def __init__(self):
self.position_manager = LocalPositionManager(app=None)
# 每日资金情况
self.daily_life = defaultdict(list)
# 回测模式
self.pattern = "t+0"
# 起始资金 默认10w 以及冻结
self.balance = 100000
self.frozen = 0
self.size = 5
self.pricetick = 10
self.daily_limit = 20
# 手续费
self.commission: float = 0
# 滑点相关设置
self.slip_page: float = 0
# 当前日志信息
self.date = None
def __init__(self, interface, name=None):
"""
核心账户
Args
"""
self.account_id = name if name is not None else uuid.uuid4()
# 成交接口
self.interface = interface
# 每日成交单信息
self.daily_life = defaultdict(AliasDayResult)
# 合约乘数
self.size_map = {}
# 每日下单限制
self.daily_limit = 20
self.pre_balance = 0
# 账户当前的日期
self.date = None
self.count_statistics = 0
# 初始资金
self.initial_capital = 0
# 账户权益
# 保证金占用
self.long_margin = 0
self.short_margin = 0
# 冻结的保证金
self.long_frozen_margin = {}
self.short_frozen_margin = {}
# 冻结的手续费
self.frozen_fee = {}
# 多头净值
self.long_balance = 0
# 空头净值
self.short_balance = 0
self.frozen_premium = 0
self.count = 0
"""
fee应该是一个 {
ag2012.SHFE: 200.1
}
"""
self.fee = {}
self.init_position_manager_flag = False
self.init = False
self.position_manager = None
self.margin_ratio = {}
# commission_ratio 应该为{"ag2012.SHFE": {"close_today": 0.005, "close":0.005 }
self.basic_info = None
self.commission_ratio = defaultdict(dict)
self.close_profit = {}
self.turnover = 0
self.pre_float = 0
self.position_manager = LocalPositionManager(self)
self.code_pnl = {}
def __init__(self, app, event_engine):
""""""
self.bar = {}
self.ticks = {}
self.orders = {}
self.trades = {}
self.positions = {}
self.accounts = {}
self.contracts = {}
self.logs = {}
self.errors = {}
self.shared = {}
self.active_orders = {}
self.event_engine = event_engine
self.register_event()
self.app = app
self.position_manager = LocalPositionManager(app=self.app)
def __init__(self, app):
""""""
self.bar = {}
self.ticks = {}
self.orders = {}
self.trades = {}
self.positions = {}
self.account = None
self.contracts = {}
self.logs = {}
self.errors = []
self.generators = {}
self.active_orders = {}
self.local_contract_price_mapping = {}
self.app = app
self.register_event()
self.position_manager = LocalPositionManager(app=self.app)
self.main_contract_mapping = defaultdict(list)
def __init__(self, interface):
self.interface = interface
self.position_manager = LocalPositionManager(interface.params)
# 每日资金情况
self.daily_life = defaultdict(list)
# 起始资金 默认10w 以及冻结
self.balance = 100000
self.frozen = 0
self.size = 5
self.pricetick = 10
self.daily_limit = 20
# 手续费
self.commission: float = 0
# 滑点相关设置
self.slip_page: float = 0
# 当前日志信息
self.date = None
def update_params(self, params: dict):
""" 更新本地账户回测参数 """
for i, v in params.items():
if i == "initial_capital" and not self.init:
self.pre_balance = v
self.initial_capital = v
self.long_balance = v
self.short_balance = v
self.init = True
continue
else:
pass
setattr(self, i, v)
if not self.init_position_manager_flag:
self.position_manager = LocalPositionManager(self)
self.init_position_manager_flag = True
else:
pass
def __init__(self):
self.positions = LocalPositionManager(app=None)
# 每日资金情况
self.daily_life = defaultdict(list)
{
"12-8": AliasDayResult(),
"12-9": AliasDayResult(),
}
# 回测模式
self.pattern = "t+0"
# 起始资金 默认10w 以及冻结
self.balance = 100000
self.frozen = 0
self.size = 5
self.pricetick = 10
self.daily_limit = 20
# 手续费
self.commission: float = 0
# 滑点相关设置
self.slip_page: float = 0
self.slip_fixed: float = 0
self.slip_open: bool = False
self.slip_match: bool = True
self.slip_limit: bool = True
self.slip_out: bool = False
self.cu = None
# 账户持有持仓信息 ----->
self.ServberPosition = defaultdict(defaultdict(PositionData))
class AsyncRecorder(object):
"""
data center
"""
def __init__(self, app, event_engine):
""""""
self.main_contract_mapping = defaultdict(list)
self.bar = {}
self.ticks = {}
self.orders = {}
self.trades = {}
self.positions = {}
self.account = None
self.contracts = {}
self.logs = {}
self.errors = []
self.shared = {}
self.generators = {}
self.active_orders = {}
self.event_engine = event_engine
self.register_event()
self.app = app
self.position_manager = LocalPositionManager(app=self.app)
@staticmethod
def get_local_time():
from datetime import datetime
return datetime.now().strftime('%Y-%m-%d %H:%M:%S')
def register_event(self):
"""bind process function"""
self.event_engine.register(EVENT_TICK, self.process_tick_event)
self.event_engine.register(EVENT_ORDER, self.process_order_event)
self.event_engine.register(EVENT_TRADE, self.process_trade_event)
self.event_engine.register(EVENT_POSITION, self.process_position_event)
self.event_engine.register(EVENT_ACCOUNT, self.process_account_event)
self.event_engine.register(EVENT_CONTRACT, self.process_contract_event)
self.event_engine.register(EVENT_BAR, self.process_bar_event)
self.event_engine.register(EVENT_LOG, self.process_log_event)
self.event_engine.register(EVENT_ERROR, self.process_error_event)
self.event_engine.register(EVENT_SHARED, self.process_shared_event)
self.event_engine.register(EVENT_LAST, self.process_last_event)
self.event_engine.register(EVENT_INIT_FINISHED,
self.process_init_event)
self.event_engine.register(EVENT_TIMER, self.process_timer_event)
async def process_timer_event(self):
for x in self.app.extensions.values():
await x()
async def process_init_event(self, event):
""" 处理初始化完成事件 """
if event.data:
self.app.init_finished = True
for x in self.app.extensions.values():
await x(deepcopy(event))
async def process_last_event(self, event):
""" 处理合约的最新行情数据 """
data = event.data
# 过滤掉数字 取中文做key
key = "".join([x for x in data.symbol if not x.isdigit()])
self.main_contract_mapping[key.upper()].append(data)
@property
def main_contract_list(self):
""" 返回主力合约列表 """
result = []
for _ in self.main_contract_mapping.values():
x = sorted(_, key=lambda x: x.open_interest, reverse=True)[0]
result.append(x.local_symbol)
return result
def get_main_contract_by_code(self, code: str):
""" 根据code取相应的主力合约 """
d = self.main_contract_mapping.get(code.upper(), None)
if not d:
return None
else:
now = sorted(d, key=lambda x: x.open_interest, reverse=True)[0]
pre = sorted(d, key=lambda x: x.pre_open_interest, reverse=True)[0]
if pre.local_symbol == now.local_symbol:
return pre
else:
return now
@async_value_call
async def process_shared_event(self, event):
if self.shared.get(event.data.local_symbol, None) is not None:
self.shared[event.data.local_symbol].append(event.data)
else:
self.shared[event.data.local_symbol] = []
async def process_error_event(self, event: Event):
self.errors.append({"time": self.get_local_time(), "data": event.data})
self.app.logger.error(event.data)
async def process_log_event(self, event: Event):
self.logs[self.get_local_time()] = event.data
if self.app.config.get("LOG_OUTPUT"):
self.app.logger.info(event.data)
@async_value_call
async def process_bar_event(self, event: Event):
bar = event.data
local = self.bar.get(bar.local_symbol)
if local is None:
self.bar[bar.local_symbol] = {bar.interval: []}
else:
if self.bar[bar.local_symbol].get(bar.interval) is None:
self.bar[bar.local_symbol] = {bar.interval: []}
self.bar[bar.local_symbol][bar.interval].append(bar)
@async_value_call
async def process_tick_event(self, event: Event):
""""""
tick = event.data
self.ticks[tick.local_symbol] = tick
symbol = tick.symbol
self.position_manager.update_tick(tick)
# 生成datetime对象
if not tick.datetime:
if '.' in tick.time:
tick.datetime = datetime.strptime(
' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
else:
tick.datetime = datetime.strptime(
' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S')
bm = self.generators.get(symbol, None)
if bm:
bm.update_tick(tick)
if not bm:
self.generators[symbol] = generator(self.event_engine, self.app)
@async_value_call
async def process_order_event(self, event: Event):
""""""
order = event.data
self.orders[order.local_order_id] = order
# If order is active, then update data in dict.
if order._is_active():
self.active_orders[order.local_order_id] = order
# Otherwise, pop inactive order from in dict
elif order.local_order_id in self.active_orders:
self.active_orders.pop(order.local_order_id)
self.position_manager.update_order(order)
@async_value_call
async def process_trade_event(self, event: Event):
""""""
trade = event.data
self.trades[trade.local_trade_id] = trade
self.position_manager.update_trade(trade)
@async_value_call
async def process_position_event(self, event: Event):
""""""
position = event.data
self.positions[position.local_position_id] = position
self.position_manager.update_position(position)
async def process_account_event(self, event: Event):
""""""
account = event.data
self.account = account
for value in self.app.extensions.values():
await value(deepcopy(event))
async def process_contract_event(self, event: Event):
""""""
contract = event.data
self.contracts[contract.local_symbol] = contract
for value in self.app.extensions.values():
await value(deepcopy(event))
def get_shared(self, symbol):
return self.shared.get(symbol, None)
def get_all_shared(self):
return self.shared
def get_bar(self, local_symbol):
return self.bar.get(local_symbol, None)
def get_all_bar(self):
return self.bar
def get_tick(self, local_symbol):
return self.ticks.get(local_symbol, None)
def get_order(self, local_order_id):
return self.orders.get(local_order_id, None)
def get_trade(self, local_trade_id):
return self.trades.get(local_trade_id, None)
def get_position(self, local_position_id):
return self.positions.get(local_position_id, None)
def get_account(self):
return self.account
def get_contract(self, local_symbol):
return self.contracts.get(local_symbol, None)
def get_all_ticks(self):
"""
Get all tick data.
"""
return list(self.ticks.values())
def get_all_orders(self):
"""
Get all order data.
"""
return list(self.orders.values())
def get_all_trades(self):
"""
Get all trade data.
"""
return list(self.trades.values())
def get_all_positions(self):
"""
Get all position data.
"""
# return list(self.positions.values())
return self.position_manager.get_all_positions()
def get_errors(self):
return self.errors
def get_new_error(self):
return self.errors[-1]
def get_all_contracts(self):
"""
Get all contract data.
"""
return list(self.contracts.values())
def get_all_active_orders(self, local_symbol: str = ""):
if not local_symbol:
return list(self.active_orders.values())
else:
active_orders = [
order for order in self.active_orders.values()
if order.local_symbol == local_symbol
]
return active_orders
class Recorder(object):
"""
data center
"""
def __init__(self, app):
""""""
self.bar = {}
self.ticks = {}
self.orders = {}
self.trades = {}
self.positions = {}
self.account = None
self.contracts = {}
self.logs = {}
self.errors = []
self.generators = {}
self.active_orders = {}
self.local_contract_price_mapping = {}
self.app = app
self.register_event()
self.position_manager = LocalPositionManager(app=self.app)
self.main_contract_mapping = defaultdict(list)
@staticmethod
def get_local_time():
from datetime import datetime
return datetime.now().strftime('%Y-%m-%d %H:%M:%S')
def register_event(self):
""" bind process function """
function = lambda name: lambda event: getattr(
self, f"process_{name}_event")(event)
def connect(data):
name = data[0]
signal = data[1]
temp_sig = getattr(signal, f"{name}_signal")
temp_sig.connect(function(name=name), weak=False)
return name
def generate_params(data, signal):
temp = []
for x in data:
temp.append((x, signal))
return temp
p = list(
map(
connect,
generate_params(signal.common_signals.event,
signal.common_signals)))
p = list(
map(
connect,
generate_params(self.app.app_signal.event,
self.app.app_signal)))
def process_timer_event(self, event):
for x in self.app.extensions.values():
x()
def process_init_event(self, event):
""" 处理初始化完成事件 """
if event.data:
self.app.init_finished = True
for x in self.app.extensions.values():
x(deepcopy(event))
def process_last_event(self, event):
""" 处理合约的最新行情数据 """
data = event.data
self.local_contract_price_mapping[data.local_symbol] = data.last_price
# 过滤掉数字 取中文做key
key = "".join([x for x in data.symbol if not x.isdigit()])
self.main_contract_mapping[key.upper()].append(data)
def process_error_event(self, event: Event):
self.errors.append({"time": self.get_local_time(), "data": event.data})
self.app.logger.error(event.data)
def process_log_event(self, event: Event):
self.logs[self.get_local_time()] = event.data
if self.app.config.get("LOG_OUTPUT"):
self.app.logger.info(event.data)
@value_call
def process_bar_event(self, event: Event):
bar = event.data
local = self.bar.get(bar.local_symbol)
if local is None:
self.bar[bar.local_symbol] = {bar.interval: []}
else:
if self.bar[bar.local_symbol].get(bar.interval) is None:
self.bar[bar.local_symbol] = {bar.interval: []}
self.bar[bar.local_symbol][bar.interval].append(bar)
@value_call
def process_tick_event(self, event: Event):
""""""
tick = event.data
self.ticks[tick.local_symbol] = tick
self.position_manager.update_tick(tick)
# 生成datetime对象
if not tick.datetime:
if '.' in tick.time:
tick.datetime = datetime.strptime(
' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
else:
tick.datetime = datetime.strptime(
' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S')
bm = self.generators.get(tick.local_symbol, None)
if bm:
bm.update_tick(tick)
if not bm:
self.generators[tick.local_symbol] = generator(self.app)
self.generators[tick.local_symbol].update_tick(tick)
@value_call
def process_order_event(self, event: Event):
""""""
order = event.data
self.orders[order.local_order_id] = order
# If order is active, then update data in dict.
if order._is_active():
self.active_orders[order.local_order_id] = order
# Otherwise, pop inactive order from in dict
elif order.local_order_id in self.active_orders:
self.active_orders.pop(order.local_order_id)
self.position_manager.update_order(order)
@value_call
def process_trade_event(self, event: Event):
""""""
trade = event.data
self.trades[trade.local_trade_id] = trade
self.position_manager.update_trade(trade)
for value in self.app.extensions.values():
if self.app.config['INSTRUMENT_INDEPEND']:
if len(value.instrument_set) == 0:
warnings.warn(
"你当前开启策略对应订阅行情功能, 当前策略的订阅行情数量为0，请确保你的订阅变量是否为instrument_set，以及订阅具体代码"
)
if event.data.local_symbol in value.instrument_set:
value(deepcopy(event))
else:
value(deepcopy(event))
@value_call
def process_position_event(self, event: Event):
""""""
position = event.data
self.positions[position.local_position_id] = position
self.position_manager.update_position(position)
for value in self.app.extensions.values():
if self.app.config['INSTRUMENT_INDEPEND']:
if len(value.instrument_set) == 0:
warnings.warn(
"你当前开启策略对应订阅行情功能, 当前策略的订阅行情数量为0，请确保你的订阅变量是否为instrument_set，以及订阅具体代码"
)
if event.data.local_symbol in value.instrument_set:
value(deepcopy(event))
else:
value(deepcopy(event))
def process_account_event(self, event: Event):
""""""
account = event.data
self.account = account
for value in self.app.extensions.values():
value(deepcopy(event))
def process_contract_event(self, event: Event):
""""""
contract = event.data
self.contracts[contract.local_symbol] = contract
for value in self.app.extensions.values():
value(deepcopy(event))
def get_shared(self, symbol):
return self.shared.get(symbol, None)
def get_all_shared(self):
return self.shared
def get_bar(self, local_symbol):
return self.bar.get(local_symbol, None)
def get_all_bar(self):
return self.bar
def get_tick(self, local_symbol):
return self.ticks.get(local_symbol, None)
def get_order(self, local_order_id):
return self.orders.get(local_order_id, None)
def get_trade(self, local_trade_id):
return self.trades.get(local_trade_id, None)
def get_position(self, local_position_id):
return self.positions.get(local_position_id, None)
def get_account(self):
return self.account
def get_contract(self, local_symbol):
return self.contracts.get(local_symbol, None)
def get_all_ticks(self):
"""
Get all tick data.
"""
return list(self.ticks.values())
def get_all_orders(self):
"""
Get all order data.
"""
return list(self.orders.values())
def get_all_trades(self):
"""
Get all trade data.
"""
return list(self.trades.values())
def get_all_positions(self):
"""
Get all position data.
"""
# return list(self.positions.values())
return self.position_manager.get_all_positions()
def get_errors(self):
return self.errors
def get_new_error(self):
return self.errors[-1]
def get_all_contracts(self):
"""
Get all contract data.
"""
return list(self.contracts.values())
def get_all_active_orders(self, local_symbol: str = ""):
if not local_symbol:
return list(self.active_orders.values())
else:
active_orders = [
order for order in self.active_orders.values()
if order.local_symbol == local_symbol
]
return active_orders
@property
def main_contract_list(self):
""" 返回主力合约列表 """
result = []
for _ in self.main_contract_mapping.values():
x = sorted(_, key=lambda x: x.open_interest, reverse=True)[0]
result.append(x.local_symbol)
return result
def get_contract_last_price(self, local_symbol):
""" 获取合约的最新价格 """
return self.local_contract_price_mapping.get(local_symbol)
def get_main_contract_by_code(self, code: str):
""" 根据code取相应的主力合约 """
d = self.main_contract_mapping.get(code.upper(), None)
if not d:
return None
else:
now = sorted(d, key=lambda x: x.open_interest, reverse=True)[0]
pre = sorted(d, key=lambda x: x.pre_open_interest, reverse=True)[0]
if pre.local_symbol == now.local_symbol:
return pre
else:
return now
def clear_all(self):
"""
为了避免数据越来越大，需要清空数据
:return:
"""
self.ticks.clear()
self.orders.clear()
self.trades.clear()
self.positions.clear()
self.contracts.clear()
self.errors.clear()
self.shared.clear()
self.generators.clear()
self.active_orders.clear()
class Account:
"""
此账户可以作为一个基本的账户类进行使用， 但是不能作为完整一个App.
需要配合 Interface 提供实时价格和收盘价格进行使用.
详细参见函数API
"""
def __init__(self, interface, name=None):
"""
核心账户
Args
"""
self.account_id = name if name is not None else uuid.uuid4()
# 成交接口
self.interface = interface
# 每日成交单信息
self.daily_life = defaultdict(AliasDayResult)
# 合约乘数
self.size_map = {}
# 每日下单限制
self.daily_limit = 20
self.pre_balance = 0
# 账户当前的日期
self.date = None
self.count_statistics = 0
# 初始资金
self.initial_capital = 0
# 账户权益
# 保证金占用
self.long_margin = 0
self.short_margin = 0
# 冻结的保证金
self.long_frozen_margin = {}
self.short_frozen_margin = {}
# 冻结的手续费
self.frozen_fee = {}
# 多头净值
self.long_balance = 0
# 空头净值
self.short_balance = 0
self.frozen_premium = 0
self.count = 0
"""
fee应该是一个 {
ag2012.SHFE: 200.1
}
"""
self.fee = {}
self.init_position_manager_flag = False
self.init = False
self.position_manager = None
self.margin_ratio = {}
# commission_ratio 应该为{"ag2012.SHFE": {"close_today": 0.005, "close":0.005 }
self.basic_info = None
self.commission_ratio = defaultdict(dict)
self.close_profit = {}
self.turnover = 0
self.pre_float = 0
self.position_manager = LocalPositionManager(self)
self.code_pnl = {}
@property
def margin(self):
result = 0
for x in self.position_manager.get_all_positions():
result += x["price"] * x["volume"] * self.get_size_from_map(
x["local_symbol"]) * self.get_margin_ration(
x["local_symbol"])
return result
@property
def frozen_margin(self):
return sum(list(self.long_frozen_margin.values())) + sum(list(self.short_frozen_margin.values()))
@property
def to_object(self) -> AccountData:
return AccountData._create_class(dict(accountid=self.account_id,
local_account_id=f"{self.account_id}.SIM",
frozen=self.frozen,
balance=self.balance,
))
@property
def frozen(self):
return sum(self.frozen_fee.values())
@property
def float_pnl(self):
result = 0
for pos in self.position_manager.get_all_positions():
if pos['direction'] == "long":
result += (self.interface.price_mapping[pos["local_symbol"]] - pos[
"price"]) * pos["volume"] * self.get_size_from_map(
pos["local_symbol"])
else:
result += (pos["price"] - self.interface.price_mapping[
pos["local_symbol"]]) * pos["volume"] * self.get_size_from_map(
pos["local_symbol"])
return result
def get_code_float_pnl(self):
""" 获取每个品种当时的浮动盈亏 """
result = {}
for pos in self.position_manager.get_all_positions():
if pos['direction'] == "long":
pnl = (self.interface.price_mapping[pos["local_symbol"]] - pos[
"price"]) * pos["volume"] * self.get_size_from_map(
pos["local_symbol"])
else:
pnl = (pos["price"] - self.interface.price_mapping[
pos["local_symbol"]]) * pos["volume"] * self.get_size_from_map(
pos["local_symbol"])
if result.get(pos["local_symbol"]) is None:
result[pos["local_symbol"]] = pnl
else:
result[pos["local_symbol"]] += pnl
return result
def get_code_pnl(self):
pnl = {}
pnl.update(self.code_pnl)
for code, profit in self.get_code_float_pnl().items():
if code in pnl:
pnl[code] += profit
else:
pnl[code] = profit
return pnl
@property
def balance(self) -> float:
return self.available + self.margin
@property
def available(self):
""" 可用资金 = 前日权益 + 平仓盈亏 + 浮动盈亏 - 手续费 - 冻结手续费 - 保证金 """
return self.pre_balance + sum(self.close_profit.values()) + self.float_pnl - sum(
self.fee.values()) - self.frozen - self.margin - self.frozen_margin
@property
def logger(self):
return self.interface.logger
def get_margin_ration(self, local_symbol):
""" 获取保证金比率"""
if self.basic_info is not None:
if "." in local_symbol:
local_symbol = local_symbol.split(".")[0]
lc = "".join(filter(str.isalpha, local_symbol))
return self.basic_info[lc][self.interface.date].margin
else:
return self.margin_ratio.get(local_symbol)
def get_commission(self, order: OrderData or TradeData, close_today=False):
""" 获取手续费比率 """
if self.basic_info is not None:
if "." in order.local_symbol:
local_symbol = order.local_symbol.split(".")[0]
else:
local_symbol = order.local_symbol
lc = "".join(filter(str.isalpha, local_symbol))
n = self.basic_info[lc][self.interface.date] # """ 切换到下一个交易日 """
if n.commission_type == 2:
if close_today:
""" 平今 """
return n.close_today_ratio * order.price * order.volume * self.get_size_from_map(order.local_symbol)
else:
return n.close_ratio * order.price * order.volume * self.get_size_from_map(order.local_symbol)
else:
if close_today:
return n.close_today_ratio * order.volume
else:
return n.close_ratio * order.volume
else:
if close_today:
return self.commission_ratio.get(order.local_symbol)[
"close_today"] * order.volume * order.price * self.get_size_from_map(order.local_symbol)
else:
return self.commission_ratio.get(order.local_symbol)[
"close"] * order.volume * order.price * self.get_size_from_map(order.local_symbol)
def get_size_from_map(self, local_symbol):
""" 获取合约乘数 """
if self.basic_info is not None:
if "." in local_symbol:
local_symbol = local_symbol.split(".")[0]
lc = "".join(filter(str.isalpha, local_symbol))
return self.basic_info[lc][self.interface.date].size
else:
return self.size_map.get(local_symbol)
def update_account_from_trade(self, data: TradeData or OrderData):
""" 更新基础属性方法
# 下单更新冻结的保证金
# 成交更新持仓的保证金
开仓手续费 /平仓手续费 平今手续费
"""
if isinstance(data, TradeData):
""" 成交属性 """
if data.order_id in self.frozen_fee.keys(): # 如果已经成交那么清除手续费冻结..
self.frozen_fee.pop(data.order_id)
try:
if data.offset == Offset.CLOSETODAY:
fee = self.get_commission(data, close_today=True)
else:
fee = self.get_commission(data)
except KeyError:
raise ValueError("请在对应品种设置合理的手续费")
if self.fee.get(data.local_symbol) is None:
self.fee[data.local_symbol] = fee
else:
self.fee[data.local_symbol] += fee
if data.offset == Offset.OPEN:
""" 开仓增加保证金 """
self.count += data.volume
if data.direction == Direction.LONG:
if data.order_id in self.long_frozen_margin.keys(): # 如果成交, 那么清除多头的保证金冻结
self.long_frozen_margin.pop(data.order_id)
else:
if data.order_id in self.short_frozen_margin.keys(): # 如果成交, 那么清除空头的保证金冻结
self.short_frozen_margin.pop(data.order_id)
self.turnover += data.volume * data.price
else:
if data.direction == Direction.LONG:
pos = self.position_manager.get_position_by_ld(data.local_symbol, Direction.SHORT)
try:
assert pos.volume >= data.volume
except Exception:
print(pos.volume, data.volume)
raise ValueError
close_profit = (pos.price - data.price) * data.volume * self.get_size_from_map(data.local_symbol)
else:
pos = self.position_manager.get_position_by_ld(data.local_symbol, Direction.LONG)
assert pos.volume >= data.volume
close_profit = (data.price - pos.price) * data.volume * self.get_size_from_map(data.local_symbol)
if self.close_profit.get(data.local_symbol) is None:
self.close_profit[data.local_symbol] = close_profit
else:
self.close_profit[data.local_symbol] += close_profit
if self.code_pnl.get(data.local_symbol) is None:
self.code_pnl[data.local_symbol] = close_profit
else:
self.code_pnl[data.local_symbol] += close_profit
else:
raise TypeError("错误的数据类型，期望成交单数据 TradeData 而不是 {}".format(type(data)))
def update_account_from_order(self, order: OrderData):
"""
从order里面更新订单信息
"""
if order.offset == Offset.CLOSETODAY:
self.frozen_fee[order.order_id] = self.get_commission(order, close_today=True)
else:
self.frozen_fee[order.order_id] = self.get_commission(order)
if order.offset == Offset.OPEN:
""" 开仓增加保证金占用 """
if order.direction == Direction.LONG:
self.long_frozen_margin[order.order_id] = self.get_margin_ration(
order.local_symbol) * order.price * order.volume * self.get_size_from_map(order.local_symbol)
else:
self.short_frozen_margin[order.order_id] = self.get_margin_ration(
order.local_symbol) * order.price * order.volume * self.get_size_from_map(order.local_symbol)
self.position_manager.update_order(order)
def pop_order(self, order: OrderData):
if order.direction == Direction.LONG:
if order.order_id in self.long_frozen_margin:
self.long_frozen_margin.pop(order.order_id)
if order.direction == Direction.SHORT:
if order.order_id in self.short_frozen_margin:
self.short_frozen_margin.pop(order.order_id)
if order.order_id in self.frozen_fee:
self.frozen_fee.pop(order.order_id)
def clear_frozen(self):
""" 撤单的时候应该要清除所有的单子 并同时清除保证金占用和手续费冻结 """
from ctpbee.constant import EVENT_ORDER, Status
# for order in list(self.interface.pending.values()):
# """ 结算后需要把未所有的单子撤掉 """
# order.status = Status.CANCELLED
# order.time.hour = 15
# order.time.minute = 1
# self.interface.on_event(EVENT_ORDER, order)
self.interface.pending.clear()
self.frozen_fee.clear()
self.long_frozen_margin.clear()
self.short_frozen_margin.clear()
self.position_manager.clear_frozen()
def reset_attr(self):
""" 重新设置属性 """
self.frozen_premium = 0
self.count = 0
self.turnover = 0
self.close_profit.clear()
self.code_pnl.clear()
self.interface.today_volume = 0
for x in self.fee.keys():
self.fee[x] = 0
def close_position_by_amount(self, amount, price_mapping):
""" 通过指定金额来金额来平仓直到available为正 """
self.logger.info(f"{self.date} 正在按照指定金额进行平仓: {amount}")
for position in self.position_manager.get_all_positions():
margin = position["price"] * position["volume"] * self.get_size_from_map(
position["local_symbol"]) * self.get_margin_ration(position["local_symbol"])
if margin > amount:
volume = amount / (position["price"] * self.get_size_from_map(
position["local_symbol"]) * self.get_margin_ration(position["local_symbol"]))
if volume % 1 != 0:
volume = int(volume) + 1
else:
volume = int(volume)
amount = 0
else:
volume = position["volume"]
amount -= margin
if position["direction"] == "long":
self.interface.action.cover(price_mapping[position["local_symbol"]], volume, position)
else:
self.interface.action.sell(price_mapping[position["local_symbol"]], volume, position)
if amount <= 0:
self.logger.info("已经发完足够包含指定保证金的平仓单")
break
if amount > 0:
raise ValueError(f"你爆仓了!!!!, 什么策略????? 你的保证金: {self.margin} 可用:{self.available}")
def is_traded(self, order: OrderData) -> bool:
""" 当前账户是否足以支撑成交 """
# 根据传入的单子判断当前的账户可用资金是否足以成交此单
if order.offset != Offset.OPEN:
""" 交易是否可平不足？ """
poss = self.position_manager.get_position(order.local_symbol)
if not poss:
return False, "此合约上无仓位"
if order.direction == Direction.LONG:
if order.volume > poss.short_pos:
""" 仓位不足 """
return False, f"平空头仓位不足 {order.local_symbol} volume: {order.volume} 持仓量: {poss.short_pos}"
else:
return True, None
else:
if order.volume > poss.long_pos:
return False, f"平多头仓位不足 {order.local_symbol} volume: {order.volume} 持仓量: {poss.long_pos}"
else:
return True, None
order_amount = order.price * order.volume * self.get_size_from_map(
order.local_symbol) * self.get_margin_ration(
order.local_symbol)
if self.available < order_amount or self.available < 0:
""" 可用不足"""
return False, f"资金可用不足, 当前可用: {self.available} 当前冻结保证金: {self.frozen_margin}"
return True, None
def update_trade(self, trade: TradeData) -> None:
"""
当前选择调用这个接口的时候就已经确保了这个单子是可以成交的，
make sure it can be traded if you choose to call this method,
:param trade:交易单子/trade
:return:
"""
self.update_account_from_trade(trade)
self.position_manager.update_trade(trade=trade)
tr = ""
assert trade.volume > 0
for pos in self.position_manager.get_all_positions():
if pos["direction"] == "long":
tr += f"{pos['local_symbol']} long :{pos['volume']} \n"
else:
tr += f"{pos['local_symbol']} short :{pos['volume']} \n"
if isinstance(trade.time, datetime):
self.interface.position_detail[trade.time.strftime("%Y-%m-%d %H:%M:%S")] = tr
elif isinstance(trade.time, str):
self.interface.position_detail[trade.time] = tr
def settle(self, interface_date=None):
""" 生成今天的交易数据， 同时更新前日数据 ，然后进行持仓结算 """
if not self.date:
date = interface_date
else:
date = self.date
""" 结算撤掉所有单 归还冻结 """
self.clear_frozen()
if self.available < 0:
self.logger.info("你的可用不足, 进行减仓")
self.close_position_by_amount(abs(self.available), self.interface.price_mapping)
p = AliasDayResult(
**{"balance": self.balance,
"margin": self.margin,
"available": self.available,
"short_balance": self.short_balance,
"long_balance": self.long_balance,
"date": date,
"commission": sum([x for x in self.fee.values()]),
"net_pnl": self.balance - self.pre_balance,
"count": self.count,
"turnover": self.turnover
})
code_pnl = self.get_code_pnl()
self.interface.on_event(EVENT_WARNING,
"Settlement: " + str(
date) + f" net: {round(self.balance, 2)}"
+ f" margin: {round(self.margin, 2)}"
f" net_pnl: {self.balance - self.pre_balance} "
f" close_profit: {round(sum(self.close_profit.values()), 2)}"
f" float_pnl: {round(self.float_pnl, 2)}"
f" code_pnl: {code_pnl}"
f" fee:{round(sum(self.fee.values()), 2)} ")
self.pre_float = self.float_pnl
self.daily_life[date] = deepcopy(p._to_dict())
self.pre_balance = self.balance
self.long_balance = self.balance
self.short_balance = self.balance
self.reset_attr()
self.position_manager.covert_to_yesterday_holding(**self.interface.price_mapping)
# 归还所有的冻结
self.date = interface_date
def via_aisle(self):
self.position_manager.update_size_map(self.interface.params)
if self.interface.date != self.date:
self.date = self.interface.date
else:
pass
def update_params(self, params: dict):
""" 更新本地账户回测参数 """
for i, v in params.items():
if i == "initial_capital" and not self.init:
self.pre_balance = v
self.initial_capital = v
self.long_balance = v
self.short_balance = v
self.init = True
continue
else:
pass
setattr(self, i, v)
@property
def result(self):
# 根据daily_life里面的数据 获取最后的结果
result = defaultdict(list)
for daily in self.daily_life.values():
for key, value in daily.items():
result[key].append(value)
try:
df = DataFrame.from_dict(result).set_index("date")
except KeyError:
print("-------------------------------------------------")
print("| 好像没有结算数据哦! |")
print("-------------------------------------------------")
return {}
try:
import matplotlib.pyplot as plt
df['balance'].plot()
plt.show()
except ImportError as e:
pass
finally:
return self._cal_result(df)
def get_mapping(self, d):
mapping = {}
for i, v in self.daily_life.items():
mapping[str(i)] = v.get(d)
return mapping
def _cal_result(self, df: DataFrame) -> dict:
result = dict()
df["return"] = (df["balance"] / df["balance"].shift(1) - 1).fillna(0)
df["high_level"] = (
df["balance"].rolling(
min_periods=1, window=len(df), center=False).max()
)
df["draw_down"] = df["balance"] - df["high_level"]
df["dd_percent"] = df["draw_down"] / df["high_level"] * 100
result['initial_capital / 初始资金'] = self.initial_capital
result['start_date / 起始日期'] = df.index[0]
result['end_date / 结束日期'] = df.index[-1]
result['total_days / 交易天数'] = len(df)
result['profit_days / 盈利天数'] = len(df[df["net_pnl"] > 0])
result['loss_days / 亏损天数'] = len(df[df["net_pnl"] < 0])
result['end_balance / 结束资金'] = round(df["balance"].iloc[-1], 2)
result['max_draw_down / 最大回撤'] = round(df["draw_down"].min(), 2)
result['max_dd_percent / 最大回撤百分比'] = str(round(df["dd_percent"].min(), 2)) + "%"
result['total_pnl / 总盈亏'] = round(df["net_pnl"].sum(), 2)
result['daily_pnl / 平均日盈亏'] = round(result['total_pnl / 总盈亏'] / result['total_days / 交易天数'], 2)
result['total_commission / 总手续费'] = round(df["commission"].sum(), 2)
result['daily_commission / 日均手续费'] = round(result['total_commission / 总手续费'] / result['total_days / 交易天数'], 2)
result['total_turnover / 开仓总资金'] = round(df["turnover"].sum(), 2)
result['daily_turnover / 每日平均开仓资金'] = round(result['total_turnover / 开仓总资金'] / result['total_days / 交易天数'], 2)
result['total_count / 总成交次数'] = df["count"].sum()
result['daily_count / 日均成交次数'] = round(result['total_count / 总成交次数'] / result['total_days / 交易天数'], 2)
result['total_return / 总收益率'] = str(
round((result['end_balance / 结束资金'] / self.initial_capital - 1) * 100, 2)) + "%"
by_year_return_std = df["return"].std() * np.sqrt(245)
df["return_x"] = df["return"] + 1
try:
profit_ratio = geometric_mean(df["return_x"].to_numpy()) ** 245 - 1
except ValueError:
print("boom 计算几何平均数存在负数, 本次回测作废")
return {}
result['annual_return / 年化收益率'] = str(round(profit_ratio * 100, 2)) + "%"
result['return_std / 年化标准差'] = str(round(by_year_return_std * 100, 2)) + "%"
result['volatility / 波动率'] = str(round(df["return"].std() * 100, 2)) + "%"
if by_year_return_std != 0:
result['sharpe / 年化夏普率'] = (profit_ratio - 2.5 / 100) / by_year_return_std
else:
result['sharpe / 年化夏普率'] = "计算出错"
return result
def __init__(self, interface):
self.interface = interface
self.position_manager = LocalPositionManager(interface.params)
# 每日资金情况
self.daily_life = defaultdict(AliasDayResult)
self.date = None
class Account:
"""
账户类
支持成交之后修改资金 ， 对外提供API
"""
balance = 100000
frozen = 0
size = 5
pricetick = 10
daily_limit = 20
commission: float = 0
def __init__(self, interface):
self.interface = interface
self.position_manager = LocalPositionManager(interface.params)
# 每日资金情况
self.daily_life = defaultdict(AliasDayResult)
self.date = None
def is_traded(self, trade: TradeData) -> bool:
""" 当前账户是否足以支撑成交 """
# 根据传入的单子判断当前的账户资金和冻结 是否足以成交此单
if trade.price * trade.volume < self.balance - self.frozen:
""" 可用不足"""
return False
return True
def update_trade(self, trade: TradeData) -> None:
"""
当前选择调用这个接口的时候就已经确保了这个单子是可以成交的，
make sure it can be traded if you choose to call this method,
:param trade:交易单子/trade_id
:return:
"""
# 根据单子 更新当前的持仓 ----->
if not self.date:
self.date = self.interface.date
if self.interface.date != self.date:
""" 新的一天 """
p = AliasDayResult(
**{
"balance": self.balance,
"frozen": self.frozen,
"available": self.balance - self.frozen
})
self.daily_life[self.date] = p
self.date = self.interface.date
if self.commission != 0:
commission_expense = trade.price * trade.volume
else:
commission_expense = 0
self.balance -= commission_expense
# todo : 更新本地账户数据， 如果是隔天数据， 那么统计战绩 -----> AliasDayResult，然后推送到字典 。 以日期为key
self.position_manager.update_trade(trade=trade)
@property
def result(self):
# 计算并获取最后的结果
df = DataFrame.from_dict(self.daily_life).set_index("datetime")
return df
class AsyncRecorder(object):
"""
data center
"""
def __init__(self, app, event_engine):
""""""
self.bar = {}
self.ticks = {}
self.orders = {}
self.trades = {}
self.positions = {}
self.accounts = {}
self.contracts = {}
self.logs = {}
self.errors = []
self.shared = {}
self.generators = {}
self.active_orders = {}
self.event_engine = event_engine
self.register_event()
self.app = app
self.position_manager = LocalPositionManager(app=self.app)
@staticmethod
def get_local_time():
from datetime import datetime
return datetime.now().strftime('%Y-%m-%d %H:%M:%S')
def register_event(self):
"""bind process function"""
self.event_engine.register(EVENT_TICK, self.process_tick_event)
self.event_engine.register(EVENT_ORDER, self.process_order_event)
self.event_engine.register(EVENT_TRADE, self.process_trade_event)
self.event_engine.register(EVENT_POSITION, self.process_position_event)
self.event_engine.register(EVENT_ACCOUNT, self.process_account_event)
self.event_engine.register(EVENT_CONTRACT, self.process_contract_event)
self.event_engine.register(EVENT_BAR, self.process_bar_event)
self.event_engine.register(EVENT_LOG, self.process_log_event)
self.event_engine.register(EVENT_ERROR, self.process_error_event)
self.event_engine.register(EVENT_SHARED, self.process_shared_event)
async def process_shared_event(self, event):
if self.shared.get(event.data.local_symbol, None) is not None:
self.shared[event.data.local_symbol].append(event.data)
else:
self.shared[event.data.local_symbol] = []
for value in self.app.extensions.values():
await value(deepcopy(event))
async def process_error_event(self, event: Event):
self.errors.append({"time": self.get_local_time(), "data": event.data})
print(self.get_local_time() + ": ", event.data)
async def process_log_event(self, event: Event):
self.logs[self.get_local_time()] = event.data
if self.app.config.get("LOG_OUTPUT"):
print(self.get_local_time() + ": ", event.data)
for value in self.app.extensions.values():
await value(deepcopy(event))
async def process_bar_event(self, event: Event):
bar = event.data
local = self.bar.get(bar.local_symbol)
if local is None:
self.bar[bar.local_symbol] = {bar.interval: []}
else:
if self.bar[bar.local_symbol].get(bar.interval) is None:
self.bar[bar.local_symbol] = {bar.interval: []}
self.bar[bar.local_symbol][bar.interval].append(bar)
for value in self.app.extensions.values():
await value(deepcopy(event))
async def process_tick_event(self, event: Event):
""""""
tick = event.data
self.ticks[tick.local_symbol] = tick
symbol = tick.symbol
self.position_manager.update_tick(tick)
# 生成datetime对象
if not tick.datetime:
if '.' in tick.time:
tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
else:
tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S')
bm = self.generators.get(symbol, None)
if bm:
bm.update_tick(tick)
if not bm:
self.generators[symbol] = generator(self.event_engine)
for value in self.app.extensions.values():
await value(deepcopy(event))
async def process_order_event(self, event: Event):
""""""
order = event.data
self.orders[order.local_order_id] = order
# If order is active, then update data in dict.
if order._is_active():
self.active_orders[order.local_order_id] = order
# Otherwise, pop inactive order from in dict
elif order.local_order_id in self.active_orders:
self.active_orders.pop(order.local_order_id)
self.position_manager.update_order(order)
for value in self.app.extensions.values():
await value(deepcopy(event))
async def process_trade_event(self, event: Event):
""""""
trade = event.data
self.trades[trade.local_trade_id] = trade
self.position_manager.update_trade(trade)
for value in self.app.extensions.values():
await value(deepcopy(event))
async def process_position_event(self, event: Event):
""""""
position = event.data
self.positions[position.local_position_id] = position
self.position_manager.update_position(position)
for value in self.app.extensions.values():
await value(deepcopy(event))
async def process_account_event(self, event: Event):
""""""
account = event.data
self.accounts[account.local_account_id] = account
for value in self.app.extensions.values():
await value(deepcopy(event))
async def process_contract_event(self, event: Event):
""""""
contract = event.data
self.contracts[contract.local_symbol] = contract
for value in self.app.extensions.values():
await value(deepcopy(event))
def get_shared(self, symbol):
return self.shared.get(symbol, None)
def get_all_shared(self):
return self.shared
def get_bar(self, local_symbol):
return self.bar.get(local_symbol, None)
def get_all_bar(self):
return self.bar
def get_tick(self, local_symbol):
return self.ticks.get(local_symbol, None)
def get_order(self, local_order_id):
return self.orders.get(local_order_id, None)
def get_trade(self, local_trade_id):
return self.trades.get(local_trade_id, None)
def get_position(self, local_position_id):
return self.positions.get(local_position_id, None)
def get_account(self, local_account_id):
return self.accounts.get(local_account_id, None)
def get_contract(self, local_symbol):
return self.contracts.get(local_symbol, None)
def get_all_ticks(self):
"""
Get all tick data.
"""
return list(self.ticks.values())
def get_all_orders(self):
"""
Get all order data.
"""
return list(self.orders.values())
def get_all_trades(self):
"""
Get all trade data.
"""
return list(self.trades.values())
def get_all_positions(self):
"""
Get all position data.
"""
return self.position_manager.get_all_positions()
def get_errors(self):
return self.errors
def get_new_error(self):
return self.errors[-1]
def get_all_accounts(self):
"""
Get all account data.
"""
return list(self.accounts.values())
def get_all_contracts(self):
"""
Get all contract data.
"""
return list(self.contracts.values())
def get_all_active_orders(self, local_symbol: str = ""):
if not local_symbol:
return list(self.active_orders.values())
else:
active_orders = [
order
for order in self.active_orders.values()
if order.local_symbol == local_symbol
]
return active_orders
class Account:
"""
账户类
支持成交之后修改资金 ， 对外提供API
"""
def __init__(self):
self.position_manager = LocalPositionManager(app=None)
# 每日资金情况
self.daily_life = defaultdict(list)
# 回测模式
self.pattern = "t+0"
# 起始资金 默认10w 以及冻结
self.balance = 100000
self.frozen = 0
self.size = 5
self.pricetick = 10
self.daily_limit = 20
# 手续费
self.commission: float = 0
# 滑点相关设置
self.slip_page: float = 0
# 当前日志信息
self.date = None
def is_traded(self, trade: TradeData) -> bool:
""" 当前账户是否足以支撑成交 """
# 根据传入的单子判断当前的账户资金和冻结 是否足以成交此单
if trade.price * trade.volume < self.balance - self.frozen:
""" 可用不足"""
return False
return True
def update_trade(self, trade: TradeData) -> None:
"""
当前选择调用这个接口的时候就已经确保了这个单子是可以成交的，
make sure it can be traded if you choose to call this method,
:param trade:交易单子/trade_id
:return:
"""
# 根据单子 更新当前的持仓和----->
if trade.datetime.date != self.date:
""" 新的一天 """
p = AliasDayResult({"balance": self.balance, "frozen": self.frozen, "avaiable": self.balance - self.frozen})
self.daily_life[self.date] = p
self.date = trade.datetime.date
commission_expense = trade.price * trade.volume
self.balance -= commission_expense
# todo : 更新本地账户数据， 如果是隔天数据， 那么统计战绩， -----> AliasDayResult，然后推送到字典 。 以日期为key
self.position_manager.update_trade(trade=trade)
@property
def result(self):
# 计算并获取最后的结果
df = DataFrame.from_dict(self.daily_life).set_index("datetime")
return df