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numpy_order_indicator

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wangwenxi.handsome
2021-08-17 07:15:45 +00:00
committed by you-n-g
parent 222c2fd21a
commit 8eb7a1fddc
2 changed files with 255 additions and 21 deletions
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9
qlib/backtest/report.py
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@@ -16,7 +16,7 @@ from qlib.backtest.exchange import Exchange
from qlib.backtest.order import BaseTradeDecision, Order, OrderDir
from qlib.backtest.utils import TradeCalendarManager
from .high_performance_ds import PandasOrderIndicator
from .high_performance_ds import PandasOrderIndicator, NumpyOrderIndicator
from ..data import D
from ..tests.config import CSI300_BENCH
from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
@@ -236,6 +236,7 @@ class Indicator:
| indicator | desc. |
|--------------+--------------------------------------------------------------|
| amount | the *target* amount given by the outer strategy |
| deal_amount | the real deal amount |
| inner_amount | the total *target* amount of inner strategy |
| trade_price | the average deal price |
| trade_value | the total trade value |
@@ -255,7 +256,7 @@ class Indicator:
"""
def __init__(self, order_indicator_cls=PandasOrderIndicator):
def __init__(self, order_indicator_cls=NumpyOrderIndicator):
self.order_indicator_cls = order_indicator_cls
# order indicator is metrics for a single order for a specific step
@@ -329,9 +330,7 @@ class Indicator:
# sum inner order indicators with same metric.
all_metric = ["inner_amount", "deal_amount", "trade_price", "trade_value", "trade_cost", "trade_dir"]
metric_dict = self.order_indicator_cls.sum_all_indicators(inner_order_indicators, all_metric, fill_value=0)
for metric in metric_dict:
self.order_indicator.assign(metric, metric_dict[metric])
self.order_indicator_cls.sum_all_indicators(self.order_indicator, inner_order_indicators, all_metric, fill_value=0)
def func(trade_price, deal_amount):
# trade_price is np.NaN instead of inf when deal_amount is zero.