def __build_phone_trade_file(server_name, pf_account_name, db_position_df, memory_position_df):
position_compare_df = pd.merge(db_position_df, memory_position_df, how='outer', on=['Symbol']).fillna(0)
position_diff_df = position_compare_df[position_compare_df['Long_db'] != position_compare_df['Long']]
phone_trade_list = []
position_diff_dict = position_diff_df.to_dict("index")
for (dict_key, dict_values) in position_diff_dict.items():
if dict_values['Symbol'] == 'CNY':
continue
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = dict_values['FundName']
phone_trade_info.strategy1 = pf_account_name
phone_trade_info.symbol = dict_values['Symbol']
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.tradetype = Trade_Type_Enums.Normal
phone_trade_info.iotype = IO_Type_Enums.Outer
phone_trade_info.server_name = dict_values['ServerName']
phone_trade_info.exprice = dict_values['Last_Price']
if dict_values['Long_db'] < dict_values['Long']:
phone_trade_info.direction = Direction_Enums.Buy
phone_trade_info.exqty = dict_values['Long'] - dict_values['Long_db']
else:
phone_trade_info.direction = Direction_Enums.Sell
phone_trade_info.exqty = dict_values['Long_db'] - dict_values['Long']
phone_trade_list.append(phone_trade_info)
server_save_path = os.path.join(PHONE_TRADE_FOLDER, server_name)
if not os.path.exists(server_save_path):
os.mkdir(server_save_path)
phone_trade_file_path = '%s/position_repair_%s.csv' % (server_save_path, date_utils.get_today_str('%Y%m%d'))
save_phone_trade_file(phone_trade_file_path, phone_trade_list)
def __build_phone_trade(self, phone_trade_df):
phone_trade_list = []
trade_info_list = [
value for (key, value) in phone_trade_df.to_dict("index").items()
]
for phone_trade_item in trade_info_list:
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = phone_trade_item['Fund_Name']
strategy_name_item = phone_trade_item['Strategy_Name'].split('-')
phone_trade_info.strategy1 = '%s.%s' % (strategy_name_item[1],
strategy_name_item[0])
phone_trade_info.symbol = phone_trade_item['Symbol']
phone_trade_info.direction = Direction_Enums.Sell if phone_trade_item[
'Cross_Qty'] < 0 else Direction_Enums.Buy
phone_trade_info.tradetype = Trade_Type_Enums.Normal
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.exprice = phone_trade_item['Prev_Close']
phone_trade_info.exqty = abs(phone_trade_item['Cross_Qty'])
phone_trade_info.iotype = IO_Type_Enums.Inner1
phone_trade_info.server_name = self.__server_name
phone_trade_list.append(phone_trade_info)
phone_trade_list.sort(
key=lambda item: '%s|%s|%s' % (item.fund, item.symbol, item.exqty))
phone_trade_file_name = 'phone_trade.csv'
phone_trade_file_path = '%s/%s' % (self.__base_save_folder,
phone_trade_file_name)
save_phone_trade_file(phone_trade_file_path, phone_trade_list, False)
def send_by_file(file_path):
phone_trade_list = []
with open(file_path, 'rb') as fr:
for line in fr.readlines():
line_item = line.replace('\r\n', '').split(',')
if len(line_item) != 11:
continue
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = line_item[0]
if line_item[1] == 'manual.default':
phone_trade_info.strategy1 = ''
else:
phone_trade_info.strategy1 = line_item[1]
phone_trade_info.symbol = line_item[2]
phone_trade_info.direction = direction_dict[line_item[3]]
phone_trade_info.tradetype = trade_type_dict[line_item[4]]
phone_trade_info.hedgeflag = hedge_flag_dict[line_item[5]]
phone_trade_info.exprice = float(line_item[6])
phone_trade_info.exqty = int(line_item[7])
phone_trade_info.iotype = io_type_dict[line_item[8]]
if line_item[9] == 'manual.default':
phone_trade_info.strategy2 = ''
else:
phone_trade_info.strategy2 = line_item[9]
phone_trade_info.server_name = line_item[10]
phone_trade_list.append(phone_trade_info)
send_phone_trade(server_name, phone_trade_list)
def __build_phone_trade(buy_file_name, sell_file_name, ticker, phone_number):
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = __rebuild_fund_name(buy_file_name)
phone_trade_info.strategy1 = __rebuild_strategy_name(buy_file_name)
phone_trade_info.symbol = ticker
phone_trade_info.direction = Direction_Enums.Buy
phone_trade_info.tradetype = Trade_Type_Enums.Normal
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.exqty = phone_number
phone_trade_info.iotype = IO_Type_Enums.Inner2
phone_trade_info.strategy2 = __rebuild_strategy_name(sell_file_name)
return phone_trade_info
def __default_short_volume_repair(self):
phone_trade_list = []
pf_position_df = pd.merge(self.pf_position_df,
self.__pf_account_df,
how='left',
on=['Strategy_Name'])
filter_position_df = pf_position_df[
(pf_position_df['Strategy_Name'].str.find(
self.__default_strategy_key) >= 0)
& (pf_position_df['Volume'] < 0)]
if len(filter_position_df) == 0:
return
for index, row in filter_position_df.iterrows():
default_fund, default_symbol = row['Fund'], row['Symbol']
default_need_volume = calculation_target_volume(abs(row['Volume']))
symbol_position_df = pf_position_df[
(pf_position_df['Strategy_Name'].str.find(
self.__multifactor_strategy_key) >= 0)
& (pf_position_df['Fund'] == default_fund) &
(pf_position_df['Symbol'] == default_symbol) &
(pf_position_df['Volume'] > 0)]
for sub_index, sub_row in symbol_position_df.iterrows():
if default_need_volume <= 0:
break
trade_volume = default_need_volume if int(
sub_row['Volume']) > default_need_volume else int(
sub_row['Volume'])
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = sub_row['Fund']
phone_trade_info.strategy1 = '%s.%s' % (sub_row['Group_Name'],
sub_row['Name'])
phone_trade_info.symbol = sub_row['Symbol']
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.tradetype = Trade_Type_Enums.Normal
phone_trade_info.iotype = IO_Type_Enums.Inner2
phone_trade_info.strategy2 = '%s.%s' % (
sub_row['Default_Group_Name'], sub_row['Default_Name'])
phone_trade_info.server_name = self.__server_name
phone_trade_info.exprice = sub_row['Prev_Close']
phone_trade_info.direction = Direction_Enums.Sell
phone_trade_info.exqty = trade_volume
phone_trade_list.append(phone_trade_info)
default_need_volume -= trade_volume
if phone_trade_list:
send_phone_trade(self.__server_name, phone_trade_list)
self.__phone_trade_list.extend(phone_trade_list)
def __default_long_volume_repair(self):
phone_trade_list = []
pf_position_df = pd.merge(self.pf_position_df,
self.__pf_account_df,
how='left',
on=['Strategy_Name'])
filter_position_df = pf_position_df[
(pf_position_df['Strategy_Name'].str.find(
self.__default_strategy_key) >= 0)
& (pf_position_df['Volume'] >= 100)]
if len(filter_position_df) == 0:
return
for index, row in filter_position_df.iterrows():
default_fund, default_symbol = row['Fund'], row['Symbol']
symbol_position_df = pf_position_df[
(pf_position_df['Fund'] == default_fund)
& (pf_position_df['Strategy_Name'].str.find(
self.__multifactor_strategy_key) >= 0) &
(pf_position_df['Symbol'] == default_symbol)]
if symbol_position_df.empty:
continue
default_sell_volume = round_down(row['Volume'])
for sub_index, sub_row in symbol_position_df.iterrows():
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = sub_row['Fund']
phone_trade_info.strategy1 = '%s.%s' % (sub_row['Group_Name'],
sub_row['Name'])
phone_trade_info.symbol = sub_row['Symbol']
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.tradetype = Trade_Type_Enums.Normal
phone_trade_info.iotype = IO_Type_Enums.Inner2
phone_trade_info.strategy2 = '%s.%s' % (
sub_row['Default_Group_Name'], sub_row['Default_Name'])
phone_trade_info.server_name = self.__server_name
phone_trade_info.exprice = sub_row['Prev_Close']
phone_trade_info.direction = Direction_Enums.Buy
phone_trade_info.exqty = default_sell_volume
phone_trade_list.append(phone_trade_info)
break
if phone_trade_list:
send_phone_trade(self.__server_name, phone_trade_list)
self.__phone_trade_list.extend(phone_trade_list)
def __multifactor_stock_repair(self):
phone_trade_list = []
pf_position_df = pd.merge(self.pf_position_df,
self.__pf_account_df,
how='left',
on=['Strategy_Name'])
filter_position_df = pf_position_df[
(pf_position_df['Strategy_Name'].str.find(
self.__multifactor_strategy_key) >= 0)
& ((pf_position_df['Volume'] % 100 != 0)
| (pf_position_df['Volume'] < 0))]
if len(filter_position_df) == 0:
return phone_trade_list
for index, row in filter_position_df.iterrows():
strategy_volume = row['Volume']
if strategy_volume >= 0:
trade_volume = strategy_volume % 100
direction = Direction_Enums.Sell
else:
trade_volume = abs(strategy_volume)
direction = Direction_Enums.Buy
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = row['Fund']
phone_trade_info.strategy1 = '%s.%s' % (row['Group_Name'],
row['Name'])
phone_trade_info.symbol = row['Symbol']
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.tradetype = Trade_Type_Enums.Normal
phone_trade_info.iotype = IO_Type_Enums.Inner2
phone_trade_info.strategy2 = '%s.%s' % (row['Default_Group_Name'],
row['Default_Name'])
phone_trade_info.server_name = self.__server_name
phone_trade_info.exprice = row['Prev_Close']
phone_trade_info.direction = direction
phone_trade_info.exqty = trade_volume
phone_trade_list.append(phone_trade_info)
return phone_trade_list
def __main_contract_position_change(server_name, future_main_contract_db,
pf_position_list):
pre_main_symbol = future_main_contract_db.pre_main_symbol
main_symbol = future_main_contract_db.main_symbol
if future_main_contract_db.ticker_type in const.Index_Future_List:
target_strategy_filter = 'SU-CalendarSpread'
else:
target_strategy_filter = 'Transfer-CalendarMA'
pf_account_dict = dict()
target_strategy_account_dict = dict()
server_model = server_constant.get_server_model(server_name)
session_portfolio = server_model.get_db_session('portfolio')
query_pf_account = session_portfolio.query(PfAccount)
for pf_account_db in query_pf_account:
if target_strategy_filter in pf_account_db.fund_name:
fund_name_items = pf_account_db.fund_name.split('-')
if len(fund_name_items) >= 3:
target_strategy_account_dict[
fund_name_items[2]] = pf_account_db
continue
elif 'PutCallParity' in pf_account_db.fund_name:
continue
elif 'MarketMaking1' in pf_account_db.fund_name:
continue
pf_account_dict[pf_account_db.fund_name] = pf_account_db
phone_trade_list = []
for pf_position_item in pf_position_list:
base_strategy_name, qty = pf_position_item
if base_strategy_name not in pf_account_dict:
continue
pf_account_db = pf_account_dict[base_strategy_name]
fund_name_items = pf_account_db.fund_name.split('-')
if len(fund_name_items) < 3:
custom_log.log_error_job('Error Fund_Name:%s' %
pf_account_db.fund_name)
continue
fund = pf_account_db.fund_name.split('-')[2]
transfer_account_db = target_strategy_account_dict[fund]
close_phone_trade = PhoneTradeInfo()
close_phone_trade.fund = fund
close_phone_trade.strategy1 = '%s.%s' % (pf_account_db.group_name,
pf_account_db.name)
close_phone_trade.symbol = pre_main_symbol
if qty == 0:
continue
elif qty > 0:
close_phone_trade.direction = Direction_Enums.Sell
close_phone_trade.exqty = qty
else:
close_phone_trade.direction = Direction_Enums.Buy
close_phone_trade.exqty = abs(qty)
close_phone_trade.tradetype = Trade_Type_Enums.Close
close_phone_trade.hedgeflag = Hedge_Flag_Type_Enums.Speculation
close_phone_trade.iotype = IO_Type_Enums.Inner2
close_phone_trade.server_name = server_name
close_phone_trade.exprice = instrument_db_dict[pre_main_symbol].close
close_phone_trade.strategy2 = '%s.%s' % (
transfer_account_db.group_name, transfer_account_db.name)
phone_trade_list.append(close_phone_trade)
open_phone_trade = PhoneTradeInfo()
open_phone_trade.fund = fund
open_phone_trade.strategy1 = '%s.%s' % (pf_account_db.group_name,
pf_account_db.name)
open_phone_trade.symbol = main_symbol
if qty > 0:
open_phone_trade.direction = Direction_Enums.Buy
open_phone_trade.exqty = qty
else:
open_phone_trade.direction = Direction_Enums.Sell
open_phone_trade.exqty = abs(qty)
open_phone_trade.tradetype = Trade_Type_Enums.Open
open_phone_trade.hedgeflag = Hedge_Flag_Type_Enums.Speculation
open_phone_trade.iotype = IO_Type_Enums.Inner2
open_phone_trade.server_name = server_name
open_phone_trade.exprice = instrument_db_dict[main_symbol].close
open_phone_trade.strategy2 = '%s.%s' % (transfer_account_db.group_name,
transfer_account_db.name)
phone_trade_list.append(open_phone_trade)
if len(phone_trade_list) > 0:
send_phone_trade(server_name, phone_trade_list)
def __build_phone_trades(server_name, compare_result_list, pf_account_dict,
pf_position_list):
pf_position_dict = dict()
for pf_position_info in pf_position_list:
pf_account_id, fund, ticker, pf_long, pf_short = pf_position_info
dict_key = '%s|%s' % (fund, ticker)
pf_position_dict.setdefault(dict_key, []).append(pf_position_info)
default_account_dict = dict()
for (account_id, pf_account_db) in pf_account_dict.items():
if pf_account_db.group_name == 'manual':
fund_name = pf_account_db.fund_name.split('-')[2]
default_account_dict[fund_name] = pf_account_db
instrument_dict = query_instrument_dict('host')
phone_trade_list = []
for compare_info_item in compare_result_list:
fund, ticker, real_long, real_short, pf_long, pf_short, diff = compare_info_item
if ticker not in instrument_dict:
custom_log.log_error_job('Server:%s, UnFind Ticker:%s' %
(server_name, ticker))
continue
instrument_db = instrument_dict[ticker]
# *暂只处理股票的不一致
if instrument_db.type_id != Instrument_Type_Enums.CommonStock:
continue
# 期货和期权需要单独设置tradetype
future_flag = False
if instrument_db.type_id in [
Instrument_Type_Enums.Future, Instrument_Type_Enums.Option
]:
future_flag = True
prev_close = instrument_db.prev_close
if prev_close is None:
continue
if pf_long > real_long:
diff_long = pf_long - real_long
find_key = '%s|%s' % (fund, ticker)
pf_position_list = pf_position_dict[find_key]
for pf_position_info in pf_position_list:
pf_account_id, fund, ticker, item_long, item_short = pf_position_info
if item_long == 0:
continue
pf_account_info = pf_account_dict[pf_account_id]
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = fund
phone_trade_info.strategy1 = '%s.%s' % (
pf_account_info.group_name, pf_account_info.name)
phone_trade_info.symbol = ticker
phone_trade_info.direction = Direction_Enums.Sell
phone_trade_info.tradetype = Trade_Type_Enums.Close if future_flag else Trade_Type_Enums.Normal
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.exqty = min(item_long, diff_long)
phone_trade_info.iotype = IO_Type_Enums.Inner1
phone_trade_info.server_name = server_name
phone_trade_info.exprice = prev_close
phone_trade_list.append(phone_trade_info)
diff_long = max(diff_long - item_long, 0)
if diff_long == 0:
break
if real_long > pf_long:
default_pf_account = default_account_dict[fund]
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = fund
phone_trade_info.strategy1 = '%s.%s' % (
default_pf_account.group_name, default_pf_account.name)
phone_trade_info.symbol = ticker
phone_trade_info.direction = Direction_Enums.Buy
phone_trade_info.tradetype = Trade_Type_Enums.Open if future_flag else Trade_Type_Enums.Normal
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.exqty = real_long - pf_long
phone_trade_info.iotype = IO_Type_Enums.Inner1
phone_trade_info.server_name = server_name
phone_trade_info.exprice = prev_close
phone_trade_list.append(phone_trade_info)
if pf_short > real_short:
diff_short = pf_short - real_short
find_key = '%s|%s' % (fund, ticker)
pf_position_list = pf_position_dict[find_key]
for pf_position_info in pf_position_list:
pf_account_id, fund, ticker, item_long, item_short = pf_position_info
if item_short == 0:
continue
pf_account_info = pf_account_dict[pf_account_id]
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = fund
phone_trade_info.strategy1 = '%s.%s' % (
pf_account_info.group_name, pf_account_info.name)
phone_trade_info.symbol = ticker
phone_trade_info.direction = Direction_Enums.Buy
phone_trade_info.tradetype = Trade_Type_Enums.Close if future_flag else Trade_Type_Enums.Normal
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.exqty = min(item_short, diff_short)
phone_trade_info.iotype = IO_Type_Enums.Inner1
phone_trade_info.server_name = server_name
phone_trade_info.exprice = prev_close
phone_trade_list.append(phone_trade_info)
diff_short = max(diff_short - item_short, 0)
if diff_short == 0:
break
if real_short > pf_short:
default_pf_account = default_account_dict[fund]
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = fund
phone_trade_info.strategy1 = '%s.%s' % (
default_pf_account.group_name, default_pf_account.name)
phone_trade_info.symbol = ticker
phone_trade_info.direction = Direction_Enums.Sell
phone_trade_info.tradetype = Trade_Type_Enums.Open if future_flag else Trade_Type_Enums.Normal
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.exqty = real_short - pf_short
phone_trade_info.iotype = IO_Type_Enums.Inner1
phone_trade_info.server_name = server_name
phone_trade_info.exprice = prev_close
phone_trade_list.append(phone_trade_info)
return phone_trade_list