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Support order dataframe

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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
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11
qlib/contrib/strategy/rule_strategy.py
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@@ -714,12 +714,12 @@ class FileOrderStrategy(BaseStrategy):
- This class provides an interface for user to read orders from csv files. - 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 Parameters
---------- ----------
file : Union[IO, str, Path] file : Union[IO, str, Path, pd.DataFrame]
this parameters will specify the info of expected orders this parameters will specify the info of expected orders
Here is an example of the content Here is an example of the content
@@ -741,8 +741,11 @@ class FileOrderStrategy(BaseStrategy):
""" """
super().__init__(*args, **kwargs) super().__init__(*args, **kwargs)
with get_io_object(file) as f: if isinstance(file, pd.DataFrame):
self.order_df = pd.read_csv(f, dtype={"datetime": np.str}) 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["datetime"] = self.order_df["datetime"].apply(pd.Timestamp)
self.order_df = self.order_df.set_index(["datetime", "instrument"]) self.order_df = self.order_df.set_index(["datetime", "instrument"])