def dump_orders(orders, s, die=True):
if len(orders) > 0:
# print "\n", s
logger.info(
"order|%10s|%2s|%8s|%10s|%10s|%8s|%10s|%8s|%7s|%10s|%10s|%10s|%10s|%10s"
% ("order_id", 'op', 'fund_id', 'place_date', 'place_time',
'amount', 'share', 'fee', 'nav', 'nav_date', 'ack_date',
'ack_amount', 'ack_share', 'share_id'))
for o in orders:
# （order_id, fund_id, fund_code, op, place_date, place_time, amount, share, fee, nav, nav_date, ack_date, ack_amount, ack_share, div_mode）
logger.info(
"order|%s|%2d|%d|%s|%10s|%8.6f|%10.6f|%6.6f|%7.4f|%s|%s|%10.6f|%10.6f|%10s"
% (o['order_id'], o['op'], o['fund_id'],
o['place_date'].strftime("%Y-%m-%d"), o['place_time'],
o['amount'], o['share'], o['fee'], o['nav'],
o['nav_date'].strftime("%Y-%m-%d"),
o['ack_date'].strftime("%Y-%m-%d"), o['ack_amount'],
o['ack_share'], o['share_id']))
if die:
dd('----end orders----')
def dump_event(x, e, die=False):
dt, op, order_id, fund_id, argv = e
if op == 0:
s = "nav:%.4f, nav_date:%s" % (argv['nav'],
argv['nav_date'].strftime("%Y-%m-%d"))
elif op == 1:
s = "at:%s %s, share:%.4f, nav:%.4f, fee:%.2f" % (
argv['place_date'].strftime("%Y-%m-%d"), argv['place_time'],
argv['share'], argv['nav'], argv['fee'])
elif op == 11:
s = "ack_date:%s, share:%.4f " % (
argv['ack_date'].strftime("%Y-%m-%d"), argv['share'])
elif op == 2:
s = "at:%s %s, share:%.4f, nav:%.4f, fee:%.2f" % (
argv['place_date'].strftime("%Y-%m-%d"), argv['place_time'],
argv['share'], argv['nav'], argv['fee'])
elif op == 12:
s = "ack_date:%s, share:%.4f " % (
argv['ack_date'].strftime("%Y-%m-%d"), argv['share'])
elif op == 8:
s = ''
elif op == 15:
s = ''
elif op == 16:
s = ''
elif op == 17:
s = ''
elif op == 18:
s = ''
elif op == 100:
s = ''
elif op == 101:
s = ''
logger.info(
"%c xev|%20s|%3d|%10s|%10s|%s" %
(x, dt.strftime("%Y-%m-%d %H:%M:%S"), op, order_id, fund_id, s))
if die:
dd('----end events----')
def process(self, ev):
result = []
# 事件类型:0:净值更新;1:申购;2:赎回;3:分红;8:调仓;11:申购确认;12:赎回到账;15:分红登记;16:分红除息;17:分红派息;18:基金分拆;
# 100:例行事件生成;101:记录当前持仓;
dt, op, order_id, fund_id, argv = ev
#
# 更新模拟时钟
#
if dt >= self.ts:
self.ts = dt
else:
#dd("SNH: ev out of date", self.ts, ev)
pass
if op == 0:
#
# 净值更新
#
if fund_id in self.df_share.index.levels[0]:
# if dt.strftime("%Y-%m-%d") == '2014-11-11' and fund_id == 30000237:
# pdb.set_trace()
# df = self.df_share.query('fund_id in [%d]' % fund_id)
df = self.df_share.loc[self.df_share.index.get_level_values(0)
== fund_id]
self.df_share.loc[fund_id,
'yield'] = (df['share'] + df['share_buying']
) * (argv['nav'] - df['nav'])
self.df_share.loc[fund_id, 'nav'] = argv['nav']
self.df_share.loc[fund_id, 'nav_date'] = argv['nav_date']
else:
dd("SNH: fund_id not in df_share.index", fund_id,
self.df_share)
elif op == 1:
#
# 申购
#
self.cash -= argv['share'] * argv['nav'] + argv['fee']
buy_date = argv['nav_date']
df_tmp = self.make_share(fund_id, order_id, argv['share'],
buy_date, argv['nav'], argv['nav_date'],
argv['ack_date'], argv['div_mode'])
self.df_share = self.df_share.append(df_tmp)
# 记录购买费率
self.dt_today_fee_buy[fund_id] = self.dt_today_fee_buy.setdefault(
fund_id, 0) + (-argv['fee'])
#
# 生成申购确认事件
#
if argv['ack_date'].date() == dt.date():
hours = 19
else:
hours = 2
ev2 = (argv['ack_date'] + timedelta(hours=hours), 11, order_id,
fund_id, argv)
result.append(ev2)
elif op == 11:
#
# 申购确认
#
if argv['order_id'] in self.df_share.index.get_level_values(1):
self.df_share.loc[(fund_id, order_id),
'share'] = self.df_share.loc[(fund_id,
order_id),
'share_buying']
self.df_share.loc[(fund_id, order_id), 'share_buying'] = 0
elif op == 2:
#
# 赎回
#
left = self.df_share.loc[(fund_id, argv['share_id']),
'share'] - argv['share']
self.df_share.loc[(fund_id, argv['share_id']),
'share'] = left if left > 0.00000099 else 0
# 生成赎回上下文
row = (fund_id, argv['order_id'], argv['share_id'], argv['share'],
argv['nav'], argv['nav_date'], argv['ack_date'],
argv['fee'])
tmp = pd.DataFrame([row],
columns=[
'fund_id', 'redeem_id', 'share_id', 'share',
'nav', 'nav_date', 'ack_date', 'fee'
])
self.df_redeem = self.df_redeem.append(
tmp.set_index(['fund_id', 'redeem_id']))
# 记录赎回费率
self.dt_today_fee_redeem[
fund_id] = self.dt_today_fee_redeem.setdefault(
fund_id, 0) + (-argv['fee'])
#
# 生成赎回确认事件
#
if argv['ack_date'].date() == dt.date():
hours = 19
else:
hours = 2
ev2 = (argv['ack_date'] + timedelta(hours=hours), 12, order_id,
fund_id, argv)
result.append(ev2)
elif op == 12:
#
# 赎回确认
#
# pdb.set_trace()
self.cash += argv['share'] * argv['nav'] - argv['fee']
self.df_redeem.drop((fund_id, argv['order_id']), inplace=True)
elif op == 8:
#
# 调仓处理
#
# df_share: 是当前状态；argv['pos']: 是目标状态
#
# 调仓逻辑里面，首先取消掉所有未提交的订单，然后在根据当前状态
# 重新生成订单
#
self.remove_flying_op()
orders = self.adjust(dt, argv['pos'])
#
# 将订单插入事件队列
#
for order in orders:
argv = order
if order['op'] == 1:
ev2 = (order['nav_date'] + timedelta(hours=18), 1,
order['order_id'], order['fund_id'], argv)
else:
ev2 = (order['nav_date'] + timedelta(hours=18, minutes=30),
2, order['order_id'], order['fund_id'], argv)
result.append(ev2)
self.orders.extend(orders)
elif op == 15:
#
# 基金分红：权益登记
#
# [XXX] 这里啰嗦几句基金分红的处理：基金的分红方式有两种，
# 现金分红和红利再投。
#
# 对于红利再投的方式，再投份额的折算发生在除息日，按照除息
# 日的净值，但该部分份额不可赎回，直到派息日方可赎回。
#
# 对于现金分红方式，除息日扣除相应的净值，派息日打款
#
#
df = self.df_share.loc[[fund_id]]
df['share_bonusing'] = df['share'] + df['share_buying']
# if dt.strftime("%Y-%m-%d") == '2013-05-16':
# pdb.set_trace()
#
# 生成分红订单，记录分红操作
#
share_dividend = df.loc[df['div_mode'] == 1,
'share_bonusing'].sum()
share_cash = df['share_bonusing'].sum() - share_dividend
orders, dividend_id, cash_id = [], "0", "0"
if share_dividend > 0.000000001:
order = self.make_bonus_order(dt, fund_id, share_dividend,
argv, 1)
orders.append(order)
dividend_id = order['order_id']
if share_cash > 0.000000001:
order = self.make_bonus_order(dt, fund_id, share_cash, argv, 0)
orders.append(order)
cash_id = order['order_id']
if orders:
dump_orders(orders, "bonus %s" % dt.strftime("%Y-%m-%d"),
False)
self.orders.extend(orders)
self.df_share.loc[[fund_id]] = df
# dd(orders, argv, self.df_share.loc[[fund_id]], dt, share_dividend, share_cash, df)
#
# 调度除息事件
#
share = df['share_bonusing'].sum()
if share > 0.000000001:
argv2 = {
'share': share,
'bonus_ratio': argv['bonus_ratio'],
'bonus_nav': argv['bonus_nav'],
'bonus_nav_date': argv['bonus_nav_date'],
'payment_date': argv['payment_date'],
'order_dividend': dividend_id,
'order_cash': cash_id,
}
ev2 = (argv['dividend_date'] + timedelta(hours=16, minutes=30),
16, 0, fund_id, argv2)
result.append(ev2)
elif op == 16:
#
# 基金分红：除息
#
# pdb.set_trace()
df = self.df_share.loc[[fund_id]]
df['amount_bonusing'] = df['share_bonusing'] * argv['bonus_ratio']
ev2 = (argv['payment_date'] + timedelta(hours=16, minutes=45), 17,
0, fund_id, argv)
result.append(ev2)
# 记录分红业绩
self.dt_today_bonus[fund_id] = self.dt_today_bonus.setdefault(
fund_id, 0) + df['amount_bonusing'].sum()
#
# 处理红利再投的份额转换
#
mask = (df['div_mode'] == 1)
share = df.loc[mask, 'amount_bonusing'].sum() / argv['bonus_nav']
#
# 清除红利再投上下文
#
df.loc[mask, 'share_bonusing'] = 0
df.loc[mask, 'amount_bonusing'] = 0
self.df_share.loc[[fund_id]] = df
#
# 生成再投份额
#
df_tmp = self.make_share(fund_id, argv['order_dividend'], share,
pd.to_datetime(dt.date()),
argv['bonus_nav'], argv['bonus_nav_date'],
argv['payment_date'], 1)
self.df_share = self.df_share.append(df_tmp)
# tmp = {
# 'share': 0.0,
# 'yield': 0.0,
# 'share_buying': share,
# 'nav': argv['bonus_nav'],
# 'nav_date': argv['bonus_nav_date'],
# 'buy_date': pd.to_datetime(dt.date()),
# 'ack_date': argv['payment_date'],
# 'share_bonusing': 0.0,
# 'amount_bonusing': 0.0,
# 'div_mode': 1,
# }
# self.df_share.loc[(fund_id, argv['order_dividend']), :] = tmp
elif op == 17:
# pdb.set_trace()
#
# 基金分红：派息
#
if fund_id in self.df_share.index.get_level_values(0):
df = self.df_share.loc[[fund_id]]
#
# 现金分红
#
mask = (df['div_mode'] == 0)
if mask.any():
self.cash_bounused = df.loc[mask, 'amount_bonusing'].sum()
#
# 清除现金分红上下文
#
df.loc[mask, 'share_bonusing'] = 0
df.loc[mask, 'amount_bonusing'] = 0
#
# 红利再投, 确认红利再投份额
#
if argv['order_dividend'] in df.index.get_level_values(1):
df.loc[(fund_id, argv['order_dividend']),
'share'] = df.loc[(fund_id, argv['order_dividend']),
'share_buying']
df.loc[(fund_id, argv['order_dividend']),
'share_buying'] = 0
self.df_share.loc[[fund_id]] = df
elif op == 18:
#
# 基金分拆
#
df = self.df_share.loc[[fund_id]]
df['share'] *= argv['ra_split_proportion']
df['share_buying'] *= argv['ra_split_proportion']
#
# 理论上此时的净值为昨天的净值, 因为分拆是在调整今天净值之前处理的.
#
# 要保证后面日收益计算的正确, 这个地方需要对净值进行折算.
#
df['nav'] /= argv['ra_split_proportion']
self.df_share.loc[[fund_id]] = df
elif op == 100:
#
# 当日持仓相关的例行事件
#
result.extend(self.share_routine(dt, argv))
elif op == 101:
# if dt.strftime("%Y-%m-%d") in ['2014-02-10']:
# pdb.set_trace()
day = pd.to_datetime(dt.date())
#
# 记录持仓
#
if self.debug and self.df_share.sum().sum() > 0.000099:
self.dt_holding[dt] = self.df_share.copy()
#
# 记录净值
#
amount = (
(self.df_share['share'] + self.df_share['share_buying']) *
self.df_share['nav'] + self.df_share['amount_bonusing']).sum()
amount += (self.df_redeem['share'] * self.df_redeem['nav'] -
self.df_redeem['fee']).sum() + self.cash
self.nav[day] = amount
#
# 记录业绩归因
#
sr_yield = self.df_share['yield'].groupby(level=0).sum()
sr_yield = sr_yield.loc[sr_yield.abs() > 0.00000099]
sr_fee_buy = pd.Series(self.dt_today_fee_buy)
sr_fee_redeem = pd.Series(self.dt_today_fee_redeem)
sr_bonus = pd.Series(self.dt_today_bonus)
sr_contrib = pd.concat({
0: sr_yield,
1: sr_fee_buy,
2: sr_fee_redeem,
3: sr_bonus
})
sr_contrib.index.names = ['ra_return_type', 'ra_fund_id']
self.contrib[day] = sr_contrib
#print "%s: %.6f / %.6f" % (day.strftime("%Y-%m-%d"), self.cash + 0.000000001, amount)
#
# 删除无用持仓
#
mask = (self.df_share['share'] + self.df_share['share_buying'] +
self.df_share['amount_bonusing']) < 0.000000001
if mask.any():
self.df_share.drop(self.df_share[mask].index, inplace=True)
# self.idebug(dt)
return result