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wangwenxi.handsome
2021-09-01 16:20:52 +00:00
committed by you-n-g
parent 919380597b
commit f71b0c1189
2 changed files with 49 additions and 8 deletions
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16
qlib/backtest/high_performance_ds.py
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@@ -604,13 +604,21 @@ class NumpyOrderIndicator(BaseOrderIndicator):
@staticmethod
def sum_all_indicators(order_indicator, indicators: list, metrics: Union[str, List[str]], fill_value=0):
# get all index(stock_id)
stocks = set()
for indicator in indicators:
# set(np.ndarray.tolist()) is faster than set(np.ndarray)
stocks = stocks | set(indicator.data[metrics[0]].index.tolist())
stocks = list(stocks)
stocks.sort()
# add metric by index
if isinstance(metrics, str):
metrics = [metrics]
for metric in metrics:
tmp_metric = idd.SingleData()
for indicator in indicators:
tmp_metric = tmp_metric.add(indicator.data[metric], fill_value)
order_indicator.data[metric] = tmp_metric
order_indicator.data[metric] = idd.sum_by_index(
[indicator.data[metric] for indicator in indicators], stocks, fill_value
)
def __repr__(self):
return repr(self.data)