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fix _get_base_vol_pri clip_time_range

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wangwenxi.handsome
2021-07-26 11:21:05 +00:00
parent e88c45e13c
commit c202a4b1e6
1 changed files with 6 additions and 3 deletions
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9
qlib/backtest/report.py
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@@ -21,6 +21,7 @@ from ..data import D
from ..tests.config import CSI300_BENCH
from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
from ..utils.time import Freq
from .order import IdxTradeRange
class Report:
@@ -357,9 +358,11 @@ class Indicator:
agg = pa_config.get("agg", "twap").lower()
price = pa_config.get("price", "deal_price").lower()
# NOTE: IndexTradeRange is not supported!!!!! Because inner index is not available
trade_start_time, trade_end_time = decision.trade_range.clip_time_range(
start_time=trade_start_time, end_time=trade_end_time
if(decision.trade_range is not None):
if(isinstance(decision.trade_range, IdxTradeRange)):
raise TypeError(f"IdxTradeRange is not supported")
trade_start_time, trade_end_time = decision.trade_range.clip_time_range(
start_time=trade_start_time, end_time=trade_end_time
)
if price == "deal_price":