def __init__(self, sim_params, risk_models, fuse_model):
"""构建可变、不可变的组合、账户"""
# self._portfolio = MutableView(Portfolio(sim_params))
self._portfolio = Portfolio(sim_params)
self.position_tracker = PositionTracker()
self.risk_alert = UnionRisk(risk_models)
self.fuse_risk = fuse_model
self._processed_transaction = []
self._previous_total_returns = 0
# self._dirty_positions = True
self._dirty_portfolio = True
def testGetInstrumentQuantity(self):
portfolio = Portfolio('USD')
cash_flow = CashFlow(self.date,1000,'USD')
trade = Trade(self.date,self.financial_instrument, 10, self.financial_instrument.get_close_value(self.date))
cash_flow_trade = CashFlow(self.date, -trade.get_value(self.date, 'USD'),'USD')
portfolio.add_transaction(cash_flow)
portfolio.add_transaction(trade)
portfolio.add_transaction(cash_flow_trade)
# check the expo
self.assertEqual(10, portfolio.get_instrument_quantity(self.financial_instrument), 'good quantity')
def execute(self):
options = Command._parse_flags(
['tickers', 'start_date', 'end_date', 'strategy'])
market = load_market(options['start_date'], options['end_date'],
options['tickers'])
portfolio = Portfolio()
simulation = Simulation(portfolio, market)
trades = get_trades(options)
simulation.run(trades)
print(simulation)
def testGetValue(self):
portfolio = Portfolio('USD')
cash_flow = CashFlow(self.date,1000,'USD')
trade = Trade(self.date,self.financial_instrument, 1, self.financial_instrument.get_close_value(self.date))
cash_flow_trade = CashFlow(self.date, -trade.get_value(self.date, 'USD'),'USD')
portfolio.add_transaction(cash_flow)
portfolio.add_transaction(trade)
portfolio.add_transaction(cash_flow_trade)
# check portfolio value at trading date
self.assertEqual(portfolio.get_value(self.date), 1000, 'initial value')
# check portfolio value after
other_date = self.date + timedelta(days=1)
self.assertEqual(portfolio.get_value(other_date), 1005, 'new value')
# check portfolio value before
other_date = self.date + timedelta(days=-1)
self.assertEqual(portfolio.get_value(other_date), 0, 'new value')
class Ledger(object):
"""
the ledger tracks all orders and transactions as well as the current state of the portfolio and positions
逻辑 --- 核心position_tracker （ process_execution ,handle_splits , handle_dividend ) --- 生成position_stats
更新portfolio --- 基于portfolio更新account
--- 在交易开始之前决定是否退出position 由于risk management
优化:
# event manager 用于处理ledger(righted violated expired postion) trigger -- callback pattern
"""
__slots__ = [
'_portfolio', 'position_tracker', 'fuse_risk', 'risk_alert',
'_processed_transaction', '_previous_total_returns',
'_dirty_portfolio', '_dirty_positions', 'daily_returns_series'
]
def __init__(self, sim_params, risk_models, fuse_model):
"""构建可变、不可变的组合、账户"""
# self._portfolio = MutableView(Portfolio(sim_params))
self._portfolio = Portfolio(sim_params)
self.position_tracker = PositionTracker()
self.risk_alert = UnionRisk(risk_models)
self.fuse_risk = fuse_model
self._processed_transaction = []
self._previous_total_returns = 0
# self._dirty_positions = True
self._dirty_portfolio = True
@property
def positions(self):
# assert not self._dirty_positions, 'positions are not accurate'
return self.position_tracker.get_positions()
@property
def portfolio(self):
assert not self._dirty_portfolio, 'portfolio is not accurate'
return self._portfolio
@property
def account(self):
return Account(self.portfolio)
def _cash_flow(self, capital_amount):
"""
update the cash of portfolio
"""
p = self._portfolio
# p.cash_flow += capital_amount
p.portfolio_cash = capital_amount
def start_of_session(self, session_ix):
# handle splits and update last_sync_date
left_cash = self.position_tracker.handle_splits(session_ix)
print('start handle split cash', left_cash)
self._cash_flow(left_cash)
self._previous_total_returns = self._portfolio.returns
self._portfolio.positions = self.positions
# update portfolio daily value
self._portfolio.record_daily_value(session_ix)
self._dirty_portfolio = False
print('start portfolio cash', self.portfolio.portfolio_cash)
# self._dirty_positions = True
def process_transaction(self, transactions):
print('ledger process_transaction')
txn_capital = self.position_tracker.handle_transactions(transactions)
print('txn_capital', txn_capital)
self._cash_flow(txn_capital)
self._processed_transaction.extend(transactions)
def _calculate_portfolio_stats(self):
# 计算持仓组合净值
position_values = sum(
[p.amount * p.last_sync_price for p in self.positions.values()])
# print('position_values', position_values)
# 持仓组合
portfolio = self._portfolio
self._previous_total_returns = portfolio.returns
# 组合净值（持仓净值 + 现金）
start_value = portfolio.portfolio_value
# print('start_value', start_value)
# portfolio.portfolio_value = end_value = \
# position_values + portfolio.start_cash
portfolio.portfolio_value = end_value = \
position_values + portfolio.portfolio_cash
# print('portfolio_cash', portfolio.portfolio_cash)
# 更新组合投资的收益，并计算组合的符合收益率
pnl = end_value - start_value
# print('pnl', pnl)
returns = pnl / start_value
# print('daily returns', returns)
portfolio.pnl += pnl
# 复合收益率
portfolio.returns = \
(1+portfolio.returns) * (1+returns) - 1
# print('cum returns', portfolio.returns)
# 更新持仓价值
portfolio.positions_values = position_values
# 更新组合持仓
portfolio.positions = self.positions
# 资金使用效率
portfolio.utility = position_values / end_value
# print('portfolio utility', portfolio.utility)
self._dirty_portfolio = False
def daily_position_pnl(self, dts):
"""
param dts: %Y-%m-%d --- 包括已有持仓以及当天关闭持仓的收益率
"""
assert not self._dirty_portfolio, 'stats is accurate after end_session'
symbol_pnl = dict()
for asset, p in self.positions.items():
symbol_pnl[asset.sid] = p.amount * (p.last_sync_price -
p.cost_basis)
# 计算closed position
dts = dts if isinstance(dts, str) else dts.strftime('%Y-%m-%d')
closed_position = self.position_tracker.record_closed_position[dts]
for p in closed_position:
symbol_pnl[p.asset.sid] = p.amount * (p.last_sync_price -
p.cost_basis)
# merge same sid
symbol_pnl = merge_with(sum, symbol_pnl)
return symbol_pnl
def end_of_session(self):
self._dirty_portfolio = True
# synchronize() -- update position attr and calculate position returns
self.position_tracker.synchronize()
# self._dirty_positions = False
self._calculate_portfolio_stats()
self._dirty_portfolio = False
self.fuse_risk.trigger(self._portfolio)
print('end session ledger positions', self.positions)
# print('end session portfolio daily value', self.portfolio.portfolio_daily_value)
def get_transactions(self, dt):
"""
:param dt: %Y-%m-%d
:return: transactions on the dt
"""
transactions_on_dt = [
txn for txn in self._processed_transaction
if txn.created_dt.strftime('%Y-%m-%d') == dt.strftime('%Y-%m-%d')
]
return transactions_on_dt
def get_violate_risk_positions(self):
# 获取违反风控管理的仓位
violate_positions = [
p for p in self.positions.values()
if self.risk_alert.should_trigger(p)
]
return violate_positions
def get_rights_positions(self, dts):
# 获取当天为配股登记日的仓位 --- 卖出 因为需要停盘产生机会成本
assets = set(self.positions)
# print('ledger assets', assets)
rights = self.position_tracker.retrieve_equity_rights(assets, dts)
# print('ledger rights', rights)
mapping_protocol = keymap(lambda x: x.sid, self.positions)
# print('ledger mapping_protocol', mapping_protocol)
union_assets = set(mapping_protocol) & set(rights.index)
# print('ledger union_assets', union_assets)
union_positions = keyfilter(lambda x: x in union_assets,
mapping_protocol) if union_assets else None
# print('ledger union_positions', union_positions)
right_positions = list(
union_positions.values()) if union_positions else []
# print('right_positions', right_positions)
return right_positions
def _cleanup_expired_assets(self, dt):
"""
Clear out any assets that have expired before starting a new sim day.
Finds all assets for which we have positions and generates
close_position events for any assets that have reached their
close_date.
"""
def past_close_date(asset):
acd = asset.last_traded
return acd is not None and acd == dt
# Remove positions in any sids that have reached their auto_close date.
positions_to_clear = \
[p for symbol, p in self.positions.items() if past_close_date(symbol)]
return positions_to_clear
def get_expired_positions(self, dts):
expires = self._cleanup_expired_assets(dts)
return expires
