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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy

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v-mingzhehan
2021-07-06 06:43:34 +00:00
parent 82645233e7 bdac9f4dda
commit e214557e3a
4 changed files with 90 additions and 37 deletions
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4
qlib/contrib/strategy/model_strategy.py
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@@ -6,7 +6,7 @@ import pandas as pd
from ...utils.resam import resam_ts_data
from ...strategy.base import ModelStrategy
from ...backtest.order import Order, BaseTradeDecision, TradeDecisionWO
from ...backtest.order import Order, BaseTradeDecision, OrderDir, TradeDecisionWO
from .order_generator import OrderGenWInteract
@@ -236,7 +236,7 @@ class TopkDropoutStrategy(ModelStrategy):
continue
# buy order
buy_price = self.trade_exchange.get_deal_price(
stock_id=code, start_time=trade_start_time, end_time=trade_end_time
stock_id=code, start_time=trade_start_time, end_time=trade_end_time, direction=OrderDir.BUY
)
buy_amount = value / buy_price
factor = self.trade_exchange.get_factor(stock_id=code, start_time=trade_start_time, end_time=trade_end_time)