liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-06-30 09:31:18 +08:00
Code Activity

Support order dataframe

Browse Source
This commit is contained in:
v-mingzhehan
2021-07-06 03:50:34 +00:00
parent e063d3536c
commit 82645233e7
1 changed files with 7 additions and 4 deletions
Download Patch File Download Diff File Expand all files Collapse all files

11
qlib/contrib/strategy/rule_strategy.py
View File

@@ -714,12 +714,12 @@ class FileOrderStrategy(BaseStrategy):
- This class provides an interface for user to read orders from csv files.
"""
def __init__(self, file: Union[IO, str, Path], index_range: Tuple[int, int] = None, *args, **kwargs):
def __init__(self, file: Union[IO, str, Path, pd.DataFrame], index_range: Tuple[int, int] = None, *args, **kwargs):
"""
Parameters
----------
file : Union[IO, str, Path]
file : Union[IO, str, Path, pd.DataFrame]
this parameters will specify the info of expected orders
Here is an example of the content
@@ -741,8 +741,11 @@ class FileOrderStrategy(BaseStrategy):
"""
super().__init__(*args, **kwargs)
with get_io_object(file) as f:
self.order_df = pd.read_csv(f, dtype={"datetime": np.str})
if isinstance(file, pd.DataFrame):
self.order_df = file
else:
with get_io_object(file) as f:
self.order_df = pd.read_csv(f, dtype={"datetime": np.str})
self.order_df["datetime"] = self.order_df["datetime"].apply(pd.Timestamp)
self.order_df = self.order_df.set_index(["datetime", "instrument"])