class AccountSnapshot:
"""
账户信息快照，提供调用时刻的实时账户信息
公有属性:
::
name: str: 账户名称
account_idx: int 账户索引
type: int 账户类型
..
公有方法:
::
position:获取指定标的和方向的仓位信息
positions: 获得所有仓位的双向仓位信息
cash: 获得账户的资金信息
..
"""
def __init__(self, account_idx, acc_type, name, env):
self.name = name
self.account_idx = account_idx
self.account_type = acc_type
self._env = env
@property
def positions(self) -> 'pd.DataFrame':
""" 账户的双向仓位信息
:return: pandas.df or OrderDict 双向持仓信息
"""
return self._env.snap.positions(self.account_idx, True)
@property
def cash(self) -> 'pd.DataFrame':
""" 账户的资金信息
:return: pandas.df or OrderDict 账户资金信息
"""
return self._env.snap.cash(self.account_idx, True)
@apply_rule(verify_that('target_idx').is_instance_of(*INTEGERSTYPE, list, tuple))
def position(self, target_idx=(), side=0, df=True) -> 'pd.DataFrame':
"""
从positions中构建position
:param target_idx: 标的索引
:param side: 持仓方向
:param df: 是否生成dataframe对象
:return: df or OrderDict position对象
"""
if isinstance(target_idx, INTEGERSTYPE):
target_idx = [target_idx]
if len(target_idx) < 1:
target_idx = list(range(self._env.target_idx_count))
else:
_, target_idx = self._env.check_idx('position', None, target_idx, False)
return self._env.snap.position(self.account_idx, target_idx, side, df)
'get_support',
'get_version',
'clear_cache',
'run_factor',
'ContextFactor',
'get_auto_value',
*factors_api.__all__,
*history_api.__all__,
*reg_api.__all__,
# *fundamental_api.__all__
]
@smm.force_mode(gv.RUNMODE_CONSOLE)
@smm.force_phase(gv.RUMMODE_PHASE_DEFAULT)
@apply_rule(verify_that('factor_name').is_instance_of(str),
verify_that('targets').is_instance_of(str),
verify_that('begin_date').is_valid_date(),
verify_that('end_date').is_valid_date(),
verify_that('fq').is_in((enums.FQ_BACKWARD,
enums.FQ_FORWARD,
enums.FQ_NA)))
def run_factor(factor_name='', file_path='.', targets='', begin_date='', end_date='', fq=enums.FQ_NA):
config = {
'entry': {
'factor_name': factor_name,
'strategy_path': file_path,
'targets': targets,
'begin_date': begin_date,
'end_date': end_date,
'fq': fq,
'get_stop_info',
'get_daily_orders',
'get_last_execution',
'get_unfinished_orders',
'get_daily_executions',
'get_order_info',
'get_last_order',
]
#################################
# 交易函数: 普通下单指令
@smm.force_mode(gv.RUNMODE_BACKTEST, gv.RUNMODE_REALTRADE)
@smm.force_phase(gv.RUMMODE_PHASE_ONDATA)
@apply_rule(
verify_that('account_idx').is_instance_of(*INTEGERSTYPE),
verify_that('target_idx').is_instance_of(*INTEGERSTYPE),
verify_that('volume').is_instance_of(*INTEGERSTYPE),
verify_that('side').is_in((enums.ORDERSIDE_BUY, enums.ORDERSIDE_SELL)),
verify_that('position_effect').is_in(
(enums.ORDERPOSITIONEFFECT_OPEN, enums.ORDERPOSITIONEFFECT_CLOSE,
enums.ORDERPOSITIONEFFECT_CLOSETODAY)),
verify_that('order_type').is_in(
(enums.ORDERTYPE_LIMIT, enums.ORDERTYPE_MARKET)),
verify_that('price').is_greater_or_equal_than(0))
def order_volume(account_idx: 'int',
target_idx: 'int',
volume: 'int',
side: 'int',
position_effect: 'int',
order_type: 'int',
from atrader.tframe import sysclsbase as cnt
# noinspection PyUnresolvedReferences
from atrader.tframe.sysclsbase import smm
# noinspection PyUnresolvedReferences
from atrader.tframe.sysclsbase import gv
# noinspection PyUnresolvedReferences
from atrader.tframe.utils.argchecker import apply_rule, verify_that
__all__ = [
'run_realtrade',
]
@smm.force_mode(gv.RUNMODE_CONSOLE)
@smm.force_phase(gv.RUMMODE_PHASE_DEFAULT)
@apply_rule(verify_that('strategy_name').is_instance_of(str),
verify_that('account_list').is_instance_of(tuple, list),
verify_that('target_list').is_instance_of(Iterable),
verify_that('frequency').is_valid_frequency(),
verify_that('fre_num').is_instance_of(int).is_greater_than(0),
verify_that('begin_date').is_valid_date(),
verify_that('fq').is_in((enums.FQ_BACKWARD,
enums.FQ_FORWARD,
enums.FQ_NA)))
def run_realtrade(strategy_name='',
file_path='.',
account_list=(),
target_list=(),
frequency='',
fre_num=1,
begin_date='',
from atrader.tframe.utils.argchecker import apply_rule, verify_that
from atrader.tframe.sysclsbase import gv
from atrader.tframe.sysclsbase import smm
from . import _factors
from . import convertor as factor_cvt
__all__ = [
'get_factor_by_factor',
'get_factor_by_day',
'get_factor_by_code',
]
@smm.force_phase(gv.RUMMODE_PHASE_USERINIT, gv.RUMMODE_PHASE_DEFAULT)
@apply_rule(
verify_that('factor').is_instance_of(str),
verify_that('target_list').is_instance_of(str, tuple, list),
verify_that('begin_date').is_valid_date(),
verify_that('end_date').is_valid_date())
def get_factor_by_factor(factor: 'str', target_list: 'list', begin_date,
end_date):
if isinstance(target_list, str):
target_list = [target_list]
targets = check_target(todictmc(target_list))
new_begin_date = convert_str_or_datetime_to_int_date(begin_date)
new_end_date = convert_str_or_datetime_to_int_date(end_date)
if begin_date != 0 and new_begin_date > new_end_date:
raise ValueError(text.ERROR_INPUT_BEGIN_GT_ENDDATE)
check_begin_end_date(new_begin_date, new_end_date)
factor_dict = _factors.get_factor_by_factor(factor, targets,
from atrader.tframe.sysclsbase import smm
from . import convertor as reg_func_cvt
from . import _regfuncs
__all__ = [
'get_current_bar', 'reg_kdata', 'reg_factor', 'reg_userdata',
'reg_userindi', 'get_reg_kdata', 'get_reg_kdata_adj', 'get_reg_userdata',
'get_reg_userindi', 'get_reg_factor', 'get_instruments'
]
#################################
# 刷新频率对应的kdata
@smm.force_phase(gv.RUMMODE_PHASE_ONDATA, gv.RUMMODE_PHASE_CALC_FACTOR)
@apply_rule(
verify_that('target_indices').is_instance_of(*INTEGERSTYPE, list, tuple))
def get_current_bar(target_indices=()):
if not isinstance(target_indices, np.ndarray):
target_indices = np.array([target_indices]).ravel()
if len(target_indices) < 1:
target_indices = cnt.vr.g_ATraderCache['input_targets_idx_range']
else:
_, target_indices = cnt.env.check_idx('get_current_bar',
None,
target_indices,
toarray=True)
result = cnt.env.get_bar(target_indices)
if result is None:
return None
return reg_func_cvt.convert_current_bar_to_df(result)
__all__ = [
'get_code_list', 'get_code_list_set', 'get_main_contract', 'get_kdata',
'get_kdata_n', 'get_trading_days', 'get_trading_time', 'get_stock_info',
'get_future_info', 'get_history_instruments', 'get_strategy_id',
'get_performance'
]
#################################
# 非策略结构使用函数
@smm.force_phase(gv.RUMMODE_PHASE_USERINIT, gv.RUMMODE_PHASE_DEFAULT,
gv.RUMMODE_PHASE_ONDATA)
@apply_rule(
verify_that('block').is_instance_of(str),
verify_that('date').is_valid_date(allow_empty_str=True))
def get_code_list(block: 'str', date=''):
blocks = block.strip().split(',')
if isinstance(date, str) and date.strip() == '':
new_date = to_int_now_date('%Y%m%d')
else:
new_date = convert_str_or_datetime_to_int_date(date)
ls = _history.get_code_list(blocks, new_date)
return history_cvt.convert_code_list_to_df(ls)
@smm.force_phase(gv.RUMMODE_PHASE_USERINIT, gv.RUMMODE_PHASE_DEFAULT)
@apply_rule(
verify_that('block').is_instance_of(str),
*history_api.__all__,
*orders_api.__all__,
*reg_api.__all__,
*fundamental_api.__all__,
'Context',
'ContextFactor',
'AccountSnapshot',
'ExecutionSnapshot',
'OrderSnapshot',
'enums',
]
@smm.force_mode(gv.RUNMODE_CONSOLE)
@smm.force_phase(gv.RUMMODE_PHASE_DEFAULT)
@apply_rule(verify_that('strategy_name').is_instance_of(str),
verify_that('target_list').is_instance_of(Iterable),
verify_that('frequency').is_valid_frequency(),
verify_that('fre_num').is_instance_of(int).is_greater_than(0),
verify_that('begin_date').is_instance_of((str, datetime)).is_valid_date(),
verify_that('end_date').is_instance_of((str, datetime)).is_valid_date(),
verify_that('fq').is_in((enums.FQ_BACKWARD,
enums.FQ_FORWARD,
enums.FQ_NA)))
def run_backtest(strategy_name='',
file_path='.',
target_list=(),
frequency='day',
fre_num=1,
begin_date='',
end_date=0,
