def __init__(self,
user_cookie=None,
portfolio_cookie=None,
strategy_name=None,
init_cash=100000000,
sell_available=None,
market_type=MARKET_TYPE.STOCK_CN,
running_environment=RUNNING_ENVIRONMENT.BACKETEST):
self.user_cookie = user_cookie
# self.portfolio_cookie = QA_util_random_with_topic('Portfolio')
self.portfolio_cookie = QA_util_random_with_topic(
'Portfolio') if portfolio_cookie is None else portfolio_cookie
self.accounts = {}
self.strategy_name = strategy_name
# 和account一样的资产类
self.init_cash = init_cash
self.cash = [self.init_cash]
# 可用资金
self.sell_available = sell_available
#self.history = []
self.time_index = []
self.commission_coeff = 0.005
self.market_type = market_type
self.running_environment = running_environment
self.cash_history = []
self.client = DATABASE.portfolio
for cookie in self.accounts.keys():
self.accounts[cookie] = QA_Account(account_cookie=cookie)
self.reload()
def __init__(self,
DataFrame,
dtype='undefined',
if_fq='bfq',
marketdata_type='None'):
'''
:param df: DataFrame 类型
:param dtype: 数据
:param if_fq: 是否复权
:param marketdata_type:
'''
if 'volume' not in DataFrame.columns and 'vol' in DataFrame.columns:
DataFrame = DataFrame.assign(volume=DataFrame.vol)
# 🛠todo 判断DataFame 对象字段的合法性，是否正确
self.data = DataFrame.sort_index()
self.data.index = self.data.index.remove_unused_levels()
# 🛠todo 该变量没有用到， 是不是 self.data_type = marketdata_type ??
self.data_type = dtype
# 数据类型 可能的取值
self.type = dtype
self.data_id = QA_util_random_with_topic('DATA', lens=3)
# 默认是不复权
self.if_fq = if_fq
# dtype 参数 指定类 mongo 中 collection 的名字 ，
# 🛠todo 检查 dtype 字符串是否合法， 放到抽象类中，用子类指定数据库， 后期可以支持mongodb分片集群
# 🛠todo 子类中没有用到mongodb的数据是通过， QA_data_stock_to_fq 实现数据复权的
# 等价执行 例如：type='stock_min' 则执行 DATABASE.stock_min
#self.mongo_coll = eval('DATABASE.{}'.format(self.type))
self.choose_db()
def __init__(
self,
DataFrame,
dtype='undefined',
):
'''
:param data: DataFrame 类型
:param dtype: 数据
:param marketdata_type:
'''
# 🛠todo 判断DataFame 对象字段的合法性，是否正确
self.data = DataFrame.drop_duplicates()
# 数据类型 可能的取值
self.type = dtype
self.data_id = QA_util_random_with_topic('DATA', lens=3)
# dtype 参数 指定类 mongo 中 collection 的名字 ，
# 🛠todo 检查 dtype 字符串是否合法， 放到抽象类中，用子类指定数据库， 后期可以支持mongodb分片集群
# 🛠todo 子类中没有用到mongodb的数据是通过， QA_data_stock_to_fq 实现数据复权的
# 等价执行 例如：type='stock_min' 则执行 DATABASE.stock_min
# self.mongo_coll = eval('DATABASE.{}'.format(self.type))
self.choose_db()
def __init__(self, account_list):
"""
||portfolio||
||acc1_cookie--acc1||acc2-cookie--acc2||...||
||cash||assets||hold||history||trade_index||
||Risk_analysis||Performace_analysis||
"""
self.account_cookie = QA_util_random_with_topic('PVIEW', 3)
self.account_list = dict(
zip([account.account_cookie for account in account_list], account_list))
self.portfolio_cookie = QA_util_random_with_topic('Portfolio')
self.user_cookie = None
def __init__(self, name=None, *args, **kwargs):
super().__init__(*args, **kwargs)
self._stopped = False
self._main_loop = self.get_event_loop
self.name = QA_util_random_with_topic(topic='QA_AsyncThread',
lens=3) if name is None else name
def __init__(self, DataFrame, dtype='undefined', if_fq='bfq', marketdata_type='None'):
self.data = DataFrame.sort_index(level=1)
self.data_type = dtype
self.type = dtype
self.data_id = QA_util_random_with_topic('DATA', lens=3)
self.if_fq = if_fq
self.mongo_coll = eval(
'DATABASE.{}'.format(self.type))
def __init__(self, price=None, date=None, datetime=None, sending_time=None, transact_time=None, amount=None, market_type=None, frequence=None,
towards=None, code=None, user=None, account_cookie=None, strategy=None, order_model=None, amount_model=AMOUNT_MODEL.BY_AMOUNT,
order_id=None, trade_id=None, status='100', callback=False, *args, **kwargs):
"""委托字段
price 委托的价格
date 委托的日期
datetime 委托的时间
sending_time 发送委托单的时间
transact_time 委托成交的时间
amount 委托量
market_type 委托的市场
frequence 频率
towards 委托方向
code 委托代码
user 委托股东
account_cookie 委托账户的cookie
strategy 策略名
order_model 委托方式(限价/市价/下一个bar/)
amount_model 委托量模式(按量委托/按总成交额委托)
order_id 委托单id
trade_id 成交id
status 订单状态
callback 回调函数
"""
self.price = price
self.datetime = None
if datetime is None and date is not None:
self.date = date
self.datetime = '{} 09:31:00'.format(self.date)
elif date is None and datetime is not None:
self.date = datetime[0:10]
self.datetime = datetime
elif date is not None and datetime is not None:
self.date = date
self.datetime = datetime
else:
pass
self.sending_time = self.datetime if sending_time is None else sending_time # 下单时间
self.transact_time = transact_time
self.amount = amount
self.towards = towards # side
self.code = code
self.user = user
self.market_type = market_type
self.frequence = frequence
self.account_cookie = account_cookie
self.strategy = strategy
self.type = market_type # see below
self.order_model = order_model
self.amount_model = amount_model
self.order_id = QA_util_random_with_topic(
topic='Order') if order_id is None else order_id
self.trade_id = trade_id
self.status = status
self.callback = callback
def __init__(self, queue=None, name=None):
threading.Thread.__init__(self)
self.queue = Queue() if queue is None else queue
self.thread_stop = False
self.__flag = threading.Event() # 用于暂停线程的标识
self.__flag.set() # 设置为True
self.__running = threading.Event() # 用于停止线程的标识
self.__running.set() # 将running设置为True
self.name = QA_util_random_with_topic(topic='QAWorker',
lens=3) if name is None else name
def callback_message(self):
# 这是标准的return back message
return [
self.order.account_cookie, self.order.sending_time,
self.trade_time, self.order.code, None, self.order.towards,
float("%.2f" % float(self.deal_price)), self.order.price,
self.status, self.order.amount, self.deal_amount, self.trade_money,
0, self.order.order_id,
QA_util_random_with_topic('Trade')
]
def __init__(self, user_cookie=None, strategy_name=None, init_assets=1000000, cash=None, sell_available=None, history=None):
self.accounts = {}
self.portfolio_cookie = QA_util_random_with_topic('Portfolio')
self.user_cookie = user_cookie
self.strategy_name = strategy_name
# 和account一样的资产类
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 = []
for cookie in self.accounts.keys():
self.accounts[cookie] = QA_Account(account_cookie=cookie)
def __init__(self, user_cookie=None, portfolio_cookie=None, strategy_name=None, init_cash=1000000, sell_available=None):
self.user_cookie = user_cookie
# self.portfolio_cookie = QA_util_random_with_topic('Portfolio')
self.portfolio_cookie = QA_util_random_with_topic(
'Portfolio') if portfolio_cookie is None else portfolio_cookie
self.accounts = {}
self.strategy_name = strategy_name
# 和account一样的资产类
self.init_cash = init_cash
self.cash = [self.init_cash]
self.cash_available = self.cash[-1] # 可用资金
self.sell_available = sell_available
#self.history = []
self.time_index = []
for cookie in self.accounts.keys():
self.accounts[cookie] = QA_Account(account_cookie=cookie)
def callback_message(self):
# 这是标准的return back message
message = {
'header': {
'source': 'market',
'status': self.status,
'code': self.order.code,
'session': {
'user': self.order.user,
'strategy': self.order.strategy,
'account': self.order.account_cookie
},
'order_id': self.order.order_id,
'trade_id': QA_util_random_with_topic('Trade')
},
'body': {
'order': {
'price': float("%.2f" % float(self.deal_price)),
'code': self.order.code,
'amount': self.deal_amount,
'date': self.order.date,
'datetime': self.order.datetime,
'towards': self.order.towards
},
'market': {
'open': self.market_data['open'],
'high': self.market_data['high'],
'low': self.market_data['low'],
'close': self.market_data['close'],
'volume': self.market_data['volume'],
'code': self.market_data['code']
},
'fee': {
'commission': self.commission_fee,
'tax': self.tax
}
}
}
return message
def __init__(self,
price=None,
date=None,
datetime=None,
sending_time=None,
trade_time=False,
amount=0,
market_type=None,
frequence=None,
towards=None,
code=None,
user_cookie=None,
account_cookie=None,
strategy=None,
order_model=None,
money=None,
amount_model=AMOUNT_MODEL.BY_AMOUNT,
broker=None,
order_id=None,
trade_id=False,
_status=ORDER_STATUS.NEW,
callback=False,
commission_coeff=0.00025,
tax_coeff=0.001,
exchange_id=None,
position_id=None,
*args,
**kwargs):
'''
QA_Order 对象表示一个委托业务， 有如下字段
- price 委托价格 (限价单用)
- date 委托日期 (一般日线级别回测用)
- datetime 当前时间 (分钟线级别和实时用)
- sending_time 委托时间 (分钟线级别和实时用)
- trade_time 成交时间 [list] (分钟/日线/实盘时用, 一笔订单多次成交会不断append进去)
- amount 委托数量
- frequence 频率 (回测用 DAY/1min/5min/15min/30min/...)
- towards 买卖方向
- code 订单的品种
- user_cookie 订单发起者
- account_cookie 订单发起账户的标识
- stratgy 策略号
- order_model 委托方式(限价/市价/下一个bar/) type str eg 'limit'
- money 订单金额
- amount_model 委托量模式(按量委托/按总成交额委托) type str 'by_amount'
- order_id 委托单id
- trade_id 成交单id
- _status 内部维护的订单状态
- callback 当订单状态改变的时候 主动回调的函数(可以理解为自动执行的OnOrderAction)
- commission_coeff 手续费系数
- tax_coeff 印花税系数(股票)
- exchange_id 交易所id (一般用于实盘期货)
:param args: type tuple
:param kwargs: type dict
# 2018-08-12 把order变成一个状态机>
# 以前的order只是一个信息承载的工具,现在需要让他具备状态的方法
NEW = 100
SUCCESS_ALL = 200
SUCCESS_PART = 203 # success_part 是部分成交 一个中间状态 剩余的订单还在委托队列中
QUEUED = 300 # queued 用于表示在order_queue中 实际表达的意思是订单存活 待成交
CANCEL = 400
CANCEL_PART = 402 # cancel_part是部分撤单(及 下单后成交了一部分 剩余的被撤单 这是一个最终状态)
SETTLED = 500
FAILED = 600
'''
self.price = price
self.datetime = None
# 🛠todo 移动到 Util 类中 时间处理函数
if datetime is None and date is not None:
self.date = date
self.datetime = '{} 09:31:00'.format(self.date)
elif date is None and datetime is not None:
self.date = datetime[0:10]
self.datetime = datetime
elif date is not None and datetime is not None:
self.date = date
self.datetime = datetime
else:
pass
self.sending_time = self.datetime if sending_time is None else sending_time # 下单时间
self.trade_time = trade_time if trade_time else [] # 成交时间
self.amount = amount # 委托数量
self.trade_amount = 0 # 成交数量
self.cancel_amount = 0 # 撤销数量
self.towards = towards # side
self.code = code # 委托证券代码
self.user_cookie = user_cookie # 委托用户
self.market_type = market_type # 委托市场类别
self.frequence = frequence # 委托所在的频率(回测用)
self.account_cookie = account_cookie
self.strategy = strategy
self.type = market_type # see below
self.order_model = order_model
self.amount_model = amount_model
self.order_id = QA_util_random_with_topic(
topic='Order') if order_id is None else order_id
self.realorder_id = self.order_id
self.commission_coeff = commission_coeff
self.tax_coeff = tax_coeff
self.trade_id = trade_id if trade_id else []
self.market_preset = MARKET_PRESET().get_code(self.code)
self.trade_price = 0 # 成交均价
self.broker = broker
self.callback = callback # 委托成功的callback
self.money = money # 委托需要的金钱
self.reason = None # 原因列表
self.exchange_id = exchange_id
self.time_condition = 'GFD' # 当日有效
self._status = _status
self.position_id = position_id
# 增加订单对于多账户以及多级别账户的支持 2018/11/12
self.mainacc_id = None if 'mainacc_id' not in kwargs.keys(
) else kwargs['mainacc_id']
self.subacc_id = None if 'subacc_id' not in kwargs.keys(
) else kwargs['subacc_id']
self.direction = 'BUY' if self.towards in [
ORDER_DIRECTION.BUY, ORDER_DIRECTION.BUY_OPEN,
ORDER_DIRECTION.BUY_CLOSE
] else 'SELL'
self.offset = 'OPEN' if self.towards in [
ORDER_DIRECTION.BUY, ORDER_DIRECTION.BUY_OPEN,
ORDER_DIRECTION.SELL_OPEN
] else 'CLOSE'
def __init__(self):
self.accounts = {}
self.portfolio_cookie = QA_util_random_with_topic('Portfolio')
for cookie in self.accounts.keys():
self.accounts[cookie] = QA_Account(account_cookie=cookie)
def __init__(self,
price=None,
date=None,
datetime=None,
sending_time=None,
transact_time=None,
amount=None,
market_type=None,
frequence=None,
towards=None,
code=None,
user=None,
account_cookie=None,
strategy=None,
order_model=None,
money=None,
amount_model=AMOUNT_MODEL.BY_AMOUNT,
order_id=None,
trade_id=None,
status='100',
callback=False,
commission_coeff=0.00025,
tax_coeff=0.001,
*args,
**kwargs):
'''
QA_Order 对象表示一个委托业务， 有如下字段
:param price: 委托的价格 type float
:param date: 委托的日期 type str , eg 2018-11-11
:param datetime: 委托的时间 type str , eg 2018-11-11 00:00:00
:param sending_time: 发送委托单的时间 type str , eg 2018-11-11 00:00:00
:param transact_time: 委托成交的时间
:param amount: 委托量 type int
:param market_type: 委托的市场 type str eg 'stock_cn'
:param frequence: 频率 type str 'day'
:param towards: 委托方向 type int
:param code: 委托代码 type str
:param user: 委托股东
:param account_cookie: 委托账户的cookietype type str eg 'Acc_4UckWFG3'
:param strategy: 策略名 type str
:param order_model: 委托方式(限价/市价/下一个bar/) type str eg 'limit'
:param money: 金额 type float
:param amount_model: 委托量模式(按量委托/按总成交额委托) type str 'by_amount'
:param order_id: 委托单id
:param trade_id: 成交id
:param status: 订单状态 type str '100' '200' '300'
:param callback: 回调函数 type bound method eg QA_Account.receive_deal
:param commission_coeff: 默认 0.00025 type float
:param tax_coeff: 默认 0.0015 type float
:param args: type tuple
:param kwargs: type dict
'''
self.price = price
self.datetime = None
#🛠todo 移动到 Util 类中 时间处理函数
if datetime is None and date is not None:
self.date = date
self.datetime = '{} 09:31:00'.format(self.date)
elif date is None and datetime is not None:
self.date = datetime[0:10]
self.datetime = datetime
elif date is not None and datetime is not None:
self.date = date
self.datetime = datetime
else:
pass
self.sending_time = self.datetime if sending_time is None else sending_time # 下单时间
self.transact_time = transact_time
self.amount = amount
self.towards = towards # side
self.code = code
self.user = user
self.market_type = market_type
self.frequence = frequence
self.account_cookie = account_cookie
self.strategy = strategy
self.type = market_type # see below
self.order_model = order_model
self.amount_model = amount_model
self.order_id = QA_util_random_with_topic(
topic='Order') if order_id is None else order_id
self.commission_coeff = commission_coeff
self.tax_coeff = tax_coeff
self.trade_id = trade_id
self.status = status
self.callback = callback
self.money = money
def __init__(self, price=None, date=None, datetime=None, sending_time=None, transact_time=None, amount=None, market_type=None, frequence=None,
towards=None, code=None, user=None, account_cookie=None, strategy=None, order_model=None, money=None, amount_model=AMOUNT_MODEL.BY_AMOUNT,
order_id=None, trade_id=[], _status=ORDER_STATUS.NEW, callback=False, commission_coeff=0.00025, tax_coeff=0.001, *args, **kwargs):
'''
QA_Order 对象表示一个委托业务， 有如下字段
:param price: 委托的价格 type float
:param date: 委托的日期 type str , eg 2018-11-11
:param datetime: 委托的时间 type str , eg 2018-11-11 00:00:00
:param sending_time: 发送委托单的时间 type str , eg 2018-11-11 00:00:00
:param transact_time: 委托成交的时间
:param amount: 委托量 type int
:param trade_amount 成交数量
:param cancel_amount 撤销数量
:param market_type: 委托的市场 type str eg 'stock_cn'
:param frequence: 频率 type str 'day'
:param towards: 委托方向 type int
:param code: 委托代码 type str
:param user: 委托股东
:param account_cookie: 委托账户的cookietype type str eg 'Acc_4UckWFG3'
:param strategy: 策略名 type str
:param order_model: 委托方式(限价/市价/下一个bar/) type str eg 'limit'
:param money: 金额 type float
:param amount_model: 委托量模式(按量委托/按总成交额委托) type str 'by_amount'
:param order_id: 委托单id
:param trade_id: 成交id
:param _status: 订单状态 type str '100' '200' '300'
:param callback: 回调函数 type bound method eg QA_Account.receive_deal
:param commission_coeff: 默认 0.00025 type float
:param tax_coeff: 默认 0.0015 type float
:param args: type tuple
:param kwargs: type dict
# 2018-08-12 把order变成一个状态机>
# 以前的order只是一个信息承载的工具,现在需要让他具备状态的方法
NEW = 100
SUCCESS_ALL = 200
SUCCESS_PART = 203 # success_part 是部分成交 一个中间状态 剩余的订单还在委托队列中
QUEUED = 300 # queued 用于表示在order_queue中 实际表达的意思是订单存活 待成交
CANCEL = 400
CANCEL_PART = 402 # cancel_part是部分撤单(及 下单后成交了一部分 剩余的被撤单 这是一个最终状态)
SETTLED = 500
FAILED = 600
'''
self.price = price
self.datetime = None
# 🛠todo 移动到 Util 类中 时间处理函数
if datetime is None and date is not None:
self.date = date
self.datetime = '{} 09:31:00'.format(self.date)
elif date is None and datetime is not None:
self.date = datetime[0:10]
self.datetime = datetime
elif date is not None and datetime is not None:
self.date = date
self.datetime = datetime
else:
pass
self.sending_time = self.datetime if sending_time is None else sending_time # 下单时间
self.transact_time = transact_time # 成交时间
self.amount = amount # 委托数量
self.trade_amount = 0 # 成交数量
self.cancel_amount = 0 # 撤销数量
self.towards = towards # side
self.code = code # 委托证券代码
self.user = user # 委托用户
self.market_type = market_type # 委托市场类别
self.frequence = frequence # 委托所在的频率(回测用)
self.account_cookie = account_cookie
self.strategy = strategy
self.type = market_type # see below
self.order_model = order_model
self.amount_model = amount_model
self.order_id = QA_util_random_with_topic(
topic='Order') if order_id is None else order_id
self.realorder_id = self.order_id
self.commission_coeff = commission_coeff
self.tax_coeff = tax_coeff
self.trade_id = trade_id
self.trade_price = 0 # 成交均价
self.callback = callback # 委托成功的callback
self.money = money # 委托需要的金钱
self.reason = None # 原因列表
self._status = _status
