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Fix account shared bug (#791)

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* Fix account shared bug

* fix bug in nested executor
This commit is contained in:
you-n-g
2021-12-31 15:56:21 +08:00
committed by GitHub
parent 1ecdfd45fe
commit f59cfe51e0
1 changed files with 16 additions and 7 deletions
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23
qlib/backtest/executor.py
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@@ -118,7 +118,7 @@ class BaseExecutor:
self.dealt_order_amount = defaultdict(float) self.dealt_order_amount = defaultdict(float)
self.deal_day = None self.deal_day = None
def reset_common_infra(self, common_infra): def reset_common_infra(self, common_infra, copy_trade_account=False):
""" """
reset infrastructure for trading reset infrastructure for trading
- reset trade_account - reset trade_account
@@ -129,9 +129,14 @@ class BaseExecutor:
self.common_infra.update(common_infra) self.common_infra.update(common_infra)
if common_infra.has("trade_account"): if common_infra.has("trade_account"):
# NOTE: there is a trick in the code. if copy_trade_account:
# shallow copy is used instead of deepcopy. So positions are shared # NOTE: there is a trick in the code.
self.trade_account: Account = copy.copy(common_infra.get("trade_account")) # shallow copy is used instead of deepcopy.
# 1. So positions are shared
# 2. Others are not shared, so each level has it own metrics (portfolio and trading metrics)
self.trade_account: Account = copy.copy(common_infra.get("trade_account"))
else:
self.trade_account = common_infra.get("trade_account")
self.trade_account.reset(freq=self.time_per_step, port_metr_enabled=self.generate_portfolio_metrics) self.trade_account.reset(freq=self.time_per_step, port_metr_enabled=self.generate_portfolio_metrics)
@property @property
@@ -342,14 +347,18 @@ class NestedExecutor(BaseExecutor):
**kwargs, **kwargs,
) )
def reset_common_infra(self, common_infra): def reset_common_infra(self, common_infra, copy_trade_account=False):
""" """
reset infrastructure for trading reset infrastructure for trading
- reset inner_strategyand inner_executor common infra - reset inner_strategyand inner_executor common infra
""" """
super(NestedExecutor, self).reset_common_infra(common_infra) # NOTE: please refer to the docs of BaseExecutor.reset_common_infra for the meaning of `copy_trade_account`
self.inner_executor.reset_common_infra(common_infra) # The first level follow the `copy_trade_account` from the upper level
super(NestedExecutor, self).reset_common_infra(common_infra, copy_trade_account=copy_trade_account)
# The lower level have to copy the trade_account
self.inner_executor.reset_common_infra(common_infra, copy_trade_account=True)
self.inner_strategy.reset_common_infra(common_infra) self.inner_strategy.reset_common_infra(common_infra)
def _init_sub_trading(self, trade_decision): def _init_sub_trading(self, trade_decision):