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fix trade time bug

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This commit is contained in:
bxdd
2021-05-06 21:33:33 +08:00
parent ae339506b3
commit 7540ecde11
5 changed files with 56 additions and 36 deletions
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2
qlib/contrib/backtest/account.py
View File

@@ -94,7 +94,7 @@ class Account:
def _sample_benchmark(self, bench, trade_start_time, trade_end_time):
def cal_change(x):
return x.prod() - 1
return (x + 1).prod() - 1
_ret = sample_feature(bench, trade_start_time, trade_end_time, method=cal_change)
return 0 if _ret is None else _ret

2
qlib/contrib/backtest/env.py
View File

@@ -49,7 +49,7 @@ class BaseTradeCalendar:
def _get_calendar_time(self, trade_index=1, shift=0):
trade_index = trade_index - shift
calendar_index = self.start_index + trade_index
return self.calendar[calendar_index - 1], self.calendar[calendar_index]
return self.calendar[calendar_index - 1], self.calendar[calendar_index] - pd.Timedelta(seconds=1)
def finished(self):
return self.trade_index >= self.trade_len - 1

2
qlib/contrib/strategy/model_strategy.py
View File

@@ -51,7 +51,7 @@ class TopkDropoutStrategy(ModelStrategy):
strategy will make decision with the tradable state of the stock info and avoid buy and sell them.
"""
super(TopkDropoutStrategy, self).__init__(
step_bar, model, dataset, start_time, end_time, trade_exchange=trade_exchange
step_bar, model, dataset, start_time, end_time, trade_exchange=trade_exchange, **kwargs
)
self.topk = topk
self.n_drop = n_drop

36
qlib/contrib/strategy/rule_strategy.py
View File

@@ -11,16 +11,30 @@ from ..backtest.order import Order
class TWAPStrategy(RuleStrategy, TradingEnhancement):
def reset(self, trade_order_list=None, **kwargs):
def __init__(
self,
step_bar,
start_time=None,
end_time=None,
trade_exchange=None,
**kwargs,
):
super(TWAPStrategy, self).__init__(
step_bar, start_time, end_time, trade_exchange=trade_exchange, **kwargs
)
def reset(self, trade_order_list=None, trade_exchange=None, **kwargs):
super(TWAPStrategy, self).reset(**kwargs)
TradingEnhancement.reset(self, trade_order_list=trade_order_list)
if trade_order_list:
self.trade_amount = {}
for order in self.trade_order_list:
self.trade_amount[(order.stock_id, order.direction)] = order.amount // self.trade_len
if trade_exchange:
self.trade_exchange = trade_exchange
def generate_order_list(self, **kwargs):
super(TopkDropoutStrategy, self).step()
super(TWAPStrategy, self).step()
trade_start_time, trade_end_time = self._get_calendar_time(self.trade_index)
order_list = []
for order in self.trade_order_list:
@@ -44,8 +58,19 @@ class SBBStrategyBase(RuleStrategy, TradingEnhancement):
TREND_MID = 0
TREND_SHORT = 1
TREND_LONG = 2
def __init__(
self,
step_bar,
start_time=None,
end_time=None,
trade_exchange=None,
**kwargs,
):
super(SBBStrategyBase, self).__init__(
step_bar, start_time, end_time, trade_exchange=trade_exchange, **kwargs
)
def reset(self, trade_order_list=None, **kwargs):
def reset(self, trade_order_list=None, trade_exchange=None, **kwargs):
super(SBBStrategyBase, self).reset(**kwargs)
TradingEnhancement.reset(self, trade_order_list=trade_order_list)
if trade_order_list:
@@ -54,6 +79,8 @@ class SBBStrategyBase(RuleStrategy, TradingEnhancement):
for order in self.trade_order_list:
self.trade_amount[(order.stock_id, order.direction)] = order.amount // self.trade_len
self.trade_trend[(order.stock_id, order.direction)] = self.TREND_MID
if trade_exchange:
self.trade_exchange = trade_exchange
def _pred_price_trend(self, stock_id, pred_start_time=None, pred_end_time=None):
raise NotImplementedError("pred_price_trend method is not implemented!")
@@ -127,11 +154,12 @@ class SBBStrategyEMA(SBBStrategyBase):
step_bar,
start_time=None,
end_time=None,
trade_exchange=None,
instruments="csi300",
freq="day",
**kwargs,
):
super(SBBStrategyEMA, self).__init__(step_bar, start_time, end_time, **kwargs)
super(SBBStrategyEMA, self).__init__(step_bar, start_time, end_time, trade_exchange=trade_exchange, **kwargs)
if instruments is None:
warnings.warn("`instruments` is not set, will load all stocks")
self.instruments = "all"