qlib
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Qlib simulator refinement
Description
- Qlib Simulator
- Use dict-like config to create strategies & executors. Totally abandon the hardcoded version.
- Make Qlib simulator more general.
- Executor
- Add
is_collecting - Call
inner_strategy.post_upper_level_exe_step()in NestedExecutor
- Add
- Strategy
- Add
post_upper_level_exe_step()method - Add
SAOEStrategy, strategies that use SAOEState as states. MakeDecomposedStrategya subclass ofSAOEStrategy. - Move
StateMaintainerinsideSAOEStrategy. Now eachSAOEStrategycan have its own state maintainer, so it can maintain its own state.
- Add
- Other
- Remove
qlib/rl/from_neutrader. Move all necessary components intosimulator_qlib. - Re-organize file structure
-
qlib/rl/strategy -
qlib/rl/order_execution/objects -
qlib/rl/order_execution/state
-
- Remove
Motivation and Context
How Has This Been Tested?
- [ ] Pass the test by running:
pytest qlib/tests/test_all_pipeline.pyunder upper directory ofqlib. - [ ] If you are adding a new feature, test on your own test scripts.
Screenshots of Test Results (if appropriate):
- Pipeline test:
- Your own tests:
Types of changes
- [ ] Fix bugs
- [ ] Add new feature
- [ ] Update documentation