def stock(code, period='1.Day'):
""" 构建周期合约结构的便捷方式。
:param str code: 股票代码。
:param str period: 回测周期。
:return: 周期合约。
:rtype: PContract
"""
from quantdigger.datastruct import PContract, Contract, Period
return PContract(Contract('%s.stock' % code), Period(period))
def pcontract(contract, period):
""" 构建周期合约结构的便捷方式。
:param str contract: 合约如：'IF000.SHEF'
:param str Period: 周期如：'10.Minute'
:return: 周期合约
:rtype: PContract
"""
from quantdigger.datastruct import PContract, Contract, Period
return PContract(Contract(contract), Period(period))
def stock(code, period='1.Day'):
""" 构建周期合约结构的便捷方式。
Args:
code (str) : 股票代码
period(str): 回测周期
Returns:
PContract. 周期合约
"""
from quantdigger.datastruct import PContract, Contract, Period
return PContract(Contract('%s.stock' % code), Period(period))
def buy(self, direction, price, quantity, price_type='LMT', contract=None):
""" 开仓。
:param str/int direction: 下单方向。多头 - 'long' / 1 ；空头 - 'short' / 2
:param float price: 价格。
:param int quantity: 数量。
:param str/int price_type: 下单价格类型。限价单 - 'lmt' / 1；市价单 - 'mkt' / 2
"""
contract = None
con = Contract(contract) if contract else self._main_contract
self._orders.append(
Order(self.datetime, con,
PriceType.arg_to_type(price_type), TradeSide.KAI,
Direction.arg_to_type(direction), float(price), quantity))
def cover(self, price, quantity, symbol=None):
""" 平空仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self._trading:
raise Exception('只有on_bar函数内能下单！')
contract = Contract(symbol) if symbol else copy.deepcopy(
self._cur_data_context.contract)
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._cur_strategy_context.sell(Direction.SHORT, price, quantity,
price_type, contract)
def buy(self, price, quantity, symbol=None):
""" 开多仓
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self._trading:
raise Exception('只有on_bar函数内能下单！')
contract = Contract(
symbol) if symbol else self._cur_data_context.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._cur_strategy_context.buy(Direction.LONG, price, quantity,
price_type, contract)
def cover(self, price, quantity, symbol=None):
""" 平空仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self._trading:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self._cur_data_context.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._cur_strategy_context.cover(price, quantity, price_type, contract)
def sell(self, price, quantity, symbol=None):
""" 平多仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._orders.append(
Order(None, contract, price_type, TradeSide.CLOSE, Direction.LONG,
float(price), quantity))
def position(self, direction='long', symbol=None):
""" 当前仓位。
Args:
direction (str/int): 持仓方向。多头 - 'long' / 1 ；空头 - 'short' / 2
, 默认为多头。
symbol (str): 字符串合约，默认为None表示主合约。
Returns:
Position. 该合约的持仓
"""
if not self._trading:
raise Exception('只有on_bar函数内能查询当前持仓！')
direction = Direction.arg_to_type(direction)
contract = Contract(symbol) if symbol else \
self._cur_data_context.contract
# @TODO assert direction
return self._cur_strategy_context.position(contract, direction)
def position(self, direction='long', symbol=None):
""" 合约当前持仓仓位。
Args:
direction (str/int): 持仓方向。多头 - 'long' / 1 ；空头 - 'short' / 2
, 默认为多头。
symbol (str): 字符串合约，默认为None表示主合约。
Returns:
Position. 该合约的持仓
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能查询当前持仓！')
direction = Direction.arg_to_type(direction)
contract = Contract(symbol) if symbol else \
self.contract
# @TODO assert direction
try:
poskey = PositionKey(contract, direction)
return self.blotter.positions[poskey]
except KeyError:
return None
def _mk_contract(code, exchage):
s = '%s.%s' % (code, exchage)
return Contract(s)
