Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy

examples/nested_decision_execution/workflow.py

@@ -20,7 +20,7 @@ class NestedDecisonExecutionWorkflow:
     benchmark = "SH000300"
     data_handler_config = {
         "start_time": "2008-01-01",
-        "end_time": "2021-05-28",
+        "end_time": "2020-12-31",
         "fit_start_time": "2008-01-01",
         "fit_end_time": "2014-12-31",
         "instruments": market,
@@ -54,7 +54,7 @@ class NestedDecisonExecutionWorkflow:
                 "segments": {
                     "train": ("2007-01-01", "2014-12-31"),
                     "valid": ("2015-01-01", "2016-12-31"),
-                    "test": ("2020-09-01", "2021-05-28"),
+                    "test": ("2020-01-01", "2020-12-31"),
                 },
             },
         },
@@ -79,12 +79,8 @@ class NestedDecisonExecutionWorkflow:
                     },
                 },
                 "inner_strategy": {
-                    "class": "SBBStrategyEMA",
+                    "class": "TWAPStrategy",
                     "module_path": "qlib.contrib.strategy.rule_strategy",
-                    "kwargs": {
-                        "freq": "day",
-                        "instruments": market,
-                    },
                 },
                 "track_data": True,
                 "generate_report": True,
@@ -94,8 +90,8 @@ class NestedDecisonExecutionWorkflow:
             },
         },
         "backtest": {
-            "start_time": "2020-09-20",
+            "start_time": "2020-01-01",
-            "end_time": "2021-05-28",
+            "end_time": "2020-12-31",
             "account": 100000000,
             "benchmark": benchmark,
             "exchange_kwargs": {

qlib/backtest/__init__.py

@@ -1,14 +1,21 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
+import copy
 
 from .account import Account
 from .exchange import Exchange
 from .executor import BaseExecutor
 from .backtest import backtest_loop
 from .backtest import collect_data_loop
+<<<<<<< HEAD
 
 from .order import Order
 from .utils import CommonInfrastructure, TradeCalendarManager
+=======
+from .utils import CommonInfrastructure
+from .order import Order
+
+>>>>>>> ab97e8248443789ce1e0f90a9b5596e5fee60566
 from ..strategy.base import BaseStrategy
 from ..utils import init_instance_by_config
 from ..log import get_module_logger
@@ -101,10 +108,15 @@ def get_strategy_executor(
             "end_time": end_time,
         },
     )
+
+    exchange_kwargs = copy.copy(exchange_kwargs)
+    if "start_time" not in exchange_kwargs:
+        exchange_kwargs["start_time"] = start_time
+    if "end_time" not in exchange_kwargs:
+        exchange_kwargs["end_time"] = end_time
     trade_exchange = get_exchange(**exchange_kwargs)
 
     common_infra = CommonInfrastructure(trade_account=trade_account, trade_exchange=trade_exchange)
-
     trade_strategy = init_instance_by_config(strategy, accept_types=BaseStrategy, common_infra=common_infra)
     trade_executor = init_instance_by_config(executor, accept_types=BaseExecutor, common_infra=common_infra)
 

qlib/backtest/exchange.py

@@ -174,8 +174,8 @@ class Exchange:
         self.quote = quote_dict
 
     def _update_limit(self, buy_limit, sell_limit):
-        self.quote["limit_buy"] = ~self.quote["$change"].lt(buy_limit)
+        self.quote["limit_buy"] = self.quote["$change"].ge(buy_limit)
-        self.quote["limit_sell"] = ~self.quote["$change"].gt(-sell_limit)
+        self.quote["limit_sell"] = self.quote["$change"].le(-sell_limit)
 
     def check_stock_limit(self, stock_id, start_time, end_time, direction=None):
         """

qlib/workflow/record_temp.py

@@ -7,6 +7,7 @@ import warnings
 import pandas as pd
 from pathlib import Path
 from pprint import pprint
+from typing import Union, List
 from ..contrib.evaluate import indicator_analysis, risk_analysis, indicator_analysis
 
 from ..data.dataset import DatasetH
@@ -295,7 +296,13 @@ class PortAnaRecord(RecordTemp):
     artifact_path = "portfolio_analysis"
 
     def __init__(
-        self, recorder, config, risk_analysis_freq, indicator_analysis_freq, indicator_analysis_method=None, **kwargs
+        self,
+        recorder,
+        config,
+        risk_analysis_freq: Union[List, str] = [],
+        indicator_analysis_freq: Union[List, str] = [],
+        indicator_analysis_method=None,
+        **kwargs,
     ):
         """
         config["strategy"] : dict