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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>
30 lines
914 B
YAML
Executable File
30 lines
914 B
YAML
Executable File
order_file: ./data/orders/test_orders.pkl
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start_time: "9:30"
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end_time: "14:54"
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qlib:
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provider_uri_5min: ./data/bin/
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feature_root_dir: ./data/pickle/
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feature_columns_today: [
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"$open", "$high", "$low", "$close", "$vwap", "$bid", "$ask", "$volume",
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"$bidV", "$bidV1", "$bidV3", "$bidV5", "$askV", "$askV1", "$askV3", "$askV5"
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]
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feature_columns_yesterday: [
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"$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1", "$bid_1", "$ask_1", "$volume_1",
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"$bidV_1", "$bidV1_1", "$bidV3_1", "$bidV5_1", "$askV_1", "$askV1_1", "$askV3_1", "$askV5_1"
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]
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exchange:
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limit_threshold: null
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deal_price: ["$close", "$close"]
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volume_threshold: null
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strategies:
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1day:
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class: TWAPStrategy
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kwargs: {}
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module_path: qlib.contrib.strategy.rule_strategy
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30min:
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class: TWAPStrategy
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kwargs: {}
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module_path: qlib.contrib.strategy.rule_strategy
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concurrency: 16
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output_dir: outputs/twap/
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