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del outdate file

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bxdd
2021-04-26 20:54:10 +08:00
parent af0053eb17
commit 8920c1967f
6 changed files with 1 additions and 218 deletions
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1
examples/highfreq/backtest/workflow.py
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@@ -100,6 +100,7 @@ if __name__ == "__main__":
"module_path": "qlib.contrib.backtest.env", "module_path": "qlib.contrib.backtest.env",
"kwargs": { "kwargs": {
"step_bar": "day", "step_bar": "day",
"verbose": True,
} }
}, },
"sub_strategy": { "sub_strategy": {

1
qlib/contrib/backtest/backtest.py
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@@ -16,7 +16,6 @@ def backtest(start_time, end_time, trade_strategy, trade_env, benchmark, account
trade_state = trade_env.get_init_state() trade_state = trade_env.get_init_state()
while not trade_env.finished(): while not trade_env.finished():
_order_list = trade_strategy.generate_order_list(**trade_state) _order_list = trade_strategy.generate_order_list(**trade_state)
print("_order_list", _order_list)
trade_state, trade_info = trade_env.execute(_order_list) trade_state, trade_info = trade_env.execute(_order_list)
report_df = trade_account.report.generate_report_dataframe() report_df = trade_account.report.generate_report_dataframe()

0
qlib/env/__init__.py vendored
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169
qlib/env/env.py vendored
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@@ -1,169 +0,0 @@
import re
import json
import copy
import pathlib
import pandas as pd
from loguru import Logger
from ...data import D
from ...utils import get_date_in_file_name
from ...utils import get_pre_trading_date
from ..backtest.order import Order
from ..utils import init_instance_by_config
class BaseEnv:
"""
# Strategy framework document
class Env(BaseEnv):
"""
def __init__(
self,
step_bar,
trade_account,
start_time=None,
end_time=None,
track=False,
verbose=False,
**kwargs
):
self.step_bar = step_bar
self.reset(start_time=start_time, end_time=end_time, trade_account=trade_account, track=track, **kwargs)
def _reset_trade_date(self, start_time=None, end_time=None):
if start_time:
self.start_time = start_time
if end_time:
self.end_time = end_time
if not self.start_time or not self.end_time:
raise ValueError("value of `start_time` or `end_time` is None")
_calendar = get_sample_freq_calendar(start_time=start_time, end_time=end_time, freq=step_bar)
self.trade_dates = np.hstack(pd.Timestamp(self.start_time), _calendar, self.end_time)
self.trade_len = len(self.trade_dates)
self.trade_index = 0
def reset(self, start_time=None, end_time=None, **kwargs):
if start_time or end_time:
self._reset_trade_date(start_time=start_time, end_time=end_time)
self.track = kwargs.get("track", False)
self.upper_action = kwargs.get("upper_action", None)
self.trade_account = init_instance_by_config(kwargs.get("trade_account"))
return self.trade_account
def execute(self, action):
self.trade_index = self.trade_index + 1
return
(
self.trade_account,
{
"start_time": self.start_time,
"end_time": self.end_time,
"trade_len": self.trade_len,
"trade_index": self.trade_index - 1,
}
)
def finished(self):
return self.trade_index >= self.trade_len
class SplitEnv(BaseEnv):
def __init__(
self,
step_bar,
start_time,
end_time,
trade_account,
sub_env,
sub_strategy,
track=False,
verbose=False,
**kwargs
):
self.sub_env = sub_env
self.sub_strategy = sub_strategy
super(SplitEnv, self).__init__(step_bar=step_bar, start_time=start_time, end_time=end_time, trade_account=trade_account, track=track)
def execute(self, action):
if self.finished():
raise StopIteration(f"this env has completed its task, please reset it if you want to call it!")
#if self.track:
# yield action
#episode_reward = 0
self.sub_strategy.reset(uppper_action=action)
sub_account = self.sub_env.reset(uppper_action=action, start_time=self.trade_dates[self.trade_index - 1], end_time=self.trade_dates[self.trade_index])
while not self.sub_env.finished():
sub_order = self.sub_strategy.generate_order(sub_obs)
sub_account, sub_info = self.sub_env.execute(sub_action)
#episode_reward += sub_reward
_account, _info = super(SimulatorEnv, self).execute(action)
return _account, _info
class SimulatorEnv(BaseEnv):
def __init__(
self,
step_bar,
start_time,
end_time,
trade_account,
trade_exchange,
track=False,
verbose=False,
**kwargs
):
self.trade_exchange = trade_exchange
super(SimulatorEnv, self).__init__(step_bar=step_bar, start_time=start_time, end_time=end_time, trade_account=trade_account, track=track, verbose=verbose)
def execute(self, action:dict):
"""
Return: obs, done, info
"""
if self.finished():
raise StopIteration(f"this env has completed its task, please reset it if you want to call it!")
trade_info = []
order_list = action
for order in order_list:
if self.trade_exchange.check_order(order) is True:
# execute the order
trade_val, trade_cost, trade_price = self.trade_exchange.deal_order(order, trade_account=self.trade_account)
trade_info.append((order, trade_val, trade_cost, trade_price))
if self.verbose:
if order.direction == Order.SELL: # sell
print(
"[I ({:%Y-%m-%d})-({:%Y-%m-%d})]: sell {}, price {:.2f}, amount {}, value {:.2f}.".format(
self.trade_dates[self.trade_index],
self.trade_dates[self.trade_index + 1],
order.stock_id,
trade_price,
order.deal_amount,
trade_val,
)
)
else:
print(
"[I ({:%Y-%m-%d})-{:%Y-%m-%d}]: buy {}, price {:.2f}, amount {}, value {:.2f}.".format(
self.trade_dates[self.trade_index],
self.trade_dates[self.trade_index + 1],
order.stock_id,
trade_price,
order.deal_amount,
trade_val,
)
)
else:
if self.verbose:
print("[W ({:%Y-%m-%d})-({:%Y-%m-%d})]: {} wrong.".format(self.trade_dates[self.trade_index], self.trade_dates[self.trade_index + 1], order.stock_id))
# do nothing
pass
self.trade_account.update_daily_end(today=trade_dates, trader=self.trade_exchange)
_account, _info = super(SimulatorEnv, self).execute(action)
return _account, {**_info, "trade_info", trade_info}

33
qlib/env/env_wrapper.py vendored
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@@ -1,33 +0,0 @@
class BaseEnvWrapper:
"""
# Base Env Wrapper for Reforcement Learning Framework
class EnvWrapper(BaseEnvWrapper):
"""
def __init__(self, sub_env, action_interpreter, state_interpreter):
self.sub_env = sub_env
self.action_interpreter = action_interpreter
self.state_interpreter = state_interpreter
def reset(self, **kwargs):
self.upper_state = kwargs.get("upper_state", None)
self.sub_env.reset()
def step(self, action):
sub_action = self.action_interpreter.interpret(action)
sub_state = self.sub_env.step(sub_action)
state = self.state_interpreter.interpret(sub_state)
return state
reurn self.
if self.track:
yield action
yield from
def finished(self):
return self.sub_env.finished()

15
qlib/env/interpreter.py vendored
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@@ -1,15 +0,0 @@
class BaseInterpreter:
@staticmethod
def interpret(**kwargs):
raise NotImplementedError("interpret is not implemented!")
class ActionInterpreter:
@staticmethod
def interpret(action, **kwargs):
return action
class StateInterpreter:
@staticmethod
def interpret(state, **kwargs):
return state