Support Highfreq Backtest with the Model/Rule/RL Strategy#438

Merged

you-n-g merged 223 commits intomainfrom

nested_decision_exe

Sep 30, 2021

Commits on Mar 19, 2021

add sample & base class
bxdd
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Commits on Apr 21, 2021

Commits on Apr 22, 2021

update env & strategy, add workflow
bxdd
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Commits on Apr 23, 2021

update trade calendar & backtest workflow
bxdd
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Commits on Apr 24, 2021

fix bug
bxdd
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Commits on Apr 26, 2021

del outdate file
bxdd
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Commits on Apr 28, 2021

Commits on Apr 29, 2021

fix bug in recorder
bxdd
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Commits on Apr 30, 2021

Commits on May 6, 2021

Commits on May 11, 2021

fix some comments and add docstring
bxdd
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Commits on May 12, 2021

Commits on May 13, 2021

Commits on May 14, 2021

optimize rule_strategy performance
bxdd
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Commits on May 19, 2021

Commits on May 24, 2021

Commits on May 27, 2021

Commits on May 28, 2021

Commits on May 31, 2021

add infra interface & fix no KeyboardInterpret bug
bxdd
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Commits on Jun 3, 2021

update Exchange
bxdd
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Commits on Jun 7, 2021

Refine example
ultmaster
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Commits on Jun 14, 2021

Commits on Jun 21, 2021

fix account bug & update indicator_analysis & fix some comments
bxdd
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Commits on Jun 22, 2021

Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy
v-mingzhehan
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Add shortcut in init
v-mingzhehan
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fix bug in Exchange
bxdd
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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy
v-mingzhehan
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Resolve init conflict
v-mingzhehan
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Commits on Jun 24, 2021

Commits on Jun 27, 2021

fix bug in resam feature
bxdd
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Commits on Jun 28, 2021

Commits on Jun 30, 2021

Fix account update bar_count bug
you-n-g
authored
update HashingStockStorage

bxdd
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you-n-g
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update handler_storage test

bxdd
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you-n-g
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delMiniTimer in haandler storage test

bxdd
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you-n-g
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add file order strategy
you-n-g
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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy
v-mingzhehan
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improve the docstring
you-n-g
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Commits on Jul 1, 2021

Order patch
v-mingzhehan
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optimize performance of resam data in rule_strategy & exchange
bxdd
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fix comments & update resam ts_last method
bxdd
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Commits on Jul 3, 2021

Commits on Jul 4, 2021

Commits on Jul 5, 2021

Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy
v-mingzhehan
committed

Commits on Jul 6, 2021

Support order dataframe
v-mingzhehan
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fix annotation recursive error
you-n-g
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supporting seperated buy and sell price
you-n-g
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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy
v-mingzhehan
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Constrain TWAP trade step
v-mingzhehan
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fix TWAP strategy
you-n-g
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simplify the portfolio-based report
you-n-g
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Supporting skip empty decisions
you-n-g
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simplify the portfolio-based report
you-n-g
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Supporting skip empty decisions
you-n-g
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Commits on Jul 7, 2021

fill_placehorder

TideQuant
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you-n-g
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fix qrun

TideQuant
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you-n-g
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config_extend

Wenxi Wang (FA Talent)
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you-n-g
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high_fre_yaml

wangwenxi-handsome
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you-n-g
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yaml update

wangwenxi-handsome
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you-n-g
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code optimization

wangwenxi-handsome
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you-n-g
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fill placehorder dict and list

wangwenxi-handsome
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you-n-g
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fix all example

wangwenxi-handsome
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you-n-g
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add exchange kwargs

wangwenxi-handsome
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you-n-g
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use init_instance_by_config

wangwenxi-handsome
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you-n-g
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Merge branch 'main' into nested_decision_exe
you-n-g
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add supporting setting trade unit in exchange
you-n-g
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black format
you-n-g
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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy
v-mingzhehan
committed

Commits on Jul 8, 2021

fix calculating base_price
you-n-g
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Commits on Jul 11, 2021

move the pa sign from last step to first
you-n-g
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Commits on Jul 12, 2021

Fix circular import
v-mingzhehan
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Commits on Jul 13, 2021

Commits on Jul 14, 2021

initial account by position

wangwenxi-handsome
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you-n-g
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fix spell error

wangwenxi-handsome
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you-n-g
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add docs

wangwenxi-handsome
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you-n-g
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Merge branch 'nested_decision_exe' of https://github.com/microsoft/qlib into rl-dummy
v-mingzhehan
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exchange support expression buy sell limit
you-n-g
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Commits on Jul 17, 2021

Commits on Jul 18, 2021

Commits on Jul 19, 2021

Commits on Jul 20, 2021

add print cash in verbose mode and code format
you-n-g
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type checking update
v-mingzhehan
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Commits on Jul 21, 2021

Commits on Jul 22, 2021

high_performance_data_structure
wangwenxi-handsome
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Commits on Jul 24, 2021

Commits on Jul 25, 2021

Commits on Jul 28, 2021

new twap (more even)
you-n-g
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Commits on Jul 29, 2021

add suspend check in twap
you-n-g
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Commits on Jul 31, 2021

volume limit
wangwenxi-handsome
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Commits on Aug 1, 2021

volume limit update
wangwenxi-handsome
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Commits on Aug 2, 2021

Commits on Aug 4, 2021

Print volume limitation log
you-n-g
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Commits on Aug 6, 2021

update position and negative cash
wangwenxi-handsome
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Commits on Aug 8, 2021

add position test
wangwenxi-handsome
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Commits on Aug 9, 2021

Fix bug when Account.benchmark_config is None
you-n-g
authored

Commits on Aug 12, 2021

Cash Update (#559)
wangwenxi-handsome
authored

Commits on Aug 15, 2021

Add a example to collecting all the decisions
you-n-g
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Commits on Aug 31, 2021

fix Path re
wangwenxi-handsome
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Commits on Sep 2, 2021

update exchange

wangwenxi-handsome
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you-n-g
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fix exchange bug

wangwenxi-handsome
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you-n-g
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numpy_order_indicator

wangwenxi-handsome
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you-n-g
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fix nanmean

wangwenxi-handsome
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you-n-g
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get_base_info

wangwenxi-handsome
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you-n-g
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fix index data bug

wangwenxi-handsome
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you-n-g
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update freq

wangwenxi-handsome
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you-n-g
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align interface

wangwenxi-handsome
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you-n-g
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add import order
you-n-g
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type error bug
you-n-g
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index_data

wangwenxi-handsome
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you-n-g
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new high freq struc

wangwenxi-handsome
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you-n-g
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add lru

wangwenxi-handsome
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you-n-g
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fix bug

wangwenxi-handsome
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you-n-g
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draft design
you-n-g
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Pass basic tests
you-n-g
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fix bugs
you-n-g
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fix metric calculation error
you-n-g
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redundant references

wangwenxi-handsome
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you-n-g
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broadcast_to and get single data

wangwenxi-handsome
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you-n-g
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close and reindex

wangwenxi-handsome
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you-n-g
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250s

wangwenxi-handsome
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you-n-g
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fix sum index data bug
you-n-g
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Commits on Sep 13, 2021

Commits on Sep 30, 2021