def do_trade_by_policy(stock_info, action_item, action_item_policy,
current_date):
logging.debug("begin try_trade_by_policy, current_date:%s",
current_date)
current_date_str = DatetimeUtil.to_datetime_str(current_date)
current_stock_daily_info = PolicyReportUtil.get_the_stock_daily_info(
stock_info, current_date_str)
if current_stock_daily_info is None:
logging.debug("no stock info for %s", current_date_str)
return
assert 0 <= len(action_item.buy_stock_action) - len(
action_item.sell_stock_action)
assert len(action_item.buy_stock_action) - len(
action_item.sell_stock_action) <= 1
if not PolicyUtil.check_if_allow_trade(action_item, current_date):
logging.debug("not allow trade for %s", current_date)
logging.debug("end try_trade_by_policy")
return
if len(action_item.buy_stock_action) == len(
action_item.sell_stock_action):
stock_daily_info_list = PolicyUtil.filter_stock_daily_info_list(
stock_info, action_item_policy.buy.days_watch,
current_date_str)
trend_daily_info_list = PolicyUtil.filter_stock_daily_info_list(
stock_info, action_item_policy.buy.trend.days_watch,
current_date_str)
if stock_daily_info_list:
previous_stock_daily_info = PolicyReportUtil.get_previous_stock_daily_info(
stock_info, action_item.trade_watch_start_date,
current_date_str)
PolicyUtil.check_if_buy(stock_info.stock_id,
stock_daily_info_list,
trend_daily_info_list, action_item,
action_item_policy, current_date_str,
current_stock_daily_info,
previous_stock_daily_info)
else:
assert len(action_item.buy_stock_action) == len(
action_item.sell_stock_action) + 1
stock_daily_info_list = PolicyUtil.filter_stock_daily_info_list(
stock_info, action_item_policy.sell.days_watch,
current_date_str)
trend_daily_info_list = PolicyUtil.filter_stock_daily_info_list(
stock_info, action_item_policy.sell.trend.days_watch,
current_date_str)
if stock_daily_info_list:
PolicyUtil.check_if_sell(stock_info.stock_id,
stock_daily_info_list,
trend_daily_info_list, action_item,
action_item_policy, current_date_str,
current_stock_daily_info)
logging.debug("end try_trade_by_policy")
def test_get_the_stock_daily_info(self):
stock_info = StockInfo()
daily_info = stock_info.daily_info.add()
daily_info.date = "20170101"
daily_info = stock_info.daily_info.add()
daily_info.date = "20170102"
daily_info = stock_info.daily_info.add()
daily_info.date = "20170105"
self.assertTrue(
PolicyReportUtil.get_the_stock_daily_info(stock_info, "20170101"))
self.assertTrue(
PolicyReportUtil.get_the_stock_daily_info(stock_info, "20170102"))
self.assertTrue(not PolicyReportUtil.get_the_stock_daily_info(
stock_info, "20170103"))
self.assertTrue(
PolicyReportUtil.get_the_stock_daily_info(stock_info, "20170105"))
def test_greater_policy_report_roi_top(self):
left = PolicyReport()
left.roi = 1.0
left.stock_sell_times = 2
left.stock_buy_times = 2
left.trade_profit_times = 2
right = PolicyReport()
right.roi = 1.0
right.stock_sell_times = 2
right.stock_buy_times = 2
right.trade_profit_times = 2
self.assertTrue(
PolicyReportUtil.greater_policy_report_roi(left, right) == 0)
left.roi = 1.1
self.assertTrue(
PolicyReportUtil.greater_policy_report_roi(left, right) < 0)
left.roi = 1.0
left.stock_sell_times = 3
self.assertTrue(
PolicyReportUtil.greater_policy_report_roi(left, right) < 0)
left.stock_sell_times = 1
self.assertTrue(
not PolicyReportUtil.greater_policy_report_roi(left, right) < 0)
left.stock_sell_times = 2
left.stock_buy_times = 3
self.assertTrue(
PolicyReportUtil.greater_policy_report_roi(left, right) < 0)
left.stock_buy_times = 1
self.assertTrue(
not PolicyReportUtil.greater_policy_report_roi(left, right) < 0)
left.stock_buy_times = 2
left.trade_profit_times = 3
self.assertTrue(
PolicyReportUtil.greater_policy_report_roi(left, right) < 0)
def filter_stock_daily_info_list(stock_info, days_watch, current_date_str):
end_date = DatetimeUtil.from_date_str(current_date_str)
result = []
for i in range(days_watch, 0, -1):
the_date = end_date - datetime.timedelta(days=i)
the_daily_info = PolicyReportUtil.get_the_stock_daily_info(
stock_info, DatetimeUtil.to_datetime_str(the_date))
if the_daily_info:
result.append(the_daily_info)
return result
def test_get_cash_value_available(self):
action_item = Person.StockPolicyActionsItem()
action_item.cash_taken_in = 3001
action_item.trade_watch_start_date = "20170101"
action_item.trade_watch_end_date = "20170102"
buy_action = action_item.buy_stock_action.add()
buy_action.date = "20170101"
buy_action.at_price = 10
buy_action.volumn = 200
buy_action.stock_trade_cost = 1
self.assertEqual(
1000, PolicyReportUtil.get_cash_value_available(action_item))
def test_get_asset_value_out(self):
stock_info = StockInfo()
daily_info = stock_info.daily_info.add()
daily_info.date = "20170101"
daily_info.low = daily_info.high = daily_info.close = 10
daily_info = stock_info.daily_info.add()
daily_info.date = "20170102"
daily_info.low = daily_info.high = daily_info.close = 10.5
daily_info = stock_info.daily_info.add()
daily_info.date = "20170105"
daily_info.low = daily_info.high = daily_info.close = 10.1
action_item = Person.StockPolicyActionsItem()
action_item.cash_taken_in = 5100
action_item.trade_watch_start_date = "20170101"
action_item.trade_watch_end_date = "20170102"
buy_action = action_item.buy_stock_action.add()
buy_action.date = "20170101"
buy_action.at_price = 10
buy_action.volumn = 200
buy_action.stock_trade_cost = 1
self.assertEqual(
5100 - 1 - 10 * 200 + 10.5 * 200 - 1,
PolicyReportUtil.get_asset_value_out(stock_info, action_item))
action_item.trade_watch_end_date = "20170105"
self.assertEqual(
5100 - 1 - 10 * 200 + 10.1 * 200 - 1,
PolicyReportUtil.get_asset_value_out(stock_info, action_item))
sell_action = action_item.sell_stock_action.add()
sell_action.date = "20170102"
sell_action.at_price = 10.3
sell_action.volumn = 200
sell_action.stock_trade_cost = 1
self.assertEqual(
5100 - 1 - 10 * 200 + 10.3 * 200 - 1,
PolicyReportUtil.get_asset_value_out(stock_info, action_item))
def test_get_previous_stock_daily_info(self):
stock_info = StockInfo()
daily_info = stock_info.daily_info.add()
daily_info.date = "20170101"
daily_info = stock_info.daily_info.add()
daily_info.date = "20170102"
daily_info = stock_info.daily_info.add()
daily_info.date = "20170105"
daily_info = stock_info.daily_info.add()
daily_info.date = "20170106"
daily_info = stock_info.daily_info.add()
daily_info.date = "20170108"
self.assertEqual(
"20170102",
PolicyReportUtil.get_previous_stock_daily_info(
stock_info, "20170101", "20170105").date)
self.assertEqual(
None,
PolicyReportUtil.get_previous_stock_daily_info(
stock_info, "20170103", "20170105"))
self.assertEqual(
"20170105",
PolicyReportUtil.get_previous_stock_daily_info(
stock_info, "20170101", "20170106").date)
def test_build_watch_days(self):
stock_info = StockInfo()
daily_info = stock_info.daily_info.add()
daily_info.date = "20170101"
daily_info = stock_info.daily_info.add()
daily_info.date = "20170102"
daily_info = stock_info.daily_info.add()
daily_info.date = "20170105"
daily_info = stock_info.daily_info.add()
daily_info.date = "20170106"
action_item = Person.StockPolicyActionsItem()
action_item.trade_watch_start_date = "20170103"
action_item.trade_watch_end_date = "20170107"
self.assertEqual(
2,
PolicyReportUtil.build_watch_days(stock_info.daily_info,
action_item))
def test_build_action_item_report(self):
stock_info = StockInfo()
daily_info = stock_info.daily_info.add()
daily_info.date = "20170101"
daily_info.low = daily_info.high = daily_info.close = 10
daily_info = stock_info.daily_info.add()
daily_info.date = "20170102"
daily_info.low = daily_info.high = daily_info.close = 10.5
daily_info = stock_info.daily_info.add()
daily_info.date = "20170105"
daily_info.low = daily_info.high = daily_info.close = 10.1
daily_info = stock_info.daily_info.add()
daily_info.date = "20170106"
daily_info.low = daily_info.high = daily_info.close = 9
daily_info = stock_info.daily_info.add()
daily_info.date = "20170108"
daily_info.low = daily_info.high = daily_info.close = 10.0
daily_info = stock_info.daily_info.add()
daily_info.date = "20170109"
daily_info.low = daily_info.high = daily_info.close = 10.9
daily_info = stock_info.daily_info.add()
daily_info.date = "20170110"
daily_info.low = daily_info.high = daily_info.close = 9.5
action_item = Person.StockPolicyActionsItem()
action_item.cash_taken_in = 5100.0
action_item.trade_watch_start_date = "20170101"
action_item.trade_watch_end_date = "20170102"
buy_action = action_item.buy_stock_action.add()
buy_action.date = "20170101"
buy_action.at_price = 10
buy_action.volumn = 200
buy_action.stock_trade_cost = 1
report = PolicyReport()
PolicyReportUtil.build_action_item_report(stock_info, action_item,
report)
self.assertEqual(1, report.stock_watch_days)
self.assertEqual(5100, report.cash_taken_in)
self.assertEqual(5100 - 10 * 200 - 1 + 10.5 * 200 - 1,
report.cash_taken_out)
self.assertEqual(
float(report.cash_taken_out) / report.cash_taken_in, report.roi)
self.assertEqual(1, report.stock_buy_times)
self.assertEqual(0, report.stock_sell_times)
self.assertEqual(1, report.trade_profit_times)
self.assertEqual(0, report.trade_loss_times)
self.assertEqual(1, report.stock_hold_days)
self.assertEqual(1, report.stock_hold_profit_days)
self.assertEqual(0, report.stock_hold_loss_days)
self.assertEqual(report.stock_buy_times - report.stock_sell_times,
report.stock_hold_no_sell_times)
action_item.trade_watch_end_date = "20170105"
PolicyReportUtil.build_action_item_report(stock_info, action_item,
report)
self.assertEqual(5100 - 10 * 200 - 1 + 10.1 * 200 - 1,
report.cash_taken_out)
self.assertEqual(report.stock_buy_times - report.stock_sell_times,
report.stock_hold_no_sell_times)
sell_action = action_item.sell_stock_action.add()
sell_action.date = "20170102"
sell_action.at_price = 10.2
sell_action.volumn = 200
sell_action.stock_trade_cost = 1
PolicyReportUtil.build_action_item_report(stock_info, action_item,
report)
self.assertEqual(2, report.stock_watch_days)
self.assertEqual(5100, report.cash_taken_in)
self.assertEqual(5100 - 10 * 200 - 1 + 10.2 * 200 - 1,
report.cash_taken_out)
self.assertEqual(report.cash_taken_out / report.cash_taken_in,
report.roi)
self.assertEqual(1, report.stock_buy_times)
self.assertEqual(1, report.stock_sell_times)
self.assertEqual(1, report.trade_profit_times)
self.assertEqual(0, report.trade_loss_times)
self.assertEqual(1, report.stock_hold_days)
self.assertEqual(1, report.stock_hold_profit_days)
self.assertEqual(0, report.stock_hold_loss_days)
self.assertEqual(report.stock_buy_times - report.stock_sell_times,
report.stock_hold_no_sell_times)
sell_action.date = "20170102"
sell_action.at_price = 9
sell_action.volumn = 200
sell_action.stock_trade_cost = 1
PolicyReportUtil.build_action_item_report(stock_info, action_item,
report)
self.assertEqual(2, report.stock_watch_days)
self.assertEqual(5100, report.cash_taken_in)
self.assertEqual(5100 - 10 * 200 - 1 + 9 * 200 - 1,
report.cash_taken_out)
self.assertEqual(report.cash_taken_out / report.cash_taken_in,
report.roi)
self.assertEqual(1, report.stock_buy_times)
self.assertEqual(1, report.stock_sell_times)
self.assertEqual(0, report.trade_profit_times)
self.assertEqual(1, report.trade_loss_times)
self.assertEqual(1, report.stock_hold_days)
self.assertEqual(0, report.stock_hold_profit_days)
self.assertEqual(1, report.stock_hold_loss_days)
self.assertEqual(report.stock_buy_times - report.stock_sell_times,
report.stock_hold_no_sell_times)
buy_action = action_item.buy_stock_action.add()
buy_action.date = "20170105"
buy_action.at_price = 10.5
buy_action.volumn = 200
buy_action.stock_trade_cost = 1
action_item.trade_watch_end_date = "20170110"
PolicyReportUtil.build_action_item_report(stock_info, action_item,
report)
self.assertEqual(6, report.stock_watch_days)
self.assertEqual(5100, report.cash_taken_in)
self.assertEqual(
5100 - 10 * 200 - 1 + 9 * 200 - 1 - 10.5 * 200 - 1 + 9.5 * 200 - 1,
report.cash_taken_out)
self.assertEqual(report.cash_taken_out / report.cash_taken_in,
report.roi)
self.assertEqual(2, report.stock_buy_times)
self.assertEqual(1, report.stock_sell_times)
self.assertEqual(0, report.trade_profit_times)
self.assertEqual(2, report.trade_loss_times)
self.assertEqual(5, report.stock_hold_days)
self.assertEqual(1, report.stock_hold_profit_days)
self.assertEqual(4, report.stock_hold_loss_days)
self.assertEqual(report.stock_buy_times - report.stock_sell_times,
report.stock_hold_no_sell_times)
def train(person, is_validate=False):
logging.info("begin train, stock info size:%s, policy info size:%s",
len(person.stock_info), len(person.policy_info))
for policy in person.policy_info:
logging.info("begin train for policy_id:%s", policy.id)
for stock_info in person.stock_info:
if not stock_info.daily_info or stock_info.daily_info[
-1].low < policy.min_stock_price:
continue
logging.info(
"begin train for stock_id:%s,policy_id:%s,stock_daily_info_size:%s",
stock_info.stock_id, policy.id, len(stock_info.daily_info))
watch_days = max(policy.buy.days_watch, policy.sell.days_watch)
trade_watch_date_list = PolicyUtil.get_trade_watch_date_list(
stock_info.daily_info, watch_days,
localconfig.max_watch_jump_times,
localconfig.JUMPS_PER_WATCH)
logging.debug("trade_watch_date_list:%s",
trade_watch_date_list)
for item in trade_watch_date_list:
trade_watch_start_date_str, trade_watch_end_date_str = item
action_item = person.action_items.add()
action_item.cash_taken_in = person.cash_taken_in
action_item.stock_id = stock_info.stock_id
action_item.policy_id = policy.id
action_item.trade_watch_start_date = trade_watch_start_date_str
action_item.trade_watch_end_date = trade_watch_end_date_str
PolicyUtil.build_policy_actions(stock_info, action_item,
policy)
PolicyReportUtil.build_action_item_report(
stock_info, action_item, action_item.report)
# clear memory now
del action_item.buy_stock_action[:]
del action_item.sell_stock_action[:]
logging.info("end train for policy_id, stock_id")
PolicyReportUtil.build_summary_policy_report_for_stock_policy(
person, is_validate)
del person.action_items[:]
logging.info("end train for policy_id:%s", policy.id)
PolicyReportUtil.build_summary_policy_report_for_policy(
person, is_validate)
PolicyReportUtil.build_summary_policy_report_for_policy_group(
person, is_validate)
PolicyReportUtil.build_summary_policy_report_for_stock_policy_group(
person, is_validate)
PolicyReportUtil.build_sort_report(person)
# clear other empty
del person.stock_info[:]
del person.policy_info[:]
PolicyReportUtil.print_summary(person)
logging.info("end train")
return
def check_if_buy(stock_id, stock_daily_info_list, trend_daily_info_list,
action_item, action_item_policy, current_date_str,
current_stock_daily_info, previous_stock_daily_info):
the_low_price, the_high_price = current_stock_daily_info.low, current_stock_daily_info.high
if len(action_item.sell_stock_action) < len(
action_item.buy_stock_action):
logging.debug("quit buy for wait sell")
return
assert len(action_item.buy_stock_action) == len(
action_item.sell_stock_action)
full_trend = PolicyUtil.get_flow_trend_cachable(
stock_id, current_date_str,
action_item_policy.buy.trend.days_watch, trend_daily_info_list,
action_item_policy.buy.trend.trend_mode)
if action_item_policy.buy.trend.growth_percent == localconfig.DEFAULT_CONFIG:
if_continue = full_trend in localconfig.BUY_TREND_PERCENT.filter if localconfig.BUY_TREND_PERCENT.filter else True
else:
if_continue = action_item_policy.buy.trend.growth_percent == full_trend
if not if_continue:
return
last_sequential_trend = PolicyPredictUtil.get_sequential_trend(
trend_daily_info_list, action_item_policy.buy.trend.trend_mode)
if action_item_policy.buy.trend.last_sequential_trend_count == localconfig.DEFAULT_CONFIG:
if_continue = last_sequential_trend in localconfig.LAST_BUY_SEQUENTIAL_TREND_COUNT.filter if localconfig.LAST_BUY_SEQUENTIAL_TREND_COUNT.filter else True
else:
if_continue = action_item_policy.buy.trend.last_sequential_trend_count == last_sequential_trend
if not if_continue:
logging.debug(
"ignore trend:%s vs %s", last_sequential_trend,
action_item_policy.buy.trend.last_sequential_trend_count)
return
current_price = PercentPriceUtil.get_percent_price(
stock_id, action_item_policy.buy.days_watch, current_date_str,
stock_daily_info_list, action_item_policy.buy.at_percent)
if current_price is None:
logging.debug("quit buy for empty percent price")
return
if previous_stock_daily_info:
current_price_percent = int(100.0 * current_price /
previous_stock_daily_info.close)
# NOTE: 这里进行了归一化， 需要与localconfig配合
current_price_percent = max(current_price_percent, 80)
current_price_percent = min(current_price_percent, 120)
if action_item_policy.buy.last_close_price_percent == localconfig.DEFAULT_CONFIG:
if_continue = current_price_percent in localconfig.LAST_CLOSE_PRICE_PERCENT.filter if localconfig.LAST_CLOSE_PRICE_PERCENT.filter else True
else:
if_continue = action_item_policy.buy.last_close_price_percent == current_price_percent
if not if_continue:
logging.debug("quit buy for last_close_price_percent:%s",
current_price_percent)
return
if current_price <= the_low_price:
logging.debug(
"quit buy for too low percent_price:%s < low_price:%s",
current_price, the_low_price)
return
current_price = min(current_price, the_high_price)
cash_value_left_to_buy = PolicyReportUtil.get_cash_value_available(
action_item)
logging.debug("cash value left:%s", cash_value_left_to_buy)
if cash_value_left_to_buy <= 0:
return
if current_price < action_item_policy.min_stock_price:
return
stock_action = action_item.buy_stock_action.add()
stock_action.date = current_date_str
stock_action.at_price = current_price
stock_action.volumn, stock_action.stock_trade_cost = PolicyUtil.get_volumn_and_trade_cost(
cash_value_left_to_buy, current_price)
stock_action.option_trade_cost = 0
logging.debug(
"do buy stock, id:%s, date:%s, at_price:%s(%s-%s), volumn:%s",
stock_id, stock_action.date, stock_action.at_price, the_low_price,
the_high_price, stock_action.volumn)