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

qlib/backtest/executor.py

@@ -348,13 +348,6 @@ class NestedExecutor(BaseExecutor):
             self.inner_strategy.alter_outer_trade_decision(trade_decision)
         return trade_decision
 
-    # def _get_inner_trade_decision(self, outer_trade_decision: BaseTradeDecision, inner_execute_result):
-    #     # In some cases, the inner strategy can be skipped, but the inner executor should keep running
-    #     if outer_trade_decision.empty() and self._skip_empty_decision:
-    #         return EmptyTradeDecision(self.inner_strategy)
-    #     return self.inner_strategy.generate_trade_decision(inner_execute_result)
-    # _inner_trade_decision = self._get_inner_trade_decision(trade_decision, _inner_execute_result)
-
     def _collect_data(self, trade_decision: BaseTradeDecision, level: int = 0):
         execute_result = []
         inner_order_indicators = []

qlib/backtest/order.py

@@ -15,6 +15,7 @@ from qlib.backtest.utils import TradeCalendarManager
 import warnings
 import numpy as np
 import pandas as pd
+import numpy as np
 from dataclasses import dataclass, field
 from typing import ClassVar, Optional, Union, List, Set, Tuple
 

qlib/backtest/utils.py

@@ -164,6 +164,12 @@ class LevelInfrastructure(BaseInfrastructure):
     """level instrastructure is created by executor, and then shared to strategies on the same level"""
 
     def get_support_infra(self):
+        """
+        Descriptions about the infrastructure
+
+        sub_level_infra:
+        - **NOTE**: this will only work after _init_sub_trading !!!
+        """
         return ["trade_calendar", "sub_level_infra"]
 
     def reset_cal(self, freq, start_time, end_time):