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56 lines
1.6 KiB
Python
56 lines
1.6 KiB
Python
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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import copy
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import warnings
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import numpy as np
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import pandas as pd
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from ..utils import get_sample_freq_calendar
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from ..data.dataset import DatasetH
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from ..data.dataset.utils import get_level_index
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from ..contrib.backtest.order import Order
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from ..contrib.backtest.env import BaseTradeCalendar
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"""
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1. BaseStrategy 的粒度一定是数据粒度的整数倍
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- 关于calendar的合并咋整
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- adjust_dates这个东西啥用
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- label和freq和strategy的bar分离，这个如何决策呢
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"""
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class BaseStrategy(BaseTradeCalendar):
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def generate_order_list(self, **kwargs):
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raise NotImplementedError("generator_order_list is not implemented!")
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class RuleStrategy(BaseStrategy):
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pass
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class ModelStrategy(BaseStrategy):
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def __init__(self, step_bar, model, dataset: DatasetH, start_time=None, end_time=None, **kwargs):
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self.model = model
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self.dataset = dataset
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self.pred_scores = self._convert_index_format(self.model.predict(dataset))
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# pred_score_dates = self.pred_scores.index.get_level_values(level="datetime")
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super(ModelStrategy, self).__init__(step_bar, start_time, end_time, **kwargs)
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def _convert_index_format(self, df):
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if get_level_index(df, level="datetime") == 1:
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df = df.swaplevel().sort_index()
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return df
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def _update_model(self):
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"""update pred score"""
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raise NotImplementedError("_update_model is not implemented!")
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class TradingEnhancement:
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def reset(self, trade_order_list=None):
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if trade_order_list is not None:
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self.trade_order_list = trade_order_list
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