def generate_cash_trade_ind(symbol, amount, date, time=200000):
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = 0
trade_ind.entrust_no = "0"
trade_ind.set_fill_info(price=0.0,
size=abs(amount),
date=date,
time=time,
no="0",
trade_date=date)
trade_ind2 = Trade()
trade_ind2.symbol = symbol
trade_ind2.task_id = 0
trade_ind2.entrust_no = "0"
trade_ind2.set_fill_info(price=1.0,
size=abs(amount),
date=date,
time=time,
no="0",
trade_date=date)
if amount > 0:
trade_ind.entrust_action = common.ORDER_ACTION.BUY
trade_ind2.entrust_action = common.ORDER_ACTION.SELL
else:
trade_ind.entrust_action = common.ORDER_ACTION.SELL
trade_ind2.entrust_action = common.ORDER_ACTION.BUY
return trade_ind, trade_ind2
def delist_adjust(self):
df_inst = self.ctx.dataview.data_inst
start = self.last_rebalance_date # start will be one day later
end = self.current_rebalance_date # end is the same to ensure position adjusted for dividend on rebalance day
mask = np.logical_and(df_inst['delist_date'] >= start, df_inst['delist_date'] <= end)
dic_inst = df_inst.loc[mask, :].to_dict(orient='index')
if not dic_inst:
return
pm = self.ctx.pm
for symbol in pm.holding_securities.copy():
value_dic = dic_inst.get(symbol, None)
if value_dic is None:
continue
pos = pm.get_position(symbol).current_size
last_trade_date = self._get_last_trade_date(value_dic['delist_date'])
last_close_price = self.ctx.dataview.get_snapshot(last_trade_date, symbol=symbol, fields='close')
last_close_price = last_close_price.at[symbol, 'close']
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.DELIST_ADJUST_NO
trade_ind.entrust_no = self.DELIST_ADJUST_NO
trade_ind.entrust_action = common.ORDER_ACTION.SELL # for now only BUY
trade_ind.set_fill_info(price=last_close_price, size=pos,
date=last_trade_date, time=150000,
no=self.DELIST_ADJUST_NO,
trade_date=last_trade_date)
self.ctx.strategy.cash += trade_ind.fill_price * trade_ind.fill_size
#self.ctx.pm.cash += trade_ind.fill_price * trade_ind.fill_size
self.ctx.strategy.on_trade(trade_ind)
def settle_for_stocks(self, last_date, date):
if self.df_dividend is None:
return
df = self.df_dividend.loc[(self.df_dividend['exdiv_date'] > last_date) & (self.df_dividend['exdiv_date'] <= date)]
if df.empty:
return
df2 = df.set_index('symbol')
for symbol in df2.index:
if symbol in self.ctx.pm.holding_securities:
df_symbol = df2.loc[symbol]
shares_ratio = df_symbol['shares']
cash_ratio = df_symbol['cash_tax']
pos = self.ctx.pm.get_position(symbol).current_size
if cash_ratio > 0:
cash_added = cash_ratio * pos
#self.ctx.pm.cash += cash_added
trade_ind1, trade_ind2 = generate_cash_trade_ind(symbol, cash_added, date, 60000)
self.ctx.strategy.on_trade(trade_ind1)
self.ctx.strategy.on_trade(trade_ind2)
if shares_ratio > 0:
pos_diff = abs(pos * shares_ratio)
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.POSITION_ADJUST_NO
trade_ind.entrust_no = self.POSITION_ADJUST_NO
if pos > 0:
trade_ind.entrust_action = common.ORDER_ACTION.BUY
else:
trade_ind.entrust_action = common.ORDER_ACTION.SELL
trade_ind.set_fill_info(price=0.0, size=pos_diff, date=date, time=60000, no=self.POSITION_ADJUST_NO)
self.ctx.strategy.on_trade(trade_ind)
def settle_for_stocks(self, last_date, date):
if self.df_dividend is None:
return
df = self.df_dividend.loc[(self.df_dividend['exdiv_date'] > last_date) & (self.df_dividend['exdiv_date'] <= date)]
if df.empty:
return
df2 = df.set_index('symbol')
for symbol in df2.index:
if symbol in self.ctx.pm.holding_securities:
df_symbol = df2.loc[symbol]
shares_ratio = df_symbol['shares']
cash_ratio = df_symbol['cash_tax']
pos = self.ctx.pm.get_position(symbol).current_size
if cash_ratio > 0:
cash_added = cash_ratio * pos
#self.ctx.pm.cash += cash_added
trade_ind1, trade_ind2 = generate_cash_trade_ind(symbol, cash_added, date, 60000)
self.ctx.strategy.on_trade(trade_ind1)
self.ctx.strategy.on_trade(trade_ind2)
if shares_ratio > 0:
pos_diff = abs(pos * shares_ratio)
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.POSITION_ADJUST_NO
trade_ind.entrust_no = self.POSITION_ADJUST_NO
if pos > 0:
trade_ind.entrust_action = common.ORDER_ACTION.BUY
else:
trade_ind.entrust_action = common.ORDER_ACTION.SELL
trade_ind.set_fill_info(price=0.0, size=pos_diff, date=date, time=60000, no=self.POSITION_ADJUST_NO)
self.ctx.strategy.on_trade(trade_ind)
def delist_adjust(self):
df_inst = self.ctx.dataview.data_inst
start = self.last_rebalance_date # start will be one day later
end = self.current_rebalance_date # end is the same to ensure position adjusted for dividend on rebalance day
mask = np.logical_and(df_inst['delist_date'] >= start, df_inst['delist_date'] <= end)
dic_inst = df_inst.loc[mask, :].to_dict(orient='index')
if not dic_inst:
return
pm = self.ctx.pm
for symbol in pm.holding_securities.copy():
value_dic = dic_inst.get(symbol, None)
if value_dic is None:
continue
pos = pm.get_position(symbol).current_size
last_trade_date = self._get_last_trade_date(value_dic['delist_date'])
last_close_price = self.ctx.dataview.get_snapshot(last_trade_date, symbol=symbol, fields='close')
last_close_price = last_close_price.at[symbol, 'close']
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.DELIST_ADJUST_NO
trade_ind.entrust_no = self.DELIST_ADJUST_NO
trade_ind.entrust_action = common.ORDER_ACTION.SELL # for now only BUY
trade_ind.set_fill_info(price=last_close_price, size=pos,
date=last_trade_date, time=150000, no=self.DELIST_ADJUST_NO)
self.ctx.strategy.cash += trade_ind.fill_price * trade_ind.fill_size
#self.ctx.pm.cash += trade_ind.fill_price * trade_ind.fill_size
self.ctx.strategy.on_trade(trade_ind)
def generate_cash_trade_ind(symbol, amount, date, time=200000):
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = 0
trade_ind.entrust_no = "0"
trade_ind.set_fill_info(price=0.0, size=abs(amount), date=date, time=time, no="0")
trade_ind2 = Trade()
trade_ind2.symbol = symbol
trade_ind2.task_id = 0
trade_ind2.entrust_no = "0"
trade_ind2.set_fill_info(price=1.0, size=abs(amount), date=date, time=time, no="0")
if amount > 0:
trade_ind.entrust_action = common.ORDER_ACTION.BUY
trade_ind2.entrust_action = common.ORDER_ACTION.SELL
else:
trade_ind.entrust_action = common.ORDER_ACTION.SELL
trade_ind2.entrust_action = common.ORDER_ACTION.BUY
return trade_ind, trade_ind2
def position_adjust(self):
"""
adjust happens after market close
Before each re-balance day, adjust for all dividend and cash paid actions during the last period.
We assume all cash will be re-invested.
Since we adjust our position at next re-balance day, PnL before that may be incorrect.
"""
start = self.last_rebalance_date # start will be one day later
end = self.current_rebalance_date # end is the same to ensure position adjusted for dividend on rebalance day
df_adj = self.ctx.dataview.get_ts('_daily_adjust_factor',
start_date=start,
end_date=end)
# FIXME: the first day should have been balanced before?
df_adj = df_adj[1:]
pm = self.ctx.pm
# Find symbols which has adj_factor not equaling 1
tmp = df_adj[df_adj != 1].fillna(0.0).sum()
adj_symbols = set(tmp[tmp != 0].index).intersection(
pm.holding_securities)
#for symbol in pm.holding_securities:
for symbol in adj_symbols:
ser = df_adj.loc[:, symbol]
ser_adj = ser.dropna()
for date, ratio in ser_adj.iteritems():
pos_old = pm.get_position(symbol).current_size
# TODO pos will become float, original: int
pos_new = pos_old * ratio
pos_diff = pos_new - pos_old # must be positive
if pos_diff <= 0:
# TODO this is possible
# raise ValueError("pos_diff <= 0")
continue
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.POSITION_ADJUST_NO
trade_ind.entrust_no = self.POSITION_ADJUST_NO
trade_ind.entrust_action = common.ORDER_ACTION.BUY # for now only BUY
trade_ind.set_fill_info(price=0.0,
size=pos_diff,
date=date,
time=200000,
no=self.POSITION_ADJUST_NO,
trade_date=date)
self.ctx.strategy.on_trade(trade_ind)
def position_adjust(self):
"""
adjust happens after market close
Before each re-balance day, adjust for all dividend and cash paid actions during the last period.
We assume all cash will be re-invested.
Since we adjust our position at next re-balance day, PnL before that may be incorrect.
"""
start = self.last_rebalance_date # start will be one day later
end = self.current_rebalance_date # end is the same to ensure position adjusted for dividend on rebalance day
df_adj = self.ctx.dataview.get_ts('adjust_factor',
start_date=start,
end_date=end)
pm = self.ctx.pm
for symbol in pm.holding_securities:
ser = df_adj.loc[:, symbol]
ser_div = ser.div(ser.shift(1)).fillna(1.0)
mask_diff = ser_div != 1
ser_adj = ser_div.loc[mask_diff]
for date, ratio in ser_adj.iteritems():
pos_old = pm.get_position(symbol).current_size
# TODO pos will become float, original: int
pos_new = pos_old * ratio
pos_diff = pos_new - pos_old # must be positive
if pos_diff <= 0:
# TODO this is possible
# raise ValueError("pos_diff <= 0")
continue
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.POSITION_ADJUST_NO
trade_ind.entrust_no = self.POSITION_ADJUST_NO
trade_ind.entrust_action = common.ORDER_ACTION.BUY # for now only BUY
trade_ind.set_fill_info(price=0.0,
size=pos_diff,
date=date,
time=200000,
no=self.POSITION_ADJUST_NO)
self.ctx.strategy.on_trade(trade_ind)
def position_adjust(self):
"""
adjust happens after market close
Before each re-balance day, adjust for all dividend and cash paid actions during the last period.
We assume all cash will be re-invested.
Since we adjust our position at next re-balance day, PnL before that may be incorrect.
"""
start = self.last_rebalance_date # start will be one day later
end = self.current_rebalance_date # end is the same to ensure position adjusted for dividend on rebalance day
df_adj = self.ctx.dataview.get_ts('adjust_factor',
start_date=start, end_date=end)
pm = self.ctx.pm
for symbol in pm.holding_securities:
ser = df_adj.loc[:, symbol]
ser_div = ser.div(ser.shift(1)).fillna(1.0)
mask_diff = ser_div != 1
ser_adj = ser_div.loc[mask_diff]
for date, ratio in ser_adj.iteritems():
pos_old = pm.get_position(symbol).current_size
# TODO pos will become float, original: int
pos_new = pos_old * ratio
pos_diff = pos_new - pos_old # must be positive
if pos_diff <= 0:
# TODO this is possible
# raise ValueError("pos_diff <= 0")
continue
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.POSITION_ADJUST_NO
trade_ind.entrust_no = self.POSITION_ADJUST_NO
trade_ind.entrust_action = common.ORDER_ACTION.BUY # for now only BUY
trade_ind.set_fill_info(price=0.0, size=pos_diff, date=date, time=200000, no=self.POSITION_ADJUST_NO)
self.ctx.strategy.on_trade(trade_ind)