simplified code

roboquant/ml/envs.py

@@ -23,18 +23,24 @@
 
 
 class Action2Signals:
+    """Transforms an action into signals"""
 
     def __init__(self, symbols: list[str]):
         self.symbols = symbols
 
+    @staticmethod
+    def __limit(rating):
+        return max(-1.0, min(1.0, float(rating)))
+
     def get_signals(self, action, _):
-        return [Signal(symbol, float(rating)) for symbol, rating in zip(self.symbols, action)]
+        return [Signal(symbol, self.__limit(rating)) for symbol, rating in zip(self.symbols, action)]
 
     def get_action_space(self):
         return spaces.Box(-1.0, 1.0, shape=(len(self.symbols),), dtype=np.float32)
 
 
 class Action2Orders:
+    """Transforms an action into orders"""
 
     def __init__(self, symbols: list[str]):
         self.symbols = symbols
@@ -50,10 +56,10 @@ def _account_rebalance(self, account: Account, new_sizes: dict[str, Decimal]) ->
 
         return orders
 
-    def get_orders(self, action, event: Event, account: Account) -> list[Order]:
+    def get_orders(self, actions, event: Event, account: Account) -> list[Order]:
         new_positions = {}
         equity = account.equity()
-        for symbol, fraction in zip(self.symbols, action):
+        for symbol, fraction in zip(self.symbols, actions):
             price = event.get_price(symbol)
             if price:
                 rel_fraction = fraction / len(self.symbols)

roboquant/timeframe.py

@@ -37,35 +37,25 @@ def empty():
         return Timeframe.fromisoformat("1900-01-01T00:00:00+00:00", "1900-01-01T00:00:00+00:00", False)
 
     @staticmethod
-    def previous(days=0, seconds=0, microseconds=0, milliseconds=0, minutes=0, hours=0, weeks=0, inclusive=False):
-        """Convenient method to create a historic timeframe"""
-
-        td = timedelta(
-            days=days,
-            seconds=seconds,
-            microseconds=microseconds,
-            milliseconds=milliseconds,
-            minutes=minutes,
-            hours=hours,
-            weeks=weeks,
-        )
+    def previous(inclusive=False, **kwargs):
+        """Convenient method to create a historic timeframe, the kwargs arguments will be passed to the timedelta
+
+        timeframe = Timeframe.previous(days=365)
+        """
+
+        td = timedelta(**kwargs)
         end = datetime.now(timezone.utc)
         start = end - td
         return Timeframe(start, end, inclusive)
 
     @staticmethod
-    def next(days=0, seconds=0, microseconds=0, milliseconds=0, minutes=0, hours=0, weeks=0, inclusive=False):
-        """Convenient method to create a future timeframe"""
-
-        td = timedelta(
-            days=days,
-            seconds=seconds,
-            microseconds=microseconds,
-            milliseconds=milliseconds,
-            minutes=minutes,
-            hours=hours,
-            weeks=weeks,
-        )
+    def next(inclusive=False, **kwargs):
+        """Convenient method to create a future timeframe, the kwargs arguments will be passed to the timedelta
+
+        timeframe = Timeframe.next(minutes=30)
+        """
+
+        td = timedelta(**kwargs)
         start = datetime.now(timezone.utc)
         end = start + td
         return Timeframe(start, end, inclusive)
@@ -97,7 +87,7 @@ def annualize(self, rate: float) -> float:
 
     def split(self, n: int | timedelta | Any) -> list["Timeframe"]:
         """Split the timeframe in sequential parts and return the resulting list of timeframes.
-        The parameter `n` can be a number or a timedelta instance or other types like relativedelta that support
+        The parameter `n` can be a number, a timedelta instance or other types like relativedelta that support
         datetime calculations.
         """