mirror of
https://github.com/microsoft/qlib.git
synced 2026-06-06 05:51:17 +08:00
653c082e7a
* Waiting for bin data * Complete readme * CI * Add inst filter by time * Update qlib/data/dataset/processor.py * typo * Fix time filter bug * Add Filter and set Universe * Complete data pipeline * Fix Provider Logger Info Args * Add DQN; a minor bugfix in ppo reward. * update readme. modify assertion logic in strategy check. * Fix Doc issues and fix black * Fix pylint Error --------- Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
60 lines
1.9 KiB
YAML
Executable File
60 lines
1.9 KiB
YAML
Executable File
order_file: ./data/orders/test_orders.pkl
|
|
start_time: "9:30"
|
|
end_time: "14:54"
|
|
qlib:
|
|
provider_uri_5min: ./data/bin/
|
|
feature_root_dir: ./data/pickle/
|
|
feature_columns_today: [
|
|
"$open", "$high", "$low", "$close", "$vwap", "$bid", "$ask", "$volume",
|
|
"$bidV", "$bidV1", "$bidV3", "$bidV5", "$askV", "$askV1", "$askV3", "$askV5"
|
|
]
|
|
feature_columns_yesterday: [
|
|
"$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1", "$bid_1", "$ask_1", "$volume_1",
|
|
"$bidV_1", "$bidV1_1", "$bidV3_1", "$bidV5_1", "$askV_1", "$askV1_1", "$askV3_1", "$askV5_1"
|
|
]
|
|
exchange:
|
|
limit_threshold: null
|
|
deal_price: ["$close", "$close"]
|
|
volume_threshold: null
|
|
strategies:
|
|
1day:
|
|
class: SAOEIntStrategy
|
|
kwargs:
|
|
data_granularity: 5
|
|
action_interpreter:
|
|
class: CategoricalActionInterpreter
|
|
kwargs:
|
|
max_step: 8
|
|
values: 4
|
|
module_path: qlib.rl.order_execution.interpreter
|
|
network:
|
|
class: Recurrent
|
|
kwargs: {}
|
|
module_path: qlib.rl.order_execution.network
|
|
policy:
|
|
class: PPO # PPO, DQN
|
|
kwargs:
|
|
lr: 0.0001
|
|
# Restore `weight_file` once the training workflow finishes. You can change the checkpoint file you want to use.
|
|
# weight_file: outputs/ppo/checkpoints/latest.pth
|
|
module_path: qlib.rl.order_execution.policy
|
|
state_interpreter:
|
|
class: FullHistoryStateInterpreter
|
|
kwargs:
|
|
data_dim: 5
|
|
data_ticks: 48
|
|
max_step: 8
|
|
processed_data_provider:
|
|
class: PickleProcessedDataProvider
|
|
kwargs:
|
|
data_dir: ./data/pickle_dataframe/feature
|
|
module_path: qlib.rl.data.pickle_styled
|
|
module_path: qlib.rl.order_execution.interpreter
|
|
module_path: qlib.rl.order_execution.strategy
|
|
30min:
|
|
class: TWAPStrategy
|
|
kwargs: {}
|
|
module_path: qlib.contrib.strategy.rule_strategy
|
|
concurrency: 16
|
|
output_dir: outputs/ppo/
|