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index_data

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wangwenxi.handsome
2021-08-26 12:41:12 +00:00
committed by you-n-g
parent 13a9b7cea0
commit d9ad8ff791
5 changed files with 468 additions and 395 deletions
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27
qlib/backtest/report.py
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@@ -16,7 +16,8 @@ from qlib.backtest.exchange import Exchange
from qlib.backtest.order import BaseTradeDecision, Order, OrderDir
from qlib.backtest.utils import TradeCalendarManager
from .high_performance_ds import PandasOrderIndicator, NumpyOrderIndicator, IndexData
from .high_performance_ds import PandasOrderIndicator, NumpyOrderIndicator
from ..utils.index_data import IndexData, SingleData
from ..data import D
from ..tests.config import CSI300_BENCH
from ..utils.resam import get_higher_eq_freq_feature, resam_ts_data
@@ -391,9 +392,11 @@ class Indicator:
return None, None
if isinstance(price_s, pd.Series):
price_s = IndexData(price_s.values, list(price_s.index))
price_s = IndexData.Series(price_s)
elif isinstance(price_s, (int, float, np.floating)):
price_s = IndexData([price_s], [trade_start_time])
price_s = IndexData.Series(price_s, [trade_start_time])
elif isinstance(price_s, SingleData):
pass
else:
raise NotImplementedError(f"This type of input is not supported")
@@ -405,11 +408,11 @@ 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)):
volume_s = IndexData([volume_s], [trade_start_time])
if isinstance(volume_s, (int, float, np.floating)):
volume_s = IndexData.Series(volume_s, [trade_start_time])
volume_s = volume_s.reindex(price_s.index)
elif agg == "twap":
volume_s = IndexData.ones(price_s.index)
volume_s = IndexData.Series(1, price_s.index)
else:
raise NotImplementedError(f"This type of input is not supported")
@@ -472,16 +475,16 @@ class Indicator:
else:
bp_new[inst], bv_new[inst] = pr, v
bp_new = IndexData(list(bp_new.values()), list(bp_new.keys()))
bv_new = IndexData(list(bv_new.values()), list(bv_new.keys()))
bp_new = IndexData.Series(bp_new)
bv_new = IndexData.Series(bv_new)
bp_all.append(bp_new)
bv_all.append(bv_new)
bp_all = IndexData.concat_by_index(bp_all)
bv_all = IndexData.concat_by_index(bv_all)
bp_all = IndexData.concat(bp_all, axis = 1)
bv_all = IndexData.concat(bv_all, axis = 1)
base_volume = bv_all.sum(axis=0)
base_volume = bv_all.sum(axis = 1)
self.order_indicator.assign("base_volume", base_volume.to_dict())
self.order_indicator.assign("base_price", ((bp_all * bv_all).sum(axis=0) / base_volume).to_dict())
self.order_indicator.assign("base_price", ((bp_all * bv_all).sum(axis=1) / base_volume).to_dict())
def _agg_order_price_advantage(self):
def if_empty_func(trade_price):