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add suspend check in twap

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Young
2021-07-29 04:05:39 +00:00
parent ab3c4a2c05
commit 73f5cc0a2b
1 changed files with 9 additions and 5 deletions
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14
qlib/contrib/strategy/rule_strategy.py
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@@ -68,6 +68,15 @@ class TWAPStrategy(BaseStrategy):
trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step) trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
order_list = [] order_list = []
for order in self.outer_trade_decision.get_decision(): for order in self.outer_trade_decision.get_decision():
# Don't peek the future information, so we use check_stock_suspended instead of is_stock_tradable
# necessity of this
# - if stock is suspended, the quote values of stocks is NaN. The following code will raise error when
# encountering NaN factor
if self.trade_exchange.check_stock_suspended(
stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
):
continue
# the expected trade amount after current step # the expected trade amount after current step
amount_expect = order.amount / trade_len * (rel_trade_step + 1) amount_expect = order.amount / trade_len * (rel_trade_step + 1)
@@ -80,11 +89,6 @@ class TWAPStrategy(BaseStrategy):
# the expected amount of current step # the expected amount of current step
amount_delta = amount_expect - amount_finished amount_delta = amount_expect - amount_finished
# Don't peek the future information
# if not self.trade_exchange.is_stock_tradable(
# stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
# ):
# continue
_amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit( _amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(
stock_id=order.stock_id, start_time=order.start_time, end_time=order.end_time stock_id=order.stock_id, start_time=order.start_time, end_time=order.end_time
) )