liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-12 15:26:54 +08:00
Code Activity

fix bugs

Browse Source
This commit is contained in:
bxdd
2021-05-29 00:31:40 +08:00
parent 96e393b599
commit bf3b757294
4 changed files with 12 additions and 14 deletions
Download Patch File Download Diff File Expand all files Collapse all files

12
examples/multi_level_trading/workflow.py
View File

@@ -173,11 +173,11 @@ class MultiLevelTradingWorkflow:
GetData().qlib_data(target_dir=provider_uri_1min, interval="1min", region=REG_CN) GetData().qlib_data(target_dir=provider_uri_1min, interval="1min", region=REG_CN)
# TODO: update new data # TODO: update new data
# provider_uri_day = "~/.qlib/qlib_data/cn_data" # target_dir provider_uri_day = "~/.qlib/qlib_data/cn_data" # target_dir
# if not exists_qlib_data(provider_uri_day): if not exists_qlib_data(provider_uri_day):
# print(f"Qlib data is not found in {provider_uri_day}") print(f"Qlib data is not found in {provider_uri_day}")
# GetData().qlib_data(target_dir=provider_uri_day, region=REG_CN) GetData().qlib_data(target_dir=provider_uri_day, region=REG_CN)
provider_uri_day = "/data/csdesign/qlib"
provider_uri_map = {"1min": provider_uri_1min, "day": provider_uri_day} provider_uri_map = {"1min": provider_uri_1min, "day": provider_uri_day}
client_config = { client_config = {
"calendar_provider": { "calendar_provider": {
@@ -210,7 +210,7 @@ class MultiLevelTradingWorkflow:
executor_config = self.port_analysis_config["executor"] executor_config = self.port_analysis_config["executor"]
# update executor with hierarchical decison freq ["day", "1min"] # update executor with hierarchical decison freq ["day", "1min"]
executor_config["kwargs"]["time_per_step"] = "day" executor_config["kwargs"]["time_per_step"] = "day"
executor_config["kwargs"]["inner_executor"]["kwargs"]["time_per_step"] = "1min" executor_config["kwargs"]["inner_executor"]["kwargs"]["time_per_step"] = "15min"
backtest_config = self.port_analysis_config["backtest"] backtest_config = self.port_analysis_config["backtest"]
# yahoo highfreq data time # yahoo highfreq data time

4
qlib/backtest/report.py
View File

@@ -80,12 +80,12 @@ class Report:
fields = ["$close/Ref($close,1)-1"] fields = ["$close/Ref($close,1)-1"]
try: try:
_temp_result = D.features(_codes, fields, start_time, end_time, freq=freq, disk_cache=1) _temp_result = D.features(_codes, fields, start_time, end_time, freq=freq, disk_cache=1)
except ValueError: except (ValueError, KeyError):
_, norm_freq = parse_freq(freq) _, norm_freq = parse_freq(freq)
if norm_freq in ["month", "week", "day"]: if norm_freq in ["month", "week", "day"]:
try: try:
_temp_result = D.features(_codes, fields, start_time, end_time, freq="day", disk_cache=1) _temp_result = D.features(_codes, fields, start_time, end_time, freq="day", disk_cache=1)
except ValueError: except (ValueError, KeyError):
_temp_result = D.features(_codes, fields, start_time, end_time, freq="1min", disk_cache=1) _temp_result = D.features(_codes, fields, start_time, end_time, freq="1min", disk_cache=1)
elif norm_freq == "minute": elif norm_freq == "minute":
_temp_result = D.features(_codes, fields, start_time, end_time, freq="1min", disk_cache=1) _temp_result = D.features(_codes, fields, start_time, end_time, freq="1min", disk_cache=1)

2
qlib/contrib/strategy/model_strategy.py
View File

@@ -177,8 +177,6 @@ class TopkDropoutStrategy(ModelStrategy):
# Get the stock list we really want to buy # Get the stock list we really want to buy
buy = today[: len(sell) + self.topk - len(last)] buy = today[: len(sell) + self.topk - len(last)]
# print("INTRANEL BAR", len(sell), len(sell) + self.topk - len(last), len(last))
# print("flag", len(sell), len(buy), self.topk, len(last))
for code in current_stock_list: for code in current_stock_list:
if not self.trade_exchange.is_stock_tradable( if not self.trade_exchange.is_stock_tradable(
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

8
qlib/utils/resam.py
View File

@@ -182,7 +182,7 @@ def get_resam_calendar(
try: try:
_calendar = Cal.calendar(start_time=start_time, end_time=end_time, freq=freq, future=future) _calendar = Cal.calendar(start_time=start_time, end_time=end_time, freq=freq, future=future)
freq, freq_sam = freq, None freq, freq_sam = freq, None
except ValueError: except (ValueError, KeyError):
freq_sam = freq freq_sam = freq
if norm_freq in ["month", "week", "day"]: if norm_freq in ["month", "week", "day"]:
try: try:
@@ -190,16 +190,16 @@ def get_resam_calendar(
start_time=start_time, end_time=end_time, freq="day", freq_sam=freq, future=future start_time=start_time, end_time=end_time, freq="day", freq_sam=freq, future=future
) )
freq = "day" freq = "day"
except ValueError: except (ValueError, KeyError):
_calendar = Cal.calendar( _calendar = Cal.calendar(
start_time=start_time, end_time=end_time, freq="1min", freq_sam=freq, future=future start_time=start_time, end_time=end_time, freq="1min", freq_sam=freq, future=future
) )
freq = "min" freq = "1min"
elif norm_freq == "minute": elif norm_freq == "minute":
_calendar = Cal.calendar( _calendar = Cal.calendar(
start_time=start_time, end_time=end_time, freq="1min", freq_sam=freq, future=future start_time=start_time, end_time=end_time, freq="1min", freq_sam=freq, future=future
) )
freq = "min" freq = "1min"
else: else:
raise ValueError(f"freq {freq} is not supported") raise ValueError(f"freq {freq} is not supported")
return _calendar, freq, freq_sam return _calendar, freq, freq_sam