class Character(models.Model): n = models.IntegerField() m = models.CharField() word = models.ReferenceField(Word)
class Person(models.Model): name = models.Attribute() friend = models.ReferenceField('Person')
class Order(models.Model): OS_NONE, OS_NEW, OS_CANCELED, OS_FILLED, OS_CLOSING, OS_CLOSED, OS_REJECTED = range( 7) account = models.ReferenceField('Account') local_id = models.Attribute() sys_id = models.Attribute(default='') strategy_code = models.Attribute(default='') instrument = models.ReferenceField(Instrument) is_long = models.BooleanField(indexed=False) is_open = models.BooleanField(indexed=True) order_time = models.DateTimeField() price = models.FloatField(indexed=False) volume = models.FloatField(indexed=False) status = models.IntegerField(default=OS_NONE) orig_order = models.ReferenceField('Order', related_name='close_orders') stop_profit_offset = models.FloatField(indexed=False, default=0.0) # 止赢偏离值 stoploss = models.FloatField(indexed=False, default=0.0) # 止损价 stopprofit = models.FloatField(indexed=False, default=0.0) # 止赢价 def __repr__(self): return u'<Order: {0.id}({0.instrument}:{0.opened_volume})>'.format( self) def is_closed(self): return self.status == Order.OS_CLOSED @property def currency(self): return self.instrument.quoted_currency @property def can_close(self): return self.status == Order.OS_FILLED @property def can_cancel(self): if self.status in (Order.OS_NONE, Order.OS_NEW): return True elif self.status == Order.OS_FILLED: if abs(self.filled_volume) < abs(self.volume): return True return False @property def trades(self): return Trade.objects.filter(order_id=self.id).order('trade_time') @property def filled_volume(self): return sum([trade.volume for trade in self.trades]) @property def closed_volume(self): return sum([trade.closed_volume for trade in self.trades]) @property def opened_volume(self): """ 剩余开仓量 """ return sum([trade.opened_volume for trade in self.trades]) @property def opened_amount(self): return sum([trade.opened_amount for trade in self.trades]) @property def commission(self): return sum([trade.commission for trade in self.trades]) @property def real_profit(self): return sum([trade.profit for trade in self.trades]) @property def trade_amt(self): return sum([trade.amount for trade in self.trades]) @property def avg_fill_price(self): if self.filled_volume: if self.instrument.indirect_quotation: return self.filled_volume * self.instrument.multiplier / self.trade_amt else: return self.trade_amt / (self.filled_volume * self.instrument.multiplier) return None @property def cur_price(self): return current_price(self.instrument.secid, self.opened_volume > 0) @property def strategy(self): return STRATEGIES.get(self.strategy_code) def delete(self, *args, **kwargs): for t in self.trades: t.delete() super(Order, self).delete(*args, **kwargs) def update_index_value(self, att, value): assert att in ('status', 'is_open', 'local_id', 'sys_id') pipeline = self.db.pipeline() # remove from old index indkey = self._index_key_for_attr_val(att, getattr(self, att)) pipeline.srem(indkey, self.id) pipeline.srem(self.key()['_indices'], indkey) # add to new index # in version 0.1.4 there is a bug in self._add_to_index(att, value, pipeline): # the val paramter doesnot work, it's ignored. # so i have to hardcode it as following t, index = self._index_key_for(att, value) if t == 'attribute': pipeline.sadd(index, self.id) pipeline.sadd(self.key()['_indices'], index) elif t == 'list': for i in index: pipeline.sadd(i, self.id) pipeline.sadd(self.key()['_indices'], i) elif t == 'sortedset': zindex, index = index pipeline.sadd(index, self.id) pipeline.sadd(self.key()['_indices'], index) descriptor = self.attributes[att] score = descriptor.typecast_for_storage(value) pipeline.zadd(zindex, self.id, score) pipeline.sadd(self.key()['_zindices'], zindex) # set db value pipeline.hset(self.key(), att, value) pipeline.execute() # set instance value setattr(self, att, value) def update_status(self, value): value = int(value) assert 0 <= value < 7 logger.debug('update order {2} status from {0} to {1}'.format( getattr(self, 'status'), value, self.sys_id)) self.update_index_value('status', value) def change_to_open_order(self): self.update_index_value('is_open', 1) def update_local_id(self, value): value = str(value) self.update_index_value('local_id', value) def update_sys_id(self, value): value = str(value) self.update_index_value('sys_id', value) def update_float_value(self, att, value): assert att in ('stoploss', 'stopprofit', 'stop_profit_offset', 'volume') value = float(value) self.db.hset(self.key(), att, value) setattr(self, att, value) def update_stopprice(self, stoploss=None, stopprofit=None): if stoploss is not None: self.update_float_value('stoploss', stoploss) if stopprofit is not None: self.update_float_value('stopprofit', stopprofit) def update_stop_profit_offset(self, value): self.update_float_value('stop_profit_offset', value) def margin(self, cur_price=None): cur_price = cur_price or self.cur_price return self.instrument.calc_margin(cur_price, self.opened_volume) def float_profit(self, cur_price=None): cur_price = cur_price or self.cur_price profit = self.instrument.amount( cur_price, self.opened_volume) - self.opened_amount if self.instrument.indirect_quotation: profit *= -1 return profit def on_new(self, orderid, instid, direction, price, volume, exectime): instrument = Instrument.objects.filter(secid=instid).first() #assert self.is_open is not None self.sys_id = orderid self.instrument = instrument self.is_long = direction self.price = float(price) self.volume = float(volume) self.order_time = exectime self.status = Order.OS_NEW assert self.is_valid(), self.errors self.save() def on_trade(self, price, volume, tradetime, execid): assert self.is_open is not None # check duplicate trade if Trade.objects.filter(exec_id=execid): logger.debug(u'EXECID {0} 已经存在!'.format(execid)) return False if not self.is_long: volume = -volume t = Trade(order=self) t.on_trade(price, volume, tradetime, execid, self.is_open) self.update_status(Order.OS_FILLED) logger.info(u'<策略{0}>成交回报: {1}{2}仓 合约={3} 价格={4} 数量={5}'.format( self.strategy_code, u'开' if self.is_open else u'平', u'多' if self.is_long == self.is_open else u'空', self.instrument.name, price, volume, )) return t def set_stopprice(self, price, offset_loss=0.0, offset_profit=0.0): # 静态止赢价 if offset_profit and not self.stopprofit: if self.is_long: stopprofit = price + offset_profit else: stopprofit = price - offset_profit self.update_stopprice(stopprofit=stopprofit) logger.debug('Order {0} set stop profit price to {1}'.format( self.sys_id, self.stopprofit)) # 浮动止损价 if offset_loss: if self.is_long: stoploss = price - offset_loss if self.stoploss and stoploss <= self.stoploss: return else: stoploss = price + offset_loss if self.stoploss and stoploss >= self.stoploss: return self.update_stopprice(stoploss) logger.debug('Order {0} set stop loss price to {1}'.format( self.sys_id, self.stoploss)) def on_close(self, trade): trade.on_close() if abs(self.orig_order.closed_volume) >= abs( self.orig_order.filled_volume): self.orig_order.update_status(Order.OS_CLOSED) logger.debug(u'订单{0}已全部平仓'.format(self.orig_order.sys_id)) if (abs(self.closed_volume) >= abs(self.volume)) or (abs( self.closed_volume) >= abs(self.orig_order.filled_volume)): self.update_status(Order.OS_CLOSED) logger.debug(u'订单{0}已全部平仓'.format(self.sys_id))
class User(models.Model): name = models.CharField() address = models.ReferenceField('Address')
class Person(models.Model): name = models.Attribute(required=True) manager = models.ReferenceField('Person', related_name='underlings') department = models.ReferenceField(Department)
class Instrument(models.Model): """ >>> i = Instrument(secid='XX1505', name='XX 2015/05', symbol='XX-1505', quoted_currency='USD', multiplier=10.0) >>> print i XX-1505 """ secid = models.Attribute(required=True) name = models.Attribute(required=True) symbol = models.Attribute(required=True) exchangeid = models.Attribute() product = models.ReferenceField('Product') quoted_currency = models.Attribute(required=True, indexed=False) indirect_quotation = models.BooleanField(indexed=False) ndigits = models.IntegerField(indexed=False, default=2) multiplier = models.FloatField(indexed=False) open_commission_rate = models.FloatField(indexed=False, default=0) close_commission_rate = models.FloatField(indexed=False, default=0) tick_size = models.FloatField(indexed=False) tick_value = models.FloatField(indexed=False) min_order_volume = models.FloatField(indexed=False, default=1.0) max_order_volume = models.FloatField(indexed=False, default=99999999.0) effective_date = models.DateField(indexed=False) expire_date = models.DateField(indexed=False) is_trading = models.BooleanField() long_margin_ratio = models.FloatField(indexed=False) short_margin_ratio = models.FloatField(indexed=False) volume = models.FloatField(indexed=False) def __repr__(self): return self.symbol def amount(self, price, volume): if not price: return 0.0 if self.indirect_quotation: return volume * self.multiplier / price else: return volume * self.multiplier * price def calc_margin(self, price, volume, direction=None): if direction: return abs(self.amount(price, volume) * self.long_margin_ratio) else: return abs(self.amount(price, volume) * self.short_margin_ratio) def amount2volume(self, amt, price): if not price: return 0.0 if self.indirect_quotation: return amt * price / self.multiplier else: return amt / price / self.multiplier def margin2volume(self, margin, price, direction=None): if direction: amt = margin / self.long_margin_ratio else: amt = margin / self.short_margin_ratio return self.amount2volume(amt, price) def calc_commission(self, price, volume, is_open): if is_open: if self.open_commission_rate is None: self.open_commission_rate = 0.000025 commission = abs(self.amount(price, volume)) * self.open_commission_rate else: if self.close_commission_rate is None: self.close_commission_rate = 0.000025 commission = abs(self.amount(price, volume)) * self.close_commission_rate ndigits = self.ndigits or 2 return round(commission, ndigits) @classmethod def symbol2id(cls, symbol): instance = cls.objects.filter(symbol=symbol).first() if instance: return instance.secid @classmethod def from_id(cls, secid): return cls.objects.filter(secid=secid).first() @classmethod def all_ids(cls): return [obj.secid for obj in cls.objects.all()] def deadline(self): if self.exchangeid in ('DCE', 'CZCE'): # 大连/郑州 d = self.expire_date.replace(day=1) - datetime.date.resolution while d.weekday() >= 5: # weekend d = d - datetime.date.resolution t = datetime.time(14, 0) elif self.exchangeid == 'SHFE': # 上期 d = self.expire_date - datetime.timedelta(3) t = datetime.time(14, 0) elif self.exchangeid == 'CFFEX': # 中金所 d = self.expire_date t = datetime.time(14, 55) else: d = self.expire_date t = datetime.time(23, 59) return datetime.datetime.combine(d, t)
class Comment(models.Model): comment_id = models.IntegerField(indexed=True) created_at = models.DateTimeField(auto_now_add=True, indexed=True) comment = models.Attribute(required=True, indexed=True) user = models.ReferenceField(User, indexed=True)
class Post(db.Model): title = db.Attribute(required=True) slug = db.Attribute(required=True) markdown = db.Attribute(indexed=False) content = db.Attribute(indexed=False) image = db.Attribute(indexed=False) featured = db.BooleanField() page = db.BooleanField() status = db.Attribute(required=True) language = db.Attribute(indexed=False) meta_title = db.Attribute(indexed=False) meta_description = db.Attribute(indexed=False) updated_at = db.DateTimeField(auto_now=True) updated_by = db.ReferenceField(User) published_at = db.DateTimeField() created_at = db.DateTimeField() created_by = db.ReferenceField(User) author = db.ReferenceField(User) publishedBy = db.ReferenceField(User) categories = db.ListField(Category) tags = db.ListField(Tag) # 相对于站点目录的路径,全小写 path = db.Attribute(required=False, indexed=False) # 文档的完整路径, 全小写 full_path = db.Attribute(required=False, indexed=False) # 文档的完整路径, 保留大小写 raw_path = db.Attribute(required=False, indexed=False) # path的父目录路径 parent_path = db.Attribute(required=False, indexed=False) # full_path的父目录路径 parent_full_path = db.Attribute(required=False, indexed=False) # raw_path的父目录路径 parent_raw_path = db.Attribute(required=False, indexed=False) # 文档类型,有folder/post/image/file四种 type = db.Attribute(required=False, indexed=False) # 文档的时间,比如可作为文章的发表时间 date = db.DateTimeField(auto_now=True) # 文档最后修改时间,评论文章也会导致m_date变动 m_date = db.Attribute(required=False, indexed=False) # 文档的最后修改时间 raw_date = db.Attribute(required=False, indexed=False) # 用户自定义的位置, 浮点数类型 position = db.Attribute(required=False, indexed=False) # 文档的大小 size = db.Attribute(required=False, indexed=False) # 内容类型,比如image/jpeg content_type = db.Attribute(required=False, indexed=False) visits = db.Attribute(required=False, indexed=False) # 在不改变文件路径的前提下,约等于访问IP数 _visits = db.Attribute(required=False, indexed=False) # 文件后缀名,比如jpg txt ext = db.Attribute(required=False, indexed=False) # TableOfContens, HTML格式 toc = db.Attribute(required=False, indexed=False) # 文章封面, 从内容中提取出来的第一张图片 cover = db.Attribute(required=False, indexed=False) # 纯文本格式的正文,不包含metadata raw_content = db.Attribute(required=False, indexed=False) # 原始正文,包含metadata信息 _content = db.Attribute(required=False, indexed=False) # post的扩展属性 metadata = db.Attribute(required=False, indexed=False) # 自定义的url url_path = db.Attribute(required=False, indexed=False) # '/post/’+url_path 或 /+url_path,视情况而定 url = db.Attribute(required=False, indexed=False) # 评论数 comments_count = db.Attribute(required=False, indexed=False) # 恒等于1 posts_count = db.Attribute(required=False, indexed=False) def __repr__(self): return "<Post: {post.id} Title: {post.title}>".format(post=self) def to_json(self): rtn = self.attributes_dict rtn["id"] = self.id rtn["date"] = format_now_datetime(self.published_at) rtn["updated_at"] = format_now_datetime(self.updated_at) rtn["updated_by"] = self.updated_by.id if self.updated_by else None rtn["published_at"] = format_now_datetime(self.published_at) rtn["created_at"] = format_now_datetime(self.created_at) rtn["created_by"] = self.created_by.id if self.created_by else None rtn["publishedBy"] = self.publishedBy.id if self.publishedBy else None rtn["categories"] = [cate.to_json() for cate in self.categories] rtn["tags"] = [tag.to_json() for tag in self.tags] rtn["author"] = self.author.to_json() return rtn