liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-09 22:10:56 +08:00
Code Activity

Pass mypy

Browse Source
This commit is contained in:
Huoran Li
2022-07-26 14:56:24 +08:00
parent 83d8f00a19
commit ccc3f96ed3
7 changed files with 39 additions and 34 deletions
Download Patch File Download Diff File Expand all files Collapse all files

2
qlib/rl/from_neutrader/config.py
View File

@@ -9,7 +9,7 @@ from typing import Optional, Tuple, Union
@dataclass
class ExchangeConfig:
limit_threshold: Union[float, Tuple[str, str]]
deal_price: Union[str, Tuple[str, str]]
deal_price: Union[str, Tuple[str]]
volume_threshold: dict
open_cost: float = 0.0005
close_cost: float = 0.0015

6
qlib/rl/from_neutrader/feature.py
View File

@@ -15,8 +15,8 @@ from qlib.data.dataset import DatasetH
class LRUCache:
def __init__(self, pool_size: int = 200):
self.pool_size = pool_size
self.contents = dict()
self.keys = collections.deque()
self.contents: dict = {}
self.keys: collections.deque = collections.deque()
def put(self, key, item):
if self.has(key):
@@ -52,7 +52,7 @@ class DataWrapper:
self.feature_cache = LRUCache()
self.backtest_cache = LRUCache()
def get(self, stock_id: str, date: pd.Timestamp, backtest: bool = False):
def get(self, stock_id: str, date: pd.Timestamp, backtest: bool = False) -> pd.DataFrame:
start_time, end_time = date.replace(hour=0, minute=0, second=0), date.replace(hour=23, minute=59, second=59)
if backtest:

12
qlib/rl/order_execution/interpreter.py
View File

@@ -165,13 +165,11 @@ class CurrentStepStateInterpreter(StateInterpreter[SAOEState, CurrentStateObs]):
assert self.env is not None
assert self.env.status["cur_step"] <= self.max_step
obs = CurrentStateObs(
**{
"acquiring": state.order.direction == state.order.BUY,
"cur_step": self.env.status["cur_step"],
"num_step": self.max_step,
"target": state.order.amount,
"position": state.position,
}
acquiring=state.order.direction == state.order.BUY,
cur_step=self.env.status["cur_step"],
num_step=self.max_step,
target=state.order.amount,
position=state.position,
)
return obs

17
qlib/rl/order_execution/simulator_qlib.py
View File

@@ -4,7 +4,7 @@
"""Placeholder for qlib-based simulator."""
from __future__ import annotations
from typing import Callable, Generator, List, Optional, Tuple, cast
from typing import Any, Callable, Generator, List, Optional, Tuple, cast
import numpy as np
import pandas as pd
@@ -36,7 +36,7 @@ class DecomposedStrategy(BaseStrategy):
self.execute_order: Optional[Order] = None
self.execute_result: List[Tuple[Order, float, float, float]] = []
def generate_trade_decision(self, execute_result: list = None) -> BaseTradeDecision:
def generate_trade_decision(self, execute_result: list = None) -> Generator[Any, Any, BaseTradeDecision]:
exec_vol = yield self
oh = self.trade_exchange.get_order_helper()
@@ -52,7 +52,7 @@ class DecomposedStrategy(BaseStrategy):
def post_exe_step(self, execute_result: list) -> None:
self.execute_result = execute_result
def reset(self, outer_trade_decision: TradeDecisionWO = None, **kwargs) -> None:
def reset(self, outer_trade_decision: TradeDecisionWO = None, **kwargs: Any) -> None:
super().reset(outer_trade_decision=outer_trade_decision, **kwargs)
if outer_trade_decision is not None:
order_list = outer_trade_decision.order_list
@@ -83,7 +83,7 @@ class SingleOrderStrategy(BaseStrategy):
oh.create(
code=self._instrument,
amount=self._order.amount,
direction=Order.parse_dir(self._order.direction),
direction=self._order.direction,
),
]
return TradeDecisionWO(order_list, self, self._trade_range)
@@ -102,7 +102,7 @@ class StateMaintainer:
# NOTE: can empty dataframe contain index?
self.history_exec = pd.DataFrame(columns=metric_keys).set_index("datetime")
self.history_steps = pd.DataFrame(columns=metric_keys).set_index("datetime")
self.metrics = None
self.metrics: Optional[SAOEMetrics] = None
def update(
self,
@@ -116,6 +116,8 @@ class StateMaintainer:
exec_vol = np.array([e[0].deal_amount for e in execute_result])
num_step = len(execute_result)
assert execute_order is not None
if num_step == 0:
market_volume = np.array([])
market_price = np.array([])
@@ -251,7 +253,7 @@ class SingleAssetQlibSimulator(Simulator[Order, SAOEState, float]):
exchange_config: ExchangeConfig,
) -> None:
super().__init__(
initial=None, # TODO
initial=order, # TODO: confirm this logic
)
assert order.start_time.date() == order.end_time.date()
@@ -330,6 +332,8 @@ class SingleAssetQlibSimulator(Simulator[Order, SAOEState, float]):
)
def _iter_strategy(self, action: float = None) -> DecomposedStrategy:
assert self._collect_data_loop is not None
strategy = next(self._collect_data_loop) if action is None else self._collect_data_loop.send(action)
while not isinstance(strategy, DecomposedStrategy):
strategy = next(self._collect_data_loop) if action is None else self._collect_data_loop.send(action)
@@ -344,6 +348,7 @@ class SingleAssetQlibSimulator(Simulator[Order, SAOEState, float]):
except StopIteration:
self._done = True
assert self._executor is not None
_, all_indicators = get_portfolio_and_indicator(self._executor)
self._maintainer.update(

1
qlib/rl/reward.py
View File

@@ -31,6 +31,7 @@ class Reward(Generic[SimulatorState]):
raise NotImplementedError("Implement reward calculation recipe in `reward()`.")
def log(self, name: str, value: Any) -> None:
assert self.env is not None
self.env.logger.add_scalar(name, value)

2
qlib/rl/utils/data_queue.py
View File

@@ -84,7 +84,7 @@ class DataQueue(Generic[T]):
self.activate()
return self
def __exit__(self, exc_type, exc_val, exc_tb) -> None:
def __exit__(self, exc_type, exc_val, exc_tb):
self.cleanup()
def cleanup(self) -> None:

33
qlib/rl/utils/finite_env.py
View File

@@ -57,9 +57,10 @@ def fill_invalid(obj: int | float | bool | np.ndarray | dict | list | tuple) ->
def is_invalid(arr: int | float | bool | np.ndarray | dict | list | tuple) -> bool:
if hasattr(arr, "dtype"):
if np.issubdtype(arr.dtype, np.floating):
dtype = getattr(arr, "dtype")
if np.issubdtype(dtype, np.floating):
return np.isnan(arr).all()
return (np.iinfo(arr.dtype).max == arr).all()
return (np.iinfo(dtype).max == arr).all()
if isinstance(arr, dict):
return all(is_invalid(o) for o in arr.values())
if isinstance(arr, (list, tuple)):
@@ -209,7 +210,7 @@ class FiniteVectorEnv(BaseVectorEnv):
def reset(
self,
id: int | List[int] | np.ndarray = None,
id: int | List[int] | np.ndarray | None = None,
) -> np.ndarray:
assert not self._zombie
@@ -222,23 +223,23 @@ class FiniteVectorEnv(BaseVectorEnv):
RuntimeWarning,
)
id = self._wrap_id(id)
wrapped_id = self._wrap_id(id)
self._reset_alive_envs()
# ask super to reset alive envs and remap to current index
request_id = list(filter(lambda i: i in self._alive_env_ids, id))
obs = [None] * len(id)
id2idx = {i: k for k, i in enumerate(id)}
request_id = [i for i in wrapped_id if i in self._alive_env_ids]
obs = [None] * len(wrapped_id)
id2idx = {i: k for k, i in enumerate(wrapped_id)}
if request_id:
for i, o in zip(request_id, super().reset(request_id)):
obs[id2idx[i]] = self._postproc_env_obs(o)
for i, o in zip(id, obs):
for i, o in zip(wrapped_id, obs):
if o is None and i in self._alive_env_ids:
self._alive_env_ids.remove(i)
# logging
for i, o in zip(id, obs):
for i, o in zip(wrapped_id, obs):
if i in self._alive_env_ids:
for logger in self._logger:
logger.on_env_reset(i, obs)
@@ -251,7 +252,7 @@ class FiniteVectorEnv(BaseVectorEnv):
obs[i] = self._get_default_obs()
if not self._alive_env_ids:
# comment this line so that the env becomes indisposable
# comment this line so that the env becomes indispensable
# self.reset()
self._zombie = True
raise StopIteration
@@ -261,13 +262,13 @@ class FiniteVectorEnv(BaseVectorEnv):
def step(
self,
action: np.ndarray,
id: int | List[int] | np.ndarray = None,
id: int | List[int] | np.ndarray | None = None,
) -> Tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
assert not self._zombie
id = self._wrap_id(id)
id2idx = {i: k for k, i in enumerate(id)}
request_id = list(filter(lambda i: i in self._alive_env_ids, id))
result = [[None, None, False, None] for _ in range(len(id))]
wrapped_id = self._wrap_id(id)
id2idx = {i: k for k, i in enumerate(wrapped_id)}
request_id = list(filter(lambda i: i in self._alive_env_ids, wrapped_id))
result = [[None, None, False, None] for _ in range(len(wrapped_id))]
# ask super to step alive envs and remap to current index
if request_id:
@@ -277,7 +278,7 @@ class FiniteVectorEnv(BaseVectorEnv):
result[id2idx[i]][0] = self._postproc_env_obs(result[id2idx[i]][0])
# logging
for i, r in zip(id, result):
for i, r in zip(wrapped_id, result):
if i in self._alive_env_ids:
for logger in self._logger:
logger.on_env_step(i, *r)