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Code Activity

Fix backtest (#719)

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* modify FileStorage to support multiple freqs

* modify backtest's sample documentation

* change the logging level of read data exception from error to debug

* fix the backtest exception when volume is 0 or np.nan

* fix test_storage.py

* add backtest_daily

* modify backtest_daily's docstring

* add __repr__/__str__ to Position

* fix the bug of nested_decision_execution example

Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
This commit is contained in:
Pengrong Zhu
2021-12-07 19:04:23 +08:00
committed by GitHub
parent 84103c7d43
commit c276de4040
19 changed files with 663 additions and 232 deletions
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45
qlib/config.py
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@@ -176,8 +176,6 @@ _default_config = {
# if min_data_shift == 0, use default market time [9:30, 11:29, 1:00, 2:59]
# if min_data_shift != 0, use shifted market time [9:30, 11:29, 1:00, 2:59] - shift*minute
"min_data_shift": 0,
# whether to display the ops warning log, default False
"ops_warning_log": False,
}
MODE_CONF = {
@@ -246,8 +244,8 @@ HIGH_FREQ_CONFIG = {
_default_region_config = {
REG_CN: {
"trade_unit": 100,
"limit_threshold": 0.099,
"deal_price": "vwap",
"limit_threshold": 0.095,
"deal_price": "close",
},
REG_US: {
"trade_unit": 1,
@@ -272,6 +270,20 @@ class QlibConfig(Config):
self.provider_uri = provider_uri
self.mount_path = mount_path
@staticmethod
def format_provider_uri(provider_uri: Union[str, dict, Path]) -> dict:
if provider_uri is None:
raise ValueError("provider_uri cannot be None")
if isinstance(provider_uri, (str, dict, Path)):
if not isinstance(provider_uri, dict):
provider_uri = {QlibConfig.DEFAULT_FREQ: provider_uri}
else:
raise TypeError(f"provider_uri does not support {type(provider_uri)}")
for freq, _uri in provider_uri.items():
if QlibConfig.DataPathManager.get_uri_type(_uri) == QlibConfig.LOCAL_URI:
provider_uri[freq] = str(Path(_uri).expanduser().resolve())
return provider_uri
@staticmethod
def get_uri_type(uri: Union[str, Path]):
uri = uri if isinstance(uri, str) else str(uri.expanduser().resolve())
@@ -318,11 +330,7 @@ class QlibConfig(Config):
def resolve_path(self):
# resolve path
_mount_path = self["mount_path"]
_provider_uri = self["provider_uri"]
if _provider_uri is None:
raise ValueError("provider_uri cannot be None")
if not isinstance(_provider_uri, dict):
_provider_uri = {self.DEFAULT_FREQ: _provider_uri}
_provider_uri = self.DataPathManager.format_provider_uri(self["provider_uri"])
if not isinstance(_mount_path, dict):
_mount_path = {_freq: _mount_path for _freq in _provider_uri.keys()}
@@ -331,10 +339,7 @@ class QlibConfig(Config):
assert len(_miss_freq) == 0, f"mount_path is missing freq: {_miss_freq}"
# resolve
for _freq, _uri in _provider_uri.items():
# provider_uri
if self.DataPathManager.get_uri_type(_uri) == QlibConfig.LOCAL_URI:
_provider_uri[_freq] = str(Path(_uri).expanduser().resolve())
for _freq in _provider_uri.keys():
# mount_path
_mount_path[_freq] = (
_mount_path[_freq]
@@ -344,20 +349,6 @@ class QlibConfig(Config):
self["provider_uri"] = _provider_uri
self["mount_path"] = _mount_path
def get_uri_type(self):
path = self["provider_uri"]
if isinstance(path, Path):
path = str(path)
is_win = re.match("^[a-zA-Z]:.*", path) is not None # such as 'C:\\data', 'D:'
is_nfs_or_win = (
re.match("^[^/]+:.+", path) is not None
) # such as 'host:/data/' (User may define short hostname by themselves or use localhost)
if is_nfs_or_win and not is_win:
return QlibConfig.NFS_URI
else:
return QlibConfig.LOCAL_URI
def set(self, default_conf: str = "client", **kwargs):
"""
configure qlib based on the input parameters