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Code Activity

Correct errors and typos in doc strings (#1338)

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* add missing parameters to doc string in order_generate

* fix some typos in doc strings

* reformat base on code style standard

* Update qlib/backtest/__init__.py

* Update examples/run_all_model.py

* Update examples/run_all_model.py

Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
This commit is contained in:
qianyun210603
2022-11-07 23:37:18 +08:00
committed by GitHub
parent 2fae407b19
commit 94e420f755
4 changed files with 35 additions and 19 deletions
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2
examples/run_all_model.py
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@@ -253,7 +253,7 @@ class ModelRunner:
default "" indicates that default "" indicates that
qlib_uri : str qlib_uri : str
the uri to install qlib with pip the uri to install qlib with pip
it could be url on the we or local path (NOTE: the local path must be a absolute path) it could be URI on the remote or local path (NOTE: the local path must be an absolute path)
exp_folder_name: str exp_folder_name: str
the name of the experiment folder the name of the experiment folder
wait_before_rm_env : bool wait_before_rm_env : bool

2
qlib/backtest/__init__.py
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@@ -244,7 +244,7 @@ def backtest(
benchmark: str benchmark: str
the benchmark for reporting. the benchmark for reporting.
account : Union[float, int, Position] account : Union[float, int, Position]
information for describing how to creating the account information for describing how to create the account
For `float` or `int`: For `float` or `int`:
Using Account with only initial cash Using Account with only initial cash
For `Position`: For `Position`:

2
qlib/backtest/account.py
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@@ -236,7 +236,7 @@ class Account:
if not self.current_position.skip_update(): if not self.current_position.skip_update():
stock_list = self.current_position.get_stock_list() stock_list = self.current_position.get_stock_list()
for code in stock_list: for code in stock_list:
# if suspend, no new price to be updated, profit is 0 # if suspended, no new price to be updated, profit is 0
if trade_exchange.check_stock_suspended(code, trade_start_time, trade_end_time): if trade_exchange.check_stock_suspended(code, trade_start_time, trade_end_time):
continue continue
bar_close = cast(float, trade_exchange.get_close(code, trade_start_time, trade_end_time)) bar_close = cast(float, trade_exchange.get_close(code, trade_start_time, trade_end_time))

48
qlib/contrib/strategy/order_generator.py
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@@ -33,10 +33,14 @@ class OrderGenerator:
:type target_weight_position: dict :type target_weight_position: dict
:param risk_degree: :param risk_degree:
:type risk_degree: float :type risk_degree: float
:param pred_date: the date the score is predicted :param pred_start_time:
:type pred_date: pd.Timestamp :type pred_start_time: pd.Timestamp
:param trade_date: the date the stock is traded :param pred_end_time:
:type trade_date: pd.Timestamp :type pred_end_time: pd.Timestamp
:param trade_start_time:
:type trade_start_time: pd.Timestamp
:param trade_end_time:
:type trade_end_time: pd.Timestamp
:rtype: list :rtype: list
""" """
@@ -72,10 +76,14 @@ class OrderGenWInteract(OrderGenerator):
:type target_weight_position: dict :type target_weight_position: dict
:param risk_degree: :param risk_degree:
:type risk_degree: float :type risk_degree: float
:param pred_date: :param pred_start_time:
:type pred_date: pd.Timestamp :type pred_start_time: pd.Timestamp
:param trade_date: :param pred_end_time:
:type trade_date: pd.Timestamp :type pred_end_time: pd.Timestamp
:param trade_start_time:
:type trade_start_time: pd.Timestamp
:param trade_end_time:
:type trade_end_time: pd.Timestamp
:rtype: list :rtype: list
""" """
@@ -147,9 +155,12 @@ class OrderGenWOInteract(OrderGenerator):
) -> list: ) -> list:
"""generate_order_list_from_target_weight_position """generate_order_list_from_target_weight_position
generate order list directly not using the information (e.g. whether can be traded, the accurate trade price) at trade date. generate order list directly not using the information (e.g. whether can be traded, the accurate trade price)
In target weight position, generating order list need to know the price of objective stock in trade date, but we cannot get that at trade date.
value when do not interact with exchange, so we check the %close price at pred_date or price recorded in current position. In target weight position, generating order list need to know the price of objective stock in trade date,
but we cannot get that
value when do not interact with exchange, so we check the %close price at pred_date or price recorded
in current position.
:param current: :param current:
:type current: Position :type current: Position
@@ -159,10 +170,14 @@ class OrderGenWOInteract(OrderGenerator):
:type target_weight_position: dict :type target_weight_position: dict
:param risk_degree: :param risk_degree:
:type risk_degree: float :type risk_degree: float
:param pred_date: :param pred_start_time:
:type pred_date: pd.Timestamp :type pred_start_time: pd.Timestamp
:param trade_date: :param pred_end_time:
:type trade_date: pd.Timestamp :type pred_end_time: pd.Timestamp
:param trade_start_time:
:type trade_start_time: pd.Timestamp
:param trade_end_time:
:type trade_end_time: pd.Timestamp
:rtype: list of generated orders :rtype: list of generated orders
""" """
@@ -185,7 +200,8 @@ class OrderGenWOInteract(OrderGenerator):
* target_weight_position[stock_id] * target_weight_position[stock_id]
/ trade_exchange.get_close(stock_id, start_time=pred_start_time, end_time=pred_end_time) / trade_exchange.get_close(stock_id, start_time=pred_start_time, end_time=pred_end_time)
) )
# TODO: Qlib use None to represent trading suspension. So last close price can't be the estimated trading price. # TODO: Qlib use None to represent trading suspension.
# So last close price can't be the estimated trading price.
# Maybe a close price with forward fill will be a better solution. # Maybe a close price with forward fill will be a better solution.
elif stock_id in current_stock: elif stock_id in current_stock:
amount_dict[stock_id] = ( amount_dict[stock_id] = (