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Fix _update_dealt_order_amount bug. (#1291)

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* Fix bug

* A weird Mypy issue
This commit is contained in:
Huoran Li
2022-09-14 14:14:20 +08:00
committed by GitHub
parent 80bf16f9a8
commit 7c64ea5c08
2 changed files with 12 additions and 12 deletions
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20
qlib/backtest/executor.py
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@@ -587,20 +587,18 @@ class SimulatorExecutor(BaseExecutor):
raise NotImplementedError(f"This type of input is not supported") raise NotImplementedError(f"This type of input is not supported")
return order_it return order_it
def _update_dealt_order_amount(self, order: Order) -> None:
"""update date and dealt order amount in the day."""
now_deal_day = self.trade_calendar.get_step_time()[0].floor(freq="D")
if self.deal_day is None or now_deal_day > self.deal_day:
self.dealt_order_amount = defaultdict(float)
self.deal_day = now_deal_day
self.dealt_order_amount[order.stock_id] += order.deal_amount
def _collect_data(self, trade_decision: BaseTradeDecision, level: int = 0) -> Tuple[List[object], dict]: def _collect_data(self, trade_decision: BaseTradeDecision, level: int = 0) -> Tuple[List[object], dict]:
trade_start_time, _ = self.trade_calendar.get_step_time() trade_start_time, _ = self.trade_calendar.get_step_time()
execute_result: list = [] execute_result: list = []
for order in self._get_order_iterator(trade_decision): for order in self._get_order_iterator(trade_decision):
# Each time we move into a new date, clear `self.dealt_order_amount` since it only maintains intraday
# information.
now_deal_day = self.trade_calendar.get_step_time()[0].floor(freq="D")
if self.deal_day is None or now_deal_day > self.deal_day:
self.dealt_order_amount = defaultdict(float)
self.deal_day = now_deal_day
# execute the order. # execute the order.
# NOTE: The trade_account will be changed in this function # NOTE: The trade_account will be changed in this function
trade_val, trade_cost, trade_price = self.trade_exchange.deal_order( trade_val, trade_cost, trade_price = self.trade_exchange.deal_order(
@@ -609,7 +607,9 @@ class SimulatorExecutor(BaseExecutor):
dealt_order_amount=self.dealt_order_amount, dealt_order_amount=self.dealt_order_amount,
) )
execute_result.append((order, trade_val, trade_cost, trade_price)) execute_result.append((order, trade_val, trade_cost, trade_price))
self._update_dealt_order_amount(order)
self.dealt_order_amount[order.stock_id] += order.deal_amount
if self.verbose: if self.verbose:
print( print(
"[I {:%Y-%m-%d %H:%M:%S}]: {} {}, price {:.2f}, amount {}, deal_amount {}, factor {}, " "[I {:%Y-%m-%d %H:%M:%S}]: {} {}, price {:.2f}, amount {}, deal_amount {}, factor {}, "

4
qlib/backtest/utils.py
View File

@@ -183,8 +183,8 @@ class TradeCalendarManager:
Tuple[int, int]: Tuple[int, int]:
the index of the range. **the left and right are closed** the index of the range. **the left and right are closed**
""" """
left = np.searchsorted(self._calendar, start_time, side="right") - 1 left = int(np.searchsorted(self._calendar, start_time, side="right") - 1)
right = np.searchsorted(self._calendar, end_time, side="right") - 1 right = int(np.searchsorted(self._calendar, end_time, side="right") - 1)
left -= self.start_index left -= self.start_index
right -= self.start_index right -= self.start_index