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109 lines
3.5 KiB
Python
109 lines
3.5 KiB
Python
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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import unittest
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from qlib.backtest import backtest, order
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from qlib.tests import TestAutoData
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import pandas as pd
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from pathlib import Path
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DIRNAME = Path(__file__).absolute().resolve().parent
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class FileStrTest(TestAutoData):
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TEST_INST = "SH600519"
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EXAMPLE_FILE = DIRNAME / "order_example.csv"
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DEAL_NUM_FOR_1000 = 123.47105436976445
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def _gen_orders(self) -> pd.DataFrame:
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headers = [
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"datetime",
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"instrument",
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"amount",
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"direction",
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]
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orders = [
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# test cash limit for buying
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["20200103", self.TEST_INST, "1000", "buy"],
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# test min_cost for buying
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["20200106", self.TEST_INST, "1", "buy"],
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# test held stock limit for selling
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["20200107", self.TEST_INST, "1000", "sell"],
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# test cash limit for buying
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["20200108", self.TEST_INST, "1000", "buy"],
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# test min_cost for selling
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["20200109", self.TEST_INST, "1", "sell"],
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# test selling all stocks
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["20200110", self.TEST_INST, str(self.DEAL_NUM_FOR_1000), "sell"],
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]
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return pd.DataFrame(orders, columns=headers).set_index(["datetime", "instrument"])
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def test_file_str(self):
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orders = self._gen_orders()
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print(orders)
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orders.to_csv(self.EXAMPLE_FILE)
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orders = pd.read_csv(self.EXAMPLE_FILE, index_col=["datetime", "instrument"])
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strategy_config = {
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"class": "FileOrderStrategy",
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"module_path": "qlib.contrib.strategy.rule_strategy",
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"kwargs": {"file": self.EXAMPLE_FILE},
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}
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freq = "day"
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start_time = "2020-01-01"
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end_time = "2020-01-16"
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codes = [self.TEST_INST]
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backtest_config = {
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"start_time": start_time,
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"end_time": end_time,
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"account": 30000,
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"benchmark": None, # benchmark is not required here for trading
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"exchange_kwargs": {
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"freq": freq,
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"limit_threshold": 0.095,
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"deal_price": "close",
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"open_cost": 0.0005,
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"close_cost": 0.0015,
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"min_cost": 500,
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"codes": codes,
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"trade_unit": 2,
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},
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# "pos_type": "InfPosition" # Position with infinitive position
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}
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executor_config = {
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"class": "SimulatorExecutor",
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"module_path": "qlib.backtest.executor",
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"kwargs": {
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"time_per_step": freq,
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"generate_report": False,
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"verbose": True,
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"indicator_config": {
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"show_indicator": False,
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},
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},
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}
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report_dict, indicator_dict = backtest(executor=executor_config, strategy=strategy_config, **backtest_config)
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# ffr valid
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ffr_dict = indicator_dict["1day"]["ffr"].to_dict()
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ffr_dict = {str(date).split()[0]: ffr_dict[date] for date in ffr_dict}
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assert ffr_dict["2020-01-03"] == self.DEAL_NUM_FOR_1000 / 1000
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assert ffr_dict["2020-01-06"] == 0
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assert ffr_dict["2020-01-07"] == self.DEAL_NUM_FOR_1000 / 1000
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assert ffr_dict["2020-01-08"] == self.DEAL_NUM_FOR_1000 / 1000
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assert ffr_dict["2020-01-09"] == 0
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assert ffr_dict["2020-01-10"] == 1
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self.EXAMPLE_FILE.unlink()
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if __name__ == "__main__":
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unittest.main()
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