Skip to content

Latest commit

 

History

History
283 lines (198 loc) · 8.71 KB

online.rst

File metadata and controls

283 lines (198 loc) · 8.71 KB

Online

.. currentmodule:: qlib

Introduction

Welcome to use Online, this module simulates what will be like if we do the real trading use our model and strategy.

Just like Estimator and other modules in Qlib, you need to determine parameters through the configuration file, and in this module, you need to add an account in a folder to do the simulation. Then in each coming day, this module will use the newest information to do the trade for your account, the performance can be viewed at any time using the API we defined.

Each account will experience the following processes, the ‘pred_date’ represents the date you predict the target positions after trading, also, the ‘trade_date’ is the date you do the trading.

  • Generate the order list (pre_date)
  • Execute the order list (trade_date)
  • Update account (trade_date)

In the meantime, you can just create an account and use this module to test its performance in a period.

  • Simulate (start_date, end_date)

This module need to save your account in a folder, the model and strategy will be saved as pickle files, and the position and report will be saved as excel. The file structure can be viewed at fileStruct.

Example

Let's take an example,

Note

Make sure you have the latest version of qlib installed.

If you want to use the models and data provided by qlib, you only need to do as follows.

Firstly, write a simple configuration file as following,

strategy:
    class: TopkAmountStrategy
    module_path: qlib.contrib.strategy
    args:
        market: csi500
        trade_freq: 5

model:
    class: ScoreFileModel
    module_path: qlib.contrib.online.online_model
    args:
        loss: mse
        model_path: ./model.bin

init_cash: 1000000000

We then can use this command to create a folder and do trading from 2017-01-01 to 2018-08-01.

online simulate -id v-test -config ./config/config.yaml -exchange_config ./config/exchange.yaml -start 2017-01-01 -end 2018-08-01 -path ./user_data/

The start date (2017-01-01) is the add date of the user, which also is the first predict date, and the end date (2018-08-01) is the last trade date. You can use "online generate -date 2018-08-02..." command to continue generate the order_list at next trading date.

If Your account was saved in "./user_data/", you can see the performance of your account compared to a benchmark by

>> online show -id v-test -path ./user_data/ -bench SH000905

...
Result of porfolio:
                                                  risk
excess_return_without_cost mean               0.000605
                           std                0.005481
                           annualized_return  0.152373
                           information_ratio  1.751319
                           max_drawdown      -0.059055
excess_return_with_cost    mean               0.000410
                           std                0.005478
                           annualized_return  0.103265
                           information_ratio  1.187411
                           max_drawdown      -0.075024

Here 'SH000905' represents csi500 and 'SH000300' represents csi300

Manage your account

Any account processed by online should be saved in a folder. you can use commands defined to manage your accounts.

  • add an new account

    This will add an new account with user_id='v-test', add_date='2019-10-15' in ./user_data.

    >> online add_user -id {user_id} -config {config_file} -path {folder_path} -date {add_date}
>> online add_user -id v-test -config config.yaml -path ./user_data/ -date 2019-10-15
  • remove an account
    >> online remove_user -id {user_id} -path {folder_path}
>> online remove_user -id v-test -path ./user_data/
  • show the performance

    Here benchmark indicates the baseline is to be compared with yours.

    >> online show -id {user_id} -path {folder_path} -bench {benchmark}
>> online show -id v-test -path ./user_data/ -bench SH000905

The default value of all the parameter 'date' below is trade date (will be today if today is trading date and information has been updated in qlib).

The 'generate' and 'update' will check whether input date is valid, the following 3 processes should be called at each trading date.

  • generate the order list

    generate the order list at trade date, and save them in {folder_path}/{user_id}/temp/ as a json file.

    >> online generate -date {date} -path {folder_path}
>> online generate -date 2019-10-16 -path ./user_data/
  • execute the order list

    execute the order list and generate the transactions result in {folder_path}/{user_id}/temp/ at trade date

    >> online execute -date {date} -exchange_config {exchange_config_path} -path {folder_path}
>> online execute -date 2019-10-16 -exchange_config ./config/exchange.yaml -path ./user_data/

    A simple exchange config file can be as

    open_cost: 0.003
close_cost: 0.003
limit_threshold: 0.095
deal_price: vwap
  • update accounts

    update accounts in "{folder_path}/" at trade date

    >> online update -date {date} -path {folder_path}
>> online update -date 2019-10-16 -path ./user_data/

API

All those operations are based on defined in qlib.contrib.online.operator

.. automodule:: qlib.contrib.online.operator

File structure

'user_data' indicates the root of folder. Name that bold indicates it’s a folder, otherwise it’s a document.

{user_folder}
│   users.csv: (Init date for each users)
│
└───{user_id1}: (users' sub-folder to save their data)
│   │   position.xlsx
│   │   report.csv
│   │   model_{user_id1}.pickle
│   │   strategy_{user_id1}.pickle
│   │
│   └───score
│   │   └───{YYYY}
│   │       └───{MM}
│   │           │   score_{YYYY-MM-DD}.csv
│   │
│   └───trade
│       └───{YYYY}
│           └───{MM}
│               │   orderlist_{YYYY-MM-DD}.json
│               │   transaction_{YYYY-MM-DD}.csv
│
└───{user_id2}
│   │   position.xlsx
│   │   report.csv
│   │   model_{user_id2}.pickle
│   │   strategy_{user_id2}.pickle
│   │
│   └───score
│   └───trade
....

Configuration file

The configure file used in online should contain the model and strategy information.

About the model

First, your configuration file needs to have a field about the model, this field and its contents determine the model we used when generating score at predict date.

Followings are two examples for ScoreFileModel and a model that read a score file and return score at trade date.

model:
   class: ScoreFileModel
   module_path: qlib.contrib.online.OnlineModel
   args:
       loss: mse
model:
   class: ScoreFileModel
   module_path: qlib.contrib.online.OnlineModel
   args:
       score_path: <your score path>

If your model doesn't belong to above models, you need to coding your model manually. Your model should be a subclass of models defined in 'qlib.contfib.model'. And it must contains 2 methods used in online module.

About the strategy

Your need define the strategy used to generate the order list at predict date.

Followings are two examples for a TopkAmountStrategy

strategy:
    class: TopkDropoutStrategy
    module_path: qlib.contrib.strategy.strategy
    args:
        topk: 100
        n_drop: 10

Generated files

The 'online_generate' command will create the order list at {folder_path}/{user_id}/temp/, the name of that is orderlist_{YYYY-MM-DD}.json, YYYY-MM-DD is the date that those orders to be executed.

The format of json file is like

{
    'sell': {
            {'$stock_id1': '$amount1'},
            {'$stock_id2': '$amount2'}, ...
            },
    'buy': {
            {'$stock_id1': '$amount1'},
            {'$stock_id2': '$amount2'}, ...
            }
}

Then after executing the order list (either by 'online_execute' or other executors), a transaction file will be created also at {folder_path}/{user_id}/temp/.