add exchange kwargs

2026-06-06 05:51:17 +08:00 · 2021-06-29 21:34:36 +08:00
parent 267ee3555d
commit 93796bdcef
25 changed files with 152 additions and 2 deletions
--- a/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml
+++ b/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha158.yaml
@@ -45,6 +45,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: ALSTM
--- a/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml
+++ b/examples/benchmarks/ALSTM/workflow_config_alstm_Alpha360.yaml
@@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: ALSTM
--- a/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158.yaml
+++ b/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha158.yaml
@@ -23,6 +23,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: CatBoostModel
--- a/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360.yaml
+++ b/examples/benchmarks/CatBoost/workflow_config_catboost_Alpha360.yaml
@@ -30,6 +30,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: CatBoostModel
--- a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml
+++ b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha158.yaml
@@ -23,6 +23,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: DEnsembleModel
--- a/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml
+++ b/examples/benchmarks/DoubleEnsemble/workflow_config_doubleensemble_Alpha360.yaml
@@ -30,6 +30,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: DEnsembleModel
@@ -88,7 +94,7 @@ task:
            dataset: <DATASET>
        - class: SigAnaRecord
          module_path: qlib.workflow.record_temp
-          kwargs: 
+          kwargs:
            ana_long_short: False
            ann_scaler: 252
            model: <MODEL>
--- a/examples/benchmarks/GATs/workflow_config_gats_Alpha158.yaml
+++ b/examples/benchmarks/GATs/workflow_config_gats_Alpha158.yaml
@@ -44,6 +44,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: GATs
--- a/examples/benchmarks/GATs/workflow_config_gats_Alpha360.yaml
+++ b/examples/benchmarks/GATs/workflow_config_gats_Alpha360.yaml
@@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: GATs
--- a/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml
+++ b/examples/benchmarks/GRU/workflow_config_gru_Alpha158.yaml
@@ -45,6 +45,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: GRU
--- a/examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml
+++ b/examples/benchmarks/GRU/workflow_config_gru_Alpha360.yaml
@@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: GRU
--- a/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml
+++ b/examples/benchmarks/LSTM/workflow_config_lstm_Alpha158.yaml
@@ -45,6 +45,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: LSTM
--- a/examples/benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml
+++ b/examples/benchmarks/LSTM/workflow_config_lstm_Alpha360.yaml
@@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: LSTM
--- a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
+++ b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha158.yaml
@@ -23,6 +23,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: LGBModel
--- a/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml
+++ b/examples/benchmarks/LightGBM/workflow_config_lightgbm_Alpha360.yaml
@@ -30,6 +30,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: LGBModel
--- a/examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml
+++ b/examples/benchmarks/LightGBM/workflow_config_lightgbm_configurable_dataset.yaml
@@ -38,6 +38,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: LGBModel
--- a/examples/benchmarks/Linear/workflow_config_linear_Alpha158.yaml
+++ b/examples/benchmarks/Linear/workflow_config_linear_Alpha158.yaml
@@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: LinearModel
@@ -64,7 +70,7 @@ task:
        - class: SigAnaRecord
          module_path: qlib.workflow.record_temp
          kwargs: 
-            ana_long_short: False
+            ana_long_short: True
            ann_scaler: 252
            model: <MODEL>
            dataset: <DATASET>
--- a/examples/benchmarks/MLP/workflow_config_mlp_Alpha158.yaml
+++ b/examples/benchmarks/MLP/workflow_config_mlp_Alpha158.yaml
@@ -50,6 +50,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: DNNModelPytorch
--- a/examples/benchmarks/MLP/workflow_config_mlp_Alpha360.yaml
+++ b/examples/benchmarks/MLP/workflow_config_mlp_Alpha360.yaml
@@ -38,6 +38,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: DNNModelPytorch
--- a/examples/benchmarks/SFM/workflow_config_sfm_Alpha360.yaml
+++ b/examples/benchmarks/SFM/workflow_config_sfm_Alpha360.yaml
@@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: SFM
--- a/examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml
+++ b/examples/benchmarks/TCTS/workflow_config_tcts_Alpha360.yaml
@@ -41,6 +41,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: TCTS
--- a/examples/benchmarks/TFT/workflow_config_tft_Alpha158.yaml
+++ b/examples/benchmarks/TFT/workflow_config_tft_Alpha158.yaml
@@ -25,6 +25,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: TFTModel
--- a/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha158.yaml
+++ b/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha158.yaml
@@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: TabnetModel
--- a/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha360.yaml
+++ b/examples/benchmarks/TabNet/workflow_config_TabNet_Alpha360.yaml
@@ -37,6 +37,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: TabnetModel
--- a/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha158.yaml
+++ b/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha158.yaml
@@ -23,6 +23,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: XGBModel
--- a/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha360.yaml
+++ b/examples/benchmarks/XGBoost/workflow_config_xgboost_Alpha360.yaml
@@ -30,6 +30,12 @@ port_analysis_config: &port_analysis_config
        end_time: 2020-08-01
        account: 100000000
        benchmark: *benchmark
+        exchange_kwargs:
+            limit_threshold: 0.095
+            deal_price: close
+            open_cost: 0.0005
+            close_cost: 0.0015
+            min_cost: 5
 task:
    model:
        class: XGBModel