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update strategy

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bxdd
2021-04-21 16:42:16 +08:00
parent d3a1e03a11
commit 971d6a2847
25 changed files with 2442 additions and 810 deletions
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39
qlib/contrib/strategy/order_generator.py
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@@ -4,8 +4,8 @@
"""
This order generator is for strategies based on WeightStrategyBase
"""
from ..backtest.position import Position
from ..backtest.exchange import Exchange
from ...backtest.position import Position
from ...backtest.exchange import Exchange
import pandas as pd
import copy
@@ -17,8 +17,10 @@ class OrderGenerator:
trade_exchange: Exchange,
target_weight_position: dict,
risk_degree: float,
pred_date: pd.Timestamp,
trade_date: pd.Timestamp,
pred_start_time: pd.Timestamp,
pred_end_time: pd.Timestamp,
trade_start_time: pd.Timestamp,
trade_end_time: pd.Timestamp,
) -> list:
"""generate_order_list_from_target_weight_position
@@ -49,8 +51,10 @@ class OrderGenWInteract(OrderGenerator):
trade_exchange: Exchange,
target_weight_position: dict,
risk_degree: float,
pred_date: pd.Timestamp,
trade_date: pd.Timestamp,
pred_start_time: pd.Timestamp,
pred_end_time: pd.Timestamp,
trade_start_time: pd.Timestamp,
trade_end_time: pd.Timestamp,
) -> list:
"""generate_order_list_from_target_weight_position
@@ -77,10 +81,10 @@ class OrderGenWInteract(OrderGenerator):
# calculate current_tradable_value
current_amount_dict = current.get_stock_amount_dict()
current_total_value = trade_exchange.calculate_amount_position_value(
amount_dict=current_amount_dict, trade_date=trade_date, only_tradable=False
amount_dict=current_amount_dict, trade_start_time=trade_start_time, trade_end_time=trade_end_time, only_tradable=False
)
current_tradable_value = trade_exchange.calculate_amount_position_value(
amount_dict=current_amount_dict, trade_date=trade_date, only_tradable=True
amount_dict=current_amount_dict, trade_start_time=trade_start_time, trade_end_time=trade_end_time, only_tradable=True
)
# add cash
current_tradable_value += current.get_cash()
@@ -93,7 +97,7 @@ class OrderGenWInteract(OrderGenerator):
# value. Then just sell all the stocks
target_amount_dict = copy.deepcopy(current_amount_dict.copy())
for stock_id in list(target_amount_dict.keys()):
if trade_exchange.is_stock_tradable(stock_id, trade_date):
if trade_exchange.is_stock_tradable(stock_id, trade_start_time=trade_start_time, trade_end_time=trade_end_time):
del target_amount_dict[stock_id]
else:
# consider cost rate
@@ -104,12 +108,14 @@ class OrderGenWInteract(OrderGenerator):
target_amount_dict = trade_exchange.generate_amount_position_from_weight_position(
weight_position=target_weight_position,
cash=current_tradable_value,
trade_date=trade_date,
trade_start_time=trade_start_time,
trade_end_time=trade_end_time,
)
order_list = trade_exchange.generate_order_for_target_amount_position(
target_position=target_amount_dict,
current_position=current_amount_dict,
trade_date=trade_date,
trade_start_time=trade_start_time,
trade_end_time=trade_end_time,
)
return order_list
@@ -123,8 +129,10 @@ class OrderGenWOInteract(OrderGenerator):
trade_exchange: Exchange,
target_weight_position: dict,
risk_degree: float,
pred_date: pd.Timestamp,
trade_date: pd.Timestamp,
pred_start_time: pd.Timestamp,
pred_end_time: pd.Timestamp,
trade_start_time: pd.Timestamp,
trade_end_time: pd.Timestamp,
) -> list:
"""generate_order_list_from_target_weight_position
@@ -153,7 +161,7 @@ class OrderGenWOInteract(OrderGenerator):
amount_dict = {}
for stock_id in target_weight_position:
# Current rule will ignore the stock that not hold and cannot be traded at predict date
if trade_exchange.is_stock_tradable(stock_id=stock_id, trade_date=pred_date):
if trade_exchange.is_stock_tradable(stock_id=stock_id, trade_start_time=trade_start_time, trade_end_time=trade_end_time):
amount_dict[stock_id] = (
risk_total_value * target_weight_position[stock_id] / trade_exchange.get_close(stock_id, pred_date)
)
@@ -166,6 +174,7 @@ class OrderGenWOInteract(OrderGenerator):
order_list = trade_exchange.generate_order_for_target_amount_position(
target_position=amount_dict,
current_position=current.get_stock_amount_dict(),
trade_date=trade_date,
trade_start_time=trade_start_time,
trade_end_time=trade_end_time,
)
return order_list