def _handle_split(self, trading_date):
import rqdatac
for order_book_id, position in six.iteritems(self.portfolio.positions):
split_df = rqdatac.get_split(order_book_id, start_date="2005-01-01", end_date="2099-01-01")
if split_df is None:
system_log.warn(_("no split data {}").foramt(order_book_id))
continue
try:
series = split_df.loc[trading_date]
except KeyError:
continue
# 处理拆股
user_system_log.info(_("split {order_book_id}, {position}").format(
order_book_id=order_book_id,
position=position,
))
ratio = series.split_coefficient_to / series.split_coefficient_from
for key in ["_buy_order_quantity", "_sell_order_quantity", "_buy_trade_quantity", "_sell_trade_quantity"]:
setattr(position, key, getattr(position, key) * ratio)
user_system_log.info(_("split {order_book_id}, {position}").format(
order_book_id=order_book_id,
position=position,
))
user_system_log.info(_("split {order_book_id}, {series}").format(
order_book_id=order_book_id,
series=series,
))
def gen_splits(d):
stocks = rqdatac.all_instruments().order_book_id.tolist()
split = rqdatac.get_split(stocks)
split['split_factor'] = split['split_coefficient_to'] / split[
'split_coefficient_from']
split = split[['split_factor']]
split.reset_index(inplace=True)
split.rename(columns={'ex_dividend_date': 'ex_date'}, inplace=True)
split['ex_date'] = [convert_date_to_int(d) for d in split['ex_date']]
split.set_index(['order_book_id', 'ex_date'], inplace=True)
with h5py.File(os.path.join(d, 'split_factor.h5'), 'w') as h5:
for order_book_id in split.index.levels[0]:
h5[order_book_id] = split.loc[order_book_id].to_records()
def get_split(order_book_ids, start_date=None):
# type: (Union[str, List[str]], Optional[Union[str, datetime.date]]) -> pd.DataFrame
"""
获取某只股票到策略当前日期前一天的拆分情况（包含起止日期）。
:param order_book_ids: 证券代码，证券的独特的标识符，例如：'000001.XSHE'
:param start_date: 开始日期，用户必须指定，需要早于策略当前日期
:return: 查询时间段内的某个股票的拆分数据
* ex_dividend_date: 除权除息日，该天股票的价格会因为拆分而进行调整
* book_closure_date: 股权登记日
* split_coefficient_from: 拆分因子（拆分前）
* split_coefficient_to: 拆分因子（拆分后）
例如：每10股转增2股，则split_coefficient_from = 10, split_coefficient_to = 12.
:example:
.. code-block:: python3
:linenos:
get_split('000001.XSHE', start_date='2010-01-04')
#[Out]
# book_closure_date payable_date split_coefficient_from \
#ex_dividend_date
#2013-06-20 2013-06-19 2013-06-20 10
# split_coefficient_to
#ex_dividend_date
#2013-06-20 16.0
"""
# order_book_id 支持list类型
env = Environment.get_instance()
dt = env.trading_dt.date() - datetime.timedelta(days=1)
start_date = to_date(start_date)
if start_date > dt:
raise RQInvalidArgument(
_('in get_split, start_date {} is no earlier than the previous test day {}'
).format(start_date, dt))
if isinstance(order_book_ids, six.string_types):
order_book_ids = [order_book_ids]
order_book_ids = [assure_order_book_id(i) for i in order_book_ids]
return rqdatac.get_split(order_book_ids, start_date, dt)