Merge pull request #456 from ultmaster/rl-dummy

Dummy RL example on nested decision framework

qlib/backtest/__init__.py

@@ -8,13 +8,13 @@ from .account import Account
 
 if TYPE_CHECKING:
     from ..strategy.base import BaseStrategy
+    from .executor import BaseExecutor
 from .position import Position
 from .exchange import Exchange
-from .executor import BaseExecutor
 from .backtest import backtest_loop
 from .backtest import collect_data_loop
-from .utils import CommonInfrastructure
 from .order import Order
+from .utils import CommonInfrastructure, LevelInfrastructure, TradeCalendarManager
 from ..utils import init_instance_by_config
 from ..log import get_module_logger
 from ..config import C
@@ -155,6 +155,7 @@ def get_strategy_executor(
     # - for avoiding recursive import
     # - typing annotations is not reliable
     from ..strategy.base import BaseStrategy
+    from .executor import BaseExecutor
 
     trade_account = create_account_instance(
         start_time=start_time, end_time=end_time, benchmark=benchmark, account=account, pos_type=pos_type

qlib/backtest/account.py

@@ -88,17 +88,7 @@ class Account:
 
         self._pos_type = pos_type
         self._port_metr_enabled = port_metr_enabled
-        self.init_vars(init_cash, position_dict, freq, benchmark_config)
 
-    def is_port_metr_enabled(self):
-        """
-        Is portfolio-based metrics enabled.
-        """
-        return self._port_metr_enabled and not self.current.skip_update()
-
-    def init_vars(self, init_cash, position_dict, freq: str, benchmark_config: dict):
-
-        # init cash
         self.init_cash = init_cash
         self.current: BasePosition = init_instance_by_config(
             {
@@ -113,8 +103,19 @@ class Account:
         self.accum_info = AccumulatedInfo()
         self.report = None
         self.positions = {}
+
+        # in of reset ignore None values
+        self.benchmark_config = benchmark_config
+        self.freq = freq
+
         self.reset(freq=freq, benchmark_config=benchmark_config, init_report=True)
 
+    def is_port_metr_enabled(self):
+        """
+        Is portfolio-based metrics enabled.
+        """
+        return self._port_metr_enabled and not self.current.skip_update()
+
     def reset_report(self, freq, benchmark_config):
         # portfolio related metrics
         if self.is_port_metr_enabled():

qlib/backtest/order.py

@@ -15,10 +15,11 @@ if TYPE_CHECKING:
     from qlib.backtest.exchange import Exchange
 from qlib.backtest.utils import TradeCalendarManager
 import warnings
+import numpy as np
 import pandas as pd
 import numpy as np
 from dataclasses import dataclass, field
-from typing import ClassVar, Union, List, Set, Tuple
+from typing import ClassVar, Optional, Union, List, Set, Tuple
 
 
 class OrderDir(IntEnum):
@@ -62,8 +63,8 @@ class Order:
     # - not tradable: the deal_amount == 0 , factor is None
     #    - the stock is suspended and the entire order fails. No cost for this order
     # - dealed or partially dealed: deal_amount >= 0 and factor is not None
-    deal_amount: float = field(init=False)  # `deal_amount` is a non-negative value
-    factor: float = field(init=False)
+    deal_amount: Optional[float] = None  # `deal_amount` is a non-negative value
+    factor: Optional[float] = None
 
     # TODO:
     # a status field to indicate the dealing result of the order
@@ -108,7 +109,7 @@ class Order:
         return self.direction * 2 - 1
 
     @staticmethod
-    def parse_dir(direction: Union[str, int, float, np.integer, np.floating, OrderDir]) -> OrderDir:
+    def parse_dir(direction: Union[str, int, np.integer, OrderDir]) -> OrderDir:
         if isinstance(direction, OrderDir):
             return direction
         elif isinstance(direction, (int, float, np.integer, np.floating)):

qlib/backtest/report.py

@@ -82,11 +82,12 @@ class Report:
     def init_bench(self, freq=None, benchmark_config=None):
         if freq is not None:
             self.freq = freq
-        if benchmark_config is not None:
-            self.benchmark_config = benchmark_config
+        self.benchmark_config = benchmark_config
         self.bench = self._cal_benchmark(self.benchmark_config, self.freq)
 
     def _cal_benchmark(self, benchmark_config, freq):
+        if benchmark_config is None:
+            return None
         benchmark = benchmark_config.get("benchmark", CSI300_BENCH)
         if benchmark is None:
             return None

qlib/contrib/strategy/rule_strategy.py

@@ -598,7 +598,7 @@ class FileOrderStrategy(BaseStrategy):
 
         Parameters
         ----------
-        file : Union[IO, str, Path]
+        file : Union[IO, str, Path, pd.DataFrame]
             this parameters will specify the info of expected orders
 
             Here is an example of the content

qlib/strategy/base.py

@@ -1,7 +1,11 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
-from qlib.backtest.exchange import Exchange
-from qlib.backtest.position import BasePosition
+from __future__ import annotations
+from typing import TYPE_CHECKING
+
+if TYPE_CHECKING:
+    from qlib.backtest.exchange import Exchange
+    from qlib.backtest.position import BasePosition
 from typing import List, Tuple, Union
 
 from ..model.base import BaseModel