class Terminal(object):
"""
用于和前端交互的数据终端，可用于交互的方法和属性有：
- update_position(pos_string): 接收前端的持仓字符串，刷新position和snapshot，仅在交易日09:30-15:00有效
- save(): 保存最新的仓位，仅在交易日15:00后有效
- reload_snapshot: 刷新snapshot，返回刷新后的overall_info和detail_info
- snapshot_overall_info: 最新的overall_info
- snapshot_detail_info: 最新的detail_info
- latest_position_string: 最新的position的简单字符串形式，以供修改
"""
def __init__(self):
self._benchmark = None
self._benchmark_history = None
self._benchmark_return = None
self._portfolio_history = None
self._portfolio_return = None
self._trading_days = None
self._positions = Positions()
self._auto_fill_positions()
self._load_benchmark()
if not os.path.isfile(HISTORY_IMG_FILE):
self._draw_history_timeline()
self._snapshot = Snapshot(self._benchmark, self._positions.get_current_position())
def _auto_fill_positions(self):
now = datetime.now()
today = now.strftime("%Y-%m-%d")
yesterday = get_trading_days_relatively(today, -1)[0]
trading_days_raw = self._positions._trading_days
latest_valid_date = trading_days_raw[-1]
latest_position = self._positions.get_position(latest_valid_date)
trading_days_new = get_trading_days(latest_valid_date, yesterday)[1:]
self._trading_days = trading_days_raw + trading_days_new
if today in TRADING_DAYS_DICT:
self._positions.set_current_info(today, deepcopy(latest_position))
else:
self._positions.set_current_info(yesterday, deepcopy(latest_position))
if trading_days_new:
logger.info("Filling positions data of {} through scraper, referring position at {}...".format(trading_days_new, latest_valid_date))
for date in trading_days_new:
temp_pos = deepcopy(latest_position)
universe = temp_pos['securities'].keys()
data = load_crossectional_close_prices(universe, date)
value = temp_pos['cash']
for sec, p in data.iteritems():
temp_pos['securities'][sec]['price'] = p
value += p * temp_pos['securities'][sec]['amount']
temp_pos['value'] = value
self._positions.set_info(date, temp_pos, is_new_date=True)
logger.info("Successfully filled positions data!")
self._positions.save_all()
logger.info("Latest positions data saved at /lib/posdb/.")
self._portfolio_history = self._positions.history_values
v0 = self._portfolio_history[0]
self._portfolio_return = [v/v0 - 1 for v in self._portfolio_history]
def _load_benchmark(self):
logger.info("Loading benchmark data file...")
config = json.load(file(CONFIG_FILE))
benchmark = config["benchmark"]
start = self._trading_days[0]
end = self._trading_days[-1]
redraw = False
try:
benchmark_info = json.load(file(BENCHMARK_CACHE_FILE))
assert benchmark_info['sec_id'] == benchmark
assert benchmark_info['start'] == start
assert benchmark_info['end'] == end
logger.info("Successfully loaded benchmark data file!")
except:
redraw = True
logger.info("Benchmark data file is outdated. Downloading benchmark data ({}) from {} to {} through scraper...".format(benchmark, start, end))
data = load_daily_close_prices(universe=[benchmark],
start=start, end=end)
assert len(data[benchmark]) == len(self._trading_days)
logger.info("Successfully downloaded benchmark data!")
benchmark_info = {
"sec_id": benchmark,
"start": start,
"end": end,
"data": data[benchmark],
}
f = open(BENCHMARK_CACHE_FILE, 'w')
f.write(json.dumps(benchmark_info, sort_keys=True, indent=4))
f.close()
logger.info("Benchmark data saved at ./static/temp/benchmark.json.")
self._benchmark = benchmark
self._benchmark_history = benchmark_info['data']
assert len(self._benchmark_history) == len(self._portfolio_history)
v0 = self._benchmark_history[0]
self._benchmark_return = [v/v0 - 1 for v in self._benchmark_history]
if redraw:
self._draw_history_timeline()
def _draw_history_timeline(self):
fig = Figure(figsize=(7, 3))
canvas = FigureCanvas(fig)
ax_ret = fig.add_subplot(121, axisbg='white')
ax_val = fig.add_subplot(122, axisbg='white')
d = len(self._trading_days)
xseries = range(d)
xlabels = [t[-5:] for t in self._trading_days]
pct = lambda x, _: '{0:1.1f}%'.format(100 * x)
if d > 5:
tseries = xseries[::d//5+1] + xseries[-1:]
tlabels = xlabels[::d//5+1] + xlabels[-1:]
# draw return lines
ax_ret.clear()
ax_ret.plot(xseries, self._portfolio_return, label='portfolio', linewidth=1.0, color='r')
ax_ret.plot(xseries, self._benchmark_return, label='benchmark', linewidth=1.0, color='b')
ax_ret.yaxis.set_major_formatter(FuncFormatter(pct))
for item in ax_ret.get_yticklabels():
item.set_size(9)
ax_ret.set_xlim(0, d-1)
ax_ret.set_xticks(tseries)
ax_ret.set_xticklabels(tlabels, fontsize=9)
ax_ret.set_title('Cumulative Return', fontsize=10)
ax_ret.grid(True)
ax_ret.legend(loc=2, prop={'size': 8})
# draw value line
ax_val.clear()
ax_val.plot(xseries, self._portfolio_history, label='portfolio', linewidth=1.0, color='r')
for item in ax_val.get_yticklabels():
item.set_size(9)
ax_val.set_xlim(0, d-1)
ax_val.set_xticks(tseries)
ax_val.set_xticklabels(tlabels, fontsize=9)
ax_val.set_title('Portfolio Value', fontsize=10)
ax_val.grid(True)
fig.tight_layout()
fig.savefig(HISTORY_IMG_FILE)
logger.info("History image saved at ./static/temp/history.")
def update_position(self, pos_string):
new_position = self._parse_new_pos_string(pos_string)
now = datetime.now()
today = now.strftime("%Y-%m-%d")
minute = now.strftime("%H:%M")
if today in TRADING_DAYS_DICT and "09:30" <= minute <= "15:00":
self._snapshot.update_position(new_position)
self._positions.set_current_info(today, self._snapshot.latest_position())
def _parse_new_pos_string(self, pos_string):
pos_info = [r.strip() for r in pos_string.strip().split("\n")]
pos_dict = {}
pos_dict["cash"] = float(pos_info[0])
pos_dict["securities"] = {}
pos_dict["value"] = 0.0
for r in pos_info[1:]:
sec, amount = r.split("|")
sec += ".XSHG" if sec[0] == "6" else ".XSHE"
pos_dict["securities"][sec] = {
"amount": float(amount),
"price": 0.0,
"name": None,
}
short_names = load_sec_shortname(pos_dict["securities"].keys())
for sec, name in short_names.iteritems():
pos_dict["securities"][sec]["name"] = name
return pos_dict
@property
def save(self):
now = datetime.now()
today = now.strftime("%Y-%m-%d")
minute = now.strftime("%H:%M")
if today in TRADING_DAYS_DICT and minute > "15:00":
self._snapshot.save()
self._positions.set_current_info(today, self._snapshot.latest_position())
self._positions.save_current_position()
return ""
@property
def reload_snapshot(self):
now = datetime.now()
self._today = now.strftime("%Y-%m-%d")
self._yesterday = get_trading_days_relatively(self._today, -1)
self._minute = now.strftime("%H:%M")
self._is_trading_day = self._today in TRADING_DAYS_DICT
self._snapshot.refresh()
return {
"snapshot_overall_info": self.snapshot_overall_info,
"snapshot_detail_info": self.snapshot_detail_info
}
@property
def snapshot_overall_info(self):
return self._snapshot.latest_overall_info_in_html()
@property
def snapshot_detail_info(self):
return self._snapshot.latest_securities_details_in_html()
@property
def latest_position_string(self):
return self._snapshot.latest_position_in_simple_string()
