support parallel HF trading

Author: you-n-g

qlib/backtest/exchange.py

@@ -242,6 +242,7 @@ def deal_order(self, order, trade_account=None, position=None):
             raise ValueError("trade_account and position can only choose one")
 
         trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time)
+        # NOTE: order will be changed in this function
         trade_val, trade_cost = self._calc_trade_info_by_order(
             order, trade_account.current if trade_account else position
         )
@@ -256,16 +257,6 @@ def deal_order(self, order, trade_account=None, position=None):
 
         return trade_val, trade_cost, trade_price
 
-    def create_order(self, code, amount, start_time, end_time, direction) -> Order:
-        return Order(
-            stock_id=code,
-            amount=amount,
-            start_time=start_time,
-            end_time=end_time,
-            direction=direction,
-            factor=self.get_factor(code, start_time, end_time),
-        )
-
     def get_quote_info(self, stock_id, start_time, end_time):
         return resam_ts_data(self.quote[stock_id], start_time, end_time, method="last").iloc[0]
 
@@ -471,6 +462,8 @@ def _calc_trade_info_by_order(self, order, position):
         """
         Calculation of trade info
 
+        **NOTE**: Order will be changed in this function
+
         :param order:
         :param position: Position
         :return: trade_val, trade_cost

qlib/backtest/executor.py

@@ -1,7 +1,7 @@
 import copy
 import warnings
 import pandas as pd
-from typing import Union
+from typing import List, Union
 
 from qlib.backtest.report import Indicator
 
@@ -317,6 +317,15 @@ def get_all_executors(self):
 class SimulatorExecutor(BaseExecutor):
     """Executor that simulate the true market"""
 
+    # available trade_types
+    TT_SERIAL = "serial"
+    ## The orders will be executed serially in a sequence
+    # In each trading step, it is possible that users sell instruments first and use the money to buy new instruments
+    TT_PARAL = "parallel"
+    ## The orders will be executed parallelly
+    # In each trading step, if users try to sell instruments first and buy new instruments with money, failure will
+    # occure
+
     def __init__(
         self,
         time_per_step: str,
@@ -328,6 +337,7 @@ def __init__(
         track_data: bool = False,
         trade_exchange: Exchange = None,
         common_infra: CommonInfrastructure = None,
+        trade_type: str = TT_PARAL,
         **kwargs,
     ):
         """
@@ -336,6 +346,8 @@ def __init__(
         trade_exchange : Exchange
             exchange that provides market info, used to deal order and generate report
             - If `trade_exchange` is None, self.trade_exchange will be set with common_infra
+        trade_type: str
+            please refer to the doc of `TT_SERIAL` & `TT_PARAL`
         """
         super(SimulatorExecutor, self).__init__(
             time_per_step=time_per_step,
@@ -351,6 +363,8 @@ def __init__(
         if trade_exchange is not None:
             self.trade_exchange = trade_exchange
 
+        self.trade_type = trade_type
+
     def reset_common_infra(self, common_infra):
         """
         reset infrastructure for trading
@@ -360,14 +374,45 @@ def reset_common_infra(self, common_infra):
         if common_infra.has("trade_exchange"):
             self.trade_exchange = common_infra.get("trade_exchange")
 
+    def _get_order_iterator(self, trade_decision: BaseTradeDecision) -> List[Order]:
+        """
+
+        Parameters
+        ----------
+        trade_decision : BaseTradeDecision
+            the trade decision given by the strategy
+
+        Returns
+        -------
+        List[Order]:
+            get a list orders according to `self.trade_type`
+        """
+        orders = trade_decision.get_decision()
+
+        if self.trade_type == self.TT_SERIAL:
+            # Orders will be traded in a parallel way
+            order_it = orders
+        elif self.trade_type == self.TT_PARAL:
+            # NOTE: !!!!!!!
+            # Assumption: there will not be orders in different trading direction in a single step of a strategy !!!!
+            # The parallel trading failure will be caused only by the confliction of money
+            # Therefore, make the buying go first will make sure the confliction happen.
+            # It equals to parallel trading after sorting the order by direction
+            order_it = sorted(orders, key=lambda order: -order.direction)
+        else:
+            raise NotImplementedError(f"This type of input is not supported")
+        return order_it
+
     def execute(self, trade_decision: BaseTradeDecision):
 
         trade_step = self.trade_calendar.get_trade_step()
         trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
         execute_result = []
-        for order in trade_decision.get_decision():
+
+        for order in self._get_order_iterator(trade_decision):
             if self.trade_exchange.check_order(order) is True:
-                # execute the order
+                # execute the order.
+                # NOTE: The trade_account will be changed in this function
                 trade_val, trade_cost, trade_price = self.trade_exchange.deal_order(
                     order, trade_account=self.trade_account
                 )
@@ -404,6 +449,7 @@ def execute(self, trade_decision: BaseTradeDecision):
                 # do nothing
                 pass
 
+        # Account will not be changed in this function
         self.trade_account.update_bar_end(
             trade_start_time,
             trade_end_time,

qlib/contrib/strategy/rule_strategy.py

@@ -718,8 +718,11 @@ def __init__(self, file: Union[IO, str, Path], index_range: Tuple[int, int] = No
         ----------
         file : Union[IO, str, Path]
             this parameters will specify the info of expected orders
+
             Here is an example of the content
 
+            1) Amount (**adjusted**) based strategy
+
                 datetime,instrument,amount,direction
                 20200102,  SH600519,  1000,     sell
                 20200103,  SH600519,  1000,      buy