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support market impact cost

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Dong Zhou
2021-10-22 08:44:47 +00:00
parent 64130d9407
commit 96b422a906
1 changed files with 7 additions and 0 deletions
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7
qlib/backtest/exchange.py
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@@ -34,6 +34,7 @@ class Exchange:
open_cost=0.0015,
close_cost=0.0025,
min_cost=5,
impact_cost=0.0,
extra_quote=None,
quote_cls=NumpyQuote,
**kwargs,
@@ -95,6 +96,7 @@ class Exchange:
**NOTE**: `trade_unit` is included in the `kwargs`. It is necessary because we must
distinguish `not set` and `disable trade_unit`
:param min_cost: min cost, default 5
:param impact_cost: market impact cost rate (a.k.a. slippage)
:param extra_quote: pandas, dataframe consists of
columns: like ['$vwap', '$close', '$volume', '$factor', 'limit_sell', 'limit_buy'].
The limit indicates that the etf is tradable on a specific day.
@@ -164,9 +166,12 @@ class Exchange:
all_fields = list(all_fields | set(subscribe_fields))
self.all_fields = all_fields
self.open_cost = open_cost
self.close_cost = close_cost
self.min_cost = min_cost
self.impact_cost = impact_cost
self.limit_threshold: Union[Tuple[str, str], float, None] = limit_threshold
self.volume_threshold = volume_threshold
self.extra_quote = extra_quote
@@ -718,6 +723,7 @@ class Exchange:
:return: trade_price, trade_val, trade_cost
"""
trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time, direction=order.direction)
total_trade_val = self.get_volume(order.stock_id, order.start_time, order.end_time) * trade_price
order.factor = self.get_factor(order.stock_id, order.start_time, order.end_time)
order.deal_amount = order.amount # set to full amount and clip it step by step
# Clipping amount first
@@ -773,6 +779,7 @@ class Exchange:
raise NotImplementedError("order type {} error".format(order.type))
trade_val = order.deal_amount * trade_price
cost_ratio += self.impact_cost * (trade_val / total_trade_val) ** 2
trade_cost = max(trade_val * cost_ratio, self.min_cost)
if trade_val <= 1e-5:
# if dealing is not successful, the trade_cost should be zero.