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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy

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v-mingzhehan
2021-07-15 08:31:39 +00:00
parent 831773a0d6 94b456714d
commit 870f834577
6 changed files with 169 additions and 206 deletions
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30
qlib/contrib/strategy/rule_strategy.py
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@@ -10,7 +10,7 @@ from qlib.utils import lazy_sort_index
from ...utils.resam import resam_ts_data, ts_data_last
from ...data.data import D
from ...strategy.base import BaseStrategy
from ...backtest.order import BaseTradeDecision, Order, TradeDecisionWO
from ...backtest.order import BaseTradeDecision, Order, TradeDecisionWO, TradeRange
from ...backtest.exchange import Exchange, OrderHelper
from ...backtest.utils import CommonInfrastructure, LevelInfrastructure
from qlib.utils.file import get_io_object
@@ -625,7 +625,7 @@ class ACStrategy(BaseStrategy):
class RandomOrderStrategy(BaseStrategy):
def __init__(
self,
index_range: Tuple[int, int], # The range is closed on both left and right.
trade_range: Union[Tuple[int, int], TradeRange], # The range is closed on both left and right.
sample_ratio: float = 1.0,
volume_ratio: float = 0.01,
market: str = "all",
@@ -636,13 +636,8 @@ class RandomOrderStrategy(BaseStrategy):
"""
Parameters
----------
index_range : Tuple
the intra day time index range of the orders
the left and right is closed.
If you want to get the index_range in intra-day
- `qlib/utils/time.py:def get_day_min_idx_range` can help you create the index range easier
# TODO: this is a index_range level limitation. We'll implement a more detailed limitation later.
trade_range : Tuple
please refer to the `trade_range` parameter of BaseStrategy
sample_ratio : float
the ratio of all orders are sampled
volume_ratio : float
@@ -653,7 +648,6 @@ class RandomOrderStrategy(BaseStrategy):
"""
super().__init__(*args, **kwargs)
self.index_range = index_range
self.sample_ratio = sample_ratio
self.volume_ratio = volume_ratio
self.market = market
@@ -664,6 +658,7 @@ class RandomOrderStrategy(BaseStrategy):
D.instruments(market), ["Mean(Ref($volume, 1), 10)"], start_time=exch.start_time, end_time=exch.end_time
)
self.volume_df = self.volume.iloc[:, 0].unstack()
self.trade_range = trade_range
def generate_trade_decision(self, execute_result=None):
trade_step = self.trade_calendar.get_trade_step()
@@ -683,7 +678,7 @@ class RandomOrderStrategy(BaseStrategy):
direction=self.direction,
)
)
return TradeDecisionWO(order_list, self, self.index_range)
return TradeDecisionWO(order_list, self, self.trade_range)
class FileOrderStrategy(BaseStrategy):
@@ -692,7 +687,8 @@ class FileOrderStrategy(BaseStrategy):
- This class provides an interface for user to read orders from csv files.
"""
def __init__(self, file: Union[IO, str, Path, pd.DataFrame], index_range: Tuple[int, int] = None, *args, **kwargs):
def __init__(self, file: Union[IO, str, Path, pd.DataFrame],
trade_range: Union[Tuple[int, int], TradeRange]= None, *args, **kwargs):
"""
Parameters
@@ -709,13 +705,13 @@ class FileOrderStrategy(BaseStrategy):
20200103, SH600519, 1000, buy
20200106, SH600519, 1000, sell
index_range : Tuple[int, int]
trade_range : Tuple[int, int]
the intra day time index range of the orders
the left and right is closed.
If you want to get the index_range in intra-day
If you want to get the trade_range in intra-day
- `qlib/utils/time.py:def get_day_min_idx_range` can help you create the index range easier
# TODO: this is a index_range level limitation. We'll implement a more detailed limitation later.
# TODO: this is a trade_range level limitation. We'll implement a more detailed limitation later.
"""
super().__init__(*args, **kwargs)
@@ -730,7 +726,7 @@ class FileOrderStrategy(BaseStrategy):
# make sure the datetime is the first level for fast indexing
self.order_df = lazy_sort_index(convert_index_format(self.order_df, level="datetime"))
self.index_range = index_range
self.trade_range = trade_range
def generate_trade_decision(self, execute_result=None) -> TradeDecisionWO:
"""
@@ -760,4 +756,4 @@ class FileOrderStrategy(BaseStrategy):
end_time=end,
)
)
return TradeDecisionWO(order_list, self, self.index_range)
return TradeDecisionWO(order_list, self, self.trade_range)