RL backtest with simulator

qlib/backtest/decision.py

@@ -576,3 +576,16 @@ def __repr__(self) -> str:
  f"trade_range: {self.trade_range}; "
  f"order_list[{len(self.order_list)}]"
  )
+
+
+class TradeDecisionWithDetails(TradeDecisionWO):
+ def __init__(
+ self,
+ order_list: List[Order],
+ strategy: BaseStrategy,
+ trade_range: Optional[Tuple[int, int]] = None,
+ details: Optional[Any] = None,
+ ) -> None:
+ super().__init__(order_list, strategy, trade_range)
+
+ self.details = details

qlib/contrib/data/highfreq_handler.py

@@ -110,6 +110,92 @@ def get_normalized_price_feature(price_field, shift=0):
  return fields, names
 
 
+class HighFreqGeneralHandler(HighFreqHandler):
+ def __init__(
+ self,
+ instruments="csi300",
+ start_time=None,
+ end_time=None,
+ infer_processors=[],
+ learn_processors=[],
+ fit_start_time=None,
+ fit_end_time=None,
+ drop_raw=True,
+ day_length=240,
+ ):
+ self.day_length = day_length
+ super().__init__(
+ instruments=instruments,
+ start_time=start_time,
+ end_time=end_time,
+ infer_processors=infer_processors,
+ learn_processors=learn_processors,
+ fit_start_time=fit_start_time,
+ fit_end_time=fit_end_time,
+ drop_raw=drop_raw,
+ )
+
+ def get_feature_config(self):
+ fields = []
+ names = []
+
+ template_if = "If(IsNull({1}), {0}, {1})"
+ template_paused = f"Cut({{0}}, {self.day_length * 2}, None)"
+
+ def get_normalized_price_feature(price_field, shift=0):
+ # norm with the close price of 237th minute of yesterday.
+ if shift == 0:
+ template_norm = f"{{0}}/DayLast(Ref({{1}}, {self.day_length * 2}))"
+ else:
+ template_norm = f"Ref({{0}}, " + str(shift) + f")/DayLast(Ref({{1}}, {self.day_length}))"
+
+ template_fillnan = "FFillNan({0})"
+ # calculate -> ffill -> remove paused
+ feature_ops = template_paused.format(
+ template_fillnan.format(
+ template_norm.format(template_if.format("$close", price_field), template_fillnan.format("$close"))
+ )
+ )
+ return feature_ops
+
+ fields += [get_normalized_price_feature("$open", 0)]
+ fields += [get_normalized_price_feature("$high", 0)]
+ fields += [get_normalized_price_feature("$low", 0)]
+ fields += [get_normalized_price_feature("$close", 0)]
+ fields += [get_normalized_price_feature("$vwap", 0)]
+ names += ["$open", "$high", "$low", "$close", "$vwap"]
+
+ fields += [get_normalized_price_feature("$open", self.day_length)]
+ fields += [get_normalized_price_feature("$high", self.day_length)]
+ fields += [get_normalized_price_feature("$low", self.day_length)]
+ fields += [get_normalized_price_feature("$close", self.day_length)]
+ fields += [get_normalized_price_feature("$vwap", self.day_length)]
+ names += ["$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1"]
+
+ # calculate and fill nan with 0
+ fields += [
+ template_paused.format(
+ "If(IsNull({0}), 0, {0})".format(
+ f"{{0}}/Ref(DayLast(Mean({{0}}, {self.day_length * 30})), {self.day_length})".format("$volume")
+ )
+ )
+ ]
+ names += ["$volume"]
+
+ fields += [
+ template_paused.format(
+ "If(IsNull({0}), 0, {0})".format(
+ f"Ref({{0}}, {self.day_length})/Ref(DayLast(Mean({{0}}, {self.day_length * 30})), {self.day_length})".format(
+ "$volume"
+ )
+ )
+ )
+ ]
+ names += ["$volume_1"]
+
+ return fields, names
+
+
 class HighFreqBacktestHandler(DataHandler):
  def __init__(
  self,
@@ -163,6 +249,45 @@ def get_feature_config(self):
  return fields, names
 
 
+class HighFreqGeneralBacktestHandler(HighFreqBacktestHandler):
+ def __init__(
+ self,
+ instruments="csi300",
+ start_time=None,
+ end_time=None,
+ day_length=240,
+ ):
+ self.day_length = day_length
+ super().__init__(
+ instruments=instruments,
+ start_time=start_time,
+ end_time=end_time,
+ )
+
+ def get_feature_config(self):
+ fields = []
+ names = []
+
+ template_paused = f"Cut({{0}}, {self.day_length * 2}, None)"
+ # template_paused = "{0}"
+ template_fillnan = "FFillNan({0})"
+ template_if = "If(IsNull({1}), {0}, {1})"
+ fields += [
+ template_paused.format(template_fillnan.format("$close")),
+ ]
+ names += ["$close0"]
+
+ fields += [
+ template_paused.format(template_if.format(template_fillnan.format("$close"), "$vwap")),
+ ]
+ names += ["$vwap0"]
+
+ fields += [template_paused.format("If(IsNull({0}), 0, {0})".format("$volume"))]
+ names += ["$volume0"]
+
+ return fields, names
+
+
 class HighFreqOrderHandler(DataHandlerLP):
  def __init__(
  self,