microsoft / microsoft/qlib

An error when I do 30min trade.

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bug
Dominant language
Python
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Description

ValueError: can't find a freq from [Freq(30min)] that can resample to 1min!

code:


###################################
# prediction, backtest & analysis
###################################
port_analysis_config = {
    "executor": {
        "class": "SimulatorExecutor",
        "module_path": "qlib.backtest.executor",
        "kwargs": {
            "time_per_step": "30min",
            "generate_portfolio_metrics": True,
        },
    },
    "strategy": {
        "class": "TopkDropoutStrategy",
        "module_path": "qlib.contrib.strategy.signal_strategy",
        "kwargs": {
            "model": model,
            "dataset": dataset,
            "topk": 10,
            "n_drop": 5,
        },
    },
    "backtest": {
        "start_time": "2024-08-01 00:00:00",
        "end_time": "2024-10-30 23:59:59",
        "account": 10000,
        "benchmark": benchmark,
        "exchange_kwargs": {
            "freq": "30min",
            "limit_threshold": 0.095,
            "deal_price": "close",
            "open_cost": 0.0005,
            "close_cost": 0.0015,
            "min_cost": 5,
        },
    },
}

# backtest and analysis
with R.start(experiment_name="backtest_analysis"):
    recorder = R.get_recorder(recorder_id=rid, experiment_name="train_model")
    model = recorder.load_object("trained_model")

    # prediction
    recorder = R.get_recorder()
    ba_rid = recorder.id
    sr = SignalRecord(model, dataset, recorder)
    sr.generate()

    # backtest & analysis
    par = PortAnaRecord(recorder, port_analysis_config, "day")
    par.generate()

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  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Reproduce the failure with the shown port_analysis_config, then trace how PortAnaRecord and SimulatorExecutor handle the 30min exchange frequency and day analysis. Inspect the resampling path around the reported ValueError; done means the supported behavior or limitation is established and covered by an appropriate regression test or documentation.

Written by the indexing model from the issue text.

Assessment

Tech stack
python
Domain
fintech-quant
Issue type
Bug
Difficulty
3/5
Estimated time
1-2 days
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
32/100

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