def update_account_close(cls, event):
"""
用bar_close更新总资产
:param event:
:return:
"""
current_timetag = event.event_data_dict["strategy_data"].timetag
current_date = millisecond_to_date(current_timetag, format='%Y-%m-%d')
data_class = GetData()
if Environment.bar_position_data_list:
for account in Environment.bar_account_data_list:
# 分资金账号update
hold_balance = 0
for position_data in Environment.bar_position_data_list:
if account.account_id == position_data.account_id:
stock_code = position_data.instrument + "." + position_data.exchange
current_close_price = data_class.get_market_data(
Environment.daily_data,
stock_code=[stock_code],
field=["close"],
start=current_date,
end=current_date)
hold_balance += position_data.position * current_close_price
account.total_balance = account.available + hold_balance
def get_benchmark_net_asset_value(self, event):
period = event.event_data_dict["strategy"].period
data_class = GetData()
benchmark = event.event_data_dict["strategy"].benchmark
if period == Period.DAILY.value:
start_time = millisecond_to_date(millisecond=Environment.benchmark_index[0], format="%Y-%m-%d")
end_time = millisecond_to_date(millisecond=Environment.benchmark_index[-1], format="%Y-%m-%d")
benchmark_close = data_class.get_market_data(Environment.daily_data, stock_code=[benchmark],
field=["close"], start=start_time, end=end_time)
elif period == Period.ONE_MIN.value:
start_time = millisecond_to_date(millisecond=Environment.benchmark_index[0], format="%Y-%m-%d %H:%M:%S")
end_time = millisecond_to_date(millisecond=Environment.benchmark_index[-1], format="%Y-%m-%d %H:%M:%S")
benchmark_close = data_class.get_market_data(Environment.daily_data, stock_code=[benchmark],
field=["close"], start=start_time, end=end_time)
benchmark_close = list(benchmark_close)
benchmark_net_asset_value = [current_close / benchmark_close[0] for current_close in benchmark_close]
return benchmark_net_asset_value
def update_position_close(cls, event):
"""
更新bar_close持仓盈亏
:param event:
:return:
"""
if Environment.bar_position_data_list:
current_timetag = event.event_data_dict["strategy_data"].timetag
current_date = millisecond_to_date(current_timetag,
format='%Y-%m-%d')
data_class = GetData()
for position_data in Environment.bar_position_data_list:
stock_code = position_data.instrument + "." + position_data.exchange
current_close_price = data_class.get_market_data(
Environment.daily_data,
stock_code=[stock_code],
field=["close"],
start=current_date,
end=current_date)
position_data.position_profit = position_data.position * (
current_close_price - position_data.average_price)