update backtest

examples/workflow_with_highfreq_backtest.py

@@ -39,10 +39,10 @@ if __name__ == "__main__":
     # train model
     ###################################
     data_handler_config = {
-        "start_time": "2008-01-01",
-        "end_time": "2020-08-01",
-        "fit_start_time": "2008-01-01",
-        "fit_end_time": "2014-12-31",
+        "start_time": "2012-01-01",
+        "end_time": "2019-06-01",
+        "fit_start_time": "2012-01-01",
+        "fit_end_time": "2017-04-30",
         "instruments": market,
     }
 
@@ -72,9 +72,9 @@ if __name__ == "__main__":
                     "kwargs": data_handler_config,
                 },
                 "segments": {
-                    "train": ("2008-01-01", "2014-12-31"),
-                    "valid": ("2015-01-01", "2016-12-31"),
-                    "test": ("2017-01-01", "2020-08-01"),
+                    "train": ("2012-01-01", "2017-04-30"),
+                    "valid": ("2017-05-01", "2019-04-30"),
+                    "test": ("2019-05-01", "2019-06-01"),
                 },
             },
         },
@@ -89,7 +89,7 @@ if __name__ == "__main__":
             'device': 'cpu',
         },
         "paths": {
-            "raw_dir": "/shared_data/data/v-xiabi/highfreq-exe/data/backtest_test_multi/",
+            "raw_dir": "/shared_data/data/v-xiabi/highfreq-exe/data/backtest_test_multi",
             "feature_conf": "/shared_data/data/v-xiabi/highfreq-exe/code/rl4execution/config/test_feature_all1620.json",
         },
         "env_conf": {

qlib/contrib/backtest/backtest.py

@@ -123,9 +123,6 @@ def backtest(pred, strategy, trade_exchange, shift, verbose, account, benchmark,
         return report_df, positions
 
 def backtest_highfreq(pred, executor, trade_exchange, shift, order_set, verbose, account, benchmark):
-    if get_level_index(pred, level="datetime") == 1:
-        pred = pred.swaplevel().sort_index()
-
     trade_account_highfreq = Account(init_cash=account)
     _pred_dates = pred.index.get_level_values(level="datetime")
     predict_dates = D.calendar(start_time=_pred_dates.min(), end_time=_pred_dates.max())
@@ -149,9 +146,16 @@ def backtest_highfreq(pred, executor, trade_exchange, shift, order_set, verbose,
         if verbose:
             LOG.info("[I {:%Y-%m-%d}]: highfreq trade begin.".format(trade_date))
         ## TODO: kanren group need to merge code here
-        trade_info = executor.execute(trade_account, order_list, trade_date)
-        update_account(trade_account_highfreq, trade_info, trade_exchange, trade_date)
+        print(trade_account, order_list, trade_date)
+        executor.execute(trade_account, order_list, trade_date)
 
+    for trade_account, order_list, trade_date in order_set:
+        trade_info = executor.get_res()
+        print(trade_info)
+        update_account(trade_account_highfreq, trade_info, trade_exchange, trade_date)
+        if verbose:
+            LOG.info("[I {:%Y-%m-%d}]: highfreq trade end.".format(trade_date))
+    executor.close()
     report_df = trade_account_highfreq.report.generate_report_dataframe()
     report_df["bench"] = bench
     positions = trade_account_highfreq.get_positions()

qlib/contrib/evaluate.py

@@ -271,8 +271,6 @@ def backtest(pred, account=1e9, shift=1, benchmark="SH000905", verbose=True, **k
     spec = inspect.getfullargspec(get_exchange)
     ex_args = {k: v for k, v in kwargs.items() if k in spec.args}
     trade_exchange = get_exchange(pred, **ex_args)
-
-    
     if kwargs.get('highfreq_executor', False):
         order_set = backtest_func(
             pred=pred,