liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-13 15:56:57 +08:00
Code Activity

add position test

Browse Source
This commit is contained in:
wangwenxi.handsome
2021-08-08 14:32:33 +00:00
parent 74e1ee6921
commit 7c858803f0
6 changed files with 205 additions and 52 deletions
Download Patch File Download Diff File Expand all files Collapse all files

21
qlib/backtest/account.py
View File

@@ -80,9 +80,15 @@ class Account:
----------
init_cash : float, optional
initial cash, by default 1e9
position_dict : Dict[stock_id, {"amount": int, "price"(optional): float}], optional
initial stocks with amount and price,
if there is no price key in the dict of stocks, it will be filled by latest close price from qlib.
position_dict : Dict[
stock_id,
Union[
int, # it is equal to {"amount": int}
{"amount": int, "price"(optional): float},
]
]
initial stocks with parameters amount and price,
if there is no price key in the dict of stocks, it will be filled by _fill_stock_value.
by default {}.
"""
@@ -122,6 +128,8 @@ class Account:
self.report = Report(freq, benchmark_config)
self.positions = {}
# fill stock value
# The frequency of account may not align with the trading frequency.
# This may result in obscure bugs when data quality is low.
self.current.fill_stock_value(self.benchmark_config["start_time"], self.freq)
# trading related metrics(e.g. high-frequency trading)
@@ -186,7 +194,8 @@ class Account:
# The cost will be substracted from the cash at last. So the trading logic can ignore the cost calculation
if order.direction == Order.SELL:
# sell stock
self._update_state_from_order(order, trade_val, cost, trade_price)
if getattr(self, "accum_info") is not None:
self._update_state_from_order(order, trade_val, cost, trade_price)
# update current position
# for may sell all of stock_id
self.current.update_order(order, trade_val, cost, trade_price)
@@ -194,7 +203,8 @@ class Account:
# buy stock
# deal order, then update state
self.current.update_order(order, trade_val, cost, trade_price)
self._update_state_from_order(order, trade_val, cost, trade_price)
if getattr(self, "accum_info") is not None:
self._update_state_from_order(order, trade_val, cost, trade_price)
def update_bar_count(self):
"""at the end of the trading bar, update holding bar, count of stock"""
@@ -311,7 +321,6 @@ class Account:
self.update_current(trade_start_time, trade_end_time, trade_exchange)
if self.is_port_metr_enabled():
# report is portfolio related analysis
print(trade_start_time, trade_end_time)
self.update_report(trade_start_time, trade_end_time)
# TODO: will skip empty decisions make it faster? `outer_trade_decision.empty():`