mirror of
https://github.com/microsoft/qlib.git
synced 2026-07-10 14:26:56 +08:00
94e420f755
* add missing parameters to doc string in order_generate * fix some typos in doc strings * reformat base on code style standard * Update qlib/backtest/__init__.py * Update examples/run_all_model.py * Update examples/run_all_model.py Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
219 lines
8.1 KiB
Python
219 lines
8.1 KiB
Python
# Copyright (c) Microsoft Corporation.
|
|
# Licensed under the MIT License.
|
|
|
|
"""
|
|
This order generator is for strategies based on WeightStrategyBase
|
|
"""
|
|
from ...backtest.position import Position
|
|
from ...backtest.exchange import Exchange
|
|
|
|
import pandas as pd
|
|
import copy
|
|
|
|
|
|
class OrderGenerator:
|
|
def generate_order_list_from_target_weight_position(
|
|
self,
|
|
current: Position,
|
|
trade_exchange: Exchange,
|
|
target_weight_position: dict,
|
|
risk_degree: float,
|
|
pred_start_time: pd.Timestamp,
|
|
pred_end_time: pd.Timestamp,
|
|
trade_start_time: pd.Timestamp,
|
|
trade_end_time: pd.Timestamp,
|
|
) -> list:
|
|
"""generate_order_list_from_target_weight_position
|
|
|
|
:param current: The current position
|
|
:type current: Position
|
|
:param trade_exchange:
|
|
:type trade_exchange: Exchange
|
|
:param target_weight_position: {stock_id : weight}
|
|
:type target_weight_position: dict
|
|
:param risk_degree:
|
|
:type risk_degree: float
|
|
:param pred_start_time:
|
|
:type pred_start_time: pd.Timestamp
|
|
:param pred_end_time:
|
|
:type pred_end_time: pd.Timestamp
|
|
:param trade_start_time:
|
|
:type trade_start_time: pd.Timestamp
|
|
:param trade_end_time:
|
|
:type trade_end_time: pd.Timestamp
|
|
|
|
:rtype: list
|
|
"""
|
|
raise NotImplementedError()
|
|
|
|
|
|
class OrderGenWInteract(OrderGenerator):
|
|
"""Order Generator With Interact"""
|
|
|
|
def generate_order_list_from_target_weight_position(
|
|
self,
|
|
current: Position,
|
|
trade_exchange: Exchange,
|
|
target_weight_position: dict,
|
|
risk_degree: float,
|
|
pred_start_time: pd.Timestamp,
|
|
pred_end_time: pd.Timestamp,
|
|
trade_start_time: pd.Timestamp,
|
|
trade_end_time: pd.Timestamp,
|
|
) -> list:
|
|
"""generate_order_list_from_target_weight_position
|
|
|
|
No adjustment for for the nontradable share.
|
|
All the tadable value is assigned to the tadable stock according to the weight.
|
|
if interact == True, will use the price at trade date to generate order list
|
|
else, will only use the price before the trade date to generate order list
|
|
|
|
:param current:
|
|
:type current: Position
|
|
:param trade_exchange:
|
|
:type trade_exchange: Exchange
|
|
:param target_weight_position:
|
|
:type target_weight_position: dict
|
|
:param risk_degree:
|
|
:type risk_degree: float
|
|
:param pred_start_time:
|
|
:type pred_start_time: pd.Timestamp
|
|
:param pred_end_time:
|
|
:type pred_end_time: pd.Timestamp
|
|
:param trade_start_time:
|
|
:type trade_start_time: pd.Timestamp
|
|
:param trade_end_time:
|
|
:type trade_end_time: pd.Timestamp
|
|
|
|
:rtype: list
|
|
"""
|
|
if target_weight_position is None:
|
|
return []
|
|
|
|
# calculate current_tradable_value
|
|
current_amount_dict = current.get_stock_amount_dict()
|
|
|
|
current_total_value = trade_exchange.calculate_amount_position_value(
|
|
amount_dict=current_amount_dict,
|
|
start_time=trade_start_time,
|
|
end_time=trade_end_time,
|
|
only_tradable=False,
|
|
)
|
|
current_tradable_value = trade_exchange.calculate_amount_position_value(
|
|
amount_dict=current_amount_dict,
|
|
start_time=trade_start_time,
|
|
end_time=trade_end_time,
|
|
only_tradable=True,
|
|
)
|
|
# add cash
|
|
current_tradable_value += current.get_cash()
|
|
|
|
reserved_cash = (1.0 - risk_degree) * (current_total_value + current.get_cash())
|
|
current_tradable_value -= reserved_cash
|
|
|
|
if current_tradable_value < 0:
|
|
# if you sell all the tradable stock can not meet the reserved
|
|
# value. Then just sell all the stocks
|
|
target_amount_dict = copy.deepcopy(current_amount_dict.copy())
|
|
for stock_id in list(target_amount_dict.keys()):
|
|
if trade_exchange.is_stock_tradable(stock_id, start_time=trade_start_time, end_time=trade_end_time):
|
|
del target_amount_dict[stock_id]
|
|
else:
|
|
# consider cost rate
|
|
current_tradable_value /= 1 + max(trade_exchange.close_cost, trade_exchange.open_cost)
|
|
|
|
# strategy 1 : generate amount_position by weight_position
|
|
# Use API in Exchange()
|
|
target_amount_dict = trade_exchange.generate_amount_position_from_weight_position(
|
|
weight_position=target_weight_position,
|
|
cash=current_tradable_value,
|
|
start_time=trade_start_time,
|
|
end_time=trade_end_time,
|
|
)
|
|
order_list = trade_exchange.generate_order_for_target_amount_position(
|
|
target_position=target_amount_dict,
|
|
current_position=current_amount_dict,
|
|
start_time=trade_start_time,
|
|
end_time=trade_end_time,
|
|
)
|
|
return order_list
|
|
|
|
|
|
class OrderGenWOInteract(OrderGenerator):
|
|
"""Order Generator Without Interact"""
|
|
|
|
def generate_order_list_from_target_weight_position(
|
|
self,
|
|
current: Position,
|
|
trade_exchange: Exchange,
|
|
target_weight_position: dict,
|
|
risk_degree: float,
|
|
pred_start_time: pd.Timestamp,
|
|
pred_end_time: pd.Timestamp,
|
|
trade_start_time: pd.Timestamp,
|
|
trade_end_time: pd.Timestamp,
|
|
) -> list:
|
|
"""generate_order_list_from_target_weight_position
|
|
|
|
generate order list directly not using the information (e.g. whether can be traded, the accurate trade price)
|
|
at trade date.
|
|
In target weight position, generating order list need to know the price of objective stock in trade date,
|
|
but we cannot get that
|
|
value when do not interact with exchange, so we check the %close price at pred_date or price recorded
|
|
in current position.
|
|
|
|
:param current:
|
|
:type current: Position
|
|
:param trade_exchange:
|
|
:type trade_exchange: Exchange
|
|
:param target_weight_position:
|
|
:type target_weight_position: dict
|
|
:param risk_degree:
|
|
:type risk_degree: float
|
|
:param pred_start_time:
|
|
:type pred_start_time: pd.Timestamp
|
|
:param pred_end_time:
|
|
:type pred_end_time: pd.Timestamp
|
|
:param trade_start_time:
|
|
:type trade_start_time: pd.Timestamp
|
|
:param trade_end_time:
|
|
:type trade_end_time: pd.Timestamp
|
|
|
|
:rtype: list of generated orders
|
|
"""
|
|
if target_weight_position is None:
|
|
return []
|
|
|
|
risk_total_value = risk_degree * current.calculate_value()
|
|
|
|
current_stock = current.get_stock_list()
|
|
amount_dict = {}
|
|
for stock_id in target_weight_position:
|
|
# Current rule will ignore the stock that not hold and cannot be traded at predict date
|
|
if trade_exchange.is_stock_tradable(
|
|
stock_id=stock_id, start_time=trade_start_time, end_time=trade_end_time
|
|
) and trade_exchange.is_stock_tradable(
|
|
stock_id=stock_id, start_time=pred_start_time, end_time=pred_end_time
|
|
):
|
|
amount_dict[stock_id] = (
|
|
risk_total_value
|
|
* target_weight_position[stock_id]
|
|
/ trade_exchange.get_close(stock_id, start_time=pred_start_time, end_time=pred_end_time)
|
|
)
|
|
# TODO: Qlib use None to represent trading suspension.
|
|
# So last close price can't be the estimated trading price.
|
|
# Maybe a close price with forward fill will be a better solution.
|
|
elif stock_id in current_stock:
|
|
amount_dict[stock_id] = (
|
|
risk_total_value * target_weight_position[stock_id] / current.get_stock_price(stock_id)
|
|
)
|
|
else:
|
|
continue
|
|
order_list = trade_exchange.generate_order_for_target_amount_position(
|
|
target_position=amount_dict,
|
|
current_position=current.get_stock_amount_dict(),
|
|
start_time=trade_start_time,
|
|
end_time=trade_end_time,
|
|
)
|
|
return order_list
|