update Order with dataclass

qlib/backtest/order.py

@@ -1,30 +1,35 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
+import pandas as pd
+from dataclasses import dataclass, field
+from typing import ClassVar
 
-
+@dataclass
 class Order:
-
+    """
-    SELL = 0
+    stock_id : str
-    BUY = 1
+    amount : float
-
+    start_time : pd.Timestamp
-    def __init__(self, stock_id, amount, start_time, end_time, direction, factor):
+        closed start time for order generation
-        """Parameter
+    end_time : pd.Timestamp
-        direction : Order.SELL for sell; Order.BUY for buy
+        closed end time for order generation
-        stock_id : str
+    direction : Order.SELL for sell; Order.BUY for buy
-        amount : float
+    factor : float
-        trade_date : pd.Timestamp
-        factor : float
             presents the weight factor assigned in Exchange()
-        """
+    """
-        # check direction
+    stock_id : str
-        if direction not in {Order.SELL, Order.BUY}:
+    amount : float
+    start_time : pd.Timestamp
+    end_time : pd.Timestamp
+    direction : int
+    factor : float
+    deal_amount : float = field(init=False)
+    SELL : ClassVar[int] = 0
+    BUY : ClassVar[int] = 1
+    
+
+    def __post_init__(self):
+        if self.direction not in {Order.SELL, Order.BUY}:
             raise NotImplementedError("direction not supported, `Order.SELL` for sell, `Order.BUY` for buy")
-        self.stock_id = stock_id
-        # amount of generated orders
-        self.amount = amount
-        # amount of successfully completed orders
         self.deal_amount = 0
-        self.start_time = start_time
+
-        self.end_time = end_time
-        self.direction = direction
-        self.factor = factor

setup.py

@@ -58,6 +58,7 @@ REQUIRED = [
     "pymongo==3.7.2",  # For task management
     "scikit-learn>=0.22",
     "dill",
+    "dataclasses;python_version<'3.7'",
 ]
 
 # Numpy include