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fix index data bug

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wangwenxi.handsome
2021-08-18 14:18:19 +00:00
committed by you-n-g
parent 16b954866f
commit e134c358fd
2 changed files with 67 additions and 87 deletions
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16
qlib/backtest/report.py
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@@ -391,7 +391,7 @@ class Indicator:
return None, None
if isinstance(price_s, (int, float)):
price_s = IndexData([price_s], [inst], [trade_start_time])
price_s = IndexData([price_s], [trade_start_time])
# NOTE: there are some zeros in the trading price. These cases are known meaningless
# for aligning the previous logic, remove it.
@@ -402,16 +402,15 @@ 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], [inst], [trade_start_time])
volume_s = IndexData([volume_s], [trade_start_time])
volume_s = volume_s.reindex(price_s.col)
elif agg == "twap":
volume_s = IndexData([1 for i in range(price_s.col)], [inst], price_s.col)
volume_s = IndexData([1 for i in range(len(price_s.col))], price_s.col)
else:
raise NotImplementedError(f"This type of input is not supported")
base_volume = volume_s.sum()
base_price = (price_s * volume_s).sum() / base_volume
return base_price, base_volume
def _agg_base_price(
@@ -451,6 +450,7 @@ class Indicator:
for oi, (dec, start, end) in zip(inner_order_indicators, decision_list):
bp_s = oi.get_index_data("base_price").reindex(trade_dir.col)
bv_s = oi.get_index_data("base_volume").reindex(trade_dir.col)
bp_new, bv_new = {}, {}
for pr, v, (inst, direction) in zip(bp_s.data, bv_s.data, zip(trade_dir.col, trade_dir.data)):
if np.isnan(pr):
@@ -468,16 +468,16 @@ class Indicator:
else:
bp_new[inst], bv_new[inst] = pr, v
bp_new = IndexData(list(bp_new.values()), ["base_price"], list(bp_new.keys()))
bv_new = IndexData(list(bv_new.values()), ["base_volume"], list(bv_new.keys()))
bp_new = IndexData(list(bp_new.values()), list(bp_new.keys()))
bv_new = IndexData(list(bv_new.values()), list(bv_new.keys()))
bp_all.append(bp_new)
bv_all.append(bv_new)
bp_all = IndexData.concat_by_col(bp_all)
bv_all = IndexData.concat_by_col(bv_all)
base_volume = bv_all.sum(axis = 0)
base_volume = bv_all.sum(axis=0)
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=0) / base_volume).to_dict())
def _agg_order_price_advantage(self):
def if_empty_func(trade_price):