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Huoran Li
2022-07-19 15:20:19 +08:00
parent 5ff6407d02
commit 7d466890c0
3 changed files with 45 additions and 20 deletions
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48
qlib/rl/order_execution/simulator_qlib.py
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@@ -18,8 +18,13 @@ from qlib.rl.data.pickle_styled import QlibIntradayBacktestData
from qlib.rl.order_execution.from_neutrader.config import ExchangeConfig from qlib.rl.order_execution.from_neutrader.config import ExchangeConfig
from qlib.rl.order_execution.from_neutrader.feature import init_qlib from qlib.rl.order_execution.from_neutrader.feature import init_qlib
from qlib.rl.order_execution.simulator_simple import SAOEMetrics, SAOEState from qlib.rl.order_execution.simulator_simple import SAOEMetrics, SAOEState
from qlib.rl.order_execution.utils import (_convert_tick_str_to_int, _dataframe_append, _get_common_infra, from qlib.rl.order_execution.utils import (
_get_ticks_slice, _price_advantage) _convert_tick_str_to_int,
_dataframe_append,
_get_common_infra,
_get_ticks_slice,
_price_advantage,
)
from qlib.rl.simulator import Simulator from qlib.rl.simulator import Simulator
from qlib.strategy.base import BaseStrategy from qlib.strategy.base import BaseStrategy
@@ -108,22 +113,33 @@ class StateMaintainer:
if len(execute_result) > 0: if len(execute_result) > 0:
exchange = inner_executor.trade_exchange exchange = inner_executor.trade_exchange
market_price = np.array([exchange.get_deal_price( market_price = np.array(
execute_order.stock_id, [
execute_result[0][0].start_time, exchange.get_deal_price(
execute_result[-1][0].start_time, execute_order.stock_id,
direction=execute_order.direction, execute_result[0][0].start_time,
method=None, execute_result[-1][0].start_time,
)]).reshape(-1) direction=execute_order.direction,
market_volume = np.array([exchange.get_volume( method=None,
execute_order.stock_id, )
execute_result[0][0].start_time, ]
execute_result[-1][0].start_time, ).reshape(-1)
method=None, market_volume = np.array(
)]).reshape(-1) [
exchange.get_volume(
execute_order.stock_id,
execute_result[0][0].start_time,
execute_result[-1][0].start_time,
method=None,
)
]
).reshape(-1)
datetime_list = _get_ticks_slice( datetime_list = _get_ticks_slice(
self._tick_index, execute_result[0][0].start_time, execute_result[-1][0].start_time, include_end=True, self._tick_index,
execute_result[0][0].start_time,
execute_result[-1][0].start_time,
include_end=True,
) )
else: else:
market_price = np.array([]) market_price = np.array([])

6
qlib/rl/order_execution/tests/test_simulator_qlib.py
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@@ -91,16 +91,16 @@ def test_simulator_first_step():
order = get_order() order = get_order()
simulator = get_simulator(order) simulator = get_simulator(order)
state = simulator.get_state() state = simulator.get_state()
assert state.cur_time == pd.Timestamp('2019-03-04 09:30:00') assert state.cur_time == pd.Timestamp("2019-03-04 09:30:00")
assert state.position == TOTAL_POSITION assert state.position == TOTAL_POSITION
AMOUNT = 300.0 AMOUNT = 300.0
simulator.step(AMOUNT) simulator.step(AMOUNT)
state = simulator.get_state() state = simulator.get_state()
assert state.cur_time == pd.Timestamp('2019-03-04 10:00:00') assert state.cur_time == pd.Timestamp("2019-03-04 10:00:00")
assert state.position == TOTAL_POSITION - AMOUNT assert state.position == TOTAL_POSITION - AMOUNT
assert len(state.history_exec) == 30 assert len(state.history_exec) == 30
assert state.history_exec.index[0] == pd.Timestamp('2019-03-04 09:30:00') assert state.history_exec.index[0] == pd.Timestamp("2019-03-04 09:30:00")
assert is_close(state.history_exec["market_volume"].iloc[0], 109382.382812) assert is_close(state.history_exec["market_volume"].iloc[0], 109382.382812)
assert is_close(state.history_exec["market_price"].iloc[0], 149.566483) assert is_close(state.history_exec["market_price"].iloc[0], 149.566483)

11
tests/rl/test_saoe_simple.py
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@@ -18,7 +18,16 @@ from qlib.config import C
from qlib.log import set_log_with_config from qlib.log import set_log_with_config
from qlib.rl.data import pickle_styled from qlib.rl.data import pickle_styled
from qlib.rl.entries.test import backtest from qlib.rl.entries.test import backtest
from qlib.rl.order_execution import SingleAssetOrderExecution, FullHistoryStateInterpreter, CurrentStepStateInterpreter, CategoricalActionInterpreter, TwapRelativeActionInterpreter, AllOne, Recurrent, PPO from qlib.rl.order_execution import (
SingleAssetOrderExecution,
FullHistoryStateInterpreter,
CurrentStepStateInterpreter,
CategoricalActionInterpreter,
TwapRelativeActionInterpreter,
AllOne,
Recurrent,
PPO,
)
from qlib.rl.utils import ConsoleWriter, CsvWriter, EnvWrapperStatus from qlib.rl.utils import ConsoleWriter, CsvWriter, EnvWrapperStatus
pytestmark = pytest.mark.skipif(sys.version_info < (3, 8), reason="Pickle styled data only supports Python >= 3.8") pytestmark = pytest.mark.skipif(sys.version_info < (3, 8), reason="Pickle styled data only supports Python >= 3.8")