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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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22
qlib/backtest/report.py
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@@ -12,10 +12,10 @@ import pandas as pd
from qlib.backtest.exchange import Exchange
from qlib.backtest.order import BaseTradeDecision, Order, OrderDir
from .high_performance_ds import PandasOrderIndicator, NumpyOrderIndicator, SingleMetric
from ..utils.index_data import IndexData, SingleData
from ..tests.config import CSI300_BENCH
from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
from .order import IdxTradeRange
import qlib.utils.index_data as idd
class Report:
@@ -386,8 +386,8 @@ class Indicator:
return None, None
if isinstance(price_s, (int, float, np.number)):
price_s = IndexData.Series(price_s, [trade_start_time])
elif isinstance(price_s, SingleData):
price_s = idd.SingleData(price_s, [trade_start_time])
elif isinstance(price_s, idd.SingleData):
pass
else:
raise NotImplementedError(f"This type of input is not supported")
@@ -401,10 +401,10 @@ class Indicator:
if agg == "vwap":
volume_s = trade_exchange.get_volume(inst, trade_start_time, trade_end_time, method=None)
if isinstance(volume_s, (int, float, np.number)):
volume_s = IndexData.Series(volume_s, [trade_start_time])
volume_s = idd.SingleData(volume_s, [trade_start_time])
volume_s = volume_s.reindex(price_s.index)
elif agg == "twap":
volume_s = IndexData.Series(1, price_s.index)
volume_s = idd.SingleData(1, price_s.index)
else:
raise NotImplementedError(f"This type of input is not supported")
@@ -414,7 +414,7 @@ class Indicator:
def _agg_base_price(
self,
inner_order_indicators: List[Dict[str, Union[SingleMetric, SingleData]]],
inner_order_indicators: List[Dict[str, Union[SingleMetric, idd.SingleData]]],
decision_list: List[Tuple[BaseTradeDecision, pd.Timestamp, pd.Timestamp]],
trade_exchange: Exchange,
pa_config: dict = {},
@@ -467,12 +467,12 @@ class Indicator:
else:
bp_new[inst], bv_new[inst] = pr, v
bp_new = IndexData.Series(bp_new)
bv_new = IndexData.Series(bv_new)
bp_new = idd.SingleData(bp_new)
bv_new = idd.SingleData(bv_new)
bp_all.append(bp_new)
bv_all.append(bv_new)
bp_all = IndexData.concat(bp_all, axis=1)
bv_all = IndexData.concat(bv_all, axis=1)
bp_all = idd.concat(bp_all, axis=1)
bv_all = idd.concat(bv_all, axis=1)
base_volume = bv_all.sum(axis=1)
self.order_indicator.assign("base_volume", base_volume.to_dict())
@@ -550,7 +550,7 @@ class Indicator:
def _cal_trade_positive_rate(self):
def func(pa):
return (pa > 0).astype(int).sum() / pa.count()
return (pa > 0).sum() / pa.count()
return self.order_indicator.transfer(func)