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Refine Qlib RL data format (#1480)

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* wip

* wip

* wip

* Fix naming errors

* Backtest test passed

* Why training stuck?

* Minor

* Refine train configs

* Use dummy in training

* Remove pickle_dataframe

* CI

* CI

* Add more strict condition to filter orders

* Pass test

* Add TODO in example

---------

Co-authored-by: Young <afe.young@gmail.com>
This commit is contained in:
Huoran Li
2023-04-26 21:14:30 +08:00
committed by GitHub
parent 46264dfec9
commit 7f1e8c5206
17 changed files with 237 additions and 250 deletions
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17
examples/rl_order_execution/exp_configs/backtest_opds.yml
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@@ -3,15 +3,6 @@ start_time: "9:30"
end_time: "14:54"
qlib:
provider_uri_5min: ./data/bin/
feature_root_dir: ./data/pickle/
feature_columns_today: [
"$open", "$high", "$low", "$close", "$vwap", "$bid", "$ask", "$volume",
"$bidV", "$bidV1", "$bidV3", "$bidV5", "$askV", "$askV1", "$askV3", "$askV5"
]
feature_columns_yesterday: [
"$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1", "$bid_1", "$ask_1", "$volume_1",
"$bidV_1", "$bidV1_1", "$bidV3_1", "$bidV5_1", "$askV_1", "$askV1_1", "$askV3_1", "$askV5_1"
]
exchange:
limit_threshold: null
deal_price: ["$close", "$close"]
@@ -45,10 +36,12 @@ strategies:
data_ticks: 48
max_step: 8
processed_data_provider:
class: PickleProcessedDataProvider
class: HandlerProcessedDataProvider
kwargs:
data_dir: ./data/pickle_dataframe/feature
module_path: qlib.rl.data.pickle_styled
data_dir: ./data/pickle/
feature_columns_today: ["$high", "$low", "$open", "$close", "$volume"]
feature_columns_yesterday: ["$high_1", "$low_1", "$open_1", "$close_1", "$volume_1"]
module_path: qlib.rl.data.native
module_path: qlib.rl.order_execution.interpreter
module_path: qlib.rl.order_execution.strategy
30min: