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fix bugs

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This commit is contained in:
bxdd
2021-04-30 22:56:21 +08:00
parent a109df3f46
commit d297a493b8
5 changed files with 102 additions and 70 deletions
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2
qlib/contrib/backtest/account.py
View File

@@ -179,7 +179,7 @@ class Account:
bar_close = trade_exchange.get_close(code, trade_start_time, trade_end_time)
self.current.update_stock_price(stock_id=code, price=bar_close)
# update holding day count
# update value
self.val = self.current.calculate_value()
# update earning

34
qlib/contrib/backtest/env.py
View File

@@ -6,7 +6,7 @@ import pathlib
import numpy as np
import pandas as pd
from ...data.data import Cal
from ...utils import get_sample_freq_calendar
from ...utils import get_sample_freq_calendar, parse_freq
from .position import Position
from .report import Report
from .order import Order
@@ -151,16 +151,25 @@ class SplitEnv(BaseEnv):
trade_state, trade_info = self.sub_env.execute(order_list=_order_list)
self.trade_account.update_bar_end(
trade_start_time=trade_start_time, trade_end_time=trade_end_time, trade_exchange=self.trade_exchange, update_report=self.generate_report
trade_start_time=trade_start_time,
trade_end_time=trade_end_time,
trade_exchange=self.trade_exchange,
update_report=self.generate_report,
)
_obs = {"current": self.trade_account.current}
_info = {}
return _obs, _info
def get_report(self):
_report = self.trade_account.report.generate_report_dataframe() if self.generate_report else None
_positions = self.trade_account.get_positions() if self.generate_report else None
return [(_report, _positions), *self.sub_env.get_report()]
sub_env_report_dict = self.sub_env.get_report()
if self.generate_report:
_report = self.trade_account.report.generate_report_dataframe()
_positions = self.trade_account.get_positions()
_count, _freq = parse_freq(self.step_bar)
sub_env_report_dict.update({f"{_count}{_freq}": (_report, _positions)})
return sub_env_report_dict
else:
return sub_env_report_dict
class SimulatorEnv(BaseEnv):
@@ -235,13 +244,20 @@ class SimulatorEnv(BaseEnv):
# do nothing
pass
self.trade_account.update_bar_end(
trade_start_time=trade_start_time, trade_end_time=trade_end_time, trade_exchange=self.trade_exchange, update_report=self.generate_report
trade_start_time=trade_start_time,
trade_end_time=trade_end_time,
trade_exchange=self.trade_exchange,
update_report=self.generate_report,
)
_obs = {"current": self.trade_account.current}
_info = {"trade_info": trade_info}
return _obs, _info
def get_report(self):
_report = self.trade_account.report.generate_report_dataframe() if self.generate_report else None
_positions = self.trade_account.get_positions() if self.generate_report else None
return [(_report, _positions)]
if self.generate_report:
_report = self.trade_account.report.generate_report_dataframe()
_positions = self.trade_account.get_positions()
_count, _freq = parse_freq(self.step_bar)
return {f"{_count}{_freq}": (_report, _positions)}
else:
return {}

2
qlib/contrib/strategy/model_strategy.py
View File

@@ -163,7 +163,7 @@ class TopkDropoutStrategy(ModelStrategy):
# Get the stock list we really want to buy
buy = today[: len(sell) + self.topk - len(last)]
#print("flag", len(sell), len(buy), self.topk, len(last))
# print("flag", len(sell), len(buy), self.topk, len(last))
for code in current_stock_list:
if not self.trade_exchange.is_stock_tradable(
stock_id=code, start_time=trade_start_time, end_time=trade_end_time