def execute_order(self, order: Order, slippage=0,slippage_rate=0.0, execute_type: ExecuteType = ExecuteType.EXECUTE_ALL_UNITS):
if order is None or order.trade_unit == 0: return
# if execute_type == ExecuteType.EXECUTE_ALL_UNITS:
order.trade_all_unit(slippage=slippage,slippage_rate=slippage_rate)
# elif execute_type == ExecuteType.EXECUTE_WITH_MAX_VOLUME:
# order.trade_with_current_volume(int(self.trading_volume()), slippage)
# else:
# return
execution_record: pd.Series = order.execution_res
# calculate margin requirement
# margin_requirement = 0.0
margin_requirement = self.get_initial_margin(order.long_short) * execution_record[Util.TRADE_UNIT]
if self.fee_per_unit is None:
# 百分比手续费
transaction_fee = execution_record[Util.TRADE_PRICE] * self.fee_rate * execution_record[
Util.TRADE_UNIT] * self._multiplier
else:
# 每手手续费
transaction_fee = self.fee_per_unit * execution_record[Util.TRADE_UNIT]
execution_record[Util.TRANSACTION_COST] += transaction_fee
transaction_fee_add_to_price = transaction_fee / (execution_record[Util.TRADE_UNIT] * self._multiplier)
execution_record[Util.TRADE_PRICE] += execution_record[
Util.TRADE_LONG_SHORT].value * transaction_fee_add_to_price
position_value = order.long_short.value * execution_record[Util.TRADE_PRICE] * execution_record[
Util.TRADE_UNIT] * self._multiplier
execution_record[Util.TRADE_BOOK_VALUE] = position_value
execution_record[Util.TRADE_MARGIN_CAPITAL] = margin_requirement
execution_record[Util.TRADE_MARKET_VALUE] = position_value
return execution_record
def execute_order(self, order: Order, slippage=0, execute_type: ExecuteType = ExecuteType.EXECUTE_ALL_UNITS):
if order is None: return
if execute_type == ExecuteType.EXECUTE_ALL_UNITS:
order.trade_all_unit(slippage)
elif execute_type == ExecuteType.EXECUTE_WITH_MAX_VOLUME:
order.trade_with_current_volume(int(self.trading_volume()), slippage)
else:
return
execution_record: pd.Series = order.execution_res
# calculate margin requirement
margin_requirement = 0.0
if self.fee_per_unit is None:
# 百分比手续费
transaction_fee = execution_record[Util.TRADE_PRICE] * self.fee_rate * execution_record[
Util.TRADE_UNIT] * self._multiplier
else:
# 每手手续费
transaction_fee = self.fee_per_unit * execution_record[Util.TRADE_UNIT]
execution_record[Util.TRANSACTION_COST] += transaction_fee
transaction_fee_add_to_price = transaction_fee / (execution_record[Util.TRADE_UNIT] * self._multiplier)
execution_record[Util.TRADE_PRICE] += execution_record[
Util.TRADE_LONG_SHORT].value * transaction_fee_add_to_price
position_size = order.long_short.value * execution_record[Util.TRADE_PRICE] * execution_record[
Util.TRADE_UNIT] * self._multiplier
execution_record[
Util.TRADE_BOOK_VALUE] = position_size # 头寸规模（含多空符号），例如，空一手豆粕（3000点，乘数10）得到头寸规模为-30000，而建仓时点头寸市值为0。
execution_record[Util.TRADE_MARGIN_CAPITAL] = margin_requirement
# execution_record[
# Util.TRADE_MARKET_VALUE] = position_size # Init value of a future trade is ZERO, except for transaction cost.
return execution_record
def execute_order(self, order: Order, slippage=0, execute_type: ExecuteType = ExecuteType.EXECUTE_ALL_UNITS) -> pd.Series:
if order is None or order.trade_unit==0: return
if execute_type == ExecuteType.EXECUTE_ALL_UNITS:
order.trade_all_unit(slippage)
elif execute_type == ExecuteType.EXECUTE_WITH_MAX_VOLUME:
order.trade_with_current_volume(int(self.trading_volume()), slippage)
else:
return
execution_record: pd.Series = order.execution_res
if order.long_short == LongShort.LONG:
# 无保证金交易的情况下，trade_market_value有待从现金账户中全部扣除。
execution_record[Util.TRADE_MARGIN_CAPITAL] = 0.0
execution_record[Util.TRADE_MARKET_VALUE] = execution_record[Util.TRADE_UNIT] * \
execution_record[Util.TRADE_PRICE] * self.multiplier()
else:
execution_record[Util.TRADE_MARGIN_CAPITAL] = self.get_initial_margin(order.long_short) * \
execution_record[Util.TRADE_UNIT]
execution_record[Util.TRADE_MARKET_VALUE] = 0.0
if self.fee_per_unit is None:
# 百分比手续费
transaction_fee = execution_record[Util.TRADE_PRICE] * self.fee_rate * execution_record[
Util.TRADE_UNIT] * self.multiplier()
else:
# 每手手续费
transaction_fee = self.fee_per_unit * execution_record[Util.TRADE_UNIT]
execution_record[Util.TRANSACTION_COST] += transaction_fee
transaction_fee_add_to_price = transaction_fee / (execution_record[Util.TRADE_UNIT] *
self.multiplier())
execution_record[Util.TRADE_PRICE] += execution_record[Util.TRADE_LONG_SHORT].value \
* transaction_fee_add_to_price
position_size = order.long_short.value * execution_record[Util.TRADE_PRICE] * \
execution_record[Util.TRADE_UNIT] * self.multiplier()
execution_record[
Util.TRADE_BOOK_VALUE] = position_size # 头寸规模（含多空符号），例如，空一手豆粕（3000点，乘数10）得到头寸规模为-30000，而建仓时点头寸市值为0。
return execution_record
def shift_contract_month(self,
account,
slippage_rate,
cd_price=CdTradePrice.VOLUME_WEIGHTED):
# 移仓换月: 成交量加权均价
if self.id_future != self.current_state[Util.ID_FUTURE]:
for holding in account.dict_holding.values():
if isinstance(holding, BaseFutureCoutinuous):
# close previous contract
df = self.df_all_futures_daily[
(self.df_all_futures_daily[Util.DT_DATE] ==
self.eval_date) & (self.df_all_futures_daily[
Util.ID_FUTURE] == self.id_future)]
trade_unit = account.trade_book.loc[self.name_code(),
Util.TRADE_UNIT]
position_direction = account.trade_book.loc[
self.name_code(), Util.TRADE_LONG_SHORT]
if position_direction == LongShort.LONG:
long_short = LongShort.SHORT
else:
long_short = LongShort.LONG
if cd_price == CdTradePrice.VOLUME_WEIGHTED:
trade_price = df[Util.AMT_TRADING_VALUE].values[
0] / df[Util.AMT_TRADING_VOLUME].values[
0] / self.multiplier()
else:
trade_price = df[Util.AMT_CLOSE].values[0]
order = Order(holding.eval_date, self.name_code(),
trade_unit, trade_price,
holding.eval_datetime, long_short)
record = self.execute_order(order,
slippage_rate=slippage_rate)
account.add_record(record, holding)
# open
trade_price = self.mktprice_volume_weighted()
order = Order(holding.eval_date, self.name_code(),
trade_unit, trade_price,
holding.eval_datetime, position_direction)
record = self.execute_order(order,
slippage_rate=slippage_rate)
account.add_record(record, holding)
self.id_future = self.current_state[Util.ID_FUTURE]
return True
else:
return False
def shift_contract_by_VWAP(self, id_c1: str, id_c2: str, hold_unit: int,
open_unit: int, long_short: LongShort, slippage,
execute_type):
if long_short == LongShort.LONG:
close_order_long_short = LongShort.SHORT
else:
close_order_long_short = LongShort.LONG
close_order = Order(dt_trade=self.eval_date,
id_instrument=id_c1,
trade_unit=hold_unit,
trade_price=None,
time_signal=self.eval_datetime,
long_short=close_order_long_short)
# TODO: OPEN ORDER UNIT SHOULD BE RECALCULATED BY DELTA.
open_order = Order(dt_trade=self.eval_date,
id_instrument=id_c2,
trade_unit=open_unit,
trade_price=None,
time_signal=self.eval_datetime,
long_short=long_short)
if self.frequency in Util.LOW_FREQUENT:
return
else:
df_c1_today = self.df_all_futures_daily[
(self.df_all_futures_daily[Util.DT_DATE] == self.eval_date)
& (self.df_all_futures_daily[Util.ID_INSTRUMENT] == id_c1)]
total_trade_value_c1 = df_c1_today[
Util.AMT_TRADING_VALUE].values[0]
total_volume_c1 = df_c1_today[Util.AMT_TRADING_VOLUME].values[0]
# volume_weighted_price_c1 = total_trade_value_c1 / (total_volume_c1 * self.multiplier())
price_c1 = (df_c1_today[Util.AMT_CLOSE].values[0] +
df_c1_today[Util.AMT_OPEN].values[0]) / 2.0
total_trade_value_c2 = 0.0
total_volume_c2 = 0.0
while not self.is_last_minute():
total_trade_value_c2 += self.mktprice_close(
) * self.trading_volume() * self.multiplier()
total_volume_c2 += self.trading_volume()
self.next()
total_trade_value_c2 += self.mktprice_close(
) * self.trading_volume() * self.multiplier()
total_volume_c2 += self.trading_volume()
volume_weighted_price_c2 = total_trade_value_c2 / (
total_volume_c2 * self.multiplier())
# close_order.trade_price = volume_weighted_price_c1
close_order.trade_price = price_c1
open_order.trade_price = volume_weighted_price_c2
close_execution_record = self.execute_order(
close_order, slippage, execute_type)
open_execution_record = self.execute_order(open_order, slippage,
execute_type)
return close_execution_record, open_execution_record
def execute_order_by_VWAP(
self,
order: Order,
slippage=0,
execute_type: ExecuteType = ExecuteType.EXECUTE_ALL_UNITS):
if self.frequency in Util.LOW_FREQUENT:
return
else:
total_trade_value = 0.0
total_volume_value = 0.0
while not self.is_last_minute():
total_trade_value += self.mktprice_close(
) * self.trading_volume()
total_volume_value += self.trading_volume()
self.next()
total_trade_value += self.mktprice_close() * self.trading_volume()
total_volume_value += self.trading_volume()
volume_weighted_price = total_trade_value / total_volume_value
order.trade_price = volume_weighted_price
execution_record = self.execute_order(order, slippage,
execute_type)
return execution_record
(hedging.df_all_futures_daily[c.Util.DT_DATE] ==
hedging.eval_date) & (hedging.df_all_futures_daily[
c.Util.ID_FUTURE] == id_future)]
print('移仓：')
print(df)
print(id_future, hedging.current_state[c.Util.ID_FUTURE])
trade_unit = account.trade_book.loc[hedging.name_code(),
c.Util.TRADE_UNIT]
if account.trade_book.loc[
hedging.name_code(),
c.Util.TRADE_LONG_SHORT] == c.LongShort.LONG:
long_short = c.LongShort.SHORT
else:
long_short = c.LongShort.LONG
order = Order(holding.eval_date, hedging.name_code(),
trade_unit, df[c.Util.AMT_CLOSE].values[0],
holding.eval_datetime, long_short)
record = hedging.execute_order(order, slippage=slippage)
account.add_record(record, holding)
hedging.synthetic_unit = 0
id_future = hedging.current_state[c.Util.ID_FUTURE]
flag_hedge = True
# 触发平仓信号
if not empty_position:
moneyness_put = optionset.get_option_moneyness(atm_put)
moneyness_call = optionset.get_option_moneyness(atm_call)
if close_signal(optionset.eval_date, maturity1, df_iv_stats):
for option in account.dict_holding.values():
order = account.create_close_order(option)
record = option.execute_order(order, slippage=slippage)
def open_short(self, order: Order) -> bool: # 空开
order.trade_type = TradeType.OPEN_SHORT
return self.execute_order(order)
def open_long(self, order: Order) -> bool: # 多开
order.trade_type = TradeType.OPEN_LONG
return self.execute_order(order)