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Print volume limitation log

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Young
2021-08-04 11:03:38 +00:00
parent 3ff1d91d61
commit 8e87950292
4 changed files with 61 additions and 24 deletions
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52
qlib/backtest/exchange.py
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@@ -137,9 +137,10 @@ class Exchange:
if deal_price is None:
deal_price = C.deal_price
self.logger = get_module_logger("online operator", level=logging.INFO)
# we have some verbose information here. So logging is enable
self.logger = get_module_logger("online operator")
# TODO: the quote, trade_dates, codes are not necessray.
# TODO: the quote, trade_dates, codes are not necessary.
# It is just for performance consideration.
self.limit_type = self._get_limit_type(limit_threshold)
if limit_threshold is None:
@@ -387,6 +388,7 @@ class Exchange:
if self.check_order(order) is False:
order.deal_amount = 0.0
# using np.nan instead of None to make it more convenient to should the value in format string
self.logger.debug(f"Order failed due to trading limitation: {order}")
return 0.0, 0.0, np.nan
if trade_account is not None and position is not None:
@@ -659,20 +661,19 @@ class Exchange:
return (deal_amount * factor + 0.1) // self.trade_unit * self.trade_unit / factor
return deal_amount
def _get_amount_by_volume(self, order: Order, dealt_order_amount: dict) -> int:
def _clip_amount_by_volume(self, order: Order, dealt_order_amount: dict) -> int:
"""parse the capacity limit string and return the actual amount of orders that can be executed.
NOTE:
this function will change the order.deal_amount **inplace**
- This will make the order info more accurate
Parameters
----------
order : Order
the order to be executed.
dealt_order_amount : dict
:param dealt_order_amount: the dealt order amount dict with the format of {stock_id: float}
Returns
-------
int
the actual amount of orders that can be executed, due to the volume limit.
"""
if order.direction == Order.BUY:
vol_limit = self.buy_vol_limit
@@ -685,21 +686,33 @@ class Exchange:
vol_limit_num = []
for limit in vol_limit:
assert isinstance(limit, tuple)
limit_value = self.quote.get_data(
order.stock_id,
order.start_time,
order.end_time,
fields=limit[1],
method=ts_data_last,
)
if limit[0] == "current":
limit_value = self.quote.get_data(
order.stock_id,
order.start_time,
order.end_time,
fields=limit[1],
method="sum",
)
vol_limit_num.append(limit_value)
elif limit[0] == "cum":
limit_value = self.quote.get_data(
order.stock_id,
order.start_time,
order.end_time,
fields=limit[1],
method=ts_data_last,
)
vol_limit_num.append(limit_value - dealt_order_amount[order.stock_id])
else:
raise ValueError(f"{limit[0]} is not supported")
vol_limit_num = min(vol_limit_num)
return max(min(vol_limit_num, order.deal_amount), 0)
vol_limit_min = min(vol_limit_num)
orig_deal_amount = order.deal_amount
order.deal_amount = max(min(vol_limit_min, orig_deal_amount), 0)
if vol_limit_min < orig_deal_amount:
self.logger.debug(
f"Order clipped due to volume limitation: {order}, {[(vol, rule) for vol, rule in zip(vol_limit_num, vol_limit)]}"
)
def _calc_trade_info_by_order(self, order, position: Position, dealt_order_amount):
"""
@@ -733,7 +746,7 @@ class Exchange:
# We choose to sell all
order.deal_amount = order.amount
order.deal_amount = self._get_amount_by_volume(order, dealt_order_amount)
self._clip_amount_by_volume(order, dealt_order_amount)
trade_val = order.deal_amount * trade_price
trade_cost = max(trade_val * self.close_cost, self.min_cost)
elif order.direction == Order.BUY:
@@ -746,6 +759,7 @@ class Exchange:
order.deal_amount = self.round_amount_by_trade_unit(
cash / (1 + self.open_cost) / trade_price, order.factor
)
self.logger.debug(f"Order clipped due to cash limitation: {order}")
else:
# THe money is enough
order.deal_amount = self.round_amount_by_trade_unit(order.amount, order.factor)
@@ -753,7 +767,7 @@ class Exchange:
# Unknown amount of money. Just round the amount
order.deal_amount = self.round_amount_by_trade_unit(order.amount, order.factor)
order.deal_amount = self._get_amount_by_volume(order, dealt_order_amount)
self._clip_amount_by_volume(order, dealt_order_amount)
trade_val = order.deal_amount * trade_price
trade_cost = max(trade_val * self.open_cost, self.min_cost)
else: