fix bug

qlib/backtest/__init__.py

@@ -1,130 +0,0 @@
-# Copyright (c) Microsoft Corporation.
-# Licensed under the MIT License.
-
-from .order import Order
-from .position import Position
-from .exchange import Exchange
-from .report import Report
-from .backtest import backtest as backtest_func
-
-import copy
-import numpy as np
-import inspect
-from ..utils import init_instance_by_config
-from ..log import get_module_logger
-from ..config import C
-
-logger = get_module_logger("backtest caller")
-
-
-def get_exchange(
-    pred,
-    exchange=None,
-    start_time=None,
-    end_time=None,
-    codes = "all",
-    subscribe_fields=[],
-    open_cost=0.0015,
-    close_cost=0.0025,
-    min_cost=5.0,
-    trade_unit=None,
-    limit_threshold=None,
-    deal_price=None,
-    shift=1,
-):
-    """get_exchange
-
-    Parameters
-    ----------
-
-    # exchange related arguments
-    exchange: Exchange().
-    subscribe_fields: list
-        subscribe fields.
-    open_cost : float
-        open transaction cost.
-    close_cost : float
-        close transaction cost.
-    min_cost : float
-        min transaction cost.
-    trade_unit : int
-        100 for China A.
-    deal_price: str
-        dealing price type: 'close', 'open', 'vwap'.
-    limit_threshold : float
-        limit move 0.1 (10%) for example, long and short with same limit.
-
-    Returns
-    -------
-    :class: Exchange
-    an initialized Exchange object
-    """
-
-    if trade_unit is None:
-        trade_unit = C.trade_unit
-    if limit_threshold is None:
-        limit_threshold = C.limit_threshold
-    if deal_price is None:
-        deal_price = C.deal_price
-    if exchange is None:
-        logger.info("Create new exchange")
-        # handle exception for deal_price
-        if deal_price[0] != "$":
-            deal_price = "$" + deal_price
-
-        exchange = Exchange(
-            start_time=start_time,
-            end_time=end_time,
-            codes=codes,
-            deal_price=deal_price,
-            subscribe_fields=subscribe_fields,
-            limit_threshold=limit_threshold,
-            open_cost=open_cost,
-            close_cost=close_cost,
-            trade_unit=trade_unit,
-            min_cost=min_cost,
-        )
-    else:
-        return init_instance_by_config(exchange, accept_types=Exchange)
-
-def init_env_instance_by_config(env):
-    if isinstance(env, dict):
-        env_config = copy.copy(env)
-        if "kwargs" in env_config:
-            env_kwargs = copy.copy(env_config["kwargs"]):
-            if "sub_env" in env_kwargs:
-                env_kwargs["sub_env"] = init_env_instance_by_config(env_kwargs["sub_env"])
-            if "sub_strategy" in env_kwargs:
-                env_kwargs["sub_strategy"] = init_instance_by_config(env_kwargs["sub_strategy"])
-            env_config["kwargs"] = env_kwargs
-        return init_instance_by_config(env_config)
-    else:
-        return env
-
-def setup_exchange(root_instance, trade_exchange=None, force=False):
-    if "trade_exchange" in inspect.getfullargspec(root_instance.__class__).args:
-        if force:
-            root_instance.reset(trade_exchange=trade_exchange)
-        else:
-            if not hasattr(root_instance, "trade_exchange") or root_instance.trade_exchange is None:
-                root_instance.reset(trade_exchange=trade_exchange)
-    if hasattr(root_instance, "sub_env"):
-        setup_exchange(root_instance.sub_env, trade_exchange)
-    if hasattr(root_instance, "sub_strategy"):
-        setup_exchange(root_instance.sub_strategy, trade_exchange)
-    
-            
-def backtest(start_time, end_time, strategy, env, benchmark, account=1e9, **kwargs):
-    trade_strategy = init_instance_by_config(strategy)
-    trade_env = init_env_instance_by_config(env)
-
-    spec = inspect.getfullargspec(get_exchange)
-    ex_args = {k: v for k, v in kwargs.items() if k in spec.args}
-    trade_exchange = get_exchange(pred, **ex_args)
-
-    setup_exchange(trade_env, trade_exchange)
-    setup_exchange(trade_strategy, trade_exchange)
-
-    report_dict = backtest_func(start_time, end_time, trade_strategy, trade_env, benchmark, account)
-
-    return report_dict