def __init__(self, strategy_name=None, user_cookie=None, market_type=MARKET_TYPE.STOCK_CN, frequence=FREQUENCE.DAY,
broker=BROKER_TYPE.BACKETEST, portfolio_cookie=None, account_cookie=None,
sell_available={}, init_assets=None, cash=None, history=None, commission_coeff=0.00025, tax_coeff=0.0015,
margin_level=False, allow_t0=False, allow_sellopen=False):
"""
:param strategy_name: 策略名称
:param user_cookie: 用户cookie
:param market_type: 市场类别 默认QA.MARKET_TYPE.STOCK_CN A股股票
:param frequence: 账户级别 默认日线QA.FREQUENCE.DAY
:param broker: BROEKR类 默认回测 QA.BROKER_TYPE.BACKTEST
:param portfolio_cookie: 组合cookie
:param account_cookie: 账户cookie
:param sell_available: 可卖股票数
:param init_assets: 初始资产 默认 1000000 元 （100万）
:param cash: 可用现金 默认 是 初始资产 list 类型
:param history: 交易历史
:param commission_coeff: 交易佣金 :默认 万2.5 float 类型
:param tax_coeff: 印花税 :默认 千1.5 float 类型
:param margin_level: 保证金比例 默认False
:param allow_t0: 是否允许t+0交易 默认False
:param allow_sellopen: 是否允许卖空开仓 默认False
"""
super().__init__()
self._history_headers = ['datetime', 'code', 'price',
'amount', 'order_id', 'trade_id',
'account_cookie', 'commission', 'tax']
########################################################################
# 信息类:
self.strategy_name = strategy_name
self.user_cookie = user_cookie
self.market_type = market_type
self.portfolio_cookie = portfolio_cookie
self.account_cookie = QA_util_random_with_topic(
'Acc') if account_cookie is None else account_cookie
self.broker = broker
self.frequence = frequence
self.market_data = None
self._currenttime = None
self.commission_coeff = commission_coeff
self.tax_coeff = tax_coeff
self.running_time = datetime.datetime.now()
########################################################################
# 资产类
self.orders = QA_OrderQueue() # 历史委托单
self.init_assets = 1000000 if init_assets is None else init_assets
self.cash = [self.init_assets] if cash is None else cash
self.cash_available = self.cash[-1] # 可用资金
self.sell_available = sell_available
self.history = [] if history is None else history
self.time_index = []
########################################################################
# 规则类
# 两个规则
# 1.是否允许t+0 及买入及结算
# 2.是否允许卖空开仓
# 3.是否允许保证金交易/ 如果不是false 就需要制定保证金比例(dict形式)
self.allow_t0 = allow_t0
self.allow_sellopen = allow_sellopen
self.margin_level = margin_level
def __init__(self, *args, **kwargs):
super().__init__()
self.order_queue = QA_OrderQueue()
self.type = EVENT_TYPE.MARKET_EVENT
self.event = QA_Event()
self.order_status = pd.DataFrame()
self.deal_status = pd.DataFrame()
self.if_start_orderquery = False
def __init__(self,
strategy_name=None,
user_cookie=None,
portfolio_cookie=None,
account_cookie=None,
market_type=MARKET_TYPE.STOCK_CN,
frequence=FREQUENCE.DAY,
broker=BROKER_TYPE.BACKETEST,
init_hold={},
init_cash=1000000,
commission_coeff=0.00025,
tax_coeff=0.001,
margin_level=False,
allow_t0=False,
allow_sellopen=False,
running_environment=RUNNING_ENVIRONMENT.BACKETEST):
"""
:param [str] strategy_name: 策略名称
:param [str] user_cookie: 用户cookie
:param [str] portfolio_cookie: 组合cookie
:param [str] account_cookie: 账户cookie
:param [dict] init_hold 初始化时的股票资产
:param [float] init_cash: 初始化资金
:param [float] commission_coeff: 交易佣金 :默认 万2.5 float 类型
:param [float] tax_coeff: 印花税 :默认 千1.5 float 类型
:param [Bool] margin_level: 保证金比例 默认False
:param [Bool] allow_t0: 是否允许t+0交易 默认False
:param [Bool] allow_sellopen: 是否允许卖空开仓 默认False
:param [QA.PARAM] market_type: 市场类别 默认QA.MARKET_TYPE.STOCK_CN A股股票
:param [QA.PARAM] frequence: 账户级别 默认日线QA.FREQUENCE.DAY
:param [QA.PARAM] broker: BROEKR类 默认回测 QA.BROKER_TYPE.BACKTEST
:param [QA.PARAM] running_environment 当前运行环境 默认Backtest
# 2018/06/11 init_assets 从float变为dict,并且不作为输入,作为只读属性
# :param [float] init_assets: 初始资产 默认 1000000 元 （100万）
init_assets:{
cash: xxx,
stock: {'000001':2000},
init_date: '2018-02-05',
init_datetime: '2018-02-05 15:00:00'
}
# 2018/06/11 取消在初始化的时候的cash和history输入
# :param [list] cash: 可用现金 默认 是 初始资产 list 类型
# :param [list] history: 交易历史
# 2018/11/9 修改保证金交易
# 我们把冻结的保证金 看做是未来的已实现交易:
# 如==> 当前的一手空单 认为是未来的卖出成交(已知价格 不知时间)
# 因此我们如此对于保证金交易进行评估:
# 账户买入:
多单开仓: cash 下降x 保证金增加x 增加一手未来的卖出合约(持仓) ==> 平仓: cash上升 保证金恢复
cash + frozen(平仓释放) + 未平仓位
cash, available_cash
frozen{
RB1901: {
towards 2: {avg_money : xxx, amount: xxx, queue: collection.deque()},
towards -2: {avg_money, amount, queue: collection.deque()}
},
IF1901: {
towards 2: {avg_money, amount,queue: collection.deque()},
towards -2: {avg_money, amount,queue: collection.deque()}
}
}
}
hold: {
RB1901: {
1, amount, # 多单待平仓
-1, amount # 空单待平仓
}
}
"""
super().__init__()
# warnings.warn('QUANTAXIS 1.0.46 has changed the init_assets ==> init_cash, please pay attention to this change if you using init_cash to initial an account class,\
# ', DeprecationWarning, stacklevel=2)
self._history_headers = [
'datetime', 'code', 'price', 'amount', 'cash', 'order_id',
'realorder_id', 'trade_id', 'account_cookie', 'commission', 'tax',
'message'
]
########################################################################
# 信息类:
self.strategy_name = strategy_name
self.user_cookie = user_cookie
self.portfolio_cookie = portfolio_cookie
self.account_cookie = QA_util_random_with_topic(
'Acc') if account_cookie is None else account_cookie
self.market_type = market_type
self.broker = broker
self.frequence = frequence
self.running_environment = running_environment
########################################################################
self._market_data = None
self._currenttime = None
self.commission_coeff = commission_coeff
self.tax_coeff = tax_coeff
self.datetime = None
self.running_time = datetime.datetime.now()
self.quantaxis_version = __version__
########################################################################
# 资产类
self.orders = QA_OrderQueue() # 历史委托单
self.init_cash = init_cash
self.init_hold = pd.Series(init_hold, name='amount') if isinstance(
init_hold, dict) else init_hold
self.init_hold.index.name = 'code'
self.cash = [self.init_cash]
self.cash_available = self.cash[-1] # 可用资金
self.sell_available = copy.deepcopy(self.init_hold)
self.buy_available = copy.deepcopy(self.init_hold)
self.history = []
self.time_index = []
########################################################################
# 规则类
# 1.是否允许t+0 及买入及结算
# 2.是否允许卖空开仓
# 3.是否允许保证金交易/ 如果不是false 就需要制定保证金比例(dict形式)
# 期货: allow_t0 True allow_sellopen True
#
self.allow_t0 = allow_t0
self.allow_sellopen = allow_sellopen
self.margin_level = margin_level # 保证金比例
"""期货的多开/空开 ==> 资金冻结进保证金 frozen
对应平仓的时候, 释放保证金
1. frozen 是一个dict : {[code]:queue}
key是标的 value是对应的交易queue
"""
self.frozen = {} # 冻结资金(保证金)
def __init__(self,
strategy_name=None,
user_cookie=None,
portfolio_cookie=None,
account_cookie=None,
market_type=MARKET_TYPE.STOCK_CN,
frequence=FREQUENCE.DAY,
broker=BROKER_TYPE.BACKETEST,
init_hold={},
init_cash=1000000,
commission_coeff=0.00025,
tax_coeff=0.0015,
margin_level=False,
allow_t0=False,
allow_sellopen=False,
running_environment=RUNNING_ENVIRONMENT.BACKETEST):
"""
:param [str] strategy_name: 策略名称
:param [str] user_cookie: 用户cookie
:param [str] portfolio_cookie: 组合cookie
:param [str] account_cookie: 账户cookie
:param [dict] init_hold 初始化时的股票资产
:param [float] init_cash: 初始化资金
:param [float] commission_coeff: 交易佣金 :默认 万2.5 float 类型
:param [float] tax_coeff: 印花税 :默认 千1.5 float 类型
:param [Bool] margin_level: 保证金比例 默认False
:param [Bool] allow_t0: 是否允许t+0交易 默认False
:param [Bool] allow_sellopen: 是否允许卖空开仓 默认False
:param [QA.PARAM] market_type: 市场类别 默认QA.MARKET_TYPE.STOCK_CN A股股票
:param [QA.PARAM] frequence: 账户级别 默认日线QA.FREQUENCE.DAY
:param [QA.PARAM] broker: BROEKR类 默认回测 QA.BROKER_TYPE.BACKTEST
:param [QA.PARAM] running_environment 当前运行环境 默认Backtest
# 2018/06/11 init_assets 从float变为dict,并且不作为输入,作为只读属性
# :param [float] init_assets: 初始资产 默认 1000000 元 （100万）
init_assets:{
cash: xxx,
stock: {'000001':2000},
init_date: '2018-02-05',
init_datetime: '2018-02-05 15:00:00'
}
# 2018/06/11 取消在初始化的时候的cash和history输入
# :param [list] cash: 可用现金 默认 是 初始资产 list 类型
# :param [list] history: 交易历史
"""
super().__init__()
warnings.warn(
'QUANTAXIS 1.0.46 has changed the init_assets ==> init_cash, please pay attention to this change if you using init_cash to initial an account class,\
',
DeprecationWarning,
stacklevel=2)
self._history_headers = [
'datetime', 'code', 'price', 'amount', 'cash', 'order_id',
'trade_id', 'account_cookie', 'commission', 'tax'
]
########################################################################
# 信息类:
self.strategy_name = strategy_name
self.user_cookie = user_cookie
self.portfolio_cookie = portfolio_cookie
self.account_cookie = QA_util_random_with_topic(
'Acc') if account_cookie is None else account_cookie
self.market_type = market_type
self.broker = broker
self.frequence = frequence
self.running_environment = running_environment
########################################################################
self.market_data = None
self._currenttime = None
self.commission_coeff = commission_coeff
self.tax_coeff = tax_coeff
self.datetime = None
self.running_time = datetime.datetime.now()
self.quantaxis_version = __version__
########################################################################
# 资产类
self.orders = QA_OrderQueue() # 历史委托单
self.init_cash = init_cash
self.init_hold = pd.Series(init_hold, name='amount') if isinstance(
init_hold, dict) else init_hold
self.init_hold.index.name = 'code'
self.cash = [self.init_cash]
self.cash_available = self.cash[-1] # 可用资金
self.sell_available = copy.deepcopy(self.init_hold)
self.buy_available = copy.deepcopy(self.init_hold)
self.history = []
self.time_index = []
########################################################################
# 规则类
# 两个规则
# 1.是否允许t+0 及买入及结算
# 2.是否允许卖空开仓
# 3.是否允许保证金交易/ 如果不是false 就需要制定保证金比例(dict形式)
self.allow_t0 = allow_t0
self.allow_sellopen = allow_sellopen
self.margin_level = margin_level
def __init__(self, *args, **kwargs):
super().__init__()
self.order_queue = QA_OrderQueue()
self.type = EVENT_TYPE.MARKET_EVENT
self.event = QA_Event()
