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7f1e8c5206
* wip * wip * wip * Fix naming errors * Backtest test passed * Why training stuck? * Minor * Refine train configs * Use dummy in training * Remove pickle_dataframe * CI * CI * Add more strict condition to filter orders * Pass test * Add TODO in example --------- Co-authored-by: Young <afe.young@gmail.com>
53 lines
1.6 KiB
YAML
Executable File
53 lines
1.6 KiB
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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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: SAOEIntStrategy
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kwargs:
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data_granularity: 5
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action_interpreter:
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class: CategoricalActionInterpreter
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kwargs:
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max_step: 8
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values: 4
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module_path: qlib.rl.order_execution.interpreter
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network:
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class: Recurrent
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kwargs: {}
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module_path: qlib.rl.order_execution.network
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policy:
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class: PPO # PPO, DQN
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kwargs:
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lr: 0.0001
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# Restore `weight_file` once the training workflow finishes. You can change the checkpoint file you want to use.
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# weight_file: outputs/ppo/checkpoints/latest.pth
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module_path: qlib.rl.order_execution.policy
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state_interpreter:
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class: FullHistoryStateInterpreter
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kwargs:
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data_dim: 5
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data_ticks: 48
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max_step: 8
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processed_data_provider:
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class: HandlerProcessedDataProvider
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kwargs:
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data_dir: ./data/pickle/
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feature_columns_today: ["$high", "$low", "$open", "$close", "$volume"]
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feature_columns_yesterday: ["$high_1", "$low_1", "$open_1", "$close_1", "$volume_1"]
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module_path: qlib.rl.data.native
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module_path: qlib.rl.order_execution.interpreter
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module_path: qlib.rl.order_execution.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/ppo/
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