def make_trades(stock,
signal,
tdate,
tpositive,
tnegative,
begin=0,
taxrate=125,
trade_strategy=buy_first,
extra_func=default_extra):
''' stock为stock
ssingal为买卖信号,对于次日买卖的信号，输入前需要将signal roll(1)
tpositive,tnegative为信号值为正和负时的选择价格
taxrate为税率，默认为千分之八
begin为起始交易日
trade_strategy为交易方式，先买后卖，先卖后买，还是均可
以买入开始计算
'''
assert len(tpositive) == len(tnegative) == len(signal)
#print signal,'=signal'
sis = signal.nonzero()[0] #非0信号的index
slen = len(sis)
if slen == 0:
return []
tbegin = tdate.searchsorted(begin)
ibegin = sis.searchsorted(tbegin) #tbegin在非0索引中的插入位置
#print tbegin,ibegin
if ibegin >= slen: #空信号
return []
should_skip = trade_strategy(signal[sis[ibegin]])
ibegin += should_skip
if ibegin >= slen: #仍然是空信号
return []
#print signal[tbegin:].tolist(),sis,ibegin,tbegin
tbegin = sis[ibegin]
trades = []
#print sis
#print tnegative
for i in xrange(ibegin, slen):
ci = sis[i]
cs = signal[ci] #通常是1/-1,只有正/负有意义，数值本身无意义
price = tpositive[ci] if cs > 0 else tnegative[ci]
#print ci,cs,price,tdate[ci],tnegative[ci]
ctrade = Trade(
stock.code, int(tdate[ci]), int(price),
int(cs) * VOLUME_BASE, taxrate
) #int强制转换，避免把numpy.int32传入trade.因为ndarray索引得到的值是numpy.intxx的，而非普通int
ctrade.stock = stock
ctrade.idate = ci
trades.append(extra_func(ctrade, stock, ci))
#if sum(signal[tbegin:]) != 0: #最后一个未平仓,不计算。 这一点已经在match_trades中保证
#print sum(signal[tbegin:]),signal[tbegin:].tolist()
# trades.pop()
#print trades[-1].tdate,trades[-1].tvolume,trades[-1].tprice
return trades
def organize_trades(self, named_trades):
trades = PositionManager.organize_trades(self, named_trades)
#for trade in trades:
# print trade
if len(trades) == 0:
return trades
new_trades = []
ti = 0
tcur = trades[ti]
dlen = len(trades[0].stock.transaction[CLOSE])
holding = {}
for i in xrange(dlen):
for hold in holding.values(): #i=0是没有持仓，所以不需要判断i>1
tlimit = (hold[0].transaction[CLOSE][i - 1] +
hold[0].transaction[HIGH][i - 1]) / 2
base = hold[-1]
#print tlimit,hold[1]+hold[2]
if (tlimit > hold[1] + hold[2] and tlimit <
base.tprice + hold[2] * 5): #当不超过3ATR时,添加一个trade
#print base.tstock,self.dates[i],tlimit,hold[1],hold[2],base.tprice
tvolume = base.tvolume / 2 or 1
trade = Trade(base.tstock, int(self.dates[i]),
int(hold[0].transaction[OPEN][i]), tvolume,
base.taxrate)
trade.stock = base.stock
trade.atr = int(base.stock.atr2[i])
trade.type = 'append'
new_trades.append(trade)
holding[hold[0]][1] = hold[1] + hold[2] #更改起始价格
while tcur.idate == i:
if tcur.tvolume > 0:
holding[tcur.stock] = [
tcur.stock, tcur.tprice,
int(tcur.stock.atr2[i]), tcur
]
elif tcur.tvolume < 0 and tcur.stock in holding:
#print 'del:',tcur.tdate
del holding[tcur.stock]
ti += 1
if ti >= len(trades):
break
tcur = trades[ti]
if ti >= len(trades):
break
trades[0:0] = new_trades #插入到前面,以便如果B/S同时出现,B排序在前面
trades.sort(cmp=lambda x, y: x.tdate - y.tdate)
#for trade in trades:print trade
return trades
def make_trades(stock,signal,tdate,tpositive,tnegative
,begin=0,taxrate=125,trade_strategy=buy_first,extra_func=default_extra):
''' stock为stock
ssingal为买卖信号,对于次日买卖的信号，输入前需要将signal roll(1)
tpositive,tnegative为信号值为正和负时的选择价格
taxrate为税率，默认为千分之八
begin为起始交易日
trade_strategy为交易方式，先买后卖，先卖后买，还是均可
以买入开始计算
'''
assert len(tpositive) == len(tnegative) == len(signal)
#print signal,'=signal'
sis = signal.nonzero()[0] #非0信号的index
slen = len(sis)
if slen == 0:
return []
tbegin = tdate.searchsorted(begin)
ibegin = sis.searchsorted(tbegin) #tbegin在非0索引中的插入位置
#print tbegin,ibegin
if ibegin >= slen: #空信号
return []
should_skip = trade_strategy(signal[sis[ibegin]])
ibegin += should_skip
if ibegin >= slen: #仍然是空信号
return []
#print signal[tbegin:].tolist(),sis,ibegin,tbegin
tbegin = sis[ibegin]
trades = []
#print sis
#print tnegative
for i in xrange(ibegin,slen):
ci = sis[i]
cs = signal[ci] #通常是1/-1,只有正/负有意义，数值本身无意义
price = tpositive[ci] if cs>0 else tnegative[ci]
#print ci,cs,price,tdate[ci],tnegative[ci]
ctrade = Trade(stock.code,int(tdate[ci]),int(price),int(cs)*VOLUME_BASE,taxrate) #int强制转换，避免把numpy.int32传入trade.因为ndarray索引得到的值是numpy.intxx的，而非普通int
ctrade.stock = stock
ctrade.idate = ci
trades.append(extra_func(ctrade,stock,ci))
#if sum(signal[tbegin:]) != 0: #最后一个未平仓,不计算。 这一点已经在match_trades中保证
#print sum(signal[tbegin:]),signal[tbegin:].tolist()
# trades.pop()
#print trades[-1].tdate,trades[-1].tvolume,trades[-1].tprice
return trades
def organize_trades(self,named_trades):
trades = PositionManager.organize_trades(self,named_trades)
#for trade in trades:
# print trade
if len(trades) == 0:
return trades
new_trades = []
ti = 0
tcur = trades[ti]
dlen = len(trades[0].stock.transaction[CLOSE])
holding = {}
for i in xrange(dlen):
for hold in holding.values(): #i=0是没有持仓，所以不需要判断i>1
tlimit = (hold[0].transaction[CLOSE][i-1] + hold[0].transaction[HIGH][i-1])/2
base = hold[-1]
#print tlimit,hold[1]+hold[2]
if(tlimit > hold[1] + hold[2] and tlimit < base.tprice + hold[2]*5):#当不超过3ATR时,添加一个trade
#print base.tstock,self.dates[i],tlimit,hold[1],hold[2],base.tprice
tvolume = base.tvolume/2 or 1
trade = Trade(base.tstock,int(self.dates[i]),int(hold[0].transaction[OPEN][i]),tvolume,base.taxrate)
trade.stock = base.stock
trade.atr = int(base.stock.atr2[i])
trade.type = 'append'
new_trades.append(trade)
holding[hold[0]][1] = hold[1] + hold[2] #更改起始价格
while tcur.idate == i:
if tcur.tvolume>0:
holding[tcur.stock] = [tcur.stock,tcur.tprice,int(tcur.stock.atr2[i]),tcur]
elif tcur.tvolume<0 and tcur.stock in holding:
#print 'del:',tcur.tdate
del holding[tcur.stock]
ti += 1
if ti >= len(trades):
break
tcur = trades[ti]
if ti>=len(trades):
break
trades[0:0]= new_trades #插入到前面,以便如果B/S同时出现,B排序在前面
trades.sort(cmp=lambda x,y:x.tdate-y.tdate)
#for trade in trades:print trade
return trades