fixed models ref_date bug

alphamind/api.py

@@ -30,6 +30,7 @@ from alphamind.model.data_preparing import fetch_data_package
 
 from alphamind.execution.naiveexecutor import NaiveExecutor
 from alphamind.execution.thresholdexecutor import ThresholdExecutor
+from alphamind.execution.targetvolexecutor import TargetVolExecutor
 
 from alphamind.utilities import alpha_logger
 
@@ -57,5 +58,6 @@ __all__ = [
     'load_model',
     'NaiveExecutor',
     'ThresholdExecutor',
+    'TargetVolExecutor',
     'alpha_logger'
 ]
\ No newline at end of file

alphamind/execution/pipeline.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-9-25
+
+@author: cheng.li
+"""
+
+from typing import List
+from typing import Tuple
+import pandas as pd
+from alphamind.execution.baseexecutor import ExecutorBase
+
+
+class ExecutionPipeline(object):
+
+    def __init__(self, executors: List[ExecutorBase]):
+        self.executors = executors
+
+    def execute(self, target_pos) -> Tuple[float, pd.DataFrame]:
+
+        turn_over, planed_pos = 0., target_pos
+
+        for executor in self.executors:
+            turn_over, planed_pos = executor.execute(target_pos)
+
+        executed_pos = planed_pos
+
+        for executor in self.executors:
+            executor.set_current(executed_pos)
+
+        return turn_over, executed_pos
+
+    def update(self, data_dict):
+
+        for executor in self.executors:
+            executor.update(data_dict=data_dict)

alphamind/execution/targetvolexecutor.py

@@ -22,7 +22,7 @@ class TargetVolExecutor(ExecutorBase):
     def execute(self, target_pos: pd.DataFrame) -> Tuple[float, pd.DataFrame]:
         if not self.m_vol.isFull():
             if self.current_pos.empty:
-                turn_over = target_pos.abs().weight.sum()
+                turn_over = target_pos.weight.abs().sum()
             else:
                 turn_over = self.calc_turn_over(target_pos, self.current_pos)
             return turn_over, target_pos