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,