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Merge branch 'nested_decision_exe' into nested_decision_exe

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you-n-g
2021-07-23 12:15:45 +08:00
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parent 2c8a3ded08 4e862f7d1f
commit bbba9600a1
12 changed files with 343 additions and 234 deletions
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47
qlib/backtest/exchange.py
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@@ -2,6 +2,7 @@
# Licensed under the MIT License.
from qlib.backtest.position import Position
import random
import logging
from typing import List, Tuple, Union, Callable, Iterable
@@ -281,6 +282,8 @@ class Exchange:
"""
Deal order when the actual transaction
the results section in `Order` will be changed.
:param order: Deal the order.
:param trade_account: Trade account to be updated after dealing the order.
:param position: position to be updated after dealing the order.
@@ -343,6 +346,7 @@ class Exchange:
`None`: if the stock is suspended `None` may be returned
`float`: return factor if the factor exists
"""
assert (start_time is not None and end_time is not None, "the time range must be given")
if stock_id not in self.quote.get_all_stock():
return None
return self.quote.get_data(stock_id, start_time, end_time, fields="$factor", method=ts_data_last)
@@ -505,20 +509,56 @@ class Exchange:
)
return value
def get_amount_of_trade_unit(self, factor):
def _get_factor_or_raise_erorr(self, factor: float = None, stock_id: str = None, start_time=None, end_time=None):
"""Please refer to the docs of get_amount_of_trade_unit"""
if factor is None:
if stock_id is not None and start_time is not None and end_time is not None:
factor = self.get_factor(stock_id=stock_id, start_time=start_time, end_time=end_time)
else:
raise ValueError(f"`factor` and (`stock_id`, `start_time`, `end_time`) can't both be None")
return factor
def get_amount_of_trade_unit(self, factor: float = None, stock_id: str = None, start_time=None, end_time=None):
"""
get the trade unit of amount based on **factor**
the factor can be given directly or calculated in given time range and stock id.
`factor` has higher priority than `stock_id`, `start_time` and `end_time`
Parameters
----------
factor : float
the adjusted factor
stock_id : str
the id of the stock
start_time :
the start time of trading range
end_time :
the end time of trading range
"""
if not self.trade_w_adj_price and self.trade_unit is not None:
factor = self._get_factor_or_raise_erorr(
factor=factor, stock_id=stock_id, start_time=start_time, end_time=end_time
)
return self.trade_unit / factor
else:
return None
def round_amount_by_trade_unit(self, deal_amount, factor):
def round_amount_by_trade_unit(
self, deal_amount, factor: float = None, stock_id: str = None, start_time=None, end_time=None
):
"""Parameter
Please refer to the docs of get_amount_of_trade_unit
deal_amount : float, adjusted amount
factor : float, adjusted factor
return : float, real amount
"""
if not self.trade_w_adj_price and self.trade_unit is not None:
# the minimal amount is 1. Add 0.1 for solving precision problem.
factor = self._get_factor_or_raise_erorr(
factor=factor, stock_id=stock_id, start_time=start_time, end_time=end_time
)
return (deal_amount * factor + 0.1) // self.trade_unit * self.trade_unit / factor
return deal_amount
@@ -529,7 +569,7 @@ class Exchange:
else:
return deal_amount
def _calc_trade_info_by_order(self, order, position):
def _calc_trade_info_by_order(self, order, position: Position):
"""
Calculation of trade info
@@ -541,6 +581,7 @@ class Exchange:
"""
trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time, direction=order.direction)
order.factor = self.get_factor(order.stock_id, order.start_time, order.end_time)
if order.direction == Order.SELL:
# sell
if position is not None: