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doc and black for indicator

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wangwenxi.handsome
2021-07-27 12:14:43 +00:00
parent 66971d5f0d
commit ba1c575aa9
2 changed files with 17 additions and 12 deletions
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12
qlib/backtest/report.py
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@@ -308,8 +308,9 @@ class Indicator:
def _update_order_fulfill_rate(self):
def func(deal_amount, amount):
# deal_amount is np.NaN when there is no inner decision. So full fill rate is 0.
tmp_deal_amount = deal_amount.replace({np.NaN: 0})
return deal_amount / tmp_deal_amount
return tmp_deal_amount / amount
self.order_indicator.transfer(func, "ffr")
@@ -318,12 +319,21 @@ class Indicator:
self._update_order_fulfill_rate()
def _agg_order_trade_info(self, inner_order_indicators: List[Dict[str, pd.Series]]):
# calculate total trade amount with each inner order indicator.
def trade_amount_func(deal_amount, trade_price):
return deal_amount * trade_price
for indicator in inner_order_indicators:
indicator.transfer(trade_amount_func, "trade_price")
# sum inner order indicators with same metric.
all_metric = ["inner_amount", "deal_amount", "trade_price", "trade_value", "trade_cost", "trade_dir"]
metric_dict = self.order_indicator_cls.sum_all_indicators(inner_order_indicators, all_metric, fill_value=0)
for metric in metric_dict:
self.order_indicator.assign(metric, metric_dict[metric])
def func(trade_price, deal_amount):
# trade_price is np.NaN instead of inf when deal_amount is zero.
tmp_deal_amount = deal_amount.replace({0: np.NaN})
return trade_price / tmp_deal_amount