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bxdd
2021-04-29 02:29:29 +08:00
parent 49cdaf8f5d
commit f404a031f3
16 changed files with 275 additions and 172 deletions
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22
qlib/contrib/strategy/order_generator.py
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@@ -81,10 +81,16 @@ class OrderGenWInteract(OrderGenerator):
# calculate current_tradable_value
current_amount_dict = current.get_stock_amount_dict()
current_total_value = trade_exchange.calculate_amount_position_value(
amount_dict=current_amount_dict, trade_start_time=trade_start_time, trade_end_time=trade_end_time, only_tradable=False
amount_dict=current_amount_dict,
trade_start_time=trade_start_time,
trade_end_time=trade_end_time,
only_tradable=False,
)
current_tradable_value = trade_exchange.calculate_amount_position_value(
amount_dict=current_amount_dict, trade_start_time=trade_start_time, trade_end_time=trade_end_time, only_tradable=True
amount_dict=current_amount_dict,
trade_start_time=trade_start_time,
trade_end_time=trade_end_time,
only_tradable=True,
)
# add cash
current_tradable_value += current.get_cash()
@@ -97,7 +103,9 @@ class OrderGenWInteract(OrderGenerator):
# value. Then just sell all the stocks
target_amount_dict = copy.deepcopy(current_amount_dict.copy())
for stock_id in list(target_amount_dict.keys()):
if trade_exchange.is_stock_tradable(stock_id, trade_start_time=trade_start_time, trade_end_time=trade_end_time):
if trade_exchange.is_stock_tradable(
stock_id, trade_start_time=trade_start_time, trade_end_time=trade_end_time
):
del target_amount_dict[stock_id]
else:
# consider cost rate
@@ -108,13 +116,13 @@ class OrderGenWInteract(OrderGenerator):
target_amount_dict = trade_exchange.generate_amount_position_from_weight_position(
weight_position=target_weight_position,
cash=current_tradable_value,
trade_start_time=trade_start_time,
trade_start_time=trade_start_time,
trade_end_time=trade_end_time,
)
order_list = trade_exchange.generate_order_for_target_amount_position(
target_position=target_amount_dict,
current_position=current_amount_dict,
trade_start_time=trade_start_time,
trade_start_time=trade_start_time,
trade_end_time=trade_end_time,
)
return order_list
@@ -161,7 +169,9 @@ class OrderGenWOInteract(OrderGenerator):
amount_dict = {}
for stock_id in target_weight_position:
# Current rule will ignore the stock that not hold and cannot be traded at predict date
if trade_exchange.is_stock_tradable(stock_id=stock_id, trade_start_time=trade_start_time, trade_end_time=trade_end_time):
if trade_exchange.is_stock_tradable(
stock_id=stock_id, trade_start_time=trade_start_time, trade_end_time=trade_end_time
):
amount_dict[stock_id] = (
risk_total_value * target_weight_position[stock_id] / trade_exchange.get_close(stock_id, pred_date)
)