def _settlement(self, event):
total_value = self.total_value
for position in list(self._positions.values()):
order_book_id = position.order_book_id
if position.is_de_listed(
) and position.buy_quantity + position.sell_quantity != 0:
user_system_log.warn(
_(u"{order_book_id} is expired, close all positions by system"
).format(order_book_id=order_book_id))
del self._positions[order_book_id]
elif position.buy_quantity == 0 and position.sell_quantity == 0:
del self._positions[order_book_id]
else:
position.apply_settlement()
self._total_cash = total_value - self.margin - self.holding_pnl
# 如果 total_value <= 0 则认为已爆仓，清空仓位，资金归0
if total_value <= 0 and self.forced_liquidation:
if self._positions:
user_system_log.warn(
_("Trigger Forced Liquidation, current total_value is {}"),
total_value)
self._positions.clear()
self._total_cash = 0
self._backward_trade_set.clear()
def pnl(self):
"""
[已弃用] 请使用 total_value
"""
user_system_log.warn(
_(u"[abandon] {} is no longer used.").format('account.pnl'))
return 0
def can_submit_order(self, account, order):
if order.type != ORDER_TYPE.LIMIT:
return True
# FIXME: it may be better to round price in data source
limit_up = round(self._env.price_board.get_limit_up(order.order_book_id), 4)
if order.price > limit_up:
reason = _(
"Order Creation Failed: limit order price {limit_price} is higher than limit up {limit_up}."
).format(
limit_price=order.price,
limit_up=limit_up
)
user_system_log.warn(reason)
return False
limit_down = round(self._env.price_board.get_limit_down(order.order_book_id), 4)
if order.price < limit_down:
reason = _(
"Order Creation Failed: limit order price {limit_price} is lower than limit down {limit_down}."
).format(
limit_price=order.price,
limit_down=limit_down
)
user_system_log.warn(reason)
return False
return True
def order_value(id_or_ins, cash_amount, price=None, style=None):
"""
使用想要花费的金钱买入/卖出股票，而不是买入/卖出想要的股数，正数代表买入，负数代表卖出。股票的股数总是会被调整成对应的100的倍数（在A中国A股市场1手是100股）。当您提交一个卖单时，该方法代表的意义是您希望通过卖出该股票套现的金额。如果金额超出了您所持有股票的价值，那么您将卖出所有股票。需要注意，如果资金不足，该API将不会创建发送订单。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param float cash_amount: 需要花费现金购买/卖出证券的数目。正数代表买入，负数代表卖出。
:param float price: 下单价格，默认为None，表示 :class:`~MarketOrder`, 此参数主要用于简化 `style` 参数。
:param style: 下单类型, 默认是市价单。目前支持的订单类型有 :class:`~LimitOrder` 和 :class:`~MarketOrder`
:type style: `OrderStyle` object
:return: :class:`~Order` object | None
:example:
.. code-block:: python
#买入价值￥10000的平安银行股票，并以市价单发送。如果现在平安银行股票的价格是￥7.5，那么下面的代码会买入1300股的平安银行，因为少于100股的数目将会被自动删除掉：
order_value('000001.XSHE', 10000)
#卖出价值￥10000的现在持有的平安银行：
order_value('000001.XSHE', -10000)
"""
style = cal_style(price, style)
if isinstance(style, LimitOrder):
if style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_stock_order_book_id(id_or_ins)
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
return
account = env.portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK.name]
if cash_amount > 0:
cash_amount = min(cash_amount, account.cash)
if isinstance(style, MarketOrder):
amount = int(Decimal(cash_amount) / Decimal(price))
else:
amount = int(Decimal(cash_amount) / Decimal(style.get_limit_price()))
# if the cash_amount is larger than you current security’s position,
# then it will sell all shares of this security.
position = account.positions[order_book_id]
amount = downsize_amount(amount, position)
return order_shares(order_book_id, amount, style=style)
def portfolio_value(self):
"""
[已弃用] 请使用 total_value
"""
user_system_log.warn(
_(u"[abandon] {} is no longer used.").format(
'account.portfolio_value'))
return self.total_value
def average_cost(self):
"""
[已弃用] 请使用 avg_price 获取持仓买入均价
"""
user_system_log.warn(
_(u"[abandon] {} is no longer valid.").format(
'stock_position.average_cost'))
return self._avg_price
def sold_value(self):
"""
[已弃用]
"""
user_system_log.warn(
_(u"[abandon] {} is no longer valid.").format(
'stock_position.sold_value'))
return 0
def bought_value(self):
"""
[已弃用]
"""
user_system_log.warn(
_(u"[abandon] {} is no longer valid.").format(
'stock_position.bought_value'))
return self._quantity * self._avg_price
def daily_realized_pnl(self):
"""
[已弃用] 请使用 realized_pnl
"""
user_system_log.warn(
_(u"[abandon] {} is no longer used.").format(
'future_account.daily_realized_pnl'))
return self.realized_pnl
def starting_cash(self):
"""
[已弃用] 请使用 total_value
"""
user_system_log.warn(
_(u"[abandon] {} is no longer used.").format(
'account.starting_cash'))
return 0
def submit_order(id_or_ins, amount, side, price=None, position_effect=None):
"""
通用下单函数，策略可以通过该函数自由选择参数下单。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param float amount: 下单量，需为正数
:param side: 多空方向，多（SIDE.BUY）或空（SIDE.SELL）
:type side: :class:`~SIDE` enum
:param float price: 下单价格，默认为None，表示市价单
:param position_effect: 开平方向，开仓（POSITION_EFFECT.OPEN），平仓（POSITION.CLOSE）或平今（POSITION_EFFECT.CLOSE_TODAY），交易股票不需要该参数
:type position_effect: :class:`~POSITION_EFFECT` enum
:return: :class:`~Order` object | None
:example:
.. code-block:: python
# 购买 2000 股的平安银行股票，并以市价单发送：
submit_order('000001.XSHE', 2000, SIDE.BUY)
# 平 10 份 RB1812 多方向的今仓，并以 4000 的价格发送限价单
submit_order('RB1812', 10, SIDE.SELL, price=4000, position_effect=POSITION_EFFECT.CLOSE_TODAY)
"""
order_book_id = assure_order_book_id(id_or_ins)
env = Environment.get_instance()
if env.config.base.run_type != RUN_TYPE.BACKTEST:
if "88" in order_book_id:
raise RQInvalidArgument(_(u"Main Future contracts[88] are not supported in paper trading."))
if "99" in order_book_id:
raise RQInvalidArgument(_(u"Index Future contracts[99] are not supported in paper trading."))
style = cal_style(price, None)
market_price = env.get_last_price(order_book_id)
if not is_valid_price(market_price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id)
)
return
order = Order.__from_create__(
order_book_id=order_book_id,
quantity=amount,
side=side,
style=style,
position_effect=position_effect
)
if order.type == ORDER_TYPE.MARKET:
order.set_frozen_price(market_price)
if env.can_submit_order(order):
env.broker.submit_order(order)
return order
def get_state(self):
dict_data = {}
for key, value in six.iteritems(self.__dict__):
try:
dict_data[key] = pickle.dumps(value)
except Exception as e:
user_detail_log.exception("g.{} can not pickle", key)
user_system_log.warn("g.{} can not pickle", key)
return pickle.dumps(dict_data)
def set_state(self, state):
dict_data = pickle.loads(state)
for key, value in six.iteritems(dict_data):
try:
self.__dict__[key] = pickle.loads(value)
system_log.debug("restore context.{} {}", key,
type(self.__dict__[key]))
except Exception as e:
user_system_log.warn('context.{} can not restore', key)
def _sell_all_stock(order_book_id, amount, style):
env = Environment.get_instance()
order = Order.__from_create__(order_book_id, amount, SIDE.SELL, style, POSITION_EFFECT.CLOSE)
if amount == 0:
user_system_log.warn(_(u"Order Creation Failed: 0 order quantity"))
return
if env.can_submit_order(order):
env.broker.submit_order(order)
return order
def get_state(self):
dict_data = {}
for key, value in six.iteritems(self.__dict__):
if key.startswith("_"):
continue
try:
dict_data[key] = pickle.dumps(value)
except Exception as e:
user_system_log.warn("context.{} can not pickle", key)
return pickle.dumps(dict_data)
def _stock_validator(account, order):
if order.side != SIDE.SELL:
return True
position = account.positions[order.order_book_id]
if order.quantity <= position.sellable:
return True
user_system_log.warn(
_("Order Creation Failed: not enough stock {order_book_id} to sell, you want to sell {quantity},"
" sellable {sellable}").format(
order_book_id=order.order_book_id,
quantity=order.quantity,
sellable=position.sellable,
))
return False
def _stock_validator(self, account, order):
if order.side == SIDE.SELL:
return True
frozen_value = order.frozen_price * order.quantity
cost_money = frozen_value + self._env.get_order_transaction_cost(
DEFAULT_ACCOUNT_TYPE.STOCK, order)
if cost_money <= account.cash:
return True
user_system_log.warn(
_("Order Creation Failed: not enough money to buy {order_book_id}, needs {cost_money:.2f}, "
"cash {cash:.2f}").format(
order_book_id=order.order_book_id,
cost_money=cost_money,
cash=account.cash,
))
return False
def _on_settlement(self, event):
env = Environment.get_instance()
for position in list(self._positions.values()):
order_book_id = position.order_book_id
if position.is_de_listed() and position.quantity != 0:
if env.config.mod.sys_accounts.cash_return_by_stock_delisted:
self._total_cash += position.market_value
user_system_log.warn(
_(u"{order_book_id} is expired, close all positions by system"
).format(order_book_id=order_book_id))
self._positions.pop(order_book_id, None)
elif position.quantity == 0:
self._positions.pop(order_book_id, None)
else:
position.apply_settlement()
self._backward_trade_set.clear()
def _future_validator(account, order):
if order.position_effect == POSITION_EFFECT.OPEN:
return True
position = account.positions[order.order_book_id]
if order.side == SIDE.BUY and order.position_effect == POSITION_EFFECT.CLOSE_TODAY \
and order.quantity > position._closable_today_sell_quantity:
user_system_log.warn(
_("Order Creation Failed: not enough today position {order_book_id} to buy close, target"
" quantity is {quantity}, closable today quantity {closable}"
).format(
order_book_id=order.order_book_id,
quantity=order.quantity,
closable=position._closable_today_sell_quantity,
))
return False
if order.side == SIDE.SELL and order.position_effect == POSITION_EFFECT.CLOSE_TODAY \
and order.quantity > position._closable_today_buy_quantity:
user_system_log.warn(
_("Order Creation Failed: not enough today position {order_book_id} to sell close, target"
" quantity is {quantity}, closable today quantity {closable}"
).format(
order_book_id=order.order_book_id,
quantity=order.quantity,
closable=position._closable_today_buy_quantity,
))
return False
if order.side == SIDE.BUY and order.quantity > position.closable_sell_quantity:
user_system_log.warn(
_("Order Creation Failed: not enough securities {order_book_id} to buy close, target"
" sell quantity is {quantity}, sell_closable_quantity {closable}"
).format(
order_book_id=order.order_book_id,
quantity=order.quantity,
closable=position.closable_sell_quantity,
))
return False
elif order.side == SIDE.SELL and order.quantity > position.closable_buy_quantity:
user_system_log.warn(
_("Order Creation Failed: not enough securities {order_book_id} to sell close, target"
" sell quantity is {quantity}, buy_closable_quantity {closable}"
).format(
order_book_id=order.order_book_id,
quantity=order.quantity,
closable=position.closable_buy_quantity,
))
return False
return True
def __init__(self, event_bus, scope, ucontext):
self._user_context = ucontext
self._current_universe = set()
self._init = scope.get('init', None)
self._handle_bar = scope.get('handle_bar', None)
self._handle_tick = scope.get('handle_tick', None)
func_before_trading = scope.get('before_trading', None)
if func_before_trading is not None and func_before_trading.__code__.co_argcount > 1:
self._before_trading = lambda context: func_before_trading(context, None)
user_system_log.warn(_(u"deprecated parameter[bar_dict] in before_trading function."))
else:
self._before_trading = func_before_trading
self._after_trading = scope.get('after_trading', None)
if self._before_trading is not None:
event_bus.add_listener(EVENT.BEFORE_TRADING, self.before_trading)
if self._handle_bar is not None:
event_bus.add_listener(EVENT.BAR, self.handle_bar)
if self._handle_tick is not None:
event_bus.add_listener(EVENT.TICK, self.handle_tick)
if self._after_trading is not None:
event_bus.add_listener(EVENT.AFTER_TRADING, self.after_trading)
self._before_day_trading = scope.get('before_day_trading', None)
self._before_night_trading = scope.get('before_night_trading', None)
if self._before_day_trading is not None:
user_system_log.warn(_(u"[deprecated] before_day_trading is no longer used. use before_trading instead."))
if self._before_night_trading is not None:
user_system_log.warn(_(u"[deprecated] before_night_trading is no longer used. use before_trading instead."))
self._force_run_before_trading = Environment.get_instance().config.extra.force_run_init_when_pt_resume
def _apply_settlement(self, check_delist=True):
delete_list = []
for direction, positions in self._positions_dict.items():
for order_book_id, position in positions.items():
if check_delist and position.is_de_listed(
) and position.quantity != 0:
user_system_log.warn(
_(u"{order_book_id} is expired, close all positions by system"
).format(order_book_id=order_book_id))
delete_list.append((order_book_id, direction))
# del self._positions[order_book_id]
elif position.quantity == 0:
delete_list.append((order_book_id, direction))
# del self._positions[order_book_id]
else:
position.apply_settlement()
for order_book_id, direction in delete_list:
self._positions_dict[direction].pop(order_book_id)
self._backward_trade_set.clear()
def can_submit_order(self, account, order):
instrument = self._env.data_proxy.instruments(order.order_book_id)
if instrument.listed_date > self._env.trading_dt:
user_system_log.warn(
_(u"Order Creation Failed: {order_book_id} is not listed!").
format(order_book_id=order.order_book_id, ))
return False
if instrument.de_listed_date.date() < self._env.trading_dt.date():
user_system_log.warn(
_(u"Order Creation Failed: {order_book_id} has been delisted!"
).format(order_book_id=order.order_book_id, ))
return False
if instrument.type == 'CS' and self._env.data_proxy.is_suspended(
order.order_book_id, self._env.trading_dt):
user_system_log.warn(
_(u"Order Creation Failed: security {order_book_id} is suspended on {date}"
).format(order_book_id=order.order_book_id,
date=self._env.trading_dt))
return False
if instrument.type == 'PublicFund':
if order.side == SIDE.BUY and self._env.data_proxy.non_subscribable(
order.order_book_id, self._env.trading_dt):
user_system_log.warn(
_(u"Order Creation Failed: security {order_book_id} cannot be subscribed on {date}"
).format(order_book_id=order.order_book_id,
date=self._env.trading_dt))
return False
elif order.side == SIDE.SELL and self._env.data_proxy.non_redeemable(
order.order_book_id, self._env.trading_dt):
user_system_log.warn(
_(u"Order Creation Failed: security {order_book_id} cannot be redeemed on {date}"
).format(order_book_id=order.order_book_id,
date=self._env.trading_dt))
return False
return True
def _future_validator(self, account, order):
if order.position_effect != POSITION_EFFECT.OPEN:
return True
instrument = self._env.get_instrument(order.order_book_id)
margin_info = self._env.data_proxy.get_margin_info(order.order_book_id)
margin_rate = margin_info['long_margin_ratio' if order.side ==
'BUY' else 'short_margin_ratio']
margin = order.frozen_price * order.quantity * instrument.contract_multiplier * margin_rate
cost_money = margin * self._env.config.base.margin_multiplier
cost_money += self._env.get_order_transaction_cost(
DEFAULT_ACCOUNT_TYPE.FUTURE, order)
if cost_money <= account.cash:
return True
user_system_log.warn(
_("Order Creation Failed: not enough money to buy {order_book_id}, needs {cost_money:.2f},"
" cash {cash:.2f}").format(
order_book_id=order.order_book_id,
cost_money=cost_money,
cash=account.cash,
))
return False
def margin_rate(self, value):
user_system_log.warn(
_(u"[abandon] {} is no longer used.").format(
'context.margin_rate'))
def total_trades(self):
"""abandon"""
user_system_log.warn(
_(u"[abandon] {} is no longer valid.").format(
'position.total_trades'))
return 0
def order_shares(id_or_ins, amount, price=None, style=None):
"""
落指定股数的买/卖单，最常见的落单方式之一。如有需要落单类型当做一个参量传入，如果忽略掉落单类型，那么默认是市价单（market order）。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param int amount: 下单量, 正数代表买入，负数代表卖出。将会根据一手xx股来向下调整到一手的倍数，比如中国A股就是调整成100股的倍数。
:param float price: 下单价格，默认为None，表示 :class:`~MarketOrder`, 此参数主要用于简化 `style` 参数。
:param style: 下单类型, 默认是市价单。目前支持的订单类型有 :class:`~LimitOrder` 和 :class:`~MarketOrder`
:type style: `OrderStyle` object
:return: :class:`~Order` object | None
:example:
.. code-block:: python
#购买Buy 2000 股的平安银行股票，并以市价单发送：
order_shares('000001.XSHE', 2000)
#卖出2000股的平安银行股票，并以市价单发送：
order_shares('000001.XSHE', -2000)
#购买1000股的平安银行股票，并以限价单发送，价格为￥10：
order_shares('000001.XSHG', 1000, style=LimitOrder(10))
"""
if amount == 0:
# 如果下单量为0，则认为其并没有发单，则直接返回None
user_system_log.warn(_(u"Order Creation Failed: Order amount is 0."))
return None
style = cal_style(price, style)
if isinstance(style, LimitOrder):
if style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_stock_order_book_id(id_or_ins)
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
return
if amount > 0:
side = SIDE.BUY
position_effect = POSITION_EFFECT.OPEN
else:
amount = abs(amount)
side = SIDE.SELL
position_effect = POSITION_EFFECT.CLOSE
round_lot = int(env.get_instrument(order_book_id).round_lot)
if side == SIDE.BUY or amount != env.portfolio.accounts[
DEFAULT_ACCOUNT_TYPE.STOCK.name
].positions[order_book_id].sellable:
# 一次性申报卖出时可以卖散股
try:
amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
except ValueError:
amount = 0
r_order = Order.__from_create__(order_book_id, amount, side, style, position_effect)
if amount == 0:
# 如果计算出来的下单量为0, 则不生成Order, 直接返回None
# 因为很多策略会直接在handle_bar里面执行order_target_percent之类的函数，经常会出现下一个量为0的订单，如果这些订单都生成是没有意义的。
user_system_log.warn(_(u"Order Creation Failed: 0 order quantity"))
return
if r_order.type == ORDER_TYPE.MARKET:
r_order.set_frozen_price(price)
if env.can_submit_order(r_order):
env.broker.submit_order(r_order)
return r_order
def slippage(self, value):
user_system_log.warn(
_(u"[abandon] {} is no longer used.").format('context.slippage'))
def short_selling_allowed(self, value):
user_system_log.warn(
_(u"[abandon] {} is no longer used.").format(
'context.short_selling_allowed'))
def commission(self, value):
user_system_log.warn(
_(u"[abandon] {} is no longer used.").format('context.commission'))
def benchmark(self, value):
user_system_log.warn(
_(u"[abandon] {} is no longer used.").format('context.benchmark'))
