def create_by_order_info(order_info: OrderInfo):
direction, action, instrument_id = order_info.direction, order_info.action, order_info.instrument_id
order_price, order_vol, order_id = order_info.order_price, order_info.order_vol, order_info.order_id
order_date, order_time, order_millisec = order_info.order_date, order_info.order_time, order_info.order_millisec
stg_run_id = order_info.stg_run_id
# TODO: 以后还可以增加滑点，成交比例等
# instrument_info = Config.instrument_info_dic[instrument_id]
# multiple = instrument_info['VolumeMultiple']
# margin_ratio = instrument_info['LongMarginRatio']
multiple, margin_ratio = 1, 1
margin = order_vol * order_price * multiple * margin_ratio
commission = 0
trade_info = TradeInfo(stg_run_id=stg_run_id,
order_id=order_id,
trade_date=order_date,
trade_time=order_time,
trade_millisec=order_millisec,
direction=direction,
action=action,
instrument_id=instrument_id,
order_price=order_price,
order_vol=order_vol,
trade_price=order_price,
trade_vol=order_vol,
margin=margin,
commission=commission
)
if UPDATE_OR_INSERT_PER_ACTION:
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(trade_info)
session.commit()
return trade_info
def create_by_trade_info(trade_info: TradeInfo):
direction, action, instrument_id = trade_info.direction, trade_info.action, trade_info.instrument_id
trade_price, trade_vol, trade_id = trade_info.trade_price, trade_info.trade_vol, trade_info.trade_id
trade_date, trade_time, trade_millisec = trade_info.trade_date, trade_info.trade_time, trade_info.trade_millisec
stg_run_id = trade_info.stg_run_id
if action == int(Action.Close):
raise ValueError('trade_info.action 不能为 close')
pos_status_info = PosStatusInfo(stg_run_id=stg_run_id,
trade_id=trade_id,
trade_date=trade_date,
trade_time=trade_time,
trade_millisec=trade_millisec,
direction=direction,
instrument_id=instrument_id,
position=trade_vol,
avg_price=trade_price,
cur_price=trade_price,
margin=0,
margin_chg=0,
floating_pl=0,
floating_pl_chg=0,
floating_pl_cum=0,
)
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(pos_status_info)
session.commit()
return pos_status_info
def __init__(self, symbol_list=None):
super().__init__()
self.symbol_list = symbol_list
self._mutex = threading.Lock()
self._last_check_datetime = datetime.now() - timedelta(minutes=1)
self.interval_timedelta = timedelta(seconds=15)
self.symbol_target_position_dic = {}
# 设定相应周期的事件驱动句柄 接收的参数类型
self._on_period_event_dic[PeriodType.Tick].param_type = dict
# 记录合约最近一次执行操作的时间
self.symbol_last_deal_datetime = {}
# 记录合约最近一个发送买卖请求的时间
self.instrument_lastest_order_datetime_dic = {}
# 目前由于交易是异步执行，在尚未记录每一笔订单的情况下，时间太短可能会导致仓位与请求但出现不同步现象，导致下单过多的问题
self.timedelta_between_deal = timedelta(seconds=3)
self.min_order_vol = 0.1
self.symbol_latest_price_dic = defaultdict(float)
self.weight = 1 if not DEBUG else 0.2 # 默认仓位权重
self.stop_loss_rate = -0.03
# 初始化 symbol 基本信息
with with_db_session(engine_md) as session:
symbol_info_list = session.query(SymbolPair).filter(
func.concat(SymbolPair.base_currency, SymbolPair.quote_currency).in_(symbol_list)).all()
self.symbol_info_dic = {symbol.base_currency+symbol.quote_currency: symbol for symbol in symbol_info_list}
self.logger.info('接受订单文件目录：%s', self._folder_path)
self.load_feedback_file()
def connect(self):
with with_db_session(engine_md) as session:
data = session.query(SymbolPair).all()
self.symbol_currency_dic = {
f'{sym.base_currency}{sym.quote_currency}': sym.base_currency
for sym in data
}
def create(stg_run_id, init_cash: int, md: dict):
"""
根据 md 及 初始化资金 创建对象，默认日期为当前md数据-1天
:param stg_run_id:
:param init_cash:
:param md:
:return:
"""
trade_date = str_2_date(md['ActionDay']) - timedelta(days=1)
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
trade_price = float(md['close'])
acc_status_info = AccountStatusInfo(stg_run_id=stg_run_id,
trade_date=trade_date,
trade_time=trade_time,
trade_millisec=trade_millisec,
available_cash=init_cash,
balance_tot=init_cash,
)
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(acc_status_info)
session.commit()
return acc_status_info
def init(alter_table=False):
BaseModel.metadata.create_all(engine_md)
if alter_table:
with with_db_session(engine=engine_md) as session:
for table_name, _ in BaseModel.metadata.tables.items():
sql_str = f"show table status from {Config.DB_SCHEMA_MD} where name=:table_name"
row_data = session.execute(sql_str,
params={
'table_name': table_name
}).first()
if row_data is None:
continue
if row_data[1].lower() == 'myisam':
continue
logger.info('修改 %s 表引擎为 MyISAM', table_name)
sql_str = "ALTER TABLE %s ENGINE = MyISAM" % table_name
session.execute(sql_str)
# This is an issue https://www.mail-archive.com/[email protected]/msg19744.html
session.execute(
f"ALTER TABLE {SymbolPair.__tablename__} CHANGE COLUMN `id` `id` INT(11) NULL AUTO_INCREMENT"
)
session.commit()
# This is an issue https://www.mail-archive.com/[email protected]/msg19744.html
session.execute(
f"ALTER TABLE {MDTick.__tablename__} CHANGE COLUMN `id` `id` INT(11) NULL AUTO_INCREMENT"
)
session.commit()
logger.info("所有表结构建立完成")
def create_by_trade_info(trade_info: TradeInfo):
direction, action, instrument_id = trade_info.direction, trade_info.action, trade_info.instrument_id
trade_price, trade_vol, trade_id = trade_info.trade_price, trade_info.trade_vol, trade_info.trade_id
trade_date, trade_time, trade_millisec = trade_info.trade_date, trade_info.trade_time, trade_info.trade_millisec
stg_run_id = trade_info.stg_run_id
if action == int(Action.Close):
raise ValueError('trade_info.action 不能为 close')
pos_status_info = PosStatusInfo(stg_run_id=stg_run_id,
trade_id=trade_id,
trade_date=trade_date,
trade_time=trade_time,
trade_millisec=trade_millisec,
direction=direction,
instrument_id=instrument_id,
position=trade_vol,
avg_price=trade_price,
cur_price=trade_price,
margin=0,
margin_chg=0,
floating_pl=0,
floating_pl_chg=0,
floating_pl_cum=0,
)
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(pos_status_info)
session.commit()
return pos_status_info
def create_by_order_info(order_info: OrderInfo):
direction, action, instrument_id = order_info.direction, order_info.action, order_info.instrument_id
order_price, order_vol, order_id = order_info.order_price, order_info.order_vol, order_info.order_id
order_date, order_time, order_millisec = order_info.order_date, order_info.order_time, order_info.order_millisec
stg_run_id = order_info.stg_run_id
# TODO: 以后还可以增加滑点，成交比例等
# instrument_info = Config.instrument_info_dic[instrument_id]
# multiple = instrument_info['VolumeMultiple']
# margin_ratio = instrument_info['LongMarginRatio']
multiple, margin_ratio = 1, 1
margin = order_vol * order_price * multiple * margin_ratio
commission = 0
trade_info = TradeInfo(stg_run_id=stg_run_id,
order_id=order_id,
trade_date=order_date,
trade_time=order_time,
trade_millisec=order_millisec,
direction=direction,
action=action,
instrument_id=instrument_id,
order_price=order_price,
order_vol=order_vol,
trade_price=order_price,
trade_vol=order_vol,
margin=margin,
commission=commission
)
if UPDATE_OR_INSERT_PER_ACTION:
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(trade_info)
session.commit()
return trade_info
def create(stg_run_id, init_cash: int, md: dict):
"""
根据 md 及 初始化资金 创建对象，默认日期为当前md数据-1天
:param stg_run_id:
:param init_cash:
:param md:
:return:
"""
trade_date = str_2_date(md['ActionDay']) - timedelta(days=1)
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
trade_price = float(md['close'])
acc_status_info = AccountStatusInfo(stg_run_id=stg_run_id,
trade_date=trade_date,
trade_time=trade_time,
trade_millisec=trade_millisec,
available_cash=init_cash,
balance_tot=init_cash,
)
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(acc_status_info)
session.commit()
return acc_status_info
def get_account_balance(stg_run_id):
"""
获取 account_info 账户走势数据
:param stg_run_id:
:return:
"""
with with_db_session(engine_abat) as session:
sql_str = str(
session.query(
func.concat(
AccountStatusInfo.trade_date, ' ',
AccountStatusInfo.trade_time).label('trade_datetime'),
AccountStatusInfo.available_cash.label('available_cash'),
AccountStatusInfo.curr_margin.label('curr_margin'),
AccountStatusInfo.balance_tot.label('balance_tot')).filter(
AccountStatusInfo.stg_run_id == stg_run_id).order_by(
AccountStatusInfo.trade_date,
AccountStatusInfo.trade_time))
# sql_str = """SELECT concat(trade_date, " ", trade_time) trade_datetime, available_cash, curr_margin, balance_tot
# FROM account_status_info where stg_run_id=%s order by trade_date, trade_time"""
data_df = pd.read_sql(sql_str, engine_abat, params=[' ', stg_run_id])
data_df["return_rate"] = (data_df["balance_tot"].pct_change().fillna(0) +
1).cumprod()
data_df = data_df.set_index("trade_datetime")
return data_df
def init():
from abat.backend import engine_abat
BaseModel.metadata.create_all(engine_abat)
with with_db_session(engine_abat) as session:
for table_name, _ in BaseModel.metadata.tables.items():
sql_str = "ALTER TABLE %s ENGINE = MyISAM" % table_name
session.execute(sql_str)
print("所有表结构建立完成")
def remove_order_info(stg_run_id: int):
"""
仅作为调试工具使用，删除指定 stg_run_id 相关的 order_info
:param stg_run_id:
:return:
"""
with with_db_session(engine_abat) as session:
session.execute('DELETE FROM order_info WHERE stg_run_id=:stg_run_id',
{'stg_run_id': stg_run_id})
session.commit()
def release(self):
try:
with with_db_session(engine_abat) as session:
session.add_all(self.order_info_list)
session.add_all(self.trade_info_list)
session.add_all(self.pos_status_info_dic.values())
session.add_all(self.account_info_list)
session.commit()
except:
self.logger.exception("release exception")
def remove_order_info(stg_run_id: int):
"""
仅作为调试工具使用，删除指定 stg_run_id 相关的 order_info
:param stg_run_id:
:return:
"""
with with_db_session(engine_abat) as session:
session.execute('DELETE FROM order_info WHERE stg_run_id=:stg_run_id',
{'stg_run_id': stg_run_id})
session.commit()
def update_by_pos_status_info(self, pos_status_info_dic, md: dict):
"""
根据 持仓列表更新账户信息
:param pos_status_info_dic:
:return:
"""
account_status_info = self.create_by_self()
# 上一次更新日期、时间
# trade_date_last, trade_time_last, trade_millisec_last = \
# account_status_info.trade_date, account_status_info.trade_time, account_status_info.trade_millisec
# 更新日期、时间
trade_date = md['ActionDay']
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
available_cash_chg = 0
curr_margin = 0
close_profit = 0
position_profit = 0
floating_pl_chg = 0
margin_chg = 0
floating_pl_cum = 0
for instrument_id, pos_status_info in pos_status_info_dic.items():
curr_margin += pos_status_info.margin
if pos_status_info.position == 0:
close_profit += pos_status_info.floating_pl
else:
position_profit += pos_status_info.floating_pl
floating_pl_chg += pos_status_info.floating_pl_chg
margin_chg += pos_status_info.margin_chg
floating_pl_cum += pos_status_info.floating_pl_cum
available_cash_chg = floating_pl_chg - margin_chg
account_status_info.curr_margin = curr_margin
# # 对于同一时间，平仓后又开仓的情况，不能将close_profit重置为0
# if trade_date == trade_date_last and trade_time == trade_time_last and trade_millisec == trade_millisec_last:
# account_status_info.close_profit += close_profit
# else:
# 一个单位时段只允许一次，不需要考虑上面的情况
account_status_info.close_profit = close_profit
account_status_info.position_profit = position_profit
account_status_info.available_cash += available_cash_chg
account_status_info.floating_pl_cum = floating_pl_cum
account_status_info.balance_tot = account_status_info.available_cash + curr_margin
account_status_info.trade_date = trade_date
account_status_info.trade_time = trade_time
account_status_info.trade_millisec = trade_millisec
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(account_status_info)
session.commit()
return account_status_info
def update_by_pos_status_info(self, pos_status_info_dic, md: dict):
"""
根据 持仓列表更新账户信息
:param pos_status_info_dic:
:return:
"""
account_status_info = self.create_by_self()
# 上一次更新日期、时间
# trade_date_last, trade_time_last, trade_millisec_last = \
# account_status_info.trade_date, account_status_info.trade_time, account_status_info.trade_millisec
# 更新日期、时间
trade_date = md['ActionDay']
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
available_cash_chg = 0
curr_margin = 0
close_profit = 0
position_profit = 0
floating_pl_chg = 0
margin_chg = 0
floating_pl_cum = 0
for instrument_id, pos_status_info in pos_status_info_dic.items():
curr_margin += pos_status_info.margin
if pos_status_info.position == 0:
close_profit += pos_status_info.floating_pl
else:
position_profit += pos_status_info.floating_pl
floating_pl_chg += pos_status_info.floating_pl_chg
margin_chg += pos_status_info.margin_chg
floating_pl_cum += pos_status_info.floating_pl_cum
available_cash_chg = floating_pl_chg - margin_chg
account_status_info.curr_margin = curr_margin
# # 对于同一时间，平仓后又开仓的情况，不能将close_profit重置为0
# if trade_date == trade_date_last and trade_time == trade_time_last and trade_millisec == trade_millisec_last:
# account_status_info.close_profit += close_profit
# else:
# 一个单位时段只允许一次，不需要考虑上面的情况
account_status_info.close_profit = close_profit
account_status_info.position_profit = position_profit
account_status_info.available_cash += available_cash_chg
account_status_info.floating_pl_cum = floating_pl_cum
account_status_info.balance_tot = account_status_info.available_cash + curr_margin
account_status_info.trade_date = trade_date
account_status_info.trade_time = trade_time
account_status_info.trade_millisec = trade_millisec
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(account_status_info)
session.commit()
return account_status_info
def _update_by_pos_status_info(self) -> AccountStatusInfo:
"""根据 持仓列表更新账户信息"""
pos_status_info_dic, md = self._pos_status_info_dic, self.curr_md
account_status_info = self._account_status_info.create_by_self()
# 上一次更新日期、时间
# trade_date_last, trade_time_last, trade_millisec_last = \
# account_status_info.trade_date, account_status_info.trade_time, account_status_info.trade_millisec
# 更新日期、时间
trade_date = md['ts_start'].date()
trade_time = md['ts_start'].time()
trade_millisec = 0
available_cash_chg = 0
curr_margin = 0
close_profit = 0
position_profit = 0
floating_pl_chg = 0
margin_chg = 0
floating_pl_cum = 0
for instrument_id, pos_status_info in pos_status_info_dic.items():
curr_margin += pos_status_info.margin
if pos_status_info.position == 0:
close_profit += pos_status_info.floating_pl
else:
position_profit += pos_status_info.floating_pl
floating_pl_chg += pos_status_info.floating_pl_chg
margin_chg += pos_status_info.margin_chg
floating_pl_cum += pos_status_info.floating_pl_cum
available_cash_chg = floating_pl_chg - margin_chg
account_status_info.curr_margin = curr_margin
# # 对于同一时间，平仓后又开仓的情况，不能将close_profit重置为0
# if trade_date == trade_date_last and trade_time == trade_time_last and trade_millisec == trade_millisec_last:
# account_status_info.close_profit += close_profit
# else:
# 一个单位时段只允许一次，不需要考虑上面的情况
account_status_info.close_profit = close_profit
account_status_info.position_profit = position_profit
account_status_info.available_cash += available_cash_chg
account_status_info.floating_pl_cum = floating_pl_cum
account_status_info.balance_tot = account_status_info.available_cash + curr_margin
account_status_info.trade_date = trade_date
account_status_info.trade_time = trade_time
account_status_info.trade_millisec = trade_millisec
if Config.UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat,
expire_on_commit=False) as session:
session.add(account_status_info)
session.commit()
return account_status_info
def connect(self):
with with_db_session(engine_md) as session:
data = session.query(SymbolPair).all()
self.symbol_currency_dic = {
f'{sym.base_currency}{sym.quote_currency}': sym.base_currency
for sym in data
}
self.symbol_precision_dic = {
f'{sym.base_currency}{sym.quote_currency}':
(int(sym.price_precision), int(sym.amount_precision))
for sym in data
}
def stg_run_ending(self):
"""
处理策略结束相关事项
释放策略资源
更新策略执行信息
:return:
"""
self.stg_base.release()
# 更新数据库 td_to 字段
with with_db_session(engine_abat) as session:
session.query(StgRunInfo).filter(StgRunInfo.stg_run_id == self.stg_run_id).update(
{StgRunInfo.dt_to: datetime.now()})
# sql_str = StgRunInfo.update().where(
# StgRunInfo.c.stg_run_id == self.stg_run_id).values(dt_to=datetime.now())
# session.execute(sql_str)
session.commit()
def _update_pos_status_info_by_md(self,
pos_status_info_last) -> PosStatusInfo:
"""创建新的对象，根据 trade_info 更新相关信息"""
md = self.curr_md
trade_date = md['ts_start'].date()
trade_time = md['ts_start'].time()
trade_millisec = 0
trade_price = float(md['close'])
instrument_id = md['pair']
pos_status_info = pos_status_info_last.create_by_self()
pos_status_info.cur_price = trade_price
pos_status_info.trade_date = trade_date
pos_status_info.trade_time = trade_time
pos_status_info.trade_millisec = trade_millisec
# 计算 floating_pl margin
# instrument_info = Config.instrument_info_dic[instrument_id]
# multiple = instrument_info['VolumeMultiple']
# margin_ratio = instrument_info['LongMarginRatio']
multiple, margin_ratio = 1, 1
position = pos_status_info.position
cur_price = pos_status_info.cur_price
avg_price = pos_status_info.avg_price
pos_status_info.margin = position * cur_price * multiple * margin_ratio
pos_status_info.margin_chg = pos_status_info.margin - pos_status_info_last.margin
if pos_status_info.direction == Direction.Long:
pos_status_info.floating_pl = (cur_price -
avg_price) * position * multiple
else:
pos_status_info.floating_pl = (avg_price -
cur_price) * position * multiple
pos_status_info.floating_pl_chg = pos_status_info.floating_pl - pos_status_info_last.floating_pl
pos_status_info.floating_pl_cum += pos_status_info.floating_pl_chg
if Config.UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat,
expire_on_commit=False) as session:
session.add(pos_status_info)
session.commit()
return pos_status_info
def _create_account_status_info(self) -> AccountStatusInfo:
stg_run_id, init_cash, md = self.stg_run_id, self.init_cash, self.curr_md
trade_date = md['ts_start'].date()
trade_time = md['ts_start'].time()
trade_millisec = 0
# trade_price = float(self.curr_md['close'])
acc_status_info = AccountStatusInfo(
stg_run_id=stg_run_id,
trade_date=trade_date,
trade_time=trade_time,
trade_millisec=trade_millisec,
available_cash=init_cash,
balance_tot=init_cash,
)
if Config.UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat,
expire_on_commit=False) as session:
session.add(acc_status_info)
session.commit()
return acc_status_info
def update_by_md(self, md: dict):
"""
创建新的对象，根据 trade_info 更新相关信息
:param md:
:return:
"""
trade_date = md['ActionDay']
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
trade_price = float(md['close'])
instrument_id = md['InstrumentID']
pos_status_info = self.create_by_self()
pos_status_info.cur_price = trade_price
pos_status_info.trade_date = trade_date
pos_status_info.trade_time = trade_time
pos_status_info.trade_millisec = trade_millisec
# 计算 floating_pl margin
# instrument_info = Config.instrument_info_dic[instrument_id]
# multiple = instrument_info['VolumeMultiple']
# margin_ratio = instrument_info['LongMarginRatio']
multiple, margin_ratio = 1, 1
position = pos_status_info.position
cur_price = pos_status_info.cur_price
avg_price = pos_status_info.avg_price
pos_status_info.margin = position * cur_price * multiple * margin_ratio
pos_status_info.margin_chg = pos_status_info.margin - self.margin
if pos_status_info.direction == Direction.Long:
pos_status_info.floating_pl = (cur_price - avg_price) * position * multiple
else:
pos_status_info.floating_pl = (avg_price - cur_price) * position * multiple
pos_status_info.floating_pl_chg = pos_status_info.floating_pl - self.floating_pl
pos_status_info.floating_pl_cum += pos_status_info.floating_pl_chg
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(pos_status_info)
session.commit()
return pos_status_info
def update_by_md(self, md: dict):
"""
创建新的对象，根据 trade_info 更新相关信息
:param md:
:return:
"""
trade_date = md['ActionDay']
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
trade_price = float(md['close'])
instrument_id = md['InstrumentID']
pos_status_info = self.create_by_self()
pos_status_info.cur_price = trade_price
pos_status_info.trade_date = trade_date
pos_status_info.trade_time = trade_time
pos_status_info.trade_millisec = trade_millisec
# 计算 floating_pl margin
# instrument_info = Config.instrument_info_dic[instrument_id]
# multiple = instrument_info['VolumeMultiple']
# margin_ratio = instrument_info['LongMarginRatio']
multiple, margin_ratio = 1, 1
position = pos_status_info.position
cur_price = pos_status_info.cur_price
avg_price = pos_status_info.avg_price
pos_status_info.margin = position * cur_price * multiple * margin_ratio
pos_status_info.margin_chg = pos_status_info.margin - self.margin
if pos_status_info.direction == Direction.Long:
pos_status_info.floating_pl = (cur_price - avg_price) * position * multiple
else:
pos_status_info.floating_pl = (avg_price - cur_price) * position * multiple
pos_status_info.floating_pl_chg = pos_status_info.floating_pl - self.floating_pl
pos_status_info.floating_pl_cum += pos_status_info.floating_pl_chg
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(pos_status_info)
session.commit()
return pos_status_info
def _save_order_info(self, instrument_id, price: float, vol: int,
direction: Direction, action: Action):
order_date = self.curr_md['ts_start'].date()
order_info = OrderInfo(stg_run_id=self.stg_run_id,
order_date=order_date,
order_time=self.curr_md['ts_start'].time(),
order_millisec=0,
direction=int(direction),
action=int(action),
instrument_id=instrument_id,
order_price=float(price),
order_vol=int(vol))
if False: # 暂时不用
with with_db_session(engine_abat,
expire_on_commit=False) as session:
session.add(order_info)
session.commit()
self.order_info_list.append(order_info)
self._order_info_dic.setdefault(instrument_id, []).append(order_info)
# 更新成交信息
# Order_2_Deal 模式：下单即成交
if self.trade_mode == BacktestTradeMode.Order_2_Deal:
self._save_trade_info(order_info)
def get_account_balance(stg_run_id):
"""
获取 account_info 账户走势数据
:param stg_run_id:
:return:
"""
with with_db_session(engine_abat) as session:
sql_str = str(
session.query(
func.concat(AccountStatusInfo.trade_date, ' ', AccountStatusInfo.trade_time).label('trade_datetime'),
AccountStatusInfo.available_cash.label('available_cash'),
AccountStatusInfo.curr_margin.label('curr_margin'),
AccountStatusInfo.balance_tot.label('balance_tot')
).filter(AccountStatusInfo.stg_run_id == stg_run_id).order_by(
AccountStatusInfo.trade_date, AccountStatusInfo.trade_time
)
)
# sql_str = """SELECT concat(trade_date, " ", trade_time) trade_datetime, available_cash, curr_margin, balance_tot
# FROM account_status_info where stg_run_id=%s order by trade_date, trade_time"""
data_df = pd.read_sql(sql_str, engine_abat, params=[' ', stg_run_id])
data_df["return_rate"] = (data_df["balance_tot"].pct_change().fillna(0) + 1).cumprod()
data_df = data_df.set_index("trade_datetime")
return data_df
def init(alter_table=False):
BaseModel.metadata.create_all(engine_md)
if alter_table:
with with_db_session(engine=engine_md) as session:
for table_name, _ in BaseModel.metadata.tables.items():
sql_str = f"show table status from {Config.DB_SCHEMA_MD} where name=:table_name"
row_data = session.execute(sql_str, params={'table_name': table_name}).first()
if row_data is None:
continue
if row_data[1].lower() == 'myisam':
continue
logger.info('修改 %s 表引擎为 MyISAM', table_name)
sql_str = "ALTER TABLE %s ENGINE = MyISAM" % table_name
session.execute(sql_str)
# This is an issue https://www.mail-archive.com/[email protected]/msg19744.html
session.execute(f"ALTER TABLE {SymbolPair.__tablename__} CHANGE COLUMN `id` `id` INT(11) NULL AUTO_INCREMENT")
session.commit()
# This is an issue https://www.mail-archive.com/[email protected]/msg19744.html
session.execute(f"ALTER TABLE {MDTick.__tablename__} CHANGE COLUMN `id` `id` INT(11) NULL AUTO_INCREMENT")
session.commit()
logger.info("所有表结构建立完成")
account_status_info.close_profit = close_profit
account_status_info.position_profit = position_profit
account_status_info.available_cash += available_cash_chg
account_status_info.floating_pl_cum = floating_pl_cum
account_status_info.balance_tot = account_status_info.available_cash + curr_margin
account_status_info.trade_date = trade_date
account_status_info.trade_time = trade_time
account_status_info.trade_millisec = trade_millisec
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(account_status_info)
session.commit()
return account_status_info
if __name__ == "__main__":
from abat.backend import engine_abat
BaseModel.metadata.create_all(engine_abat)
with with_db_session(engine_abat) as session:
for table_name, _ in BaseModel.metadata.tables.items():
sql_str = "ALTER TABLE %s ENGINE = MyISAM" % table_name
session.execute(sql_str)
print("所有表结构建立完成")
# 创建user表，继承metadata类
# Engine使用Schama Type创建一个特定的结构对象
# stg_info_table = Table("stg_info", metadata, autoload=True)
def factory(stg_class_obj: StgBase.__class__, strategy_params, md_agent_params_list, run_mode: RunMode, **run_mode_params):
"""
建立策略对象
建立数据库相应记录信息
根据运行模式（实时、回测）：选择相应的md_agent以及trade_agent
:param stg_class_obj: 策略类型 StgBase 的子类
:param strategy_params: 策略参数
:param md_agent_params_list: 行情代理（md_agent）参数，支持同时订阅多周期、多品种，
例如：同时订阅 [ethusdt, eosusdt] 1min 行情、[btcusdt, ethbtc] tick 行情
:param run_mode: 运行模式 RunMode.Realtime 或 RunMode.Backtest
:param run_mode_params: 运行参数，回测模式下：运行起止时间，实时行情下：加载定时器等设置
:return: 策略执行对象实力
"""
stg_run_info = StgRunInfo(stg_name=stg_class_obj.__name__, # '{.__name__}'.format(stg_class_obj)
dt_from=datetime.now(),
dt_to=None,
stg_params=json.dumps(strategy_params),
md_agent_params_list=json.dumps(md_agent_params_list),
run_mode=int(run_mode),
run_mode_params=json.dumps(run_mode_params))
with with_db_session(engine_abat) as session:
session.add(stg_run_info)
session.commit()
stg_run_id = stg_run_info.stg_run_id
# 设置运行模式：回测模式，实时模式。初始化交易接口
# if run_mode == RunMode.Backtest:
# trade_agent = BacktestTraderAgent(stg_run_id, run_mode_params)
# elif run_mode == RunMode.Realtime:
# trade_agent = RealTimeTraderAgent(stg_run_id, run_mode_params)
# else:
# raise ValueError('run_mode %d error' % run_mode)
trade_agent_class = trader_agent_class_dic[run_mode]
# 初始化策略实体，传入参数
stg_base = stg_class_obj(**strategy_params)
# 设置策略交易接口 trade_agent，这里不适用参数传递的方式而使用属性赋值，
# 因为stg子类被继承后，参数主要用于设置策略所需各种参数使用
stg_base.trade_agent = trade_agent_class(stg_run_id, run_mode_params)
# 对不同周期设置相应的md_agent
# 初始化各个周期的 md_agent
md_period_agent_dic = {}
for md_agent_param in md_agent_params_list:
period = md_agent_param['md_period']
md_agent = MdAgentBase.factory(run_mode, **md_agent_param)
md_period_agent_dic[period] = md_agent
# 对各个周期分别加载历史数据，设置对应 handler
# 通过 md_agent 加载各个周期的历史数据
md_df = md_agent.load_history()
if md_df is None:
StgHandlerBase.logger.warning('加载 %s 历史数据为 None', period)
continue
if isinstance(md_df, dict):
his_df_dic = md_df
md_df = his_df_dic['md_df']
else:
warnings.warn('load_history 返回 df 数据格式即将废弃，请更新成 dict', DeprecationWarning)
context = {ContextKey.instrument_id_list: list(md_agent.instrument_id_set)}
stg_base.load_md_period_df(period, md_df, context)
StgHandlerBase.logger.debug('加载 %s 历史数据 %s 条', period, 'None' if md_df is None else str(md_df.shape[0]))
# 初始化 StgHandlerBase 实例
if run_mode == RunMode.Realtime:
stg_handler = StgHandlerRealtime(stg_run_id=stg_run_id, stg_base=stg_base,
md_period_agent_dic=md_period_agent_dic, **run_mode_params)
elif run_mode == RunMode.Backtest:
stg_handler = StgHandlerBacktest(stg_run_id=stg_run_id, stg_base=stg_base,
md_period_agent_dic=md_period_agent_dic, **run_mode_params)
else:
raise ValueError('run_mode %d error' % run_mode)
StgHandlerBase.logger.debug('初始化 %r 完成', stg_handler)
return stg_handler
def load_history(self,
date_from=None,
date_to=None,
load_md_count=None) -> (pd.DataFrame, dict):
"""
从mysql中加载历史数据
实时行情推送时进行合并后供数据分析使用
:param date_from: None代表沿用类的 init_md_date_from 属性
:param date_to: None代表沿用类的 init_md_date_from 属性
:param load_md_count: 0 代表不限制，None代表沿用类的 init_load_md_count 属性，其他数字代表相应的最大加载条数
:return: md_df 或者
ret_data {
'md_df': md_df, 'datetime_key': 'ts_start',
'date_key': **, 'time_key': **, 'microseconds_key': **
}
"""
# 如果 init_md_date_from 以及 init_md_date_to 为空，则不加载历史数据
if self.init_md_date_from is None and self.init_md_date_to is None:
ret_data = {'md_df': None, 'datetime_key': 'ts_start'}
return ret_data
if self.md_period == PeriodType.Tick:
# sql_str = """SELECT * FROM md_tick
# WHERE InstrumentID IN (%s) %s
# ORDER BY ActionDay DESC, ActionTime DESC, ActionMillisec DESC %s"""
raise ValueError("暂不支持 tick 级回测")
elif self.md_period == PeriodType.Min1:
# 将sql 语句形势改成由 sqlalchemy 进行sql 拼装方式
# sql_str = """select * from md_min_1
# where InstrumentID in ('j1801') and tradingday>='2017-08-14'
# order by ActionDay, ActionTime, ActionMillisec limit 200"""
# sql_str = """SELECT * FROM md_min_1
# WHERE InstrumentID IN (%s) %s
# ORDER BY ActionDay DESC, ActionTime DESC %s"""
with with_db_session(engine_md) as session:
query = session.query(
MDMin1.symbol.label('pair'),
MDMin1.ts_start.label('ts_start'),
MDMin1.open.label('open'), MDMin1.high.label('high'),
MDMin1.low.label('low'), MDMin1.close.label('close'),
MDMin1.vol.label('vol'), MDMin1.amount.label('amount'),
MDMin1.count.label('count')).filter(
MDMin1.symbol.in_(self.instrument_id_set)).order_by(
MDMin1.ts_start.desc())
# 设置参数
params = list(self.instrument_id_set)
# date_from 起始日期
if date_from is None:
date_from = self.init_md_date_from
if date_from is not None:
# qry_str_date_from = " and tradingday>='%s'" % date_from
query = query.filter(MDMin1.ts_start >= date_from)
params.append(date_from)
# date_to 截止日期
if date_to is None:
date_to = self.init_md_date_to
if date_to is not None:
# qry_str_date_to = " and tradingday<='%s'" % date_to
query = query.filter(MDMin1.ts_start <= date_to)
params.append(date_to)
# load_limit 最大记录数
if load_md_count is None:
load_md_count = self.init_load_md_count
if load_md_count is not None and load_md_count > 0:
qry_str_limit = " limit %d" % load_md_count
query = query.limite(load_md_count)
params.append(load_md_count)
sql_str = str(query)
else:
raise ValueError('%s error' % self.md_period)
# 合约列表
# qry_str_inst_list = "'" + "', '".join(self.instrument_id_set) + "'"
# 拼接sql
# qry_sql_str = sql_str % (qry_str_inst_list, qry_str_date_from + qry_str_date_to, qry_str_limit)
# 加载历史数据
md_df = pd.read_sql(sql_str, engine_md, params=params)
# self.md_df = md_df
ret_data = {'md_df': md_df, 'datetime_key': 'ts_start'}
return ret_data
def update_by_trade_info(self, trade_info: TradeInfo):
"""
创建新的对象，根据 trade_info 更新相关信息
:param trade_info:
:return:
"""
# 复制前一个持仓状态
pos_status_info = self.create_by_self()
direction, action, instrument_id = trade_info.direction, trade_info.action, trade_info.instrument_id
trade_price, trade_vol, trade_id = trade_info.trade_price, trade_info.trade_vol, trade_info.trade_id
trade_date, trade_time, trade_millisec = trade_info.trade_date, trade_info.trade_time, trade_info.trade_millisec
# 获取合约信息
# instrument_info = Config.instrument_info_dic[instrument_id]
# multiple = instrument_info['VolumeMultiple']
# margin_ratio = instrument_info['LongMarginRatio']
multiple, margin_ratio = 1, 1
# 计算仓位、方向、平均价格
pos_direction, position, avg_price = pos_status_info.direction, pos_status_info.position, pos_status_info.avg_price
if pos_direction == direction:
if action == Action.Open:
# 方向相同：开仓：加仓；
pos_status_info.avg_price = (position * avg_price + trade_price * trade_vol) / (position + trade_vol)
pos_status_info.position = position + trade_vol
else:
# 方向相同：关仓：减仓；
if trade_vol > position:
raise ValueError("当前持仓%d，平仓%d，错误" % (position, trade_vol))
elif trade_vol == position:
# 清仓前计算浮动收益
# 未清仓的情况将在下面的代码中统一计算浮动收益
if pos_status_info.direction == Direction.Long:
pos_status_info.floating_pl = (trade_price - avg_price) * position * multiple
else:
pos_status_info.floating_pl = (avg_price - trade_price) * position * multiple
pos_status_info.avg_price = 0
pos_status_info.position = 0
else:
pos_status_info.avg_price = (position * avg_price - trade_price * trade_vol) / (
position - trade_vol)
pos_status_info.position = position - trade_vol
elif position == 0:
pos_status_info.avg_price = trade_price
pos_status_info.position = trade_vol
pos_status_info.direction = direction
else:
# 方向相反
raise ValueError("当前仓位：%s %d手，目标操作：%s %d手，请先平仓在开仓" % (
"多头" if pos_direction == Direction.Long else "空头", position,
"多头" if direction == Direction.Long else "空头", trade_vol,
))
# if position == trade_vol:
# # 方向相反，量相同：清仓
# pos_status_info.avg_price = 0
# pos_status_info.position = 0
# else:
# holding_amount = position * avg_price
# trade_amount = trade_price * trade_vol
# position_rest = position - trade_vol
# avg_price = (holding_amount - trade_amount) / position_rest
# if position > trade_vol:
# # 减仓
# pos_status_info.avg_price = avg_price
# pos_status_info.position = position_rest
# else:
# # 多空反手
# self.logger.warning("%s 持%s：%d -> %d 多空反手", self.instrument_id,
# '多' if direction == int(Direction.Long) else '空', position, position_rest)
# pos_status_info.avg_price = avg_price
# pos_status_info.position = position_rest
# pos_status_info.direction = Direction.Short if direction == int(Direction.Short) else Direction.Long
# 设置其他属性
pos_status_info.cur_price = trade_price
pos_status_info.trade_date = trade_date
pos_status_info.trade_time = trade_time
pos_status_info.trade_millisec = trade_millisec
# 计算 floating_pl margin
position = pos_status_info.position
# cur_price = pos_status_info.cur_price
avg_price = pos_status_info.avg_price
pos_status_info.margin = position * trade_price * multiple * margin_ratio
# 如果当前仓位不为 0 则计算浮动收益
if position > 0:
if pos_status_info.direction == Direction.Long:
pos_status_info.floating_pl = (trade_price - avg_price) * position * multiple
else:
pos_status_info.floating_pl = (avg_price - trade_price) * position * multiple
# 如果前一状态仓位为 0 则不进行差值计算
if self.position == 0:
pos_status_info.margin_chg = pos_status_info.margin
pos_status_info.floating_pl_chg = pos_status_info.floating_pl
else:
pos_status_info.margin_chg = pos_status_info.margin - self.margin
pos_status_info.floating_pl_chg = pos_status_info.floating_pl - self.floating_pl
pos_status_info.floating_pl_cum += pos_status_info.floating_pl_chg
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(pos_status_info)
session.commit()
return pos_status_info
def load_history(self, date_from=None, date_to=None, load_md_count=None)->(pd.DataFrame, dict):
"""
从mysql中加载历史数据
实时行情推送时进行合并后供数据分析使用
:param date_from: None代表沿用类的 init_md_date_from 属性
:param date_to: None代表沿用类的 init_md_date_from 属性
:param load_md_count: 0 代表不限制，None代表沿用类的 init_load_md_count 属性，其他数字代表相应的最大加载条数
:return: md_df 或者
ret_data {
'md_df': md_df, 'datetime_key': 'ts_start',
'date_key': **, 'time_key': **, 'microseconds_key': **
}
"""
# 如果 init_md_date_from 以及 init_md_date_to 为空，则不加载历史数据
if self.init_md_date_from is None and self.init_md_date_to is None:
ret_data = {'md_df': None, 'datetime_key': 'ts_start'}
return ret_data
if self.md_period == PeriodType.Tick:
sql_str = """SELECT * FROM md_tick
WHERE InstrumentID IN (%s) %s
ORDER BY ActionDay DESC, ActionTime DESC, ActionMillisec DESC %s"""
elif self.md_period == PeriodType.Min1:
# 将sql 语句形势改成由 sqlalchemy 进行sql 拼装方式
# sql_str = """select * from md_min_1
# where InstrumentID in ('j1801') and tradingday>='2017-08-14'
# order by ActionDay, ActionTime, ActionMillisec limit 200"""
# sql_str = """SELECT * FROM md_min_1
# WHERE InstrumentID IN (%s) %s
# ORDER BY ActionDay DESC, ActionTime DESC %s"""
with with_db_session(engine_md) as session:
query = session.query(
MDMin1.pair.label('pair'), MDMin1.ts_start.label('ts_start'),
MDMin1.open.label('open'), MDMin1.high.label('high'),
MDMin1.low.label('low'), MDMin1.close.label('close'),
MDMin1.vol.label('vol'), MDMin1.amount.label('amount'), MDMin1.count.label('count')
).filter(
MDMin1.pair.in_(self.instrument_id_set)
).order_by(MDMin1.ts_start.desc())
# 设置参数
params = list(self.instrument_id_set)
# date_from 起始日期
if date_from is None:
date_from = self.init_md_date_from
if date_from is not None:
# qry_str_date_from = " and tradingday>='%s'" % date_from
query = query.filter(MDMin1.ts_start >= date_from)
params.append(date_from)
# date_to 截止日期
if date_to is None:
date_to = self.init_md_date_to
if date_to is not None:
# qry_str_date_to = " and tradingday<='%s'" % date_to
query = query.filter(MDMin1.ts_start <= date_to)
params.append(date_to)
# load_limit 最大记录数
if load_md_count is None:
load_md_count = self.init_load_md_count
if load_md_count is not None and load_md_count > 0:
qry_str_limit = " limit %d" % load_md_count
query = query.limite(load_md_count)
params.append(load_md_count)
sql_str = str(query)
else:
raise ValueError('%s error' % self.md_period)
# 合约列表
# qry_str_inst_list = "'" + "', '".join(self.instrument_id_set) + "'"
# 拼接sql
# qry_sql_str = sql_str % (qry_str_inst_list, qry_str_date_from + qry_str_date_to, qry_str_limit)
# 加载历史数据
md_df = pd.read_sql(sql_str, engine_md, params=params)
# self.md_df = md_df
ret_data = {'md_df': md_df, 'datetime_key': 'ts_start'}
return ret_data
session.query(
func.concat(AccountStatusInfo.trade_date, ' ', AccountStatusInfo.trade_time).label('trade_datetime'),
AccountStatusInfo.available_cash.label('available_cash'),
AccountStatusInfo.curr_margin.label('curr_margin'),
AccountStatusInfo.balance_tot.label('balance_tot')
).filter(AccountStatusInfo.stg_run_id == stg_run_id).order_by(
AccountStatusInfo.trade_date, AccountStatusInfo.trade_time
)
)
# sql_str = """SELECT concat(trade_date, " ", trade_time) trade_datetime, available_cash, curr_margin, balance_tot
# FROM account_status_info where stg_run_id=%s order by trade_date, trade_time"""
data_df = pd.read_sql(sql_str, engine_abat, params=[' ', stg_run_id])
data_df["return_rate"] = (data_df["balance_tot"].pct_change().fillna(0) + 1).cumprod()
data_df = data_df.set_index("trade_datetime")
return data_df
if __name__ == "__main__":
with with_db_session(engine_abat) as session:
# stg_run_id = session.execute("select max(stg_run_id) from stg_run_info").fetchone()[0]
stg_run_id = session.query(func.max(StgRunInfo.stg_run_id)).scalar()
# stg_run_id = 2
data_df = get_account_balance(stg_run_id)
logger.info("\n%s", data_df)
data_df.plot(ylim=[min(data_df["available_cash"]), max(data_df["balance_tot"])])
data_df.plot(ylim=[min(data_df["curr_margin"]), max(data_df["curr_margin"])])
stat_df = return_risk_analysis(data_df[['return_rate']], freq=None)
logger.info("\n%s", stat_df)
plt.show()
def update_by_trade_info(self, trade_info: TradeInfo):
"""
创建新的对象，根据 trade_info 更新相关信息
:param trade_info:
:return:
"""
# 复制前一个持仓状态
pos_status_info = self.create_by_self()
direction, action, instrument_id = trade_info.direction, trade_info.action, trade_info.instrument_id
trade_price, trade_vol, trade_id = trade_info.trade_price, trade_info.trade_vol, trade_info.trade_id
trade_date, trade_time, trade_millisec = trade_info.trade_date, trade_info.trade_time, trade_info.trade_millisec
# 获取合约信息
# instrument_info = Config.instrument_info_dic[instrument_id]
# multiple = instrument_info['VolumeMultiple']
# margin_ratio = instrument_info['LongMarginRatio']
multiple, margin_ratio = 1, 1
# 计算仓位、方向、平均价格
pos_direction, position, avg_price = pos_status_info.direction, pos_status_info.position, pos_status_info.avg_price
if pos_direction == direction:
if action == Action.Open:
# 方向相同：开仓：加仓；
pos_status_info.avg_price = (position * avg_price + trade_price * trade_vol) / (position + trade_vol)
pos_status_info.position = position + trade_vol
else:
# 方向相同：关仓：减仓；
if trade_vol > position:
raise ValueError("当前持仓%d，平仓%d，错误" % (position, trade_vol))
elif trade_vol == position:
# 清仓前计算浮动收益
# 未清仓的情况将在下面的代码中统一计算浮动收益
if pos_status_info.direction == Direction.Long:
pos_status_info.floating_pl = (trade_price - avg_price) * position * multiple
else:
pos_status_info.floating_pl = (avg_price - trade_price) * position * multiple
pos_status_info.avg_price = 0
pos_status_info.position = 0
else:
pos_status_info.avg_price = (position * avg_price - trade_price * trade_vol) / (
position - trade_vol)
pos_status_info.position = position - trade_vol
elif position == 0:
pos_status_info.avg_price = trade_price
pos_status_info.position = trade_vol
pos_status_info.direction = direction
else:
# 方向相反
raise ValueError("当前仓位：%s %d手，目标操作：%s %d手，请先平仓在开仓" % (
"多头" if pos_direction == Direction.Long else "空头", position,
"多头" if direction == Direction.Long else "空头", trade_vol,
))
# if position == trade_vol:
# # 方向相反，量相同：清仓
# pos_status_info.avg_price = 0
# pos_status_info.position = 0
# else:
# holding_amount = position * avg_price
# trade_amount = trade_price * trade_vol
# position_rest = position - trade_vol
# avg_price = (holding_amount - trade_amount) / position_rest
# if position > trade_vol:
# # 减仓
# pos_status_info.avg_price = avg_price
# pos_status_info.position = position_rest
# else:
# # 多空反手
# self.logger.warning("%s 持%s：%d -> %d 多空反手", self.instrument_id,
# '多' if direction == int(Direction.Long) else '空', position, position_rest)
# pos_status_info.avg_price = avg_price
# pos_status_info.position = position_rest
# pos_status_info.direction = Direction.Short if direction == int(Direction.Short) else Direction.Long
# 设置其他属性
pos_status_info.cur_price = trade_price
pos_status_info.trade_date = trade_date
pos_status_info.trade_time = trade_time
pos_status_info.trade_millisec = trade_millisec
# 计算 floating_pl margin
position = pos_status_info.position
# cur_price = pos_status_info.cur_price
avg_price = pos_status_info.avg_price
pos_status_info.margin = position * trade_price * multiple * margin_ratio
# 如果当前仓位不为 0 则计算浮动收益
if position > 0:
if pos_status_info.direction == Direction.Long:
pos_status_info.floating_pl = (trade_price - avg_price) * position * multiple
else:
pos_status_info.floating_pl = (avg_price - trade_price) * position * multiple
# 如果前一状态仓位为 0 则不进行差值计算
if self.position == 0:
pos_status_info.margin_chg = pos_status_info.margin
pos_status_info.floating_pl_chg = pos_status_info.floating_pl
else:
pos_status_info.margin_chg = pos_status_info.margin - self.margin
pos_status_info.floating_pl_chg = pos_status_info.floating_pl - self.floating_pl
pos_status_info.floating_pl_cum += pos_status_info.floating_pl_chg
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(pos_status_info)
session.commit()
return pos_status_info
