def bought_value(self):
"""
[已弃用]
"""
user_system_log.warn(
_(u"[abandon] {} is no longer valid.").format(
'stock_position.bought_value'))
return self._quantity * self._avg_price
def average_cost(self):
"""
[已弃用] 请使用 avg_price 获取持仓买入均价
"""
user_system_log.warn(
_(u"[abandon] {} is no longer valid.").format(
'stock_position.average_cost'))
return self._avg_price
def sold_value(self):
"""
[已弃用]
"""
user_system_log.warn(
_(u"[abandon] {} is no longer valid.").format(
'stock_position.sold_value'))
return 0
def set_state(self, state):
dict_data = pickle.loads(state)
for key, value in six.iteritems(dict_data):
try:
self.__dict__[key] = pickle.loads(value)
system_log.debug("restore context.{} {}", key, type(self.__dict__[key]))
except Exception as e:
user_system_log.warn('context.{} can not restore', key)
def get_state(self):
dict_data = {}
for key, value in six.iteritems(self.__dict__):
try:
dict_data[key] = pickle.dumps(value)
except Exception as e:
user_detail_log.exception("g.{} can not pickle", key)
user_system_log.warn("g.{} can not pickle", key)
return pickle.dumps(dict_data)
def get_state(self):
dict_data = {}
for key, value in six.iteritems(self.__dict__):
if key.startswith("_"):
continue
try:
dict_data[key] = pickle.dumps(value)
except Exception as e:
user_system_log.warn("context.{} can not pickle", key)
return pickle.dumps(dict_data)
def _on_settlement(self, event):
for position in list(self._positions.values()):
order_book_id = position.order_book_id
if position.is_de_listed() and position.quantity != 0:
if Environment.get_instance(
).config.validator.cash_return_by_stock_delisted:
self._total_cash += position.market_value
user_system_log.warn(
_(u"{order_book_id} is expired, close all positions by system"
).format(order_book_id=order_book_id))
self._positions.pop(order_book_id, None)
elif position.quantity == 0:
self._positions.pop(order_book_id, None)
else:
position.apply_settlement()
self._transaction_cost = 0
self._backward_trade_set.clear()
self._handle_dividend_book_closure(event.trading_dt.date())
def __init__(self, event_bus, scope, ucontext):
self._user_context = ucontext
self._current_universe = set()
self._init = scope.get('init', None)
self._handle_bar = scope.get('handle_bar', None)
self._handle_tick = scope.get('handle_tick', None)
func_before_trading = scope.get('before_trading', None)
if func_before_trading is not None and func_before_trading.__code__.co_argcount > 1:
self._before_trading = lambda context: func_before_trading(context, None)
user_system_log.warn(_(u"deprecated parameter[bar_dict] in before_trading function."))
else:
self._before_trading = func_before_trading
self._after_trading = scope.get('after_trading', None)
if self._before_trading is not None:
event_bus.add_listener(EVENT.BEFORE_TRADING, self.before_trading)
if self._handle_bar is not None:
event_bus.add_listener(EVENT.BAR, self.handle_bar)
if self._handle_tick is not None:
event_bus.add_listener(EVENT.TICK, self.handle_tick)
if self._after_trading is not None:
event_bus.add_listener(EVENT.AFTER_TRADING, self.after_trading)
self._before_day_trading = scope.get('before_day_trading', None)
self._before_night_trading = scope.get('before_night_trading', None)
if self._before_day_trading is not None:
user_system_log.warn(_(u"[deprecated] before_day_trading is no longer used. use before_trading instead."))
if self._before_night_trading is not None:
user_system_log.warn(_(u"[deprecated] before_night_trading is no longer used. use before_trading instead."))
def _is_valid_instrument(self, func_name, value):
config = Environment.get_instance().config
global index_contract_warning_flag
if isinstance(value, six.string_types):
if config.base.run_type == RUN_TYPE.PAPER_TRADING:
if "88" in value:
raise RQInvalidArgument(
_(u"Main Future contracts[88] are not supported in paper trading."
))
if "99" in value:
raise RQInvalidArgument(
_(u"Index Future contracts[99] are not supported in paper trading."
))
else:
if "88" in value:
global main_contract_warning_flag
if main_contract_warning_flag:
main_contract_warning_flag = False
user_system_log.warn(
_(u"Main Future contracts[88] are not supported in paper trading."
))
if "99" in value:
global index_contract_warning_flag
if index_contract_warning_flag:
index_contract_warning_flag = False
user_system_log.warn(
_(u"Index Future contracts[99] are not supported in paper trading."
))
instrument = Environment.get_instance().get_instrument(value)
if instrument is None:
self.raise_not_valid_instrument_error(func_name,
self._arg_name, value)
return
if isinstance(value, Instrument):
return
self.raise_not_valid_instrument_error(func_name, self._arg_name, value)
def order(id_or_ins, amount, side, position_effect, style):
if not isinstance(style, OrderStyle):
raise RuntimeError
if amount <= 0:
raise RuntimeError
if isinstance(style, LimitOrder) and style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_future_order_book_id(id_or_ins)
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if np.isnan(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
return
amount = int(amount)
r_order = Order.__from_create__(env.calendar_dt, env.trading_dt,
order_book_id, amount, side, style,
position_effect)
if np.isnan(price) or price == 0:
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
r_order.mark_rejected(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
return r_order
if r_order.type == ORDER_TYPE.MARKET:
r_order.set_frozen_price(price)
if env.can_submit_order(r_order):
env.broker.submit_order(r_order)
return r_order
def _settlement(self, event):
old_margin = self.margin
old_holding_pnl = self.holding_pnl
for position in list(self._positions.values()):
order_book_id = position.order_book_id
if position.is_de_listed() and position.buy_quantity + position.sell_quantity != 0:
self._total_cash += position.market_value * position.margin_rate
user_system_log.warn(
_(u"{order_book_id} is expired, close all positions by system").format(order_book_id=order_book_id))
del self._positions[order_book_id]
elif position.buy_quantity == 0 and position.sell_quantity == 0:
del self._positions[order_book_id]
else:
position.apply_settlement()
self._total_cash = self._total_cash + (old_margin - self.margin) + old_holding_pnl
self._transaction_cost = 0
# 如果 total_value <= 0 则认为已爆仓，清空仓位，资金归0
if self.total_value <= 0:
self._positions.clear()
self._total_cash = 0
self._backward_trade_set.clear()
def pnl(self):
"""
[已弃用] 请使用 total_value
"""
user_system_log.warn(_(u"[abandon] {} is no longer used.").format('account.pnl'))
return 0
def starting_cash(self):
"""
[已弃用] 请使用 total_value
"""
user_system_log.warn(_(u"[abandon] {} is no longer used.").format('account.starting_cash'))
return 0
def portfolio_value(self):
"""
[已弃用] 请使用 total_value
"""
user_system_log.warn(_(u"[abandon] {} is no longer used.").format('account.portfolio_value'))
return self.total_value
def short_selling_allowed(self, value):
user_system_log.warn(_(u"[abandon] {} is no longer used.").format('context.short_selling_allowed'))
def commission(self, value):
user_system_log.warn(_(u"[abandon] {} is no longer used.").format('context.commission'))
def margin_rate(self, value):
user_system_log.warn(_(u"[abandon] {} is no longer used.").format('context.margin_rate'))
def slippage(self, value):
user_system_log.warn(_(u"[abandon] {} is no longer used.").format('context.slippage'))
def order_shares(id_or_ins, amount, style=MarketOrder()):
"""
落指定股数的买/卖单，最常见的落单方式之一。如有需要落单类型当做一个参量传入，如果忽略掉落单类型，那么默认是市价单（market order）。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param int amount: 下单量, 正数代表买入，负数代表卖出。将会根据一手xx股来向下调整到一手的倍数，比如中国A股就是调整成100股的倍数。
:param style: 下单类型, 默认是市价单。目前支持的订单类型有 :class:`~LimitOrder` 和 :class:`~MarketOrder`
:type style: `OrderStyle` object
:return: :class:`~Order` object
:example:
.. code-block:: python
#购买Buy 2000 股的平安银行股票，并以市价单发送：
order_shares('000001.XSHE', 2000)
#卖出2000股的平安银行股票，并以市价单发送：
order_shares('000001.XSHE', -2000)
#购买1000股的平安银行股票，并以限价单发送，价格为￥10：
order_shares('000001.XSHG', 1000, style=LimitOrder(10))
"""
if amount is 0:
# 如果下单量为0，则认为其并没有发单，则直接返回None
return None
if not isinstance(style, OrderStyle):
raise RQInvalidArgument(_(u"style should be OrderStyle"))
if isinstance(style, LimitOrder):
if style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_stock_order_book_id(id_or_ins)
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if np.isnan(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
return
if amount > 0:
side = SIDE.BUY
else:
amount = abs(amount)
side = SIDE.SELL
round_lot = int(env.get_instrument(order_book_id).round_lot)
try:
amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
except ValueError:
amount = 0
r_order = Order.__from_create__(env.calendar_dt, env.trading_dt,
order_book_id, amount, side, style, None)
if price == 0:
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
r_order.mark_rejected(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
return r_order
if amount == 0:
# 如果计算出来的下单量为0, 则不生成Order, 直接返回None
# 因为很多策略会直接在handle_bar里面执行order_target_percent之类的函数，经常会出现下一个量为0的订单，如果这些订单都生成是没有意义的。
r_order.mark_rejected(_(u"Order Creation Failed: 0 order quantity"))
return r_order
if r_order.type == ORDER_TYPE.MARKET:
r_order.set_frozen_price(price)
if env.can_submit_order(r_order):
env.broker.submit_order(r_order)
return r_order
def mark_rejected(self, reject_reason):
if not self.is_final():
self._message = reject_reason
self._status = ORDER_STATUS.REJECTED
user_system_log.warn(reject_reason)
def daily_realized_pnl(self):
"""
[已弃用] 请使用 realized_pnl
"""
user_system_log.warn(_(u"[abandon] {} is no longer used.").format('future_account.daily_realized_pnl'))
return self.realized_pnl
def total_trades(self):
"""abandon"""
user_system_log.warn(
_(u"[abandon] {} is no longer valid.").format(
'position.total_trades'))
return 0
def future_portfolio(self):
user_system_log.warn(_(u"[abandon] {} is no longer used.").format('context.future_portfolio'))
return self.future_account
def benchmark(self, value):
user_system_log.warn(_(u"[abandon] {} is no longer used.").format('context.benchmark'))
def mark_cancelled(self, cancelled_reason, user_warn=True):
if not self.is_final():
self._message = cancelled_reason
self._status = ORDER_STATUS.CANCELLED
if user_warn:
user_system_log.warn(cancelled_reason)
def order_value(id_or_ins, cash_amount, style=MarketOrder()):
"""
使用想要花费的金钱买入/卖出股票，而不是买入/卖出想要的股数，正数代表买入，负数代表卖出。股票的股数总是会被调整成对应的100的倍数（在A中国A股市场1手是100股）。当您提交一个卖单时，该方法代表的意义是您希望通过卖出该股票套现的金额。如果金额超出了您所持有股票的价值，那么您将卖出所有股票。需要注意，如果资金不足，该API将不会创建发送订单。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param float cash_amount: 需要花费现金购买/卖出证券的数目。正数代表买入，负数代表卖出。
:param style: 下单类型, 默认是市价单。目前支持的订单类型有 :class:`~LimitOrder` 和 :class:`~MarketOrder`
:type style: `OrderStyle` object
:return: :class:`~Order` object
:example:
.. code-block:: python
#买入价值￥10000的平安银行股票，并以市价单发送。如果现在平安银行股票的价格是￥7.5，那么下面的代码会买入1300股的平安银行，因为少于100股的数目将会被自动删除掉：
order_value('000001.XSHE', 10000)
#卖出价值￥10000的现在持有的平安银行：
order_value('000001.XSHE', -10000)
"""
if not isinstance(style, OrderStyle):
raise RQInvalidArgument(_(u"style should be OrderStyle"))
if isinstance(style, LimitOrder):
if style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_stock_order_book_id(id_or_ins)
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if np.isnan(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
return
if price == 0:
return order_shares(order_book_id, 0, style)
account = env.portfolio.accounts[ACCOUNT_TYPE.STOCK]
round_lot = int(env.get_instrument(order_book_id).round_lot)
if cash_amount > 0:
cash_amount = min(cash_amount, account.cash)
if isinstance(style, MarketOrder):
amount = int(
Decimal(cash_amount) / Decimal(price) /
Decimal(round_lot)) * round_lot
else:
amount = int(
Decimal(cash_amount) / Decimal(style.get_limit_price()) /
Decimal(round_lot)) * round_lot
# if the cash_amount is larger than you current security’s position,
# then it will sell all shares of this security.
position = account.positions[order_book_id]
amount = downsize_amount(amount, position)
return order_shares(order_book_id, amount, style)
