update the internal bar strategy

examples/highfreq/backtest/workflow.py

@@ -83,7 +83,7 @@ if __name__ == "__main__":
             "class": "TopkDropoutStrategy",
             "module_path": "qlib.contrib.strategy.model_strategy",
             "kwargs": {
-                "step_bar": "day",
+                "step_bar": "week",
                 "model": model,
                 "dataset": dataset,
                 "topk": 50,
@@ -91,6 +91,11 @@ if __name__ == "__main__":
             },
         },
         "env": {
+            "class": "SplitEnv",
+            "module_path": "qlib.contrib.backtest.env",
+            "kwargs": {
+                "step_bar": "week",
+                "sub_env": {
                     "class": "SimulatorEnv",
                     "module_path": "qlib.contrib.backtest.env",
                     "kwargs": {
@@ -99,6 +104,17 @@ if __name__ == "__main__":
                         "generate_report": True,
                     },
                 },
+                "sub_strategy": {
+                    "class": "SBBStrategyEMA",
+                    "module_path": "qlib.contrib.strategy.rule_strategy",
+                    "kwargs": {
+                        "step_bar": "day",
+                        "freq": "day",
+                        "instruments": market,
+                    },
+                },
+            },
+        },
         "backtest": {
             "start_time": trade_start_time,
             "end_time": trade_end_time,

qlib/contrib/backtest/exchange.py

@@ -390,6 +390,12 @@ class Exchange:
                 )
         return value
 
+    def get_amount_of_trade_unit(self, factor):
+        if not self.trade_w_adj_price:
+            return self.trade_unit / factor
+        else:
+            return None
+
     def round_amount_by_trade_unit(self, deal_amount, factor):
         """Parameter
         deal_amount : float, adjusted amount

qlib/contrib/strategy/rule_strategy.py

@@ -24,21 +24,39 @@ class TWAPStrategy(RuleStrategy, TradingEnhancement):
     def reset(self, trade_order_list=None, trade_exchange=None, **kwargs):
         super(TWAPStrategy, self).reset(**kwargs)
         TradingEnhancement.reset(self, trade_order_list=trade_order_list)
+        if trade_exchange:
+            self.trade_exchange = trade_exchange
         if trade_order_list:
             self.trade_amount = {}
             for order in self.trade_order_list:
-                self.trade_amount[(order.stock_id, order.direction)] = order.amount // self.trade_len
+                self.trade_amount[(order.stock_id, order.direction)] = order.amount
-        if trade_exchange:
-            self.trade_exchange = trade_exchange
 
     def generate_order_list(self, **kwargs):
         super(TWAPStrategy, self).step()
         trade_start_time, trade_end_time = self._get_calendar_time(self.trade_index)
         order_list = []
         for order in self.trade_order_list:
+            if not self.trade_exchange.is_stock_tradable(
+                stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
+            ):
+                continue
+            _amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(order.factor)
+            _order_amount = None
+            if _amount_trade_unit is None:
+                _order_amount = self.trade_amount[(order.stock_id, order.direction)] / (
+                    self.trade_len - self.trade_index
+                )
+            if self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit:
+                trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit)
+                _order_amount = (
+                    (trade_unit_cnt + self.trade_len - self.trade_index - 1)
+                    // (self.trade_len - self.trade_index)
+                    * _amount_trade_unit
+                )
+            if _order_amount:
                 _order = Order(
                     stock_id=order.stock_id,
-                amount=self.trade_amount[(order.stock_id, order.direction)],
+                    amount=_order_amount,
                     start_time=trade_start_time,
                     end_time=trade_end_time,
                     direction=order.direction,  # 1 for buy
@@ -70,20 +88,22 @@ class SBBStrategyBase(RuleStrategy, TradingEnhancement):
     def reset(self, trade_order_list=None, trade_exchange=None, **kwargs):
         super(SBBStrategyBase, self).reset(**kwargs)
         TradingEnhancement.reset(self, trade_order_list=trade_order_list)
-        if trade_order_list:
-            self.trade_amount = {}
-            self.trade_trend = {}
-            for order in self.trade_order_list:
-                self.trade_amount[(order.stock_id, order.direction)] = order.amount // self.trade_len
-                self.trade_trend[(order.stock_id, order.direction)] = self.TREND_MID
         if trade_exchange:
             self.trade_exchange = trade_exchange
+        if trade_order_list is not None:
+            self.trade_trend = {}
+            self.trade_amount = {}
+            for order in self.trade_order_list:
+                self.trade_trend[(order.stock_id, order.direction)] = self.TREND_MID
+                self.trade_amount[(order.stock_id, order.direction)] = order.amount
 
     def _pred_price_trend(self, stock_id, pred_start_time=None, pred_end_time=None):
         raise NotImplementedError("pred_price_trend method is not implemented!")
 
     def generate_order_list(self, **kwargs):
         super(SBBStrategyBase, self).step()
+        if not self.trade_order_list:
+            return []
         trade_start_time, trade_end_time = self._get_calendar_time(self.trade_index)
         pred_start_time, pred_end_time = self._get_calendar_time(self.trade_index, shift=1)
         order_list = []
@@ -92,10 +112,34 @@ class SBBStrategyBase(RuleStrategy, TradingEnhancement):
                 _pred_trend = self._pred_price_trend(order.stock_id)
             else:
                 _pred_trend = self.trade_trend[(order.stock_id, order.direction)]
+
+            if not self.trade_exchange.is_stock_tradable(
+                stock_id=order.stock_id, start_time=trade_start_time, end_time=trade_end_time
+            ):
+                if self.trade_index % 2 == 1:
+                    self.trade_trend[(order.stock_id, order.direction)] = _pred_trend
+                continue
+
+            _amount_trade_unit = self.trade_exchange.get_amount_of_trade_unit(order.factor)
             if _pred_trend == self.TREND_MID:
+                _order_amount = None
+                if _amount_trade_unit is None:
+                    _order_amount = self.trade_amount[(order.stock_id, order.direction)] / (
+                        self.trade_len - self.trade_index
+                    )
+                if self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit:
+                    trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit)
+                    _order_amount = (
+                        (trade_unit_cnt + self.trade_len - self.trade_index - 1)
+                        // (self.trade_len - self.trade_index)
+                        * _amount_trade_unit
+                    )
+
+                if _order_amount:
+                    self.trade_amount[(order.stock_id, order.direction)] -= _order_amount
                     _order = Order(
                         stock_id=order.stock_id,
-                    amount=self.trade_amount[(order.stock_id, order.direction)],
+                        amount=_order_amount,
                         start_time=trade_start_time,
                         end_time=trade_end_time,
                         direction=order.direction,  # 1 for buy
@@ -103,6 +147,24 @@ class SBBStrategyBase(RuleStrategy, TradingEnhancement):
                     )
                     order_list.append(_order)
             else:
+                _order_amount = None
+                if _amount_trade_unit is None:
+                    _order_amount = (
+                        2
+                        * self.trade_amount[(order.stock_id, order.direction)]
+                        / (self.trade_len - self.trade_index + 1)
+                    )
+                if self.trade_amount[(order.stock_id, order.direction)] >= _amount_trade_unit:
+                    trade_unit_cnt = int(self.trade_amount[(order.stock_id, order.direction)] // _amount_trade_unit)
+                    _order_amount = (
+                        2
+                        * (trade_unit_cnt + self.trade_len - self.trade_index)
+                        // (self.trade_len - self.trade_index + 1)
+                        * _amount_trade_unit
+                    )
+                if _order_amount:
+                    _order_amount = min(_order_amount, self.trade_amount[(order.stock_id, order.direction)])
+                    self.trade_amount[(order.stock_id, order.direction)] -= _order_amount
                     if self.trade_index % 2 == 1:
                         if (
                             _pred_trend == self.TREND_SHORT
@@ -112,7 +174,7 @@ class SBBStrategyBase(RuleStrategy, TradingEnhancement):
                         ):
                             _order = Order(
                                 stock_id=order.stock_id,
-                            amount=2 * self.trade_amount[(order.stock_id, order.direction)],
+                                amount=_order_amount,
                                 start_time=trade_start_time,
                                 end_time=trade_end_time,
                                 direction=order.direction,  # 1 for buy
@@ -128,7 +190,7 @@ class SBBStrategyBase(RuleStrategy, TradingEnhancement):
                         ):
                             _order = Order(
                                 stock_id=order.stock_id,
-                            amount=2 * self.trade_amount[(order.stock_id, order.direction)],
+                                amount=_order_amount,
                                 start_time=trade_start_time,
                                 end_time=trade_end_time,
                                 direction=order.direction,  # 1 for buy

qlib/strategy/base.py

@@ -51,5 +51,5 @@ class ModelStrategy(BaseStrategy):
 
 class TradingEnhancement:
     def reset(self, trade_order_list=None):
-        if trade_order_list:
+        if trade_order_list is not None:
             self.trade_order_list = trade_order_list