Order execution open source #1447
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| div = df["$volume0"].rolling((end_idx - start_idx) * 60).mean().shift(1).groupby(level="date").transform("first") | ||
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| order_all = pd.DataFrame(df.groupby(level=(2, 0)).mean().dropna()) | ||
| order_all["amount"] = np.random.lognormal(-3.28, 1.14) * order_all["$volume0"] |
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Can you explain the magic number -3.28, 1.14?
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@lihuoran Are you going to add the results of PPO? |
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* Waiting for bin data * Complete readme * CI * Add inst filter by time * Update qlib/data/dataset/processor.py * typo * Fix time filter bug * Add Filter and set Universe * Complete data pipeline * Fix Provider Logger Info Args * Add DQN; a minor bugfix in ppo reward. * update readme. modify assertion logic in strategy check. * Fix Doc issues and fix black * Fix pylint Error --------- Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
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* Waiting for bin data * Complete readme * CI * Add inst filter by time * Update qlib/data/dataset/processor.py * typo * Fix time filter bug * Add Filter and set Universe * Complete data pipeline * Fix Provider Logger Info Args * Add DQN; a minor bugfix in ppo reward. * update readme. modify assertion logic in strategy check. * Fix Doc issues and fix black * Fix pylint Error --------- Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
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* Waiting for bin data * Complete readme * CI * Add inst filter by time * Update qlib/data/dataset/processor.py * typo * Fix time filter bug * Add Filter and set Universe * Complete data pipeline * Fix Provider Logger Info Args * Add DQN; a minor bugfix in ppo reward. * update readme. modify assertion logic in strategy check. * Fix Doc issues and fix black * Fix pylint Error --------- Co-authored-by: Young <afe.young@gmail.com> Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
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Description
Motivation and Context
How Has This Been Tested?
pytest qlib/tests/test_all_pipeline.pyunder upper directory ofqlib.Screenshots of Test Results (if appropriate):
Types of changes