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refactor index_range to trade_range

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Young
2021-07-15 07:54:27 +00:00
parent 571d27cba7
commit 94b456714d
5 changed files with 121 additions and 190 deletions
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20
qlib/backtest/report.py
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@@ -364,6 +364,11 @@ class Indicator:
agg = pa_config.get("agg", "twap").lower()
price = pa_config.get("price", "deal_price").lower()
# NOTE: IndexTradeRange is not supported!!!!! Because inner index is not available
trade_start_time, trade_end_time = decision.trade_range.clip_time_range(
start_time=trade_start_time, end_time=trade_end_time
)
if price == "deal_price":
price_s = trade_exchange.get_deal_price(
inst, trade_start_time, trade_end_time, direction=direction, method=None
@@ -386,21 +391,6 @@ class Indicator:
else:
raise NotImplementedError(f"This type of input is not supported")
# no sub executor on the lowest level
# So range_limit an total step will all be None
total_step = decision.total_step
if total_step is None:
total_step = 1
range_limit = decision.get_range_limit(default_value=(0, total_step - 1))
assert volume_s.shape[0] % total_step == 0, "The price series can't be divided by step length"
factor = volume_s.shape[0] // total_step
slc = slice(range_limit[0] * factor, (range_limit[1] + 1) * factor)
volume_s = volume_s.iloc[slc]
price_s = price_s.iloc[slc]
base_volume = volume_s.sum().item()
base_price = ((price_s * volume_s).sum() / base_volume).item()