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supporting seperated buy and sell price

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Young
2021-07-06 06:28:14 +00:00
parent cb72857710
commit bdac9f4dda
3 changed files with 75 additions and 35 deletions
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20
qlib/backtest/__init__.py
View File

@@ -2,7 +2,7 @@
# Licensed under the MIT License. # Licensed under the MIT License.
from __future__ import annotations from __future__ import annotations
import copy import copy
from typing import Union, TYPE_CHECKING from typing import List, Tuple, Union, TYPE_CHECKING
from .account import Account from .account import Account
@@ -35,7 +35,7 @@ def get_exchange(
min_cost=5.0, min_cost=5.0,
trade_unit=None, trade_unit=None,
limit_threshold=None, limit_threshold=None,
deal_price=None, deal_price: Union[str, Tuple[str], List[str]] = None,
): ):
"""get_exchange """get_exchange
@@ -54,8 +54,15 @@ def get_exchange(
min transaction cost. min transaction cost.
trade_unit : int trade_unit : int
100 for China A. 100 for China A.
deal_price: str deal_price: Union[str, Tuple[str], List[str]]
dealing price type: 'close', 'open', 'vwap'. The `deal_price` supports following two types of input
- <deal_price> : str
- (<buy_price>, <sell_price>): Tuple[str] or List[str]
<deal_price>, <buy_price> or <sell_price> := <price>
<price> := str
- for example '$close', '$open', '$vwap' ("close" is OK. `Exchange` will help to prepend
"$" to the expression)
limit_threshold : float limit_threshold : float
limit move 0.1 (10%) for example, long and short with same limit. limit move 0.1 (10%) for example, long and short with same limit.
@@ -69,13 +76,8 @@ def get_exchange(
trade_unit = C.trade_unit trade_unit = C.trade_unit
if limit_threshold is None: if limit_threshold is None:
limit_threshold = C.limit_threshold limit_threshold = C.limit_threshold
if deal_price is None:
deal_price = C.deal_price
if exchange is None: if exchange is None:
logger.info("Create new exchange") logger.info("Create new exchange")
# handle exception for deal_price
if deal_price[0] != "$":
deal_price = "$" + deal_price
exchange = Exchange( exchange = Exchange(
freq=freq, freq=freq,

86
qlib/backtest/exchange.py
View File

@@ -4,7 +4,7 @@
import random import random
import logging import logging
from typing import Union from typing import List, Tuple, Union
import numpy as np import numpy as np
import pandas as pd import pandas as pd
@@ -24,7 +24,7 @@ class Exchange:
start_time=None, start_time=None,
end_time=None, end_time=None,
codes="all", codes="all",
deal_price=None, deal_price: Union[str, Tuple[str], List[str]] = None,
subscribe_fields=[], subscribe_fields=[],
limit_threshold=None, limit_threshold=None,
volume_threshold=None, volume_threshold=None,
@@ -40,7 +40,17 @@ class Exchange:
:param start_time: closed start time for backtest :param start_time: closed start time for backtest
:param end_time: closed end time for backtest :param end_time: closed end time for backtest
:param codes: list stock_id list or a string of instruments(i.e. all, csi500, sse50) :param codes: list stock_id list or a string of instruments(i.e. all, csi500, sse50)
:param deal_price: str, 'close', 'open', 'vwap'
:param deal_price: Union[str, Tuple[str], List[str]]
The `deal_price` supports following two types of input
- <deal_price> : str
- (<buy_price>, <sell_price>): Tuple[str] or List[str]
<deal_price>, <buy_price> or <sell_price> := <price>
<price> := str
- for example '$close', '$open', '$vwap' ("close" is OK. `Exchange` will help to prepend
"$" to the expression)
:param subscribe_fields: list, subscribe fields :param subscribe_fields: list, subscribe fields
:param limit_threshold: float, 0.1 for example, default None :param limit_threshold: float, 0.1 for example, default None
:param volume_threshold: float, 0.1 for example, default None :param volume_threshold: float, 0.1 for example, default None
@@ -86,10 +96,15 @@ class Exchange:
if C.region == REG_CN: if C.region == REG_CN:
self.logger.warning(f"limit_threshold may not be set to a reasonable value") self.logger.warning(f"limit_threshold may not be set to a reasonable value")
if deal_price[0] != "$": if isinstance(deal_price, str):
self.deal_price = "$" + deal_price if deal_price[0] != "$":
deal_price = "$" + deal_price
self.buy_price = self.sell_price = deal_price
elif isinstance(deal_price, (tuple, list)):
self.buy_price, self.sell_price = deal_price
else: else:
self.deal_price = deal_price raise NotImplementedError(f"This type of input is not supported")
if isinstance(codes, str): if isinstance(codes, str):
codes = D.instruments(codes) codes = D.instruments(codes)
self.codes = codes self.codes = codes
@@ -98,7 +113,7 @@ class Exchange:
# $factor is for rounding to the trading unit # $factor is for rounding to the trading unit
# $change is for calculating the limit of the stock # $change is for calculating the limit of the stock
necessary_fields = {self.deal_price, "$close", "$change", "$factor", "$volume"} necessary_fields = {self.buy_price, self.sell_price, "$close", "$change", "$factor", "$volume"}
subscribe_fields = list(necessary_fields | set(subscribe_fields)) subscribe_fields = list(necessary_fields | set(subscribe_fields))
all_fields = list(necessary_fields | set(subscribe_fields)) all_fields = list(necessary_fields | set(subscribe_fields))
self.all_fields = all_fields self.all_fields = all_fields
@@ -118,8 +133,10 @@ class Exchange:
) )
self.quote.columns = self.all_fields self.quote.columns = self.all_fields
if self.quote[self.deal_price].isna().any(): for attr in "buy_price", "sell_price":
self.logger.warning("{} field data contains nan.".format(self.deal_price)) pstr = getattr(self, attr) # price string
if self.quote[pstr].isna().any():
self.logger.warning("{} field data contains nan.".format(pstr))
if self.quote["$factor"].isna().any(): if self.quote["$factor"].isna().any():
# The 'factor.day.bin' file not exists, and `factor` field contains `nan` # The 'factor.day.bin' file not exists, and `factor` field contains `nan`
@@ -148,9 +165,11 @@ class Exchange:
# process extra_quote # process extra_quote
if "$close" not in self.extra_quote: if "$close" not in self.extra_quote:
raise ValueError("$close is necessray in extra_quote") raise ValueError("$close is necessray in extra_quote")
if self.deal_price not in self.extra_quote.columns: for attr in "buy_price", "sell_price":
self.extra_quote[self.deal_price] = self.extra_quote["$close"] pstr = getattr(self, attr) # price string
self.logger.warning("No deal_price set for extra_quote. Use $close as deal_price.") if pstr not in self.extra_quote.columns:
self.extra_quote[pstr] = self.extra_quote["$close"]
self.logger.warning(f"No {pstr} set for extra_quote. Use $close as {pstr}.")
if "$factor" not in self.extra_quote.columns: if "$factor" not in self.extra_quote.columns:
self.extra_quote["$factor"] = 1.0 self.extra_quote["$factor"] = 1.0
self.logger.warning("No $factor set for extra_quote. Use 1.0 as $factor.") self.logger.warning("No $factor set for extra_quote. Use 1.0 as $factor.")
@@ -241,7 +260,7 @@ class Exchange:
if trade_account is not None and position is not None: if trade_account is not None and position is not None:
raise ValueError("trade_account and position can only choose one") raise ValueError("trade_account and position can only choose one")
trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time) trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time, order.direction)
# NOTE: order will be changed in this function # NOTE: order will be changed in this function
trade_val, trade_cost = self._calc_trade_info_by_order( trade_val, trade_cost = self._calc_trade_info_by_order(
order, trade_account.current if trade_account else position order, trade_account.current if trade_account else position
@@ -266,12 +285,16 @@ class Exchange:
def get_volume(self, stock_id, start_time, end_time): def get_volume(self, stock_id, start_time, end_time):
return resam_ts_data(self.quote[stock_id]["$volume"], start_time, end_time, method="sum") return resam_ts_data(self.quote[stock_id]["$volume"], start_time, end_time, method="sum")
def get_deal_price(self, stock_id, start_time, end_time): def get_deal_price(self, stock_id, start_time, end_time, direction: OrderDir):
deal_price = resam_ts_data(self.quote[stock_id][self.deal_price], start_time, end_time, method=ts_data_last) if direction == OrderDir.SELL:
pstr = self.sell_price
elif direction == OrderDir.BUY:
pstr = self.buy_price
else:
raise NotImplementedError(f"This type of input is not supported")
deal_price = resam_ts_data(self.quote[stock_id][pstr], start_time, end_time, method=ts_data_last)
if np.isclose(deal_price, 0.0) or np.isnan(deal_price): if np.isclose(deal_price, 0.0) or np.isnan(deal_price):
self.logger.warning( self.logger.warning(f"(stock_id:{stock_id}, trade_time:{(start_time, end_time)}, {pstr}): {deal_price}!!!")
f"(stock_id:{stock_id}, trade_time:{(start_time, end_time)}, {self.deal_price}): {deal_price}!!!"
)
self.logger.warning(f"setting deal_price to close price") self.logger.warning(f"setting deal_price to close price")
deal_price = self.get_close(stock_id, start_time, end_time) deal_price = self.get_close(stock_id, start_time, end_time)
return deal_price return deal_price
@@ -288,7 +311,9 @@ class Exchange:
return None return None
return resam_ts_data(self.quote[stock_id]["$factor"], start_time, end_time, method=ts_data_last) return resam_ts_data(self.quote[stock_id]["$factor"], start_time, end_time, method=ts_data_last)
def generate_amount_position_from_weight_position(self, weight_position, cash, start_time, end_time): def generate_amount_position_from_weight_position(
self, weight_position, cash, start_time, end_time, direction=OrderDir.BUY
):
""" """
The generate the target position according to the weight and the cash. The generate the target position according to the weight and the cash.
NOTE: All the cash will assigned to the tadable stock. NOTE: All the cash will assigned to the tadable stock.
@@ -297,7 +322,10 @@ class Exchange:
weight_position : dict {stock_id : weight}; allocate cash by weight_position weight_position : dict {stock_id : weight}; allocate cash by weight_position
among then, weight must be in this range: 0 < weight < 1 among then, weight must be in this range: 0 < weight < 1
cash : cash cash : cash
trade_date : trade date start_time : the start time point of the step
end_time : the end time point of the step
direction : the direction of the deal price for estimating the amount
# NOTE: this function is used for calculating target position. So the default direction is buy
""" """
# calculate the total weight of tradable value # calculate the total weight of tradable value
@@ -324,7 +352,9 @@ class Exchange:
cash cash
* weight_position[stock_id] * weight_position[stock_id]
/ tradable_weight / tradable_weight
// self.get_deal_price(stock_id=stock_id, start_time=start_time, end_time=end_time) // self.get_deal_price(
stock_id=stock_id, start_time=start_time, end_time=end_time, direction=direction
)
) )
return amount_dict return amount_dict
@@ -414,10 +444,16 @@ class Exchange:
# return order_list : buy + sell # return order_list : buy + sell
return sell_order_list + buy_order_list return sell_order_list + buy_order_list
def calculate_amount_position_value(self, amount_dict, start_time, end_time, only_tradable=False): def calculate_amount_position_value(
self, amount_dict, start_time, end_time, only_tradable=False, direction=OrderDir.SELL
):
"""Parameter """Parameter
position : Position() position : Position()
amount_dict : {stock_id : amount} amount_dict : {stock_id : amount}
direction : the direction of the deal price for estimating the amount
# NOTE:
This function is used for calculating current position value.
So the default direction is sell.
""" """
value = 0 value = 0
for stock_id in amount_dict: for stock_id in amount_dict:
@@ -426,7 +462,9 @@ class Exchange:
and self.check_stock_limit(stock_id=stock_id, start_time=start_time, end_time=end_time) is False and self.check_stock_limit(stock_id=stock_id, start_time=start_time, end_time=end_time) is False
): ):
value += ( value += (
self.get_deal_price(stock_id=stock_id, start_time=start_time, end_time=end_time) self.get_deal_price(
stock_id=stock_id, start_time=start_time, end_time=end_time, direction=direction
)
* amount_dict[stock_id] * amount_dict[stock_id]
) )
return value return value
@@ -466,7 +504,7 @@ class Exchange:
:return: trade_val, trade_cost :return: trade_val, trade_cost
""" """
trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time) trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time, direction=order.direction)
if order.direction == Order.SELL: if order.direction == Order.SELL:
# sell # sell
if position is not None: if position is not None:

4
qlib/contrib/strategy/model_strategy.py
View File

@@ -6,7 +6,7 @@ import pandas as pd
from ...utils.resam import resam_ts_data from ...utils.resam import resam_ts_data
from ...strategy.base import ModelStrategy from ...strategy.base import ModelStrategy
from ...backtest.order import Order, BaseTradeDecision, TradeDecisionWO from ...backtest.order import Order, BaseTradeDecision, OrderDir, TradeDecisionWO
from .order_generator import OrderGenWInteract from .order_generator import OrderGenWInteract
@@ -236,7 +236,7 @@ class TopkDropoutStrategy(ModelStrategy):
continue continue
# buy order # buy order
buy_price = self.trade_exchange.get_deal_price( buy_price = self.trade_exchange.get_deal_price(
stock_id=code, start_time=trade_start_time, end_time=trade_end_time stock_id=code, start_time=trade_start_time, end_time=trade_end_time, direction=OrderDir.BUY
) )
buy_amount = value / buy_price buy_amount = value / buy_price
factor = self.trade_exchange.get_factor(stock_id=code, start_time=trade_start_time, end_time=trade_end_time) factor = self.trade_exchange.get_factor(stock_id=code, start_time=trade_start_time, end_time=trade_end_time)