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Migrate backtest logic from NT (#1263)

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* Backtest migration

* Minor bug fix in test

* Reorganize file to avoid loop import

* Fix test SAOE bug

* Remove unnecessary names

* Resolve PR comments; remove private classes;

* Fix CI error

* Resolve PR comments

* Refactor data interfaces

* Remove convert_instance_config and change config

* Pylint issue

* Pylint issue

* Fix tempfile warning

* Resolve PR comments

* Add more comments
This commit is contained in:
Huoran Li
2022-09-19 14:54:26 +08:00
committed by GitHub
parent e762548295
commit bee05f56ef
19 changed files with 794 additions and 118 deletions
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3
tests/rl/test_qlib_simulator.py
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@@ -11,6 +11,7 @@ from qlib.backtest.decision import Order, OrderDir, TradeRangeByTime
from qlib.backtest.executor import SimulatorExecutor
from qlib.rl.order_execution import CategoricalActionInterpreter
from qlib.rl.order_execution.simulator_qlib import SingleAssetOrderExecution
from qlib.rl.utils.env_wrapper import CollectDataEnvWrapper
TOTAL_POSITION = 2100.0
@@ -192,6 +193,8 @@ def test_interpreter() -> None:
order = get_order()
simulator = get_simulator(order)
interpreter_action = CategoricalActionInterpreter(values=NUM_EXECUTION)
interpreter_action.env = CollectDataEnvWrapper()
interpreter_action.env.reset()
NUM_STEPS = 7
state = simulator.get_state()