add file order strategy

tests/backtest/test_file_strategy.py

@@ -0,0 +1,86 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import unittest
+from qlib.backtest import backtest, order
+from qlib.tests import TestAutoData
+import pandas as pd
+from pathlib import Path
+
+DIRNAME = Path(__file__).absolute().resolve().parent
+
+
+class FileStrTest(TestAutoData):
+
+    TEST_INST = "SH600519"
+
+    EXAMPLE_FILE = DIRNAME / "order_example.csv"
+
+    def _gen_orders(self) -> pd.DataFrame:
+        headers = [
+            "datetime",
+            "instrument",
+            "amount",
+            "direction",
+        ]
+        orders = [
+            ["20200102", self.TEST_INST, "1000", "sell"],
+            ["20200103", self.TEST_INST, "1000", "buy"],
+            ["20200106", self.TEST_INST, "1000", "sell"],
+        ]
+        return pd.DataFrame(orders, columns=headers).set_index(["datetime", "instrument"])
+
+    def test_file_str(self):
+
+        orders = self._gen_orders()
+        print(orders)
+        orders.to_csv(self.EXAMPLE_FILE)
+
+        orders = pd.read_csv(self.EXAMPLE_FILE, index_col=["datetime", "instrument"])
+
+        strategy_config = {
+            "class": "FileOrderStrategy",
+            "module_path": "qlib.contrib.strategy.rule_strategy",
+            "kwargs": {"file": self.EXAMPLE_FILE},
+        }
+
+        freq = "day"
+        start_time = "2020-01-01"
+        end_time = "2020-01-16"
+        codes = [self.TEST_INST]
+
+        backtest_config = {
+            "start_time": start_time,
+            "end_time": end_time,
+            "account": 100000000,
+            "benchmark": None,  # benchmark is not required here for trading
+            "exchange_kwargs": {
+                "freq": freq,
+                "limit_threshold": 0.095,
+                "deal_price": "close",
+                "open_cost": 0.0005,
+                "close_cost": 0.0015,
+                "min_cost": 5,
+                "codes": codes,
+            },
+            # "pos_type": "InfPosition"  # Position with infinitive position
+        }
+        executor_config = {
+            "class": "SimulatorExecutor",
+            "module_path": "qlib.backtest.executor",
+            "kwargs": {
+                "time_per_step": freq,
+                "generate_report": False,
+                "verbose": True,
+                "indicator_config": {
+                    "show_indicator": False,
+                },
+            },
+        }
+        backtest(executor=executor_config, strategy=strategy_config, **backtest_config)
+
+        self.EXAMPLE_FILE.unlink()
+
+
+if __name__ == "__main__":
+    unittest.main()