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

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v-mingzhehan
2021-07-09 09:32:15 +00:00
parent eada8640b9 80f5426693
commit ece7b662e2
3 changed files with 7 additions and 7 deletions
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7
qlib/backtest/executor.py
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@@ -348,13 +348,6 @@ class NestedExecutor(BaseExecutor):
self.inner_strategy.alter_outer_trade_decision(trade_decision) self.inner_strategy.alter_outer_trade_decision(trade_decision)
return 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): def _collect_data(self, trade_decision: BaseTradeDecision, level: int = 0):
execute_result = [] execute_result = []
inner_order_indicators = [] inner_order_indicators = []

1
qlib/backtest/order.py
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@@ -15,6 +15,7 @@ from qlib.backtest.utils import TradeCalendarManager
import warnings import warnings
import numpy as np import numpy as np
import pandas as pd import pandas as pd
import numpy as np
from dataclasses import dataclass, field from dataclasses import dataclass, field
from typing import ClassVar, Optional, Union, List, Set, Tuple from typing import ClassVar, Optional, Union, List, Set, Tuple

6
qlib/backtest/utils.py
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@@ -164,6 +164,12 @@ class LevelInfrastructure(BaseInfrastructure):
"""level instrastructure is created by executor, and then shared to strategies on the same level""" """level instrastructure is created by executor, and then shared to strategies on the same level"""
def get_support_infra(self): 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"] return ["trade_calendar", "sub_level_infra"]
def reset_cal(self, freq, start_time, end_time): def reset_cal(self, freq, start_time, end_time):