
assert ffr_dict["2020-01-06"] == self.DEAL_NUM_FOR_1000 / 1000
|
||||
assert ffr_dict["2020-01-07"] == self.DEAL_NUM_FOR_1000 / 1000
|
||||
assert ffr_dict["2020-01-08"] == 0
|
||||
assert ffr_dict["2020-01-10"] == 1
|
||||
|
||||
self.EXAMPLE_FILE.unlink()
|
||||
|
||||
|
||||
@@ -1,119 +0,0 @@
|
||||
# Copyright (c) Microsoft Corporation.
|
||||
# Licensed under the MIT License.
|
||||
|
||||
import unittest
|
||||
import qlib
|
||||
from qlib.backtest import backtest, order
|
||||
from qlib.tests import TestAutoData
|
||||
from qlib.backtest.order import TradeDecisionWO, TradeRangeByTime
|
||||
import pandas as pd
|
||||
from pathlib import Path
|
||||
|
||||
|
||||
class FileStrTest(TestAutoData):
|
||||
|
||||
TEST_INST = "SH600519"
|
||||
|
||||
def init_qlib(self):
|
||||
provider_uri_day = "/nfs_data1/stock_data/huaxia_1d_qlib"
|
||||
provider_uri_1min = "/nfs_data1/stock_data/huaxia_1min_qlib"
|
||||
provider_uri_map = {"1min": provider_uri_1min, "day": provider_uri_day}
|
||||
|
||||
client_config = {
|
||||
"calendar_provider": {
|
||||
"class": "LocalCalendarProvider",
|
||||
"module_path": "qlib.data.data",
|
||||
"kwargs": {
|
||||
"backend": {
|
||||
"class": "FileCalendarStorage",
|
||||
"module_path": "qlib.data.storage.file_storage",
|
||||
"kwargs": {"provider_uri_map": provider_uri_map},
|
||||
}
|
||||
},
|
||||
},
|
||||
"feature_provider": {
|
||||
"class": "LocalFeatureProvider",
|
||||
"module_path": "qlib.data.data",
|
||||
"kwargs": {
|
||||
"backend": {
|
||||
"class": "FileFeatureStorage",
|
||||
"module_path": "qlib.data.storage.file_storage",
|
||||
"kwargs": {"provider_uri_map": provider_uri_map},
|
||||
}
|
||||
},
|
||||
},
|
||||
}
|
||||
qlib.init(provider_uri=provider_uri_day, **client_config, expression_cache=None, dataset_cache=None)
|
||||
|
||||
def test_file_str(self):
|
||||
freq = "1min"
|
||||
inst = ["SH600000", "SH600011"]
|
||||
start_time = "2020-01-01"
|
||||
end_time = "2020-01-15 15:00"
|
||||
|
||||
strategy_config = {
|
||||
"class": "RandomOrderStrategy",
|
||||
"module_path": "qlib.contrib.strategy.rule_strategy",
|
||||
"kwargs": {
|
||||
"trade_range": TradeRangeByTime("9:30", "15:00"),
|
||||
"sample_ratio": 1.0,
|
||||
"volume_ratio": 0.01,
|
||||
"market": inst,
|
||||
},
|
||||
}
|
||||
position_dict = {
|
||||
"cash": 100000000,
|
||||
"SH600000": {"amount": 100},
|
||||
"SH600011": {"amount": 101},
|
||||
}
|
||||
backtest_config = {
|
||||
"start_time": start_time,
|
||||
"end_time": end_time,
|
||||
"account": position_dict,
|
||||
"benchmark": None, # benchmark is not required here for trading
|
||||
"exchange_kwargs": {
|
||||
"freq": freq,
|
||||
"limit_threshold": 0.095,
|
||||
"deal_price": "close",
|
||||
"open_cost": 0.0005,
|
||||
"close_cost": 0.0015,
|
||||
"min_cost": 5,
|
||||
"codes": inst,
|
||||
},
|
||||
"pos_type": "Position", # Position with infinitive position
|
||||
}
|
||||
executor_config = {
|
||||
"class": "NestedExecutor",
|
||||
"module_path": "qlib.backtest.executor",
|
||||
"kwargs": {
|
||||
"time_per_step": "day",
|
||||
"inner_executor": {
|
||||
"class": "SimulatorExecutor",
|
||||
"module_path": "qlib.backtest.executor",
|
||||
"kwargs": {
|
||||
"time_per_step": freq,
|
||||
"generate_report": False,
|
||||
"verbose": False,
|
||||
# "verbose": True,
|
||||
"indicator_config": {
|
||||
"show_indicator": False,
|
||||
},
|
||||
},
|
||||
},
|
||||
"inner_strategy": {
|
||||
"class": "TWAPStrategy",
|
||||
"module_path": "qlib.contrib.strategy.rule_strategy",
|
||||
},
|
||||
"track_data": True,
|
||||
"generate_report": True,
|
||||
"indicator_config": {
|
||||
"show_indicator": True,
|
||||
},
|
||||
},
|
||||
}
|
||||
self.init_qlib()
|
||||
backtest(executor=executor_config, strategy=strategy_config, **backtest_config)
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
unittest.main()
|
||||
Reference in New Issue
Block a user