From e864bba47f6b0e027e33a6efb0c761f917128db9 Mon Sep 17 00:00:00 2001 From: Huoran Li Date: Tue, 26 Jul 2022 11:25:01 +0800 Subject: [PATCH] Rename util functions --- qlib/rl/order_execution/simulator_qlib.py | 26 +++++++++++------------ qlib/rl/order_execution/utils.py | 12 +++++------ 2 files changed, 19 insertions(+), 19 deletions(-) diff --git a/qlib/rl/order_execution/simulator_qlib.py b/qlib/rl/order_execution/simulator_qlib.py index d7f4fcc88..ec629cdff 100644 --- a/qlib/rl/order_execution/simulator_qlib.py +++ b/qlib/rl/order_execution/simulator_qlib.py @@ -18,12 +18,12 @@ from qlib.rl.from_neutrader.config import ExchangeConfig from qlib.rl.from_neutrader.feature import init_qlib from qlib.rl.order_execution.simulator_simple import SAOEMetrics, SAOEState from qlib.rl.order_execution.utils import ( - _convert_tick_str_to_int, - _dataframe_append, - _get_common_infra, - _get_portfolio_and_indicator, - _get_ticks_slice, - _price_advantage, + convert_tick_str_to_int, + dataframe_append, + get_common_infra, + get_portfolio_and_indicator, + get_ticks_slice, + price_advantage, ) from qlib.rl.simulator import Simulator from qlib.strategy.base import BaseStrategy @@ -138,7 +138,7 @@ class StateMaintainer: assert market_price.shape == market_volume.shape == exec_vol.shape - self.history_exec = _dataframe_append( + self.history_exec = dataframe_append( self.history_exec, self._collect_multi_order_metric( order=self._order, @@ -150,7 +150,7 @@ class StateMaintainer: ), ) - self.history_steps = _dataframe_append( + self.history_steps = dataframe_append( self.history_steps, [ self._collect_single_order_metric( @@ -237,7 +237,7 @@ class StateMaintainer: trade_value=float(np.sum(market_price * exec_vol)), position=self.position - exec_sum, ffr=float(exec_sum / order.amount), - pa=_price_advantage(exec_avg_price, self._twap_price, order.direction), + pa=price_advantage(exec_avg_price, self._twap_price, order.direction), ) @@ -264,7 +264,7 @@ class SingleAssetQlibSimulator(Simulator[Order, SAOEState, float]): self._exchange_config = exchange_config self._time_per_step = time_per_step - self._ticks_per_step = _convert_tick_str_to_int(time_per_step) + self._ticks_per_step = convert_tick_str_to_int(time_per_step) self._executor: Optional[NestedExecutor] = None self._collect_data_loop: Optional[Generator] = None @@ -280,7 +280,7 @@ class SingleAssetQlibSimulator(Simulator[Order, SAOEState, float]): init_qlib(self._qlib_config, instrument) - common_infra = _get_common_infra( + common_infra = get_common_infra( self._exchange_config, trade_date=pd.Timestamp(self._order_date), codes=[instrument], @@ -297,7 +297,7 @@ class SingleAssetQlibSimulator(Simulator[Order, SAOEState, float]): exchange = self._inner_executor.trade_exchange self._ticks_index = pd.DatetimeIndex([e[1] for e in list(exchange.quote_df.index)]) - self._ticks_for_order = _get_ticks_slice( + self._ticks_for_order = get_ticks_slice( self._ticks_index, self._order.start_time, self._order.end_time, @@ -344,7 +344,7 @@ class SingleAssetQlibSimulator(Simulator[Order, SAOEState, float]): except StopIteration: self._done = True - _, all_indicators = _get_portfolio_and_indicator(self._executor) + _, all_indicators = get_portfolio_and_indicator(self._executor) self._maintainer.update( inner_executor=self._inner_executor, diff --git a/qlib/rl/order_execution/utils.py b/qlib/rl/order_execution/utils.py index 12a58c0a0..4307c1b36 100644 --- a/qlib/rl/order_execution/utils.py +++ b/qlib/rl/order_execution/utils.py @@ -17,7 +17,7 @@ from qlib.rl.order_execution.simulator_simple import ONE_SEC, _float_or_ndarray from qlib.utils.time import Freq -def _get_common_infra( +def get_common_infra( config: ExchangeConfig, trade_date: pd.Timestamp, codes: List[str], @@ -51,14 +51,14 @@ def _get_common_infra( return CommonInfrastructure(trade_account=trade_account, trade_exchange=exchange) -def _convert_tick_str_to_int(time_per_step: str) -> int: +def convert_tick_str_to_int(time_per_step: str) -> int: d = { "30min": 30, } return d[time_per_step] -def _get_ticks_slice( +def get_ticks_slice( ticks_index: pd.DatetimeIndex, start: pd.Timestamp, end: pd.Timestamp, @@ -69,7 +69,7 @@ def _get_ticks_slice( return ticks_index[ticks_index.slice_indexer(start, end)] -def _dataframe_append(df: pd.DataFrame, other: Any) -> pd.DataFrame: +def dataframe_append(df: pd.DataFrame, other: Any) -> pd.DataFrame: # dataframe.append is deprecated other_df = pd.DataFrame(other).set_index("datetime") other_df.index.name = "datetime" @@ -78,7 +78,7 @@ def _dataframe_append(df: pd.DataFrame, other: Any) -> pd.DataFrame: return res -def _price_advantage( +def price_advantage( exec_price: _float_or_ndarray, baseline_price: float, direction: OrderDir | int, @@ -101,7 +101,7 @@ def _price_advantage( return cast(_float_or_ndarray, res_wo_nan) -def _get_portfolio_and_indicator(executor: BaseExecutor) -> Tuple[dict, dict]: +def get_portfolio_and_indicator(executor: BaseExecutor) -> Tuple[dict, dict]: all_executors = executor.get_all_executors() all_portfolio_metrics = { "{}{}".format(*Freq.parse(_executor.time_per_step)): _executor.trade_account.get_portfolio_metrics()