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IBATS(Integration Backtest Analysis Trade System)的公共模块,所有Feeder, Trader均集成这个模块,并使用其提供的一些公共工具

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IBATSCommon

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IBATS(Integration Backtest Analysis Trade System)的公共模块,所有Feeder, Trader均集成这个模块,并使用其提供的一些公共工具

修改历史:

  • 2021-07-28 v0.20.11

refactor: ffn>=0.3.6 and matplotlib>=3.3.0

  • 2021-07-20 v0.20.9

numpy>=1.20.3

  • 2020-11-15 v0.20.8

add dependency of IBATS-Utils>=1.2.12

  • 2020-11-04 v0.20.7

add lb_test

  • 2020-10-12 v0.20.6

add enable_adf_test param on adf_coint_test add diff_n param on pair_plots

  • 2020-10-11 v0.20.4

feat: add pair plots

  • 2020-10-10 v0.20.3

feat: add adf_coint_test

  • 2020-10-09 v0.20.2

add ts_plot for ACP PACF analysis plot remove diff(1) on add_factor_of_price

  • 2020-10-06 v0.20.0

add factor_analysis with factor_analyzer module add diff factor on get_factor function

  • 2020-09-30 v0.19.7

对非平稳因子,如果sdt<10 使用diff(1) 否则使用 pct_change

  • 2020-09-22 v0.19.6

pct_change 因子中 inf 值转化为当前序列的最大值或最小值(取决于是正无穷,还是负无穷)

  • 2020-09-22 v0.19.6

增加 add_pct_change_columns=True 在 add_factor_of_price,实现对非平稳序列增加相应的 pct_change 列

  • 2020-09-11 v0.18.7

增强 market2 中的成交价格形成机制,支持通过 DealPriceScheme 参数化控制

  • 2020-09-05 v0.18.6

增加 market2.py 市场模拟工具

  • 2020-02-09

remove keras add dependence tensorflow>=2.1.0. keras is replaced by tensorflow.keras

  • 2020-01-29

market2 在 market 基础上进行修改:调整 action 数值,为了更加适应 one_hot 模式,调整 long=0, short=1 close=2, keep=3。
flag转化为 one hot 模式。

  • 2020-01-22

remove " and is_windows_os()" on if condition of plot_or_show function.

  • 在此之前的历史就不记录了

编译命令

python setup.py build bdist_wheel
twine upload dist/*

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