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draft design

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Young
2021-08-31 02:33:44 +00:00
committed by you-n-g
parent 43a8f502ed
commit d39c8de800
8 changed files with 467 additions and 315 deletions
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qlib/backtest/exchange.py
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@@ -424,7 +424,7 @@ class Exchange:
else:
raise NotImplementedError(f"This type of input is not supported")
deal_price = self.quote.get_data(stock_id, start_time, end_time, field=pstr, method=method)
if method is not None and (np.isclose(deal_price, 0.0) or np.isnan(deal_price)):
if method is not None and (deal_price is None or np.isclose(deal_price, 0.0) or np.isnan(deal_price)):
self.logger.warning(f"(stock_id:{stock_id}, trade_time:{(start_time, end_time)}, {pstr}): {deal_price}!!!")
self.logger.warning(f"setting deal_price to close price")
deal_price = self.get_close(stock_id, start_time, end_time, method)