def test_position():
from jaqs.data.basic import Position, GoalPosition
pos = Position()
df = pd.DataFrame({'symbol': ['SPY', 'WTI'], 'current_size': [12, 15]})
l = Position.create_from_df(df)
for p in l:
str(p)
gp = GoalPosition()
str(gp)
def _update_position_by_trade_ind(self, ind):
# ignore no fill_size (which should not be)
if ind.fill_size == 0:
print("WARNING: no fill_size TradeInd found!")
return
# get position, if no, create a new one.
pos_key = self._make_position_key(ind.symbol)
pos = self.positions.get(pos_key, None)
if pos is None:
pos = Position(symbol=ind.symbol)
if common.ORDER_ACTION.is_positive(ind.entrust_action):
pos.current_size += ind.fill_size
elif common.ORDER_ACTION.is_negative(ind.entrust_action):
pos.current_size -= ind.fill_size
self.positions[pos_key] = pos
# if no holding, remove the position from the dict
if pos.current_size == 0:
self.positions.pop(pos_key)
# TODO : remove holding_securities field
self.holding_securities.remove(ind.symbol)
else:
self.holding_securities.add(ind.symbol)
def test_position():
from jaqs.data.basic import Position, GoalPosition
pos = Position()
df = pd.DataFrame({'symbol': ['SPY', 'WTI'],
'current_size': [12, 15]})
l = Position.create_from_df(df)
for p in l:
str(p)
gp = GoalPosition()
str(gp)
def init_positions(self):
#df_acc, msg = self.ctx.trade_api.query_account()
#if not msg.split(',')[0] == '0':
# print(msg)
# raise RuntimeError("Query account failed")
#account_info = df_acc.set_index('type').to_dict(orient='index')
#
#df_univ, msg = self.ctx.trade_api.query_universe()
#df_univ = df_univ.rename(columns={'security': 'symbol'})
#univ = df_univ['symbol'].values.copy()
## self.ctx.init_universe(univ)
df_pos, msg = self.ctx.trade_api.query_position()
df_pos = df_pos.rename(columns={'security': 'symbol'})
pos_list = Position.create_from_df(df_pos)
pos_dic = {p.symbol: p for p in pos_list}
self.positions.update(pos_dic)
def init_positions(self):
query_account_res = self.ctx.trade_api.query_account()
if query_account_res is None:
return
df_acc, msg = self.ctx.trade_api.query_account()
if msg != '0,':
print(msg)
raise RuntimeError("Query account failed")
account_info = df_acc.set_index('type').to_dict(orient='index')
df_univ, msg = self.ctx.trade_api.query_universe()
df_univ = df_univ.rename(columns={'security': 'symbol'})
univ = df_univ['symbol'].values.copy()
# self.ctx.init_universe(univ)
df_pos, msg = self.ctx.trade_api.query_position()
df_pos = df_pos.rename(columns={'security': 'symbol'})
pos_list = Position.create_from_df(df_pos)
pos_dic = {p.symbol: p for p in pos_list}
self.positions.update(pos_dic)