How to get deal price of each order after backtesting.

[wuzhe1234]

The order_normal.pkl seems like won't save the deal price,
so when I want to analyze the effects of each order, I need to use D.features to fetch the deal price,
but qrun seems like won't save the provider uri to the recorder folder. So I won't know which market it is(cause I stored several stock markets' data).

I was thinking that maybe there is two solutions.

1. when we use qrun, we could copy the config yaml file to the mlruns' artifacts folder. Thus we could know the provider uri and all the other information from the yaml file.
2. save deal price of each order directly.

[wangwenxi-handsome]

Thank for your suggestion! I think the first way is a general method. @you-n-g

[wangwenxi-handsome]

This question will be solved when "nested_decision_exe" branch which is designed for high frequency data merges. You can have a look at if you are interested with it.

[you-n-g]

@wuzhe1234
Would you like to implement the feature to save the yaml file and become one of the contributors of Qlib?

This function will return a recorder and you can save the YAML file with it.

[wuzhe1234]

@wuzhe1234
Would you like to implement the feature to save the yaml file and become one of the contributors of Qlib?

This function will return a recorder and you can save the YAML file with it.

Sure, I send a PR about it. I use the recorder.save_object() method to save the config variable to the uri which I think doing the same job with saving the yaml file.

[wuzhe1234]

By the way, what do you guys think about adding an attribute order.trade_price to the Order class. We can set it to 0.0 or np.nan when initialing it. And set it equal to deal_price when we call position.update_order in the backtesting. This will help a lot if we want to know the profit of each order and the profit distribution among all the stocks or sectors.

[wuzhe1234]

This question will be solved when "nested_decision_exe" branch which is designed for high frequency data merges. You can have a look at if you are interested with it.

Thanks, I'll have a look

[you-n-g]

@wuzhe1234
The related code is here
https://github.com/microsoft/qlib/blob/nested_decision_exe/qlib/backtest/report.py#L237

Welcome to join us to test it :)

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