Migrate NeuTrader to Qlib RL (#1169)

* Refine previous version RL codes

* Polish utils/__init__.py

* Draft

* Use | instead of Union

* Simulator & action interpreter

* Test passed

* Migrate to SAOEState & new qlib interpreter

* Black format

* . Revert file_storage change

* Refactor file structure & renaming functions

* Enrich test cases

* Add QlibIntradayBacktestData

* Test interpreter

* Black format

* .

.

.

* Rename receive_execute_result()

* Use indicator to simplify state update

* Format code

* Modify data path

* Adjust file structure

* Minor change

* Add copyright message

* Format code

* Rename util functions

* Add CI

* Pylint issue

* Remove useless code to pass pylint

* Pass mypy

* Mypy issue

* mypy issue

* mypy issue

* Revert "mypy issue"

This reverts commit 8eb1b0174e.

* mypy issue

* mypy issue

* Fix the numpy version incompatible bug

* Fix a minor typing issue

* Try to skip python 3.7 test for qlib simulator

* Resolve PR comments by Yuge; solve several CI issues.

* Black issue

* Fix a low-level type error

* Change data name

* Resolve PR comments. Leave TODOs in the code base.

Co-authored-by: Young <afe.young@gmail.com>

qlib/backtest/__init__.py

@@ -42,7 +42,7 @@ def get_exchange(
     close_cost: float = 0.0025,
     min_cost: float = 5.0,
     limit_threshold: Union[Tuple[str, str], float, None] = None,
-    deal_price: Union[str, Tuple[str], List[str]] = None,
+    deal_price: Union[str, Tuple[str, str], List[str]] = None,
     **kwargs: Any,
 ) -> Exchange:
     """get_exchange
@@ -70,10 +70,10 @@ def get_exchange(
     min_cost : float
         min transaction cost.  It is an absolute amount of cost instead of a ratio of your order's deal amount.
         e.g. You must pay at least 5 yuan of commission regardless of your order's deal amount.
-    deal_price: Union[str, Tuple[str], List[str]]
+    deal_price: Union[str, Tuple[str, str], List[str]]
                 The `deal_price` supports following two types of input
                 - <deal_price> : str
-                - (<buy_price>, <sell_price>): Tuple[str] or List[str]
+                - (<buy_price>, <sell_price>): Tuple[str, str] or List[str]
 
                 <deal_price>, <buy_price> or <sell_price> := <price>
                 <price> := str

qlib/backtest/decision.py

@@ -4,10 +4,11 @@
 from __future__ import annotations
 
 from abc import abstractmethod
+from datetime import time
 from enum import IntEnum
 
 # try to fix circular imports when enabling type hints
-from typing import Generic, List, TYPE_CHECKING, Any, ClassVar, Optional, Tuple, TypeVar, Union, cast
+from typing import TYPE_CHECKING, Any, ClassVar, Generic, List, Optional, Tuple, TypeVar, Union, cast
 
 from qlib.backtest.utils import TradeCalendarManager
 from qlib.data.data import Cal
@@ -23,7 +24,6 @@ from dataclasses import dataclass
 import numpy as np
 import pandas as pd
 
-
 DecisionType = TypeVar("DecisionType")
 
 
@@ -182,8 +182,8 @@ class OrderHelper:
         return Order(
             stock_id=code,
             amount=amount,
-            start_time=start_time if start_time is not None else pd.Timestamp(start_time),
-            end_time=end_time if end_time is not None else pd.Timestamp(end_time),
+            start_time=None if start_time is None else pd.Timestamp(start_time),
+            end_time=None if end_time is None else pd.Timestamp(end_time),
             direction=direction,
         )
 
@@ -249,7 +249,7 @@ class IdxTradeRange(TradeRange):
 class TradeRangeByTime(TradeRange):
     """This is a helper function for make decisions"""
 
-    def __init__(self, start_time: str, end_time: str) -> None:
+    def __init__(self, start_time: str | time, end_time: str | time) -> None:
         """
         This is a callable class.
 
@@ -259,13 +259,13 @@ class TradeRangeByTime(TradeRange):
 
         Parameters
         ----------
-        start_time : str
+        start_time : str | time
             e.g. "9:30"
-        end_time : str
+        end_time : str | time
             e.g. "14:30"
         """
-        self.start_time = pd.Timestamp(start_time).time()
-        self.end_time = pd.Timestamp(end_time).time()
+        self.start_time = pd.Timestamp(start_time).time() if isinstance(start_time, str) else start_time
+        self.end_time = pd.Timestamp(end_time).time() if isinstance(end_time, str) else end_time
         assert self.start_time < self.end_time
 
     def __call__(self, trade_calendar: TradeCalendarManager) -> Tuple[int, int]:
@@ -535,7 +535,12 @@ class TradeDecisionWO(BaseTradeDecision[Order]):
     Besides, the time_range is also included.
     """
 
-    def __init__(self, order_list: List[object], strategy: BaseStrategy, trade_range: Tuple[int, int] = None) -> None:
+    def __init__(
+        self,
+        order_list: List[Order],
+        strategy: BaseStrategy,
+        trade_range: Union[Tuple[int, int], TradeRange] = None,
+    ) -> None:
         super().__init__(strategy, trade_range=trade_range)
         self.order_list = cast(List[Order], order_list)
         start, end = strategy.trade_calendar.get_step_time()

qlib/backtest/exchange.py

@@ -32,7 +32,7 @@ class Exchange:
         start_time: Union[pd.Timestamp, str] = None,
         end_time: Union[pd.Timestamp, str] = None,
         codes: Union[list, str] = "all",
-        deal_price: Union[str, Tuple[str], List[str]] = None,
+        deal_price: Union[str, Tuple[str, str], List[str]] = None,
         subscribe_fields: list = [],
         limit_threshold: Union[Tuple[str, str], float, None] = None,
         volume_threshold: Union[tuple, dict] = None,
@@ -448,9 +448,9 @@ class Exchange:
         start_time: pd.Timestamp,
         end_time: pd.Timestamp,
         method: Optional[str] = "sum",
-    ) -> float:
+    ) -> Union[None, int, float, bool, IndexData]:
         """get the total deal volume of stock with `stock_id` between the time interval [start_time, end_time)"""
-        return cast(float, self.quote.get_data(stock_id, start_time, end_time, field="$volume", method=method))
+        return self.quote.get_data(stock_id, start_time, end_time, field="$volume", method=method)
 
     def get_deal_price(
         self,
@@ -459,7 +459,7 @@ class Exchange:
         end_time: pd.Timestamp,
         direction: OrderDir,
         method: Optional[str] = "ts_data_last",
-    ) -> float:
+    ) -> Union[None, int, float, bool, IndexData]:
         if direction == OrderDir.SELL:
             pstr = self.sell_price
         elif direction == OrderDir.BUY:
@@ -472,7 +472,7 @@ class Exchange:
             self.logger.warning(f"(stock_id:{stock_id}, trade_time:{(start_time, end_time)}, {pstr}): {deal_price}!!!")
             self.logger.warning(f"setting deal_price to close price")
             deal_price = self.get_close(stock_id, start_time, end_time, method)
-        return cast(float, deal_price)
+        return deal_price
 
     def get_factor(
         self,
@@ -832,8 +832,11 @@ class Exchange:
         :param dealt_order_amount: the dealt order amount dict with the format of {stock_id: float}
         :return: trade_price, trade_val, trade_cost
         """
-        trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time, direction=order.direction)
-        total_trade_val = self.get_volume(order.stock_id, order.start_time, order.end_time) * trade_price
+        trade_price = cast(
+            float,
+            self.get_deal_price(order.stock_id, order.start_time, order.end_time, direction=order.direction),
+        )
+        total_trade_val = cast(float, self.get_volume(order.stock_id, order.start_time, order.end_time)) * trade_price
         order.factor = self.get_factor(order.stock_id, order.start_time, order.end_time)
         order.deal_amount = order.amount  # set to full amount and clip it step by step
         # Clipping amount first

qlib/backtest/executor.py

@@ -484,6 +484,7 @@ class NestedExecutor(BaseExecutor):
         inner_exe_res :
             the execution result of inner task
         """
+        self.inner_strategy.post_exe_step(inner_exe_res)
 
     def get_all_executors(self) -> List[BaseExecutor]:
         """get all executors, including self and inner_executor.get_all_executors()"""

qlib/data/storage/file_storage.py

@@ -102,11 +102,22 @@ class FileCalendarStorage(FileStorageMixin, CalendarStorage):
             self._freq_file_cache = freq
         return self._freq_file_cache
 
-    def _read_calendar(self, skip_rows: int = 0, n_rows: int = None) -> List[CalVT]:
+    def _read_calendar(self) -> List[CalVT]:
+        # NOTE:
+        # if we want to accelerate partial reading calendar
+        # we can add parameters like `skip_rows: int = 0, n_rows: int = None` to the interface.
+        # Currently, it is not supported for the txt-based calendar
+
         if not self.uri.exists():
             self._write_calendar(values=[])
-        with self.uri.open("rb") as fp:
-            return [str(x) for x in np.loadtxt(fp, str, skiprows=skip_rows, max_rows=n_rows, encoding="utf-8")]
+
+        with self.uri.open("r") as fp:
+            res = []
+            for line in fp.readlines():
+                line = line.strip()
+                if len(line) > 0:
+                    res.append(line)
+            return res
 
     def _write_calendar(self, values: Iterable[CalVT], mode: str = "wb"):
         with self.uri.open(mode=mode) as fp:

qlib/rl/aux_info.py

@@ -3,7 +3,7 @@
 
 from __future__ import annotations
 
-from typing import Generic, TYPE_CHECKING, TypeVar
+from typing import Optional, TYPE_CHECKING, Generic, TypeVar
 
 from qlib.typehint import final
 
@@ -21,7 +21,7 @@ AuxInfoType = TypeVar("AuxInfoType")
 class AuxiliaryInfoCollector(Generic[StateType, AuxInfoType]):
     """Override this class to collect customized auxiliary information from environment."""
 
-    env: EnvWrapper | None = None
+    env: Optional[EnvWrapper] = None
 
     @final
     def __call__(self, simulator_state: StateType) -> AuxInfoType:

qlib/rl/data/exchange_wrapper.py

@@ -0,0 +1,58 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+from typing import cast
+
+import pandas as pd
+
+from qlib.backtest import Exchange, Order
+from .pickle_styled import IntradayBacktestData
+
+
+class QlibIntradayBacktestData(IntradayBacktestData):
+    """Backtest data for Qlib simulator"""
+
+    def __init__(self, order: Order, exchange: Exchange, start_time: pd.Timestamp, end_time: pd.Timestamp) -> None:
+        super(QlibIntradayBacktestData, self).__init__()
+        self._order = order
+        self._exchange = exchange
+        self._start_time = start_time
+        self._end_time = end_time
+
+        self._deal_price = cast(
+            pd.Series,
+            self._exchange.get_deal_price(
+                self._order.stock_id,
+                self._start_time,
+                self._end_time,
+                direction=self._order.direction,
+                method=None,
+            ),
+        )
+        self._volume = cast(
+            pd.Series,
+            self._exchange.get_volume(
+                self._order.stock_id,
+                self._start_time,
+                self._end_time,
+                method=None,
+            ),
+        )
+
+    def __repr__(self) -> str:
+        return (
+            f"Order: {self._order}, Exchange: {self._exchange}, "
+            f"Start time: {self._start_time}, End time: {self._end_time}"
+        )
+
+    def __len__(self) -> int:
+        return len(self._deal_price)
+
+    def get_deal_price(self) -> pd.Series:
+        return self._deal_price
+
+    def get_volume(self) -> pd.Series:
+        return self._volume
+
+    def get_time_index(self) -> pd.DatetimeIndex:
+        return pd.DatetimeIndex([e[1] for e in list(self._exchange.quote_df.index)])

qlib/rl/data/pickle_styled.py

@@ -19,19 +19,19 @@ This file shows resemblence to qlib.backtest.high_performance_ds. We might merge
 
 from __future__ import annotations
 
+from abc import abstractmethod
 from functools import lru_cache
-from typing import List, Sequence, cast
 from pathlib import Path
+from typing import List, Sequence, cast
 
 import cachetools
 import numpy as np
 import pandas as pd
 from cachetools.keys import hashkey
 
-from qlib.backtest.decision import OrderDir, Order
+from qlib.backtest.decision import Order, OrderDir
 from qlib.typehint import Literal
 
-
 DealPriceType = Literal["bid_or_ask", "bid_or_ask_fill", "close"]
 """Several ad-hoc deal price.
 ``bid_or_ask``: If sell, use column ``$bid0``; if buy, use column ``$ask0``.
@@ -40,7 +40,7 @@ DealPriceType = Literal["bid_or_ask", "bid_or_ask_fill", "close"]
 """
 
 
-def _infer_processed_data_column_names(shape: int) -> list[str]:
+def _infer_processed_data_column_names(shape: int) -> List[str]:
     if shape == 16:
         return [
             "$open",
@@ -87,7 +87,36 @@ def _read_pickle(filename_without_suffix: Path) -> pd.DataFrame:
 
 
 class IntradayBacktestData:
-    """Raw market data that is often used in backtesting (thus called BacktestData)."""
+    """
+    Raw market data that is often used in backtesting (thus called BacktestData).
+
+    Base class for all types of backtest data. Currently, each type of simulator has its corresponding backtest
+    data type.
+    """
+
+    @abstractmethod
+    def __repr__(self) -> str:
+        raise NotImplementedError
+
+    @abstractmethod
+    def __len__(self) -> int:
+        raise NotImplementedError
+
+    @abstractmethod
+    def get_deal_price(self) -> pd.Series:
+        raise NotImplementedError
+
+    @abstractmethod
+    def get_volume(self) -> pd.Series:
+        raise NotImplementedError
+
+    @abstractmethod
+    def get_time_index(self) -> pd.DatetimeIndex:
+        raise NotImplementedError
+
+
+class SimpleIntradayBacktestData(IntradayBacktestData):
+    """Backtest data for simple simulator"""
 
     def __init__(
         self,
@@ -95,8 +124,10 @@ class IntradayBacktestData:
         stock_id: str,
         date: pd.Timestamp,
         deal_price: DealPriceType = "close",
-        order_dir: int | None = None,
-    ):
+        order_dir: int = None,
+    ) -> None:
+        super(SimpleIntradayBacktestData, self).__init__()
+
         backtest = _read_pickle(data_dir / stock_id)
         backtest = backtest.loc[pd.IndexSlice[stock_id, :, date]]
 
@@ -105,13 +136,13 @@ class IntradayBacktestData:
 
         self.data: pd.DataFrame = backtest
         self.deal_price_type: DealPriceType = deal_price
-        self.order_dir: int | None = order_dir
+        self.order_dir = order_dir
 
-    def __repr__(self):
+    def __repr__(self) -> str:
         with pd.option_context("memory_usage", False, "display.max_info_columns", 1, "display.large_repr", "info"):
             return f"{self.__class__.__name__}({self.data})"
 
-    def __len__(self):
+    def __len__(self) -> int:
         return len(self.data)
 
     def get_deal_price(self) -> pd.Series:
@@ -162,7 +193,14 @@ class IntradayProcessedData:
     """Processed data for "yesterday".
     Number of records must be ``time_length``, and columns must be ``feature_dim``."""
 
-    def __init__(self, data_dir: Path, stock_id: str, date: pd.Timestamp, feature_dim: int, time_index: pd.Index):
+    def __init__(
+        self,
+        data_dir: Path,
+        stock_id: str,
+        date: pd.Timestamp,
+        feature_dim: int,
+        time_index: pd.Index,
+    ) -> None:
         proc = _read_pickle(data_dir / stock_id)
         # We have to infer the names here because,
         # unfortunately they are not included in the original data.
@@ -190,16 +228,20 @@ class IntradayProcessedData:
         assert len(self.today.columns) == len(self.yesterday.columns) == feature_dim
         assert len(self.today) == len(self.yesterday) == time_length
 
-    def __repr__(self):
+    def __repr__(self) -> str:
         with pd.option_context("memory_usage", False, "display.max_info_columns", 1, "display.large_repr", "info"):
             return f"{self.__class__.__name__}({self.today}, {self.yesterday})"
 
 
 @lru_cache(maxsize=100)  # 100 * 50K = 5MB
-def load_intraday_backtest_data(
-    data_dir: Path, stock_id: str, date: pd.Timestamp, deal_price: DealPriceType = "close", order_dir: int | None = None
-) -> IntradayBacktestData:
-    return IntradayBacktestData(data_dir, stock_id, date, deal_price, order_dir)
+def load_simple_intraday_backtest_data(
+    data_dir: Path,
+    stock_id: str,
+    date: pd.Timestamp,
+    deal_price: DealPriceType = "close",
+    order_dir: int = None,
+) -> SimpleIntradayBacktestData:
+    return SimpleIntradayBacktestData(data_dir, stock_id, date, deal_price, order_dir)
 
 
 @cachetools.cached(  # type: ignore
@@ -207,13 +249,19 @@ def load_intraday_backtest_data(
     key=lambda data_dir, stock_id, date, _, __: hashkey(data_dir, stock_id, date),
 )
 def load_intraday_processed_data(
-    data_dir: Path, stock_id: str, date: pd.Timestamp, feature_dim: int, time_index: pd.Index
+    data_dir: Path,
+    stock_id: str,
+    date: pd.Timestamp,
+    feature_dim: int,
+    time_index: pd.Index,
 ) -> IntradayProcessedData:
     return IntradayProcessedData(data_dir, stock_id, date, feature_dim, time_index)
 
 
 def load_orders(
-    order_path: Path, start_time: pd.Timestamp | None = None, end_time: pd.Timestamp | None = None
+    order_path: Path,
+    start_time: pd.Timestamp = None,
+    end_time: pd.Timestamp = None,
 ) -> Sequence[Order]:
     """Load orders, and set start time and end time for the orders."""
 
@@ -251,7 +299,7 @@ def load_orders(
                 OrderDir(int(row["order_type"])),
                 row["datetime"].replace(hour=start_time.hour, minute=start_time.minute, second=start_time.second),
                 row["datetime"].replace(hour=end_time.hour, minute=end_time.minute, second=end_time.second),
-            )
+            ),
         )
 
     return orders

qlib/rl/from_neutrader/__init__.py

@@ -0,0 +1,4 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+# TODO: find a better way to organize contents under this module.

qlib/rl/from_neutrader/config.py

@@ -0,0 +1,20 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+from dataclasses import dataclass
+from pathlib import Path
+from typing import Optional, Tuple, Union
+
+
+# TODO: In the future we should merge the dataclass-based config with Qlib's dict-based config.
+@dataclass
+class ExchangeConfig:
+    limit_threshold: Union[float, Tuple[str, str]]
+    deal_price: Union[str, Tuple[str, str]]
+    volume_threshold: dict
+    open_cost: float = 0.0005
+    close_cost: float = 0.0015
+    min_cost: float = 5.0
+    trade_unit: Optional[float] = 100.0
+    cash_limit: Optional[Union[Path, float]] = None
+    generate_report: bool = False

qlib/rl/from_neutrader/feature.py

@@ -0,0 +1,109 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+import collections
+from typing import List, Optional
+
+import pandas as pd
+
+import qlib
+from qlib.config import REG_CN
+from qlib.contrib.ops.high_freq import BFillNan, Cut, Date, DayCumsum, DayLast, FFillNan, IsInf, IsNull, Select
+from qlib.data.dataset import DatasetH
+
+
+class LRUCache:
+    def __init__(self, pool_size: int = 200):
+        self.pool_size = pool_size
+        self.contents: dict = {}
+        self.keys: collections.deque = collections.deque()
+
+    def put(self, key, item):
+        if self.has(key):
+            self.keys.remove(key)
+        self.keys.append(key)
+        self.contents[key] = item
+        while len(self.contents) > self.pool_size:
+            self.contents.pop(self.keys.popleft())
+
+    def get(self, key):
+        return self.contents[key]
+
+    def has(self, key):
+        return key in self.contents
+
+
+class DataWrapper:
+    def __init__(
+        self,
+        feature_dataset: DatasetH,
+        backtest_dataset: DatasetH,
+        columns_today: List[str],
+        columns_yesterday: List[str],
+        _internal: bool = False,
+    ):
+        assert _internal, "Init function of data wrapper is for internal use only."
+
+        self.feature_dataset = feature_dataset
+        self.backtest_dataset = backtest_dataset
+        self.columns_today = columns_today
+        self.columns_yesterday = columns_yesterday
+
+        # TODO: We might have the chance to merge them.
+        self.feature_cache = LRUCache()
+        self.backtest_cache = LRUCache()
+
+    def get(self, stock_id: str, date: pd.Timestamp, backtest: bool = False) -> pd.DataFrame:
+        start_time, end_time = date.replace(hour=0, minute=0, second=0), date.replace(hour=23, minute=59, second=59)
+
+        if backtest:
+            dataset = self.backtest_dataset
+            cache = self.backtest_cache
+        else:
+            dataset = self.feature_dataset
+            cache = self.feature_cache
+
+        if cache.has((start_time, end_time, stock_id)):
+            return cache.get((start_time, end_time, stock_id))
+        data = dataset.handler.fetch(pd.IndexSlice[stock_id, start_time:end_time], level=None)
+        cache.put((start_time, end_time, stock_id), data)
+        return data
+
+
+def init_qlib(config: dict, part: Optional[str] = None) -> None:
+    provider_uri_map = {
+        "day": config["provider_uri_day"].as_posix(),
+        "1min": config["provider_uri_1min"].as_posix(),
+    }
+    qlib.init(
+        region=REG_CN,
+        auto_mount=False,
+        custom_ops=[DayLast, FFillNan, BFillNan, Date, Select, IsNull, IsInf, Cut, DayCumsum],
+        expression_cache=None,
+        calendar_provider={
+            "class": "LocalCalendarProvider",
+            "module_path": "qlib.data.data",
+            "kwargs": {
+                "backend": {
+                    "class": "FileCalendarStorage",
+                    "module_path": "qlib.data.storage.file_storage",
+                    "kwargs": {"provider_uri_map": provider_uri_map},
+                },
+            },
+        },
+        feature_provider={
+            "class": "LocalFeatureProvider",
+            "module_path": "qlib.data.data",
+            "kwargs": {
+                "backend": {
+                    "class": "FileFeatureStorage",
+                    "module_path": "qlib.data.storage.file_storage",
+                    "kwargs": {"provider_uri_map": provider_uri_map},
+                },
+            },
+        },
+        provider_uri=provider_uri_map,
+        kernels=1,
+        redis_port=-1,
+        clear_mem_cache=False,  # init_qlib will be called for multiple times. Keep the cache for improving performance
+    )

qlib/rl/interpreter.py

@@ -3,13 +3,13 @@
 
 from __future__ import annotations
 
-from typing import TYPE_CHECKING, TypeVar, Generic, Any
+from typing import TYPE_CHECKING, Any, Generic, Optional, TypeVar
 
 import numpy as np
 
 from qlib.typehint import final
 
-from .simulator import StateType, ActType
+from .simulator import ActType, StateType
 
 if TYPE_CHECKING:
     from .utils.env_wrapper import EnvWrapper
@@ -40,7 +40,7 @@ class Interpreter:
 class StateInterpreter(Generic[StateType, ObsType], Interpreter):
     """State Interpreter that interpret execution result of qlib executor into rl env state"""
 
-    env: EnvWrapper | None = None
+    env: Optional[EnvWrapper] = None
 
     @property
     def observation_space(self) -> gym.Space:
@@ -74,7 +74,7 @@ class StateInterpreter(Generic[StateType, ObsType], Interpreter):
 class ActionInterpreter(Generic[StateType, PolicyActType, ActType], Interpreter):
     """Action Interpreter that interpret rl agent action into qlib orders"""
 
-    env: "EnvWrapper" | None = None
+    env: Optional[EnvWrapper] = None
 
     @property
     def action_space(self) -> gym.Space:
@@ -141,10 +141,10 @@ def _gym_space_contains(space: gym.Space, x: Any) -> None:
 
 
 class GymSpaceValidationError(Exception):
-    def __init__(self, message: str, space: gym.Space, x: Any):
+    def __init__(self, message: str, space: gym.Space, x: Any) -> None:
         self.message = message
         self.space = space
         self.x = x
 
-    def __str__(self):
+    def __str__(self) -> str:
         return f"{self.message}\n  Space: {self.space}\n  Sample: {self.x}"

qlib/rl/order_execution/interpreter.py

@@ -5,15 +5,15 @@ from __future__ import annotations
 
 import math
 from pathlib import Path
-from typing import Any, cast
+from typing import Any, List, cast
 
 import numpy as np
 import pandas as pd
 from gym import spaces
 
 from qlib.constant import EPS
-from qlib.rl.interpreter import StateInterpreter, ActionInterpreter
 from qlib.rl.data import pickle_styled
+from qlib.rl.interpreter import ActionInterpreter, StateInterpreter
 from qlib.typehint import TypedDict
 
 from .simulator_simple import SAOEState
@@ -99,18 +99,18 @@ class FullHistoryStateInterpreter(StateInterpreter[SAOEState, FullHistoryObs]):
                     "data_processed": self._mask_future_info(processed.today, state.cur_time),
                     "data_processed_prev": processed.yesterday,
                     "acquiring": state.order.direction == state.order.BUY,
-                    "cur_tick": min(np.sum(state.ticks_index < state.cur_time), self.data_ticks - 1),
+                    "cur_tick": min(int(np.sum(state.ticks_index < state.cur_time)), self.data_ticks - 1),
                     "cur_step": min(self.env.status["cur_step"], self.max_step - 1),
                     "num_step": self.max_step,
                     "target": state.order.amount,
                     "position": state.position,
                     "position_history": position_history[: self.max_step],
-                }
+                },
             ),
         )
 
     @property
-    def observation_space(self):
+    def observation_space(self) -> spaces.Dict:
         space = {
             "data_processed": spaces.Box(-np.inf, np.inf, shape=(self.data_ticks, self.data_dim)),
             "data_processed_prev": spaces.Box(-np.inf, np.inf, shape=(self.data_ticks, self.data_dim)),
@@ -147,11 +147,11 @@ class CurrentStepStateInterpreter(StateInterpreter[SAOEState, CurrentStateObs]):
     The key list is not full. You can add more if more information is needed by your policy.
     """
 
-    def __init__(self, max_step: int):
+    def __init__(self, max_step: int) -> None:
         self.max_step = max_step
 
     @property
-    def observation_space(self):
+    def observation_space(self) -> spaces.Dict:
         space = {
             "acquiring": spaces.Discrete(2),
             "cur_step": spaces.Box(0, self.max_step - 1, shape=(), dtype=np.int32),
@@ -165,13 +165,11 @@ class CurrentStepStateInterpreter(StateInterpreter[SAOEState, CurrentStateObs]):
         assert self.env is not None
         assert self.env.status["cur_step"] <= self.max_step
         obs = CurrentStateObs(
-            {
-                "acquiring": state.order.direction == state.order.BUY,
-                "cur_step": self.env.status["cur_step"],
-                "num_step": self.max_step,
-                "target": state.order.amount,
-                "position": state.position,
-            }
+            acquiring=state.order.direction == state.order.BUY,
+            cur_step=self.env.status["cur_step"],
+            num_step=self.max_step,
+            target=state.order.amount,
+            position=state.position,
         )
         return obs
 
@@ -188,7 +186,7 @@ class CategoricalActionInterpreter(ActionInterpreter[SAOEState, int, float]):
         i.e., $[0, 1/n, 2/n, \\ldots, n/n]$.
     """
 
-    def __init__(self, values: int | list[float]):
+    def __init__(self, values: int | List[float]) -> None:
         if isinstance(values, int):
             values = [i / values for i in range(0, values + 1)]
         self.action_values = values
@@ -203,7 +201,7 @@ class CategoricalActionInterpreter(ActionInterpreter[SAOEState, int, float]):
 
 
 class TwapRelativeActionInterpreter(ActionInterpreter[SAOEState, float, float]):
-    """Convert a continous ratio to deal amount.
+    """Convert a continuous ratio to deal amount.
 
     The ratio is relative to TWAP on the remainder of the day.
     For example, there are 5 steps left, and the left position is 300.

qlib/rl/order_execution/network.py

@@ -3,13 +3,14 @@
 
 from __future__ import annotations
 
-from typing import cast
+from typing import List, Tuple, cast
 
 import torch
 import torch.nn as nn
 from tianshou.data import Batch
 
 from qlib.typehint import Literal
+
 from .interpreter import FullHistoryObs
 
 __all__ = ["Recurrent"]
@@ -18,7 +19,7 @@ __all__ = ["Recurrent"]
 class Recurrent(nn.Module):
     """The network architecture proposed in `OPD <https://seqml.github.io/opd/opd_aaai21_supplement.pdf>`_.
 
-    At every timestep the input of policy network is divided into two parts,
+    At every time step the input of policy network is divided into two parts,
     the public variables and the private variables. which are handled by ``raw_rnn``
     and ``pri_rnn`` in this network, respectively.
 
@@ -33,7 +34,7 @@ class Recurrent(nn.Module):
         output_dim: int = 32,
         rnn_type: Literal["rnn", "lstm", "gru"] = "gru",
         rnn_num_layers: int = 1,
-    ):
+    ) -> None:
         super().__init__()
 
         self.hidden_dim = hidden_dim
@@ -62,10 +63,10 @@ class Recurrent(nn.Module):
             nn.ReLU(),
         )
 
-    def _init_extra_branches(self):
+    def _init_extra_branches(self) -> None:
         pass
 
-    def _source_features(self, obs: FullHistoryObs, device: torch.device) -> tuple[list[torch.Tensor], torch.Tensor]:
+    def _source_features(self, obs: FullHistoryObs, device: torch.device) -> Tuple[List[torch.Tensor], torch.Tensor]:
         bs, _, data_dim = obs["data_processed"].size()
         data = torch.cat((torch.zeros(bs, 1, data_dim, device=device), obs["data_processed"]), 1)
         cur_step = obs["cur_step"].long()

qlib/rl/order_execution/policy.py

@@ -1,16 +1,17 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
+from __future__ import annotations
 
 from pathlib import Path
-from typing import Optional, cast
+from typing import Any, Dict, Generator, Iterable, Optional, Tuple, cast
 
-import numpy as np
 import gym
+import numpy as np
 import torch
 import torch.nn as nn
 from gym.spaces import Discrete
-from tianshou.data import Batch, to_torch
-from tianshou.policy import PPOPolicy, BasePolicy
+from tianshou.data import Batch, ReplayBuffer, to_torch
+from tianshou.policy import BasePolicy, PPOPolicy
 
 __all__ = ["AllOne", "PPO"]
 
@@ -18,29 +19,39 @@ __all__ = ["AllOne", "PPO"]
 # baselines #
 
 
-class NonlearnablePolicy(BasePolicy):
+class NonLearnablePolicy(BasePolicy):
     """Tianshou's BasePolicy with empty ``learn`` and ``process_fn``.
 
     This could be moved outside in future.
     """
 
-    def __init__(self, obs_space: gym.Space, action_space: gym.Space):
+    def __init__(self, obs_space: gym.Space, action_space: gym.Space) -> None:
         super().__init__()
 
-    def learn(self, batch, batch_size, repeat):
+    def learn(self, batch: Batch, **kwargs: Any) -> Dict[str, Any]:
         pass
 
-    def process_fn(self, batch, buffer, indice):
+    def process_fn(
+        self,
+        batch: Batch,
+        buffer: ReplayBuffer,
+        indices: np.ndarray,
+    ) -> Batch:
         pass
 
 
-class AllOne(NonlearnablePolicy):
+class AllOne(NonLearnablePolicy):
     """Forward returns a batch full of 1.
 
     Useful when implementing some baselines (e.g., TWAP).
     """
 
-    def forward(self, batch, state=None, **kwargs):
+    def forward(
+        self,
+        batch: Batch,
+        state: dict | Batch | np.ndarray = None,
+        **kwargs: Any,
+    ) -> Batch:
         return Batch(act=np.full(len(batch), 1.0), state=state)
 
 
@@ -48,24 +59,34 @@ class AllOne(NonlearnablePolicy):
 
 
 class PPOActor(nn.Module):
-    def __init__(self, extractor: nn.Module, action_dim: int):
+    def __init__(self, extractor: nn.Module, action_dim: int) -> None:
         super().__init__()
         self.extractor = extractor
         self.layer_out = nn.Sequential(nn.Linear(cast(int, extractor.output_dim), action_dim), nn.Softmax(dim=-1))
 
-    def forward(self, obs, state=None, info={}):
+    def forward(
+        self,
+        obs: torch.Tensor,
+        state: torch.Tensor = None,
+        info: dict = {},
+    ) -> Tuple[torch.Tensor, Optional[torch.Tensor]]:
         feature = self.extractor(to_torch(obs, device=auto_device(self)))
         out = self.layer_out(feature)
         return out, state
 
 
 class PPOCritic(nn.Module):
-    def __init__(self, extractor: nn.Module):
+    def __init__(self, extractor: nn.Module) -> None:
         super().__init__()
         self.extractor = extractor
         self.value_out = nn.Linear(cast(int, extractor.output_dim), 1)
 
-    def forward(self, obs, state=None, info={}):
+    def forward(
+        self,
+        obs: torch.Tensor,
+        state: torch.Tensor = None,
+        info: dict = {},
+    ) -> torch.Tensor:
         feature = self.extractor(to_torch(obs, device=auto_device(self)))
         return self.value_out(feature).squeeze(dim=-1)
 
@@ -93,18 +114,20 @@ class PPO(PPOPolicy):
         max_grad_norm: float = 100.0,
         reward_normalization: bool = True,
         eps_clip: float = 0.3,
-        value_clip: float = True,
+        value_clip: bool = True,
         vf_coef: float = 1.0,
         gae_lambda: float = 1.0,
-        max_batchsize: int = 256,
+        max_batch_size: int = 256,
         deterministic_eval: bool = True,
         weight_file: Optional[Path] = None,
-    ):
+    ) -> None:
         assert isinstance(action_space, Discrete)
         actor = PPOActor(network, action_space.n)
         critic = PPOCritic(network)
         optimizer = torch.optim.Adam(
-            chain_dedup(actor.parameters(), critic.parameters()), lr=lr, weight_decay=weight_decay
+            chain_dedup(actor.parameters(), critic.parameters()),
+            lr=lr,
+            weight_decay=weight_decay,
         )
         super().__init__(
             actor,
@@ -118,7 +141,7 @@ class PPO(PPOPolicy):
             value_clip=value_clip,
             vf_coef=vf_coef,
             gae_lambda=gae_lambda,
-            max_batchsize=max_batchsize,
+            max_batchsize=max_batch_size,
             deterministic_eval=deterministic_eval,
             observation_space=obs_space,
             action_space=action_space,
@@ -136,7 +159,7 @@ def auto_device(module: nn.Module) -> torch.device:
     return torch.device("cpu")  # fallback to cpu
 
 
-def load_weight(policy, path):
+def load_weight(policy: nn.Module, path: Path) -> None:
     assert isinstance(policy, nn.Module), "Policy has to be an nn.Module to load weight."
     loaded_weight = torch.load(path, map_location="cpu")
     try:
@@ -149,7 +172,7 @@ def load_weight(policy, path):
         policy.load_state_dict(loaded_weight)
 
 
-def chain_dedup(*iterables):
+def chain_dedup(*iterables: Iterable) -> Generator[Any, None, None]:
     seen = set()
     for iterable in iterables:
         for i in iterable:

qlib/rl/order_execution/reward.py

@@ -6,9 +6,10 @@ from __future__ import annotations
 from typing import cast
 
 import numpy as np
+
 from qlib.rl.reward import Reward
 
-from .simulator_simple import SAOEState, SAOEMetrics
+from .simulator_simple import SAOEMetrics, SAOEState
 
 __all__ = ["PAPenaltyReward"]
 

qlib/rl/order_execution/simulator_qlib.py

@@ -1,4 +1,424 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 
-"""Placeholder for qlib-based simulator."""
+from __future__ import annotations
+
+from typing import Any, Callable, cast, Generator, List, Optional, Tuple
+
+import numpy as np
+import pandas as pd
+
+from qlib.backtest.decision import BaseTradeDecision, Order, OrderHelper, TradeDecisionWO, TradeRange, TradeRangeByTime
+from qlib.backtest.executor import BaseExecutor, NestedExecutor
+from qlib.backtest.utils import CommonInfrastructure
+from qlib.constant import EPS
+from qlib.rl.data.exchange_wrapper import QlibIntradayBacktestData
+from qlib.rl.from_neutrader.config import ExchangeConfig
+from qlib.rl.from_neutrader.feature import init_qlib
+from qlib.rl.order_execution.simulator_simple import SAOEMetrics, SAOEState
+from qlib.rl.order_execution.utils import (
+    dataframe_append,
+    get_common_infra,
+    get_portfolio_and_indicator,
+    get_ticks_slice,
+    price_advantage,
+)
+from qlib.rl.simulator import Simulator
+from qlib.strategy.base import BaseStrategy
+
+
+class DecomposedStrategy(BaseStrategy):
+    def __init__(self) -> None:
+        super().__init__()
+
+        self.execute_order: Optional[Order] = None
+        self.execute_result: List[Tuple[Order, float, float, float]] = []
+
+    def generate_trade_decision(self, execute_result: list = None) -> Generator[Any, Any, BaseTradeDecision]:
+        # Once the following line is executed, this DecomposedStrategy (self) will be yielded to the outside
+        # of the entire executor, and the execution will be suspended. When the execution is resumed by `send()`,
+        # the sent item will be captured by `exec_vol`. The outside policy could communicate with the inner
+        # level strategy through this way.
+        exec_vol = yield self
+
+        oh = self.trade_exchange.get_order_helper()
+        order = oh.create(self._order.stock_id, exec_vol, self._order.direction)
+
+        self.execute_order = order
+
+        return TradeDecisionWO([order], self)
+
+    def alter_outer_trade_decision(self, outer_trade_decision: BaseTradeDecision) -> BaseTradeDecision:
+        return outer_trade_decision
+
+    def post_exe_step(self, execute_result: list) -> None:
+        self.execute_result = execute_result
+
+    def reset(self, outer_trade_decision: TradeDecisionWO = None, **kwargs: Any) -> None:
+        super().reset(outer_trade_decision=outer_trade_decision, **kwargs)
+        if outer_trade_decision is not None:
+            order_list = outer_trade_decision.order_list
+            assert len(order_list) == 1
+            self._order = order_list[0]
+
+
+class SingleOrderStrategy(BaseStrategy):
+    # this logic is copied from FileOrderStrategy
+    def __init__(
+        self,
+        common_infra: CommonInfrastructure,
+        order: Order,
+        trade_range: TradeRange,
+        instrument: str,
+    ) -> None:
+        super().__init__(common_infra=common_infra)
+        self._order = order
+        self._trade_range = trade_range
+        self._instrument = instrument
+
+    def alter_outer_trade_decision(self, outer_trade_decision: BaseTradeDecision) -> BaseTradeDecision:
+        return outer_trade_decision
+
+    def generate_trade_decision(self, execute_result: list = None) -> TradeDecisionWO:
+        oh: OrderHelper = self.common_infra.get("trade_exchange").get_order_helper()
+        order_list = [
+            oh.create(
+                code=self._instrument,
+                amount=self._order.amount,
+                direction=self._order.direction,
+            ),
+        ]
+        return TradeDecisionWO(order_list, self, self._trade_range)
+
+
+# TODO: move these to the configuration files
+FINEST_GRANULARITY = "1min"
+COARSEST_GRANULARITY = "1day"
+
+
+class StateMaintainer:
+    """
+    Maintain states of the environment.
+
+    Example usage::
+
+        maintainer = StateMaintainer(...)  # in reset
+        maintainer.update(...)  # in step
+        # get states in get_state from maintainer
+    """
+
+    def __init__(self, order: Order, time_per_step: str, tick_index: pd.DatetimeIndex, twap_price: float) -> None:
+        super().__init__()
+
+        self.position = order.amount
+        self._order = order
+        self._time_per_step = time_per_step
+        self._tick_index = tick_index
+        self._twap_price = twap_price
+
+        metric_keys = list(SAOEMetrics.__annotations__.keys())  # pylint: disable=no-member
+        self.history_exec = pd.DataFrame(columns=metric_keys).set_index("datetime")
+        self.history_steps = pd.DataFrame(columns=metric_keys).set_index("datetime")
+        self.metrics: Optional[SAOEMetrics] = None
+
+    def update(
+        self,
+        inner_executor: BaseExecutor,
+        inner_strategy: DecomposedStrategy,
+        done: bool,
+        all_indicators: dict,
+    ) -> None:
+        execute_order = inner_strategy.execute_order
+        execute_result = inner_strategy.execute_result
+        exec_vol = np.array([e[0].deal_amount for e in execute_result])
+        num_step = len(execute_result)
+
+        assert execute_order is not None
+
+        if num_step == 0:
+            market_volume = np.array([])
+            market_price = np.array([])
+            datetime_list = pd.DatetimeIndex([])
+        else:
+            market_volume = np.array(
+                inner_executor.trade_exchange.get_volume(
+                    execute_order.stock_id,
+                    execute_result[0][0].start_time,
+                    execute_result[-1][0].start_time,
+                    method=None,
+                ),
+            )
+
+            trade_value = all_indicators[FINEST_GRANULARITY].iloc[-num_step:]["value"].values
+            deal_amount = all_indicators[FINEST_GRANULARITY].iloc[-num_step:]["deal_amount"].values
+            market_price = trade_value / deal_amount
+
+            datetime_list = all_indicators[FINEST_GRANULARITY].index[-num_step:]
+
+        assert market_price.shape == market_volume.shape == exec_vol.shape
+
+        self.history_exec = dataframe_append(
+            self.history_exec,
+            self._collect_multi_order_metric(
+                order=self._order,
+                datetime=datetime_list,
+                market_vol=market_volume,
+                market_price=market_price,
+                exec_vol=exec_vol,
+                pa=all_indicators[self._time_per_step].iloc[-1]["pa"],
+            ),
+        )
+
+        self.history_steps = dataframe_append(
+            self.history_steps,
+            [
+                self._collect_single_order_metric(
+                    execute_order,
+                    execute_order.start_time,
+                    market_volume,
+                    market_price,
+                    exec_vol.sum(),
+                    exec_vol,
+                ),
+            ],
+        )
+
+        if done:
+            self.metrics = self._collect_single_order_metric(
+                self._order,
+                self._tick_index[0],  # start time
+                self.history_exec["market_volume"],
+                self.history_exec["market_price"],
+                self.history_steps["amount"].sum(),
+                self.history_exec["deal_amount"],
+            )
+
+        # TODO: check whether we need this. Can we get this information from Account?
+        # Do this at the end
+        self.position -= exec_vol.sum()
+
+    def _collect_multi_order_metric(
+        self,
+        order: Order,
+        datetime: pd.Timestamp,
+        market_vol: np.ndarray,
+        market_price: np.ndarray,
+        exec_vol: np.ndarray,
+        pa: float,
+    ) -> SAOEMetrics:
+        return SAOEMetrics(
+            # It should have the same keys with SAOEMetrics,
+            # but the values do not necessarily have the annotated type.
+            # Some values could be vectorized (e.g., exec_vol).
+            stock_id=order.stock_id,
+            datetime=datetime,
+            direction=order.direction,
+            market_volume=market_vol,
+            market_price=market_price,
+            amount=exec_vol,
+            inner_amount=exec_vol,
+            deal_amount=exec_vol,
+            trade_price=market_price,
+            trade_value=market_price * exec_vol,
+            position=self.position - np.cumsum(exec_vol),
+            ffr=exec_vol / order.amount,
+            pa=pa,
+        )
+
+    def _collect_single_order_metric(
+        self,
+        order: Order,
+        datetime: pd.Timestamp,
+        market_vol: np.ndarray,
+        market_price: np.ndarray,
+        amount: float,  # intended to trade such amount
+        exec_vol: np.ndarray,
+    ) -> SAOEMetrics:
+        assert len(market_vol) == len(market_price) == len(exec_vol)
+
+        if np.abs(np.sum(exec_vol)) < EPS:
+            exec_avg_price = 0.0
+        else:
+            exec_avg_price = cast(float, np.average(market_price, weights=exec_vol))  # could be nan
+            if hasattr(exec_avg_price, "item"):  # could be numpy scalar
+                exec_avg_price = exec_avg_price.item()  # type: ignore
+
+        exec_sum = exec_vol.sum()
+        return SAOEMetrics(
+            stock_id=order.stock_id,
+            datetime=datetime,
+            direction=order.direction,
+            market_volume=market_vol.sum(),
+            market_price=market_price.mean() if len(market_price) > 0 else np.nan,
+            amount=amount,
+            inner_amount=exec_sum,
+            deal_amount=exec_sum,  # in this simulator, there's no other restrictions
+            trade_price=exec_avg_price,
+            trade_value=float(np.sum(market_price * exec_vol)),
+            position=self.position - exec_sum,
+            ffr=float(exec_sum / order.amount),
+            pa=price_advantage(exec_avg_price, self._twap_price, order.direction),
+        )
+
+
+class SingleAssetOrderExecutionQlib(Simulator[Order, SAOEState, float]):
+    """Single-asset order execution (SAOE) simulator which is implemented based on Qlib backtest tools.
+
+    Parameters
+    ----------
+    order (Order):
+        The seed to start an SAOE simulator is an order.
+    time_per_step (str):
+        A string to describe the time granularity of each step. Current support "1min", "30min", and "1day"
+    qlib_config (dict):
+        Configuration used to initialize Qlib.
+    inner_executor_fn (Callable[[str, CommonInfrastructure], BaseExecutor]):
+        Function used to get the inner level executor.
+    exchange_config (ExchangeConfig):
+        Configuration used to create the Exchange instance.
+    """
+
+    def __init__(
+        self,
+        order: Order,
+        time_per_step: str,  # "1min", "30min", "1day"
+        qlib_config: dict,
+        inner_executor_fn: Callable[[str, CommonInfrastructure], BaseExecutor],
+        exchange_config: ExchangeConfig,
+    ) -> None:
+        assert time_per_step in ("1min", "30min", "1day")
+
+        super().__init__(initial=order)
+
+        assert order.start_time.date() == order.end_time.date(), "Start date and end date must be the same."
+
+        self._order = order
+        self._order_date = pd.Timestamp(order.start_time.date())
+        self._trade_range = TradeRangeByTime(order.start_time.time(), order.end_time.time())
+        self._qlib_config = qlib_config
+        self._inner_executor_fn = inner_executor_fn
+        self._exchange_config = exchange_config
+
+        self._time_per_step = time_per_step
+        self._ticks_per_step = int(pd.Timedelta(time_per_step).total_seconds() // 60)
+
+        self._executor: Optional[NestedExecutor] = None
+        self._collect_data_loop: Optional[Generator] = None
+
+        self._done = False
+
+        self._inner_strategy = DecomposedStrategy()
+
+        self.reset(self._order)
+
+    def reset(self, order: Order) -> None:
+        instrument = order.stock_id
+
+        # TODO: Check this logic. Make sure we need to do this every time we reset the simulator.
+        init_qlib(self._qlib_config, instrument)
+
+        common_infra = get_common_infra(
+            self._exchange_config,
+            trade_date=pd.Timestamp(self._order_date),
+            codes=[instrument],
+        )
+
+        # TODO: We can leverage interfaces like (https://tinyurl.com/y8f8fhv4) to create trading environment.
+        # TODO: By aligning the interface to create environments with Qlib, it will be easier to share the config and
+        # TODO: code between backtesting and training.
+        self._inner_executor = self._inner_executor_fn(self._time_per_step, common_infra)
+        self._executor = NestedExecutor(
+            time_per_step=COARSEST_GRANULARITY,
+            inner_executor=self._inner_executor,
+            inner_strategy=self._inner_strategy,
+            track_data=True,
+            common_infra=common_infra,
+        )
+
+        exchange = self._inner_executor.trade_exchange
+        self._ticks_index = pd.DatetimeIndex([e[1] for e in list(exchange.quote_df.index)])
+        self._ticks_for_order = get_ticks_slice(
+            self._ticks_index,
+            self._order.start_time,
+            self._order.end_time,
+            include_end=True,
+        )
+
+        self._backtest_data = QlibIntradayBacktestData(
+            order=self._order,
+            exchange=exchange,
+            start_time=self._ticks_for_order[0],
+            end_time=self._ticks_for_order[-1],
+        )
+
+        self.twap_price = self._backtest_data.get_deal_price().mean()
+
+        top_strategy = SingleOrderStrategy(common_infra, order, self._trade_range, instrument)
+        self._executor.reset(start_time=pd.Timestamp(self._order_date), end_time=pd.Timestamp(self._order_date))
+        top_strategy.reset(level_infra=self._executor.get_level_infra())
+
+        self._collect_data_loop = self._executor.collect_data(top_strategy.generate_trade_decision(), level=0)
+        assert isinstance(self._collect_data_loop, Generator)
+
+        self._iter_strategy(action=None)
+        self._done = False
+
+        self._maintainer = StateMaintainer(
+            order=self._order,
+            time_per_step=self._time_per_step,
+            tick_index=self._ticks_index,
+            twap_price=self.twap_price,
+        )
+
+    def _iter_strategy(self, action: float = None) -> DecomposedStrategy:
+        """Iterate the _collect_data_loop until we get the next yield DecomposedStrategy."""
+        assert self._collect_data_loop is not None
+
+        strategy = next(self._collect_data_loop) if action is None else self._collect_data_loop.send(action)
+        while not isinstance(strategy, DecomposedStrategy):
+            strategy = next(self._collect_data_loop) if action is None else self._collect_data_loop.send(action)
+        assert isinstance(strategy, DecomposedStrategy)
+        return strategy
+
+    def step(self, action: float) -> None:
+        """Execute one step or SAOE.
+
+        Parameters
+        ----------
+        action (float):
+            The amount you wish to deal. The simulator doesn't guarantee all the amount to be successfully dealt.
+        """
+
+        assert not self._done, "Simulator has already done!"
+
+        try:
+            self._iter_strategy(action=action)
+        except StopIteration:
+            self._done = True
+
+        assert self._executor is not None
+        _, all_indicators = get_portfolio_and_indicator(self._executor)
+
+        self._maintainer.update(
+            inner_executor=self._inner_executor,
+            inner_strategy=self._inner_strategy,
+            done=self._done,
+            all_indicators=all_indicators,
+        )
+
+    def get_state(self) -> SAOEState:
+        return SAOEState(
+            order=self._order,
+            cur_time=self._inner_executor.trade_calendar.get_step_time()[0],
+            position=self._maintainer.position,
+            history_exec=self._maintainer.history_exec,
+            history_steps=self._maintainer.history_steps,
+            metrics=self._maintainer.metrics,
+            backtest_data=self._backtest_data,
+            ticks_per_step=self._ticks_per_step,
+            ticks_index=self._ticks_index,
+            ticks_for_order=self._ticks_for_order,
+        )
+
+    def done(self) -> bool:
+        return self._done

qlib/rl/order_execution/simulator_simple.py

@@ -4,18 +4,20 @@
 from __future__ import annotations
 
 from pathlib import Path
-from typing import NamedTuple, Any, TypeVar, cast
+from typing import Any, NamedTuple, Optional, TypeVar, cast
 
 import numpy as np
 import pandas as pd
 
 from qlib.backtest.decision import Order, OrderDir
 from qlib.constant import EPS
+from qlib.rl.data.pickle_styled import DealPriceType, IntradayBacktestData, load_simple_intraday_backtest_data
 from qlib.rl.simulator import Simulator
-from qlib.rl.data.pickle_styled import IntradayBacktestData, load_intraday_backtest_data, DealPriceType
 from qlib.rl.utils import LogLevel
 from qlib.typehint import TypedDict
 
+# TODO: Integrating Qlib's native data with simulator_simple
+
 __all__ = ["SAOEMetrics", "SAOEState", "SingleAssetOrderExecution"]
 
 ONE_SEC = pd.Timedelta("1s")  # use 1 second to exclude the right interval point
@@ -33,40 +35,40 @@ class SAOEMetrics(TypedDict):
 
     stock_id: str
     """Stock ID of this record."""
-    datetime: pd.Timestamp
+    datetime: pd.Timestamp | pd.DatetimeIndex  # TODO: check this
     """Datetime of this record (this is index in the dataframe)."""
     direction: int
     """Direction of the order. 0 for sell, 1 for buy."""
 
     # Market information.
-    market_volume: float
+    market_volume: np.ndarray | float
     """(total) market volume traded in the period."""
-    market_price: float
+    market_price: np.ndarray | float
     """Deal price. If it's a period of time, this is the average market deal price."""
 
     # Strategy records.
 
-    amount: float
+    amount: np.ndarray | float
     """Total amount (volume) strategy intends to trade."""
-    inner_amount: float
+    inner_amount: np.ndarray | float
     """Total amount that the lower-level strategy intends to trade
     (might be larger than amount, e.g., to ensure ffr)."""
 
-    deal_amount: float
+    deal_amount: np.ndarray | float
     """Amount that successfully takes effect (must be less than inner_amount)."""
-    trade_price: float
+    trade_price: np.ndarray | float
     """The average deal price for this strategy."""
-    trade_value: float
-    """Total worth of trading. In the simple simulaton, trade_value = deal_amount * price."""
-    position: float
+    trade_value: np.ndarray | float
+    """Total worth of trading. In the simple simulation, trade_value = deal_amount * price."""
+    position: np.ndarray | float
     """Position left after this "period"."""
 
     # Accumulated metrics
 
-    ffr: float
+    ffr: np.ndarray | float
     """Completed how much percent of the daily order."""
 
-    pa: float
+    pa: np.ndarray | float
     """Price advantage compared to baseline (i.e., trade with baseline market price).
     The baseline is trade price when using TWAP strategy to execute this order.
     Please note that there could be data leak here).
@@ -87,7 +89,7 @@ class SAOEState(NamedTuple):
     history_steps: pd.DataFrame
     """See :attr:`SingleAssetOrderExecution.history_steps`."""
 
-    metrics: SAOEMetrics | None
+    metrics: Optional[SAOEMetrics]
     """Daily metric, only available when the trading is in "done" state."""
 
     backtest_data: IntradayBacktestData
@@ -114,13 +116,13 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
     If such fine granularity is not needed, use ``ticks_per_step`` to
     lengthen the ticks for each step.
 
-    In each step, the traded amount are "equally" splitted to each tick,
-    then bounded by volume maximum exeuction volume (i.e., ``vol_threshold``),
+    In each step, the traded amount are "equally" separated to each tick,
+    then bounded by volume maximum execution volume (i.e., ``vol_threshold``),
     and if it's the last step, try to ensure all the amount to be executed.
 
     Parameters
     ----------
-    initial
+    order
         The seed to start an SAOE simulator is an order.
     ticks_per_step
         How many ticks per step.
@@ -140,7 +142,7 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
     See :class:`SAOEMetrics` for available columns.
     Index is ``datetime``, which is the **starting** time of each step."""
 
-    metrics: SAOEMetrics | None
+    metrics: Optional[SAOEMetrics]
     """Metrics. Only available when done."""
 
     twap_price: float
@@ -159,15 +161,21 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
         data_dir: Path,
         ticks_per_step: int = 30,
         deal_price_type: DealPriceType = "close",
-        vol_threshold: float | None = None,
+        vol_threshold: Optional[float] = None,
     ) -> None:
+        super().__init__(initial=order)
+
         self.order = order
         self.ticks_per_step: int = ticks_per_step
         self.deal_price_type = deal_price_type
         self.vol_threshold = vol_threshold
         self.data_dir = data_dir
-        self.backtest_data = load_intraday_backtest_data(
-            self.data_dir, order.stock_id, pd.Timestamp(order.start_time.date()), self.deal_price_type, order.direction
+        self.backtest_data = load_simple_intraday_backtest_data(
+            self.data_dir,
+            order.stock_id,
+            pd.Timestamp(order.start_time.date()),
+            self.deal_price_type,
+            order.direction,
         )
 
         self.ticks_index = self.backtest_data.get_time_index()
@@ -188,9 +196,9 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
         self.history_steps = pd.DataFrame(columns=metric_keys).set_index("datetime")
         self.metrics = None
 
-        self.market_price: np.ndarray | None = None
-        self.market_vol: np.ndarray | None = None
-        self.market_vol_limit: np.ndarray | None = None
+        self.market_price: Optional[np.ndarray] = None
+        self.market_vol: Optional[np.ndarray] = None
+        self.market_vol_limit: Optional[np.ndarray] = None
 
     def step(self, amount: float) -> None:
         """Execute one step or SAOE.
@@ -205,7 +213,8 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
 
         self.market_price = self.market_vol = None  # avoid misuse
         exec_vol = self._split_exec_vol(amount)
-        assert self.market_price is not None and self.market_vol is not None
+        assert self.market_price is not None
+        assert self.market_vol is not None
 
         ticks_position = self.position - np.cumsum(exec_vol)
 
@@ -363,7 +372,7 @@ class SingleAssetOrderExecution(Simulator[Order, SAOEState, float]):
             inner_amount=exec_vol.sum(),
             deal_amount=exec_vol.sum(),  # in this simulator, there's no other restrictions
             trade_price=exec_avg_price,
-            trade_value=np.sum(market_price * exec_vol),
+            trade_value=float(np.sum(market_price * exec_vol)),
             position=self.position,
             ffr=float(exec_vol.sum() / self.order.amount),
             pa=price_advantage(exec_avg_price, self.twap_price, self.order.direction),
@@ -386,7 +395,9 @@ _float_or_ndarray = TypeVar("_float_or_ndarray", float, np.ndarray)
 
 
 def price_advantage(
-    exec_price: _float_or_ndarray, baseline_price: float, direction: OrderDir | int
+    exec_price: _float_or_ndarray,
+    baseline_price: float,
+    direction: OrderDir | int,
 ) -> _float_or_ndarray:
     if baseline_price == 0:  # something is wrong with data. Should be nan here
         if isinstance(exec_price, float):

qlib/rl/order_execution/utils.py

@@ -0,0 +1,111 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+
+from __future__ import annotations
+
+from typing import Any, List, Tuple, cast
+
+import numpy as np
+import pandas as pd
+
+from qlib.backtest import CommonInfrastructure, get_exchange
+from qlib.backtest.account import Account
+from qlib.backtest.decision import OrderDir
+from qlib.backtest.executor import BaseExecutor
+from qlib.rl.from_neutrader.config import ExchangeConfig
+from qlib.rl.order_execution.simulator_simple import ONE_SEC, _float_or_ndarray
+from qlib.utils.time import Freq
+
+
+def get_common_infra(
+    config: ExchangeConfig,
+    trade_date: pd.Timestamp,
+    codes: List[str],
+    cash_limit: float = None,
+) -> CommonInfrastructure:
+    # need to specify a range here for acceleration
+    if cash_limit is None:
+        trade_account = Account(init_cash=int(1e12), benchmark_config={}, pos_type="InfPosition")
+    else:
+        trade_account = Account(
+            init_cash=cash_limit,
+            benchmark_config={},
+            pos_type="Position",
+            position_dict={code: {"amount": 1e12, "price": 1.0} for code in codes},
+        )
+
+    exchange = get_exchange(
+        codes=codes,
+        freq="1min",
+        limit_threshold=config.limit_threshold,
+        deal_price=config.deal_price,
+        open_cost=config.open_cost,
+        close_cost=config.close_cost,
+        min_cost=config.min_cost if config.trade_unit is not None else 0,
+        start_time=trade_date,
+        end_time=trade_date + pd.DateOffset(1),
+        trade_unit=config.trade_unit,
+        volume_threshold=config.volume_threshold,
+    )
+
+    return CommonInfrastructure(trade_account=trade_account, trade_exchange=exchange)
+
+
+def get_ticks_slice(
+    ticks_index: pd.DatetimeIndex,
+    start: pd.Timestamp,
+    end: pd.Timestamp,
+    include_end: bool = False,
+) -> pd.DatetimeIndex:
+    if not include_end:
+        end = end - ONE_SEC
+    return ticks_index[ticks_index.slice_indexer(start, end)]
+
+
+def dataframe_append(df: pd.DataFrame, other: Any) -> pd.DataFrame:
+    # dataframe.append is deprecated
+    other_df = pd.DataFrame(other).set_index("datetime")
+    other_df.index.name = "datetime"
+
+    res = pd.concat([df, other_df], axis=0)
+    return res
+
+
+def price_advantage(
+    exec_price: _float_or_ndarray,
+    baseline_price: float,
+    direction: OrderDir | int,
+) -> _float_or_ndarray:
+    if baseline_price == 0:  # something is wrong with data. Should be nan here
+        if isinstance(exec_price, float):
+            return 0.0
+        else:
+            return np.zeros_like(exec_price)
+    if direction == OrderDir.BUY:
+        res = (1 - exec_price / baseline_price) * 10000
+    elif direction == OrderDir.SELL:
+        res = (exec_price / baseline_price - 1) * 10000
+    else:
+        raise ValueError(f"Unexpected order direction: {direction}")
+    res_wo_nan: np.ndarray = np.nan_to_num(res, nan=0.0)
+    if res_wo_nan.size == 1:
+        return res_wo_nan.item()
+    else:
+        return cast(_float_or_ndarray, res_wo_nan)
+
+
+def get_portfolio_and_indicator(executor: BaseExecutor) -> Tuple[dict, dict]:
+    all_executors = executor.get_all_executors()
+    all_portfolio_metrics = {
+        "{}{}".format(*Freq.parse(_executor.time_per_step)): _executor.trade_account.get_portfolio_metrics()
+        for _executor in all_executors
+        if _executor.trade_account.is_port_metr_enabled()
+    }
+
+    all_indicators = {}
+    for _executor in all_executors:
+        key = "{}{}".format(*Freq.parse(_executor.time_per_step))
+        all_indicators[key] = _executor.trade_account.get_trade_indicator().generate_trade_indicators_dataframe()
+        all_indicators[key + "_obj"] = _executor.trade_account.get_trade_indicator()
+
+    return all_portfolio_metrics, all_indicators

qlib/rl/reward.py

@@ -3,7 +3,7 @@
 
 from __future__ import annotations
 
-from typing import Generic, Any, TypeVar, TYPE_CHECKING
+from typing import TYPE_CHECKING, Any, Dict, Generic, Optional, Tuple, TypeVar
 
 from qlib.typehint import final
 
@@ -20,7 +20,7 @@ class Reward(Generic[SimulatorState]):
     Subclass should implement ``reward(simulator_state)`` to implement their own reward calculation recipe.
     """
 
-    env: EnvWrapper | None = None
+    env: Optional[EnvWrapper] = None
 
     @final
     def __call__(self, simulator_state: SimulatorState) -> float:
@@ -30,14 +30,15 @@ class Reward(Generic[SimulatorState]):
         """Implement this method for your own reward."""
         raise NotImplementedError("Implement reward calculation recipe in `reward()`.")
 
-    def log(self, name, value):
+    def log(self, name: str, value: Any) -> None:
+        assert self.env is not None
         self.env.logger.add_scalar(name, value)
 
 
 class RewardCombination(Reward):
     """Combination of multiple reward."""
 
-    def __init__(self, rewards: dict[str, tuple[Reward, float]]):
+    def __init__(self, rewards: Dict[str, Tuple[Reward, float]]) -> None:
         self.rewards = rewards
 
     def reward(self, simulator_state: Any) -> float:

qlib/rl/simulator.py

@@ -3,7 +3,7 @@
 
 from __future__ import annotations
 
-from typing import TypeVar, Generic, Any, TYPE_CHECKING
+from typing import TYPE_CHECKING, Any, Generic, Optional, TypeVar
 
 from .seed import InitialStateType
 
@@ -49,7 +49,7 @@ class Simulator(Generic[InitialStateType, StateType, ActType]):
         Simulators are discouraged to use this, because it's prone to induce errors.
     """
 
-    env: EnvWrapper | None = None
+    env: Optional[EnvWrapper] = None
 
     def __init__(self, initial: InitialStateType, **kwargs: Any) -> None:
         pass

qlib/rl/trainer/api.py

@@ -3,17 +3,17 @@
 
 from __future__ import annotations
 
-from typing import Callable, Sequence, cast, Any
+from typing import Any, Callable, Sequence, cast
 
 from tianshou.policy import BasePolicy
 
-from qlib.rl.simulator import InitialStateType, Simulator
-from qlib.rl.interpreter import StateInterpreter, ActionInterpreter
+from qlib.rl.interpreter import ActionInterpreter, StateInterpreter
 from qlib.rl.reward import Reward
+from qlib.rl.simulator import InitialStateType, Simulator
 from qlib.rl.utils import FiniteEnvType, LogWriter
 
-from .vessel import TrainingVessel
 from .trainer import Trainer
+from .vessel import TrainingVessel
 
 
 def train(

qlib/rl/trainer/callbacks.py

@@ -12,7 +12,7 @@ import shutil
 import time
 from datetime import datetime
 from pathlib import Path
-from typing import Any, TYPE_CHECKING
+from typing import TYPE_CHECKING, Any
 
 import numpy as np
 import torch

qlib/rl/trainer/trainer.py

@@ -6,13 +6,13 @@ from __future__ import annotations
 import copy
 from contextlib import AbstractContextManager, contextmanager
 from pathlib import Path
-from typing import Any, Iterable, TypeVar, Sequence, cast
+from typing import Any, Iterable, Sequence, TypeVar, cast
 
 import torch
 
-from qlib.rl.simulator import InitialStateType
-from qlib.rl.utils import EnvWrapper, FiniteEnvType, LogCollector, LogWriter, LogBuffer, vectorize_env, LogLevel
 from qlib.log import get_module_logger
+from qlib.rl.simulator import InitialStateType
+from qlib.rl.utils import EnvWrapper, FiniteEnvType, LogBuffer, LogCollector, LogLevel, LogWriter, vectorize_env
 from qlib.rl.utils.finite_env import FiniteVectorEnv
 from qlib.typehint import Literal
 

qlib/rl/trainer/vessel.py

@@ -4,7 +4,7 @@
 from __future__ import annotations
 
 import weakref
-from typing import Callable, ContextManager, Generic, Iterable, TYPE_CHECKING, Sequence, Any, TypeVar, cast, Dict
+from typing import TYPE_CHECKING, Any, Callable, ContextManager, Dict, Generic, Iterable, Sequence, TypeVar, cast
 
 import numpy as np
 from tianshou.data import Collector, VectorReplayBuffer
@@ -12,12 +12,11 @@ from tianshou.env import BaseVectorEnv
 from tianshou.policy import BasePolicy
 
 from qlib.constant import INF
-from qlib.rl.interpreter import StateType, ActType, ObsType, PolicyActType
-from qlib.rl.simulator import InitialStateType, Simulator
-from qlib.rl.interpreter import StateInterpreter, ActionInterpreter
-from qlib.rl.reward import Reward
-from qlib.rl.utils import DataQueue
 from qlib.log import get_module_logger
+from qlib.rl.interpreter import ActionInterpreter, ActType, ObsType, PolicyActType, StateInterpreter, StateType
+from qlib.rl.reward import Reward
+from qlib.rl.simulator import InitialStateType, Simulator
+from qlib.rl.utils import DataQueue
 from qlib.rl.utils.finite_env import FiniteVectorEnv
 
 if TYPE_CHECKING:
@@ -209,6 +208,9 @@ class TrainingVessel(TrainingVesselBase):
         order = np.random.permutation(len(collection))
         res = [collection[o] for o in order[:size]]
         _logger.info(
-            "Fast running in development mode. Cut %s initial states from %d to %d.", name, len(collection), len(res)
+            "Fast running in development mode. Cut %s initial states from %d to %d.",
+            name,
+            len(collection),
+            len(res),
         )
         return res

qlib/rl/utils/__init__.py

@@ -1,7 +1,21 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 
-from .data_queue import *
-from .env_wrapper import *
-from .finite_env import *
-from .log import *
+from .data_queue import DataQueue
+from .env_wrapper import EnvWrapper, EnvWrapperStatus
+from .finite_env import FiniteEnvType, vectorize_env
+from .log import ConsoleWriter, CsvWriter, LogBuffer, LogCollector, LogLevel, LogWriter
+
+__all__ = [
+    "LogLevel",
+    "DataQueue",
+    "EnvWrapper",
+    "FiniteEnvType",
+    "LogCollector",
+    "LogWriter",
+    "vectorize_env",
+    "ConsoleWriter",
+    "CsvWriter",
+    "EnvWrapperStatus",
+    "LogBuffer",
+]

qlib/rl/utils/data_queue.py

@@ -1,13 +1,15 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 
-import os
+from __future__ import annotations
+
 import multiprocessing
+import os
 import threading
 import time
 import warnings
 from queue import Empty
-from typing import TypeVar, Generic, Sequence, cast
+from typing import Any, Generator, Generic, Sequence, TypeVar, cast
 
 from qlib.log import get_module_logger
 
@@ -60,7 +62,7 @@ class DataQueue(Generic[T]):
         shuffle: bool = True,
         producer_num_workers: int = 0,
         queue_maxsize: int = 0,
-    ):
+    ) -> None:
         if queue_maxsize == 0:
             if os.cpu_count() is not None:
                 queue_maxsize = cast(int, os.cpu_count())
@@ -78,14 +80,14 @@ class DataQueue(Generic[T]):
         self._queue: multiprocessing.Queue = multiprocessing.Queue(maxsize=queue_maxsize)
         self._done = multiprocessing.Value("i", 0)
 
-    def __enter__(self):
+    def __enter__(self) -> DataQueue:
         self.activate()
         return self
 
     def __exit__(self, exc_type, exc_val, exc_tb):
         self.cleanup()
 
-    def cleanup(self):
+    def cleanup(self) -> None:
         with self._done.get_lock():
             self._done.value += 1
         for repeat in range(500):
@@ -105,7 +107,7 @@ class DataQueue(Generic[T]):
                 break
         _logger.debug(f"Remaining items in queue collection done. Empty: {self._queue.empty()}")
 
-    def get(self, block=True):
+    def get(self, block: bool = True) -> Any:
         if not hasattr(self, "_first_get"):
             self._first_get = True
         if self._first_get:
@@ -120,17 +122,17 @@ class DataQueue(Generic[T]):
                 if self._done.value:
                     raise StopIteration  # pylint: disable=raise-missing-from
 
-    def put(self, obj, block=True, timeout=None):
-        return self._queue.put(obj, block=block, timeout=timeout)
+    def put(self, obj: Any, block: bool = True, timeout: int = None) -> None:
+        self._queue.put(obj, block=block, timeout=timeout)
 
-    def mark_as_done(self):
+    def mark_as_done(self) -> None:
         with self._done.get_lock():
             self._done.value = 1
 
-    def done(self):
+    def done(self) -> int:
         return self._done.value
 
-    def activate(self):
+    def activate(self) -> DataQueue:
         if self._activated:
             raise ValueError("DataQueue can not activate twice.")
         thread = threading.Thread(target=self._producer, daemon=True)
@@ -138,20 +140,20 @@ class DataQueue(Generic[T]):
         self._activated = True
         return self
 
-    def __del__(self):
+    def __del__(self) -> None:
         _logger.debug(f"__del__ of {__name__}.DataQueue")
         self.cleanup()
 
-    def __iter__(self):
+    def __iter__(self) -> Generator[Any, None, None]:
         if not self._activated:
             raise ValueError(
                 "Need to call activate() to launch a daemon worker "
                 "to produce data into data queue before using it. "
-                "You probably have forgotten to use the DataQueue in a with block."
+                "You probably have forgotten to use the DataQueue in a with block.",
             )
         return self._consumer()
 
-    def _consumer(self):
+    def _consumer(self) -> Generator[Any, None, None]:
         while True:
             try:
                 yield self.get()
@@ -159,7 +161,7 @@ class DataQueue(Generic[T]):
                 _logger.debug("Data consumer timed-out from get.")
                 return
 
-    def _producer(self):
+    def _producer(self) -> None:
         # pytorch dataloader is used here only because we need its sampler and multi-processing
         from torch.utils.data import DataLoader, Dataset  # pylint: disable=import-outside-toplevel
 

qlib/rl/utils/env_wrapper.py

@@ -4,14 +4,15 @@
 from __future__ import annotations
 
 import weakref
-from typing import Callable, Any, Iterable, Iterator, Generic, cast
+from typing import Any, Callable, Dict, Generic, Iterable, Iterator, Optional, Tuple, cast
 
 import gym
+from gym import Space
 
 from qlib.rl.aux_info import AuxiliaryInfoCollector
-from qlib.rl.simulator import Simulator, InitialStateType, StateType, ActType
-from qlib.rl.interpreter import StateInterpreter, ActionInterpreter, PolicyActType, ObsType
+from qlib.rl.interpreter import ActionInterpreter, ObsType, PolicyActType, StateInterpreter
 from qlib.rl.reward import Reward
+from qlib.rl.simulator import ActType, InitialStateType, Simulator, StateType
 from qlib.typehint import TypedDict
 
 from .finite_env import generate_nan_observation
@@ -28,7 +29,7 @@ class InfoDict(TypedDict):
 
     aux_info: dict
     """Any information depends on auxiliary info collector."""
-    log: dict[str, Any]
+    log: Dict[str, Any]
     """Collected by LogCollector."""
 
 
@@ -42,14 +43,15 @@ class EnvWrapperStatus(TypedDict):
 
     cur_step: int
     done: bool
-    initial_state: Any | None
+    initial_state: Optional[Any]
     obs_history: list
     action_history: list
     reward_history: list
 
 
 class EnvWrapper(
-    gym.Env[ObsType, PolicyActType], Generic[InitialStateType, StateType, ActType, ObsType, PolicyActType]
+    gym.Env[ObsType, PolicyActType],
+    Generic[InitialStateType, StateType, ActType, ObsType, PolicyActType],
 ):
     """Qlib-based RL environment, subclassing ``gym.Env``.
     A wrapper of components, including simulator, state-interpreter, action-interpreter, reward.
@@ -97,11 +99,11 @@ class EnvWrapper(
         simulator_fn: Callable[..., Simulator[InitialStateType, StateType, ActType]],
         state_interpreter: StateInterpreter[StateType, ObsType],
         action_interpreter: ActionInterpreter[StateType, PolicyActType, ActType],
-        seed_iterator: Iterable[InitialStateType] | None,
-        reward_fn: Reward | None = None,
-        aux_info_collector: AuxiliaryInfoCollector[StateType, Any] | None = None,
-        logger: LogCollector | None = None,
-    ):
+        seed_iterator: Optional[Iterable[InitialStateType]],
+        reward_fn: Reward = None,
+        aux_info_collector: AuxiliaryInfoCollector[StateType, Any] = None,
+        logger: LogCollector = None,
+    ) -> None:
         # Assign weak reference to wrapper.
         #
         # Use weak reference here, because:
@@ -135,11 +137,11 @@ class EnvWrapper(
         self.status: EnvWrapperStatus = cast(EnvWrapperStatus, None)
 
     @property
-    def action_space(self):
+    def action_space(self) -> Space:
         return self.action_interpreter.action_space
 
     @property
-    def observation_space(self):
+    def observation_space(self) -> Space:
         return self.state_interpreter.observation_space
 
     def reset(self, **kwargs: Any) -> ObsType:
@@ -191,7 +193,7 @@ class EnvWrapper(
             self.seed_iterator = None
             return generate_nan_observation(self.observation_space)
 
-    def step(self, policy_action: PolicyActType, **kwargs: Any) -> tuple[ObsType, float, bool, InfoDict]:
+    def step(self, policy_action: PolicyActType, **kwargs: Any) -> Tuple[ObsType, float, bool, InfoDict]:
         """Environment step.
 
         See the code along with comments to get a sequence of things happening here.
@@ -245,5 +247,5 @@ class EnvWrapper(
         info_dict = InfoDict(log=self.logger.logs(), aux_info=aux_info)
         return obs, rew, done, info_dict
 
-    def render(self):
+    def render(self, mode: str = "human") -> None:
         raise NotImplementedError("Render is not implemented in EnvWrapper.")

qlib/rl/utils/finite_env.py

@@ -11,11 +11,10 @@ from __future__ import annotations
 import copy
 import warnings
 from contextlib import contextmanager
+from typing import Any, Callable, cast, Dict, Generator, List, Optional, Set, Tuple, Type, Union
 
 import gym
 import numpy as np
-from typing import Any, Set, Callable, Type
-
 from tianshou.env import BaseVectorEnv, DummyVectorEnv, ShmemVectorEnv, SubprocVectorEnv
 
 from qlib.typehint import Literal
@@ -32,11 +31,11 @@ __all__ = [
     "vectorize_env",
 ]
 
-
 FiniteEnvType = Literal["dummy", "subproc", "shmem"]
+T = Union[dict, list, tuple, np.ndarray]
 
 
-def fill_invalid(obj):
+def fill_invalid(obj: int | float | bool | T) -> T:
     if isinstance(obj, (int, float, bool)):
         return fill_invalid(np.array(obj))
     if hasattr(obj, "dtype"):
@@ -55,11 +54,11 @@ def fill_invalid(obj):
     raise ValueError(f"Unsupported value to fill with invalid: {obj}")
 
 
-def is_invalid(arr):
-    if hasattr(arr, "dtype"):
+def is_invalid(arr: int | float | bool | T) -> bool:
+    if isinstance(arr, np.ndarray):
         if np.issubdtype(arr.dtype, np.floating):
             return np.isnan(arr).all()
-        return (np.iinfo(arr.dtype).max == arr).all()
+        return cast(bool, cast(np.ndarray, np.iinfo(arr.dtype).max == arr).all())
     if isinstance(arr, dict):
         return all(is_invalid(o) for o in arr.values())
     if isinstance(arr, (list, tuple)):
@@ -140,44 +139,44 @@ class FiniteVectorEnv(BaseVectorEnv):
 
         self._collector_guarded: bool = False
 
-    def _reset_alive_envs(self):
+    def _reset_alive_envs(self) -> None:
         if not self._alive_env_ids:
             # starting or running out
             self._alive_env_ids = set(range(self.env_num))
 
     # to workaround with tianshou's buffer and batch
-    def _set_default_obs(self, obs):
+    def _set_default_obs(self, obs: Any) -> None:
         if obs is not None and self._default_obs is None:
             self._default_obs = copy.deepcopy(obs)
 
-    def _set_default_info(self, info):
+    def _set_default_info(self, info: Any) -> None:
         if info is not None and self._default_info is None:
             self._default_info = copy.deepcopy(info)
 
-    def _set_default_rew(self, rew):
+    def _set_default_rew(self, rew: Any) -> None:
         if rew is not None and self._default_rew is None:
             self._default_rew = copy.deepcopy(rew)
 
-    def _get_default_obs(self):
+    def _get_default_obs(self) -> Any:
         return copy.deepcopy(self._default_obs)
 
-    def _get_default_info(self):
+    def _get_default_info(self) -> Any:
         return copy.deepcopy(self._default_info)
 
-    def _get_default_rew(self):
+    def _get_default_rew(self) -> Any:
         return copy.deepcopy(self._default_rew)
 
     # END
 
     @staticmethod
-    def _postproc_env_obs(obs):
+    def _postproc_env_obs(obs: Any) -> Optional[Any]:
         # reserved for shmem vector env to restore empty observation
         if obs is None or check_nan_observation(obs):
             return None
         return obs
 
     @contextmanager
-    def collector_guard(self):
+    def collector_guard(self) -> Generator[FiniteVectorEnv, None, None]:
         """Guard the collector. Recommended to guard every collect.
 
         This guard is for two purposes.
@@ -207,7 +206,10 @@ class FiniteVectorEnv(BaseVectorEnv):
         for logger in self._logger:
             logger.on_env_all_done()
 
-    def reset(self, id=None):
+    def reset(
+        self,
+        id: int | List[int] | np.ndarray | None = None,
+    ) -> np.ndarray:
         assert not self._zombie
 
         # Check whether it's guarded by collector_guard()
@@ -219,23 +221,23 @@ class FiniteVectorEnv(BaseVectorEnv):
                 RuntimeWarning,
             )
 
-        id = self._wrap_id(id)
+        wrapped_id = self._wrap_id(id)
         self._reset_alive_envs()
 
         # ask super to reset alive envs and remap to current index
-        request_id = list(filter(lambda i: i in self._alive_env_ids, id))
-        obs = [None] * len(id)
-        id2idx = {i: k for k, i in enumerate(id)}
+        request_id = [i for i in wrapped_id if i in self._alive_env_ids]
+        obs = [None] * len(wrapped_id)
+        id2idx = {i: k for k, i in enumerate(wrapped_id)}
         if request_id:
             for i, o in zip(request_id, super().reset(request_id)):
                 obs[id2idx[i]] = self._postproc_env_obs(o)
 
-        for i, o in zip(id, obs):
+        for i, o in zip(wrapped_id, obs):
             if o is None and i in self._alive_env_ids:
                 self._alive_env_ids.remove(i)
 
         # logging
-        for i, o in zip(id, obs):
+        for i, o in zip(wrapped_id, obs):
             if i in self._alive_env_ids:
                 for logger in self._logger:
                     logger.on_env_reset(i, obs)
@@ -248,19 +250,23 @@ class FiniteVectorEnv(BaseVectorEnv):
                 obs[i] = self._get_default_obs()
 
         if not self._alive_env_ids:
-            # comment this line so that the env becomes indisposable
+            # comment this line so that the env becomes indispensable
             # self.reset()
             self._zombie = True
             raise StopIteration
 
         return np.stack(obs)
 
-    def step(self, action, id=None):
+    def step(
+        self,
+        action: np.ndarray,
+        id: int | List[int] | np.ndarray | None = None,
+    ) -> Tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
         assert not self._zombie
-        id = self._wrap_id(id)
-        id2idx = {i: k for k, i in enumerate(id)}
-        request_id = list(filter(lambda i: i in self._alive_env_ids, id))
-        result = [[None, None, False, None] for _ in range(len(id))]
+        wrapped_id = self._wrap_id(id)
+        id2idx = {i: k for k, i in enumerate(wrapped_id)}
+        request_id = list(filter(lambda i: i in self._alive_env_ids, wrapped_id))
+        result = [[None, None, False, None] for _ in range(len(wrapped_id))]
 
         # ask super to step alive envs and remap to current index
         if request_id:
@@ -270,7 +276,7 @@ class FiniteVectorEnv(BaseVectorEnv):
                 result[id2idx[i]][0] = self._postproc_env_obs(result[id2idx[i]][0])
 
         # logging
-        for i, r in zip(id, result):
+        for i, r in zip(wrapped_id, result):
             if i in self._alive_env_ids:
                 for logger in self._logger:
                     logger.on_env_step(i, *r)
@@ -287,7 +293,8 @@ class FiniteVectorEnv(BaseVectorEnv):
             if r[3] is None:
                 result[i][3] = self._get_default_info()
 
-        return list(map(np.stack, zip(*result)))
+        ret = list(map(np.stack, zip(*result)))
+        return cast(Tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray], ret)
 
 
 class FiniteDummyVectorEnv(FiniteVectorEnv, DummyVectorEnv):
@@ -306,7 +313,7 @@ def vectorize_env(
     env_factory: Callable[..., gym.Env],
     env_type: FiniteEnvType,
     concurrency: int,
-    logger: LogWriter | list[LogWriter],
+    logger: LogWriter | List[LogWriter],
 ) -> FiniteVectorEnv:
     """Helper function to create a vector env. Can be used to replace usual VectorEnv.
 
@@ -350,7 +357,7 @@ def vectorize_env(
         def env_factory(): ...
         vectorize_env(env_factory, ...)
     """
-    env_type_cls_mapping: dict[str, Type[FiniteVectorEnv]] = {
+    env_type_cls_mapping: Dict[str, Type[FiniteVectorEnv]] = {
         "dummy": FiniteDummyVectorEnv,
         "subproc": FiniteSubprocVectorEnv,
         "shmem": FiniteShmemVectorEnv,

qlib/rl/utils/log.py

@@ -21,7 +21,7 @@ import logging
 from collections import defaultdict
 from enum import IntEnum
 from pathlib import Path
-from typing import Any, TypeVar, Generic, Set, TYPE_CHECKING, Sequence, Callable
+from typing import TYPE_CHECKING, Any, Callable, Dict, Generic, List, Sequence, Set, Tuple, TypeVar
 
 import numpy as np
 import pandas as pd
@@ -65,13 +65,13 @@ class LogCollector:
     ``min_loglevel`` is for optimization purposes: to avoid too much traffic on networks / in pipe.
     """
 
-    _logged: dict[str, tuple[int, Any]]
+    _logged: Dict[str, Tuple[int, Any]]
     _min_loglevel: int
 
-    def __init__(self, min_loglevel: int | LogLevel = LogLevel.PERIODIC):
+    def __init__(self, min_loglevel: int | LogLevel = LogLevel.PERIODIC) -> None:
         self._min_loglevel = int(min_loglevel)
 
-    def reset(self):
+    def reset(self) -> None:
         """Clear all collected contents."""
         self._logged = {}
 
@@ -104,7 +104,10 @@ class LogCollector:
         self._add_metric(name, scalar, loglevel)
 
     def add_array(
-        self, name: str, array: np.ndarray | pd.DataFrame | pd.Series, loglevel: int | LogLevel = LogLevel.PERIODIC
+        self,
+        name: str,
+        array: np.ndarray | pd.DataFrame | pd.Series,
+        loglevel: int | LogLevel = LogLevel.PERIODIC,
     ) -> None:
         """Add an array with name into logging."""
         if loglevel < self._min_loglevel:
@@ -127,7 +130,7 @@ class LogCollector:
 
         self._add_metric(name, obj, loglevel)
 
-    def logs(self) -> dict[str, np.ndarray]:
+    def logs(self) -> Dict[str, np.ndarray]:
         return {key: np.asanyarray(value, dtype="object") for key, value in self._logged.items()}
 
 
@@ -154,16 +157,16 @@ class LogWriter(Generic[ObsType, ActType]):
     active_env_ids: Set[int]
     """Active environment ids in vector env."""
 
-    episode_lengths: dict[int, int]
+    episode_lengths: Dict[int, int]
     """Map from environment id to episode length."""
 
-    episode_rewards: dict[int, list[float]]
+    episode_rewards: Dict[int, List[float]]
     """Map from environment id to episode total reward."""
 
-    episode_logs: dict[int, list]
+    episode_logs: Dict[int, list]
     """Map from environment id to episode logs."""
 
-    def __init__(self, loglevel: int | LogLevel = LogLevel.PERIODIC):
+    def __init__(self, loglevel: int | LogLevel = LogLevel.PERIODIC) -> None:
         self.loglevel = loglevel
 
         self.global_step = 0
@@ -207,11 +210,12 @@ class LogWriter(Generic[ObsType, ActType]):
         # These are runtime infos.
         # Though they are loaded, I don't think it really helps.
         self.active_env_ids = state_dict["active_env_ids"]
-        self.episode_lenghts = state_dict["episode_lengths"]
+        self.episode_lengths = state_dict["episode_lengths"]
         self.episode_rewards = state_dict["episode_rewards"]
         self.episode_logs = state_dict["episode_logs"]
 
-    def aggregation(self, array: Sequence[Any], name: str | None = None) -> Any:
+    @staticmethod
+    def aggregation(array: Sequence[Any], name: str | None = None) -> Any:
         """Aggregation function from step-wise to episode-wise.
 
         If it's a sequence of float, take the mean.
@@ -229,7 +233,7 @@ class LogWriter(Generic[ObsType, ActType]):
         else:
             return array[0]
 
-    def log_episode(self, length: int, rewards: list[float], contents: list[dict[str, Any]]) -> None:
+    def log_episode(self, length: int, rewards: List[float], contents: List[Dict[str, Any]]) -> None:
         """This is triggered at the end of each trajectory.
 
         Parameters
@@ -242,7 +246,7 @@ class LogWriter(Generic[ObsType, ActType]):
             Logged contents for every steps.
         """
 
-    def log_step(self, reward: float, contents: dict[str, Any]) -> None:
+    def log_step(self, reward: float, contents: Dict[str, Any]) -> None:
         """This is triggered at each step.
 
         Parameters
@@ -265,7 +269,7 @@ class LogWriter(Generic[ObsType, ActType]):
         # TODO: reward can be a list of list for MARL
         self.episode_rewards[env_id].append(rew)
 
-        values: dict[str, Any] = {}
+        values: Dict[str, Any] = {}
 
         for key, (loglevel, value) in info["log"].items():
             if loglevel >= self.loglevel:  # FIXME: this is actually incorrect (see last FIXME)
@@ -393,11 +397,11 @@ class ConsoleWriter(LogWriter):
     def __init__(
         self,
         log_every_n_episode: int = 20,
-        total_episodes: int | None = None,
+        total_episodes: int = None,
         float_format: str = ":.4f",
         counter_format: str = ":4d",
         loglevel: int | LogLevel = LogLevel.PERIODIC,
-    ):
+    ) -> None:
         super().__init__(loglevel)
         # TODO: support log_every_n_step
         self.log_every_n_episode = log_every_n_episode
@@ -412,15 +416,15 @@ class ConsoleWriter(LogWriter):
 
     # FIXME: save & reload
 
-    def clear(self):
+    def clear(self) -> None:
         super().clear()
         # Clear average meters
-        self.metric_counts: dict[str, int] = defaultdict(int)
-        self.metric_sums: dict[str, float] = defaultdict(float)
+        self.metric_counts: Dict[str, int] = defaultdict(int)
+        self.metric_sums: Dict[str, float] = defaultdict(float)
 
-    def log_episode(self, length: int, rewards: list[float], contents: list[dict[str, Any]]) -> None:
+    def log_episode(self, length: int, rewards: List[float], contents: List[Dict[str, Any]]) -> None:
         # Aggregate step-wise to episode-wise
-        episode_wise_contents: dict[str, list] = defaultdict(list)
+        episode_wise_contents: Dict[str, list] = defaultdict(list)
 
         for step_contents in contents:
             for name, value in step_contents.items():
@@ -429,7 +433,7 @@ class ConsoleWriter(LogWriter):
 
         # Generate log contents and track them in average-meter.
         # This should be done at every step, regardless of periodic or not.
-        logs: dict[str, float] = {}
+        logs: Dict[str, float] = {}
         for name, values in episode_wise_contents.items():
             logs[name] = self.aggregation(values, name)  # type: ignore
 
@@ -441,7 +445,7 @@ class ConsoleWriter(LogWriter):
             # Only log periodically or at the end
             self.console_logger.info(self.generate_log_message(logs))
 
-    def generate_log_message(self, logs: dict[str, float]) -> str:
+    def generate_log_message(self, logs: Dict[str, float]) -> str:
         if self.prefix:
             msg_prefix = self.prefix + " "
         else:
@@ -471,29 +475,29 @@ class CsvWriter(LogWriter):
 
     SUPPORTED_TYPES = (float, str, pd.Timestamp)
 
-    all_records: list[dict[str, Any]]
+    all_records: List[Dict[str, Any]]
 
     # FIXME: save & reload
 
-    def __init__(self, output_dir: Path, loglevel: int | LogLevel = LogLevel.PERIODIC):
+    def __init__(self, output_dir: Path, loglevel: int | LogLevel = LogLevel.PERIODIC) -> None:
         super().__init__(loglevel)
         self.output_dir = output_dir
         self.output_dir.mkdir(exist_ok=True)
 
-    def clear(self):
+    def clear(self) -> None:
         super().clear()
         self.all_records = []
 
-    def log_episode(self, length: int, rewards: list[float], contents: list[dict[str, Any]]) -> None:
+    def log_episode(self, length: int, rewards: List[float], contents: List[Dict[str, Any]]) -> None:
         # FIXME Same as ConsoleLogger, needs a refactor to eliminate code-dup
-        episode_wise_contents: dict[str, list] = defaultdict(list)
+        episode_wise_contents: Dict[str, list] = defaultdict(list)
 
         for step_contents in contents:
             for name, value in step_contents.items():
                 if isinstance(value, self.SUPPORTED_TYPES):
                     episode_wise_contents[name].append(value)
 
-        logs: dict[str, float] = {}
+        logs: Dict[str, float] = {}
         for name, values in episode_wise_contents.items():
             logs[name] = self.aggregation(values, name)  # type: ignore
 

qlib/strategy/base.py

@@ -2,14 +2,14 @@
 # Licensed under the MIT License.
 from __future__ import annotations
 
-from abc import abstractmethod
-from typing import TYPE_CHECKING, Any, Generator, Optional
+from abc import ABCMeta, abstractmethod
+from typing import Any, Generator, Optional, TYPE_CHECKING, Union
 
 if TYPE_CHECKING:
     from qlib.backtest.exchange import Exchange
     from qlib.backtest.position import BasePosition
 
-from typing import Tuple, Union
+from typing import Tuple
 
 from ..backtest.decision import BaseTradeDecision
 from ..backtest.utils import CommonInfrastructure, LevelInfrastructure, TradeCalendarManager
@@ -207,8 +207,18 @@ class BaseStrategy:
         range_limit = self.outer_trade_decision.get_data_cal_range_limit(rtype=rtype)
         return max(cal_range[0], range_limit[0]), min(cal_range[1], range_limit[1])
 
+    def post_exe_step(self, execute_result: list) -> None:
+        """
+        A hook for doing sth after the corresponding executor finished its execution.
 
-class RLStrategy(BaseStrategy):
+        Parameters
+        ----------
+        execute_result :
+            the execution result
+        """
+
+
+class RLStrategy(BaseStrategy, metaclass=ABCMeta):
     """RL-based strategy"""
 
     def __init__(
@@ -229,14 +239,14 @@ class RLStrategy(BaseStrategy):
         self.policy = policy
 
 
-class RLIntStrategy(RLStrategy):
+class RLIntStrategy(RLStrategy, metaclass=ABCMeta):
     """(RL)-based (Strategy) with (Int)erpreter"""
 
     def __init__(
         self,
         policy,
-        state_interpreter: Union[dict, StateInterpreter],
-        action_interpreter: Union[dict, ActionInterpreter],
+        state_interpreter: dict | StateInterpreter,
+        action_interpreter: dict | ActionInterpreter,
         outer_trade_decision: BaseTradeDecision = None,
         level_infra: LevelInfrastructure = None,
         common_infra: CommonInfrastructure = None,

qlib/utils/index_data.py

@@ -271,7 +271,7 @@ class LocIndexer:
                         if isinstance(_indexing, IndexData):
                             _indexing = _indexing.data
                         assert _indexing.ndim == 1
-                        if _indexing.dtype != np.bool:
+                        if _indexing.dtype != bool:
                             _indexing = np.array(list(index.index(i) for i in _indexing))
                     else:
                         _indexing = index.index(_indexing)
@@ -431,7 +431,7 @@ class IndexData(metaclass=index_data_ops_creator):
 
     # The code below could be simpler like methods in __getattribute__
     def __invert__(self):
-        return self.__class__(~self.data.astype(np.bool), *self.indices)
+        return self.__class__(~self.data.astype(bool), *self.indices)
 
     def abs(self):
         """get the abs of data except np.NaN."""

tests/rl/test_logger.py

@@ -5,6 +5,8 @@ from random import randint, choice
 from pathlib import Path
 
 import re
+from typing import Any, Tuple
+
 import gym
 import numpy as np
 import pandas as pd
@@ -24,16 +26,16 @@ from qlib.rl.utils.finite_env import vectorize_env
 
 
 class SimpleEnv(gym.Env[int, int]):
-    def __init__(self):
+    def __init__(self) -> None:
         self.logger = LogCollector()
         self.observation_space = gym.spaces.Discrete(2)
         self.action_space = gym.spaces.Discrete(2)
 
-    def reset(self):
+    def reset(self, *args: Any, **kwargs: Any) -> int:
         self.step_count = 0
         return 0
 
-    def step(self, action: int):
+    def step(self, action: int) -> Tuple[int, float, bool, dict]:
         self.logger.reset()
 
         self.logger.add_scalar("reward", 42.0)
@@ -53,6 +55,9 @@ class SimpleEnv(gym.Env[int, int]):
 
         return 1, 42.0, done, InfoDict(log=self.logger.logs(), aux_info={})
 
+    def render(self, mode: str = "human") -> None:
+        pass
+
 
 class AnyPolicy(BasePolicy):
     def forward(self, batch, state=None):
@@ -86,7 +91,8 @@ def test_simple_env_logger(caplog):
 
 
 class SimpleSimulator(Simulator[int, float, float]):
-    def __init__(self, initial: int, **kwargs) -> None:
+    def __init__(self, initial: int, **kwargs: Any) -> None:
+        super(SimpleSimulator, self).__init__(initial, **kwargs)
         self.initial = float(initial)
 
     def step(self, action: float) -> None:

tests/rl/test_qlib_simulator.py

@@ -0,0 +1,177 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+import sys
+from pathlib import Path
+
+import pandas as pd
+import pytest
+
+from qlib.backtest.decision import Order, OrderDir
+from qlib.backtest.executor import NestedExecutor, SimulatorExecutor
+from qlib.backtest.utils import CommonInfrastructure
+from qlib.contrib.strategy import TWAPStrategy
+from qlib.rl.order_execution import CategoricalActionInterpreter
+from qlib.rl.order_execution.simulator_qlib import ExchangeConfig, SingleAssetOrderExecutionQlib
+
+TOTAL_POSITION = 2100.0
+
+python_version_request = pytest.mark.skipif(sys.version_info < (3, 8), reason="requires python3.8 or higher")
+
+
+def is_close(a: float, b: float, epsilon: float = 1e-4) -> bool:
+    return abs(a - b) <= epsilon
+
+
+def get_order() -> Order:
+    return Order(
+        stock_id="SH600000",
+        amount=TOTAL_POSITION,
+        direction=OrderDir.BUY,
+        start_time=pd.Timestamp("2019-03-04 09:30:00"),
+        end_time=pd.Timestamp("2019-03-04 14:29:00"),
+    )
+
+
+def get_simulator(order: Order) -> SingleAssetOrderExecutionQlib:
+    def _inner_executor_fn(time_per_step: str, common_infra: CommonInfrastructure) -> NestedExecutor:
+        return NestedExecutor(
+            time_per_step=time_per_step,
+            inner_strategy=TWAPStrategy(),
+            inner_executor=SimulatorExecutor(
+                time_per_step="1min",
+                verbose=False,
+                trade_type=SimulatorExecutor.TT_SERIAL,
+                generate_report=False,
+                common_infra=common_infra,
+                track_data=True,
+            ),
+            common_infra=common_infra,
+            track_data=True,
+        )
+
+    DATA_ROOT_DIR = Path(__file__).parent.parent / ".data" / "rl" / "qlib_simulator"
+
+    # fmt: off
+    qlib_config = {
+        "provider_uri_day": DATA_ROOT_DIR / "qlib_1d",
+        "provider_uri_1min": DATA_ROOT_DIR / "qlib_1min",
+        "feature_root_dir": DATA_ROOT_DIR / "qlib_handler_stock",
+        "feature_columns_today": [
+            "$open", "$high", "$low", "$close", "$vwap", "$bid", "$ask", "$volume",
+            "$bidV", "$bidV1", "$bidV3", "$bidV5", "$askV", "$askV1", "$askV3", "$askV5",
+        ],
+        "feature_columns_yesterday": [
+            "$open_1", "$high_1", "$low_1", "$close_1", "$vwap_1", "$bid_1", "$ask_1", "$volume_1",
+            "$bidV_1", "$bidV1_1", "$bidV3_1", "$bidV5_1", "$askV_1", "$askV1_1", "$askV3_1", "$askV5_1",
+        ],
+    }
+    # fmt: on
+
+    exchange_config = ExchangeConfig(
+        limit_threshold=("$ask == 0", "$bid == 0"),
+        deal_price=("If($ask == 0, $bid, $ask)", "If($bid == 0, $ask, $bid)"),
+        volume_threshold={
+            "all": ("cum", "0.2 * DayCumsum($volume, '9:30', '14:29')"),
+            "buy": ("current", "$askV1"),
+            "sell": ("current", "$bidV1"),
+        },
+        open_cost=0.0005,
+        close_cost=0.0015,
+        min_cost=5.0,
+        trade_unit=None,
+        cash_limit=None,
+        generate_report=False,
+    )
+
+    return SingleAssetOrderExecutionQlib(
+        order=order,
+        time_per_step="30min",
+        qlib_config=qlib_config,
+        inner_executor_fn=_inner_executor_fn,
+        exchange_config=exchange_config,
+    )
+
+
+@python_version_request
+def test_simulator_first_step():
+    order = get_order()
+    simulator = get_simulator(order)
+    state = simulator.get_state()
+    assert state.cur_time == pd.Timestamp("2019-03-04 09:30:00")
+    assert state.position == TOTAL_POSITION
+
+    AMOUNT = 300.0
+    simulator.step(AMOUNT)
+    state = simulator.get_state()
+    assert state.cur_time == pd.Timestamp("2019-03-04 10:00:00")
+    assert state.position == TOTAL_POSITION - AMOUNT
+    assert len(state.history_exec) == 30
+    assert state.history_exec.index[0] == pd.Timestamp("2019-03-04 09:30:00")
+
+    assert is_close(state.history_exec["market_volume"].iloc[0], 109382.382812)
+    assert is_close(state.history_exec["market_price"].iloc[0], 149.566483)
+    assert (state.history_exec["amount"] == AMOUNT / 30).all()
+    assert (state.history_exec["deal_amount"] == AMOUNT / 30).all()
+    assert is_close(state.history_exec["trade_price"].iloc[0], 149.566483)
+    assert is_close(state.history_exec["trade_value"].iloc[0], 1495.664825)
+    assert is_close(state.history_exec["position"].iloc[0], TOTAL_POSITION - AMOUNT / 30)
+    # assert state.history_exec["ffr"].iloc[0] == 1 / 60  # FIXME
+
+    assert is_close(state.history_steps["market_volume"].iloc[0], 1254848.5756835938)
+    assert state.history_steps["amount"].iloc[0] == AMOUNT
+    assert state.history_steps["deal_amount"].iloc[0] == AMOUNT
+    assert state.history_steps["ffr"].iloc[0] == 1.0
+    assert is_close(
+        state.history_steps["pa"].iloc[0] * (1.0 if order.direction == OrderDir.SELL else -1.0),
+        (state.history_steps["trade_price"].iloc[0] / simulator.twap_price - 1) * 10000,
+    )
+
+
+@python_version_request
+def test_simulator_stop_twap() -> None:
+    order = get_order()
+    simulator = get_simulator(order)
+    NUM_STEPS = 7
+    for i in range(NUM_STEPS):
+        simulator.step(TOTAL_POSITION / NUM_STEPS)
+
+    HISTORY_STEP_LENGTH = 30 * NUM_STEPS
+    state = simulator.get_state()
+    assert len(state.history_exec) == HISTORY_STEP_LENGTH
+
+    assert (state.history_exec["deal_amount"] == TOTAL_POSITION / HISTORY_STEP_LENGTH).all()
+    assert is_close(state.history_steps["position"].iloc[0], TOTAL_POSITION * (NUM_STEPS - 1) / NUM_STEPS)
+    assert is_close(state.history_steps["position"].iloc[-1], 0.0)
+    assert is_close(state.position, 0.0)
+    assert is_close(state.metrics["ffr"], 1.0)
+
+    assert is_close(state.metrics["market_price"], state.backtest_data.get_deal_price().mean())
+    assert is_close(state.metrics["market_volume"], state.backtest_data.get_volume().sum())
+    assert is_close(state.metrics["trade_price"], state.metrics["market_price"])
+    assert is_close(state.metrics["pa"], 0.0)
+
+    assert simulator.done()
+
+
+@python_version_request
+def test_interpreter() -> None:
+    NUM_EXECUTION = 3
+    order = get_order()
+    simulator = get_simulator(order)
+    interpreter_action = CategoricalActionInterpreter(values=NUM_EXECUTION)
+
+    NUM_STEPS = 7
+    state = simulator.get_state()
+    position_history = []
+    for i in range(NUM_STEPS):
+        simulator.step(interpreter_action(state, 1))
+        state = simulator.get_state()
+        position_history.append(state.position)
+
+        assert position_history[-1] == max(TOTAL_POSITION - TOTAL_POSITION / NUM_EXECUTION * (i + 1), 0.0)
+
+
+if __name__ == "__main__":
+    test_simulator_first_step()
+    test_simulator_stop_twap()
+    test_interpreter()

tests/rl/test_saoe_simple.py

@@ -9,7 +9,6 @@ from typing import NamedTuple
 import numpy as np
 import pandas as pd
 import pytest
-
 import torch
 from tianshou.data import Batch
 
@@ -17,8 +16,8 @@ from qlib.backtest import Order
 from qlib.config import C
 from qlib.log import set_log_with_config
 from qlib.rl.data import pickle_styled
-from qlib.rl.trainer import backtest, train
 from qlib.rl.order_execution import *
+from qlib.rl.trainer import backtest, train
 from qlib.rl.utils import ConsoleWriter, CsvWriter, EnvWrapperStatus
 
 pytestmark = pytest.mark.skipif(sys.version_info < (3, 8), reason="Pickle styled data only supports Python >= 3.8")
@@ -38,7 +37,7 @@ CN_POLICY_WEIGHTS_DIR = CN_DATA_DIR / "weights"
 
 
 def test_pickle_data_inspect():
-    data = pickle_styled.load_intraday_backtest_data(BACKTEST_DATA_DIR, "AAL", "2013-12-11", "close", 0)
+    data = pickle_styled.load_simple_intraday_backtest_data(BACKTEST_DATA_DIR, "AAL", "2013-12-11", "close", 0)
     assert len(data) == 390
 
     data = pickle_styled.load_intraday_processed_data(