def _get_broker_positions(self, ):
StockPosition = self._env.get_position_model(
DEFAULT_ACCOUNT_TYPE.STOCK.name)
positions = Positions(StockPosition)
resultData, returnMsg = self._trade_api.get_positions()
if returnMsg['code'] != 0 or resultData is None:
return positions
for poData in resultData:
security_id, exchange_id = poData['order_book_id'].split(".")
# convert to rqalpha style
if exchange_id == "SH":
exchange_id = "XSHG"
if exchange_id == "SZ":
exchange_id = "XSHE"
order_book_id = security_id + "." + exchange_id
poItem = positions.get_or_create(order_book_id)
poItem.set_state({
"order_book_id": order_book_id,
"quantity": poData['prev_qty'], # poData["position_qty"],
"avg_price": poData['prev_avgPx'], # poData["position_avgPx"],
"non_closable": 0,
"frozen": 0,
"transaction_cost": 0
})
poItem.prev_qty = poData['prev_qty']
poItem.prev_avgPx = poData['prev_avgPx']
return positions
def init_portfolio(env):
accounts = {}
config = env.config
start_date = datetime.datetime.combine(config.base.start_date, datetime.time.min)
units = 0
if config.base.init_positions or (DEFAULT_ACCOUNT_TYPE.FUTURE.name in config.base.accounts and
config.base.frequency != '1d'):
BaseAccount.AGGRESSIVE_UPDATE_LAST_PRICE = True
for account_type, starting_cash in six.iteritems(config.base.accounts):
if starting_cash == 0:
raise RuntimeError(_(u"{} starting cash can not be 0, using `--account {} 100000`").format(account_type, account_type))
account_model = env.get_account_model(account_type)
position_model = env.get_position_model(account_type)
positions = Positions(position_model)
for order_book_id, quantity in _filter_positions(env, account_type):
instrument = env.get_instrument(order_book_id)
if instrument is None:
raise RuntimeError(_(u'invalid order book id {} in initial positions').format(order_book_id))
if not instrument.listing:
raise RuntimeError(_(u'instrument {} in initial positions is not listing').format(order_book_id))
bars = env.data_proxy.history_bars(order_book_id, 1, '1d', 'close',
env.data_proxy.get_previous_trading_date(start_date),
adjust_type='none')
if bars is None:
raise RuntimeError(_(u'the close price of {} in initial positions is not available').format(order_book_id))
price = bars[0]
trade = _fake_trade(order_book_id, quantity, price)
if order_book_id not in positions:
positions[order_book_id] = position_model(order_book_id)
positions[order_book_id].apply_trade(trade)
# FIXME
positions[order_book_id]._last_price = price
# 变成昨仓
for order_book_id, position in positions.items():
position.apply_settlement()
account = account_model(starting_cash, positions)
units += account.total_value
accounts[account_type] = account
return Portfolio(config.base.start_date, 1, units, accounts)
def positions(self):
PositionModel = self._position_model
ps = Positions(PositionModel)
for order_book_id, pos_dict in self.pos.items():
position = RealtimePosition(order_book_id)
position.set_state(pos_dict)
ps[order_book_id] = position
return ps
def _get_futu_positions(self, env):
StockPosition = env.get_position_model(DEFAULT_ACCOUNT_TYPE.STOCK.name)
positions = Positions(StockPosition)
ret, pd_data = self._trade_context.position_list_query(self._trade_envtype)
if ret != 0:
return None
for i in range(len(pd_data)):
row = pd_data.iloc[i]
code_str = str(row['code'])
pos_state = {}
pos_state['order_book_id'] = code_str
pos_state['quantity'] = int(row['qty'])
pos_state['avg_price'] = float(row['cost_price'])
pos_state['non_closable'] = 0
pos_state['frozen'] = int(row['qty']) - int(row['can_sell_qty'])
pos_state['transaction_cost'] = 0
item = positions.get_or_create(code_str)
item.set_state(pos_state)
return positions
def create_benchmark_portfolio(env):
if env.config.base.benchmark is None:
return None
BenchmarkAccount = env.get_account_model(const.DEFAULT_ACCOUNT_TYPE.BENCHMARK.name)
BenchmarkPosition = env.get_position_model(const.DEFAULT_ACCOUNT_TYPE.BENCHMARK.name)
start_date = env.config.base.start_date
total_cash = sum(env.config.base.accounts.values())
accounts = {
const.DEFAULT_ACCOUNT_TYPE.BENCHMARK.name: BenchmarkAccount(total_cash, Positions(BenchmarkPosition))
}
return Portfolio(start_date, 1, total_cash, accounts)
def init_portfolio(env):
accounts = {}
config = env.config
start_date = config.base.start_date
total_cash = 0
if DEFAULT_ACCOUNT_TYPE.FUTURE.name in config.base.accounts and config.base.frequency != '1d':
BaseAccount.AGGRESSIVE_UPDATE_LAST_PRICE = True
for account_type, starting_cash in six.iteritems(config.base.accounts):
if account_type == DEFAULT_ACCOUNT_TYPE.STOCK.name:
if starting_cash == 0:
raise RuntimeError(
_(u"stock starting cash can not be 0, using `--account stock 100000`"
))
StockAccount = env.get_account_model(
DEFAULT_ACCOUNT_TYPE.STOCK.name)
StockPosition = env.get_position_model(
DEFAULT_ACCOUNT_TYPE.STOCK.name)
accounts[DEFAULT_ACCOUNT_TYPE.STOCK.name] = StockAccount(
starting_cash, Positions(StockPosition))
total_cash += starting_cash
elif account_type == DEFAULT_ACCOUNT_TYPE.FUTURE.name:
if starting_cash == 0:
raise RuntimeError(
_(u"future starting cash can not be 0, using `--account future 100000`"
))
FutureAccount = env.get_account_model(
DEFAULT_ACCOUNT_TYPE.FUTURE.name)
FuturePosition = env.get_position_model(
DEFAULT_ACCOUNT_TYPE.FUTURE.name)
accounts[DEFAULT_ACCOUNT_TYPE.FUTURE.name] = FutureAccount(
starting_cash, Positions(FuturePosition))
total_cash += starting_cash
else:
raise NotImplementedError
return Portfolio(start_date, 1, total_cash, accounts)
def positions(self):
PositionModel = self._position_model
ps = Positions(PositionModel)
for order_book_id, pos_dict in iteritems(self.pos):
position = PositionModel(order_book_id)
position._buy_old_holding_list = [(pos_dict.prev_settle_price,
pos_dict.buy_old_quantity)]
position._sell_old_holding_list = [(pos_dict.prev_settle_price,
pos_dict.sell_old_quantity)]
position._buy_transaction_cost = pos_dict.buy_transaction_cost
position._sell_transaction_cost = pos_dict.sell_transaction_cost
position._buy_realized_pnl = pos_dict.buy_realized_pnl
position._sell_realized_pnl = pos_dict.sell_realized_pnl
position._buy_avg_open_price = pos_dict.buy_avg_open_price
position._sell_avg_open_price = pos_dict.sell_avg_open_price
if order_book_id in self.trades:
trades = sorted(self.trades[order_book_id],
key=lambda t: t.trade_id,
reverse=True)
buy_today_holding_list = []
sell_today_holding_list = []
for trade_dict in trades:
if trade_dict.side == SIDE.BUY and trade_dict.position_effect == POSITION_EFFECT.OPEN:
buy_today_holding_list.append(
(trade_dict.price, trade_dict.quantity))
elif trade_dict.side == SIDE.SELL and trade_dict.position_effect == POSITION_EFFECT.OPEN:
sell_today_holding_list.append(
(trade_dict.price, trade_dict.quantity))
self.process_today_holding_list(pos_dict.buy_today_quantity,
buy_today_holding_list)
self.process_today_holding_list(pos_dict.sell_today_quantity,
sell_today_holding_list)
position._buy_today_holding_list = buy_today_holding_list
position._sell_today_holding_list = sell_today_holding_list
ps[order_book_id] = position
return ps
def _get_positions(self, env):
StockPosition = env.get_position_model(DEFAULT_ACCOUNT_TYPE.STOCK.name)
positions = Positions(StockPosition)
# TODO:
return positions
def init_fixture(self):
from rqalpha.model.base_position import Positions
from rqalpha.mod.rqalpha_mod_sys_accounts.position_model.stock_position import StockPosition
from rqalpha.mod.rqalpha_mod_sys_accounts.account_model import BenchmarkAccount
super(BenchmarkAccountFixture, self).init_fixture()
self.benchmark_account = BenchmarkAccount(self.benchmark_account_total_cash, Positions(StockPosition))
