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align interface

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wangwenxi.handsome
2021-08-19 14:06:33 +00:00
committed by you-n-g
parent be0d9e6a22
commit f111e34bd2
4 changed files with 415 additions and 307 deletions
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18
qlib/backtest/report.py
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@@ -390,22 +390,24 @@ class Indicator:
if price_s is None:
return None, None
if isinstance(price_s, pd.Series):
price_s = IndexData(price_s.values, list(price_s.index))
if isinstance(price_s, (int, float)):
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.
# remove zero and negative values.
price_s = price_s.keep_positive(1e-08)
price_s = price_s[~(price_s < 1e-08)]
# NOTE ~(price_s < 1e-08) is different from price_s >= 1e-8
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], [trade_start_time])
volume_s = volume_s.reindex(price_s.col)
volume_s = volume_s.reindex(price_s.index)
elif agg == "twap":
volume_s = IndexData([1 for i in range(len(price_s.col))], price_s.col)
volume_s = IndexData.ones(price_s.index)
else:
raise NotImplementedError(f"This type of input is not supported")
@@ -448,11 +450,11 @@ class Indicator:
bp_all, bv_all = [], []
# <step, inst, (base_volume | base_price)>
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_s = oi.get_index_data("base_price").reindex(trade_dir.index)
bv_s = oi.get_index_data("base_volume").reindex(trade_dir.index)
bp_new, bv_new = {}, {}
for pr, v, (inst, direction) in zip(bp_s.data, bv_s.data, zip(trade_dir.col, trade_dir.data)):
for pr, v, (inst, direction) in zip(bp_s.data, bv_s.data, zip(trade_dir.index, trade_dir.data)):
if np.isnan(pr):
bp_tmp, bv_tmp = self._get_base_vol_pri(
inst,
@@ -472,8 +474,8 @@ class Indicator:
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)
bp_all = IndexData.concat_by_index(bp_all)
bv_all = IndexData.concat_by_index(bv_all)
base_volume = bv_all.sum(axis=0)
self.order_indicator.assign("base_volume", base_volume.to_dict())