add position test

2026-07-09 14:00:55 +08:00 · 2021-08-08 14:32:33 +00:00
parent 74e1ee6921
commit 7c858803f0
6 changed files with 205 additions and 52 deletions
--- a/tests/backtest/test_init_position.py
+++ b/tests/backtest/test_init_position.py
@@ -0,0 +1,119 @@
+# 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()