class Book(models.Model):
title = models.CharField(required=True)
date_published = models.DateField(required=True)
class Report(models.Model):
title = models.CharField()
created_on = models.DateField(auto_now_add=True)
updated_on = models.DateField(auto_now=True)
class Event(models.Model):
name = models.CharField(required=True)
created_on = models.DateField(required=True)
class Event(models.Model):
name = models.CharField(required=True)
date = models.DateField(required=True)
class Instrument(models.Model):
"""
>>> i = Instrument(secid='XX1505', name='XX 2015/05', symbol='XX-1505', quoted_currency='USD', multiplier=10.0)
>>> print i
XX-1505
"""
secid = models.Attribute(required=True)
name = models.Attribute(required=True)
symbol = models.Attribute(required=True)
exchangeid = models.Attribute()
product = models.ReferenceField('Product')
quoted_currency = models.Attribute(required=True, indexed=False)
indirect_quotation = models.BooleanField(indexed=False)
ndigits = models.IntegerField(indexed=False, default=2)
multiplier = models.FloatField(indexed=False)
open_commission_rate = models.FloatField(indexed=False, default=0)
close_commission_rate = models.FloatField(indexed=False, default=0)
tick_size = models.FloatField(indexed=False)
tick_value = models.FloatField(indexed=False)
min_order_volume = models.FloatField(indexed=False, default=1.0)
max_order_volume = models.FloatField(indexed=False, default=99999999.0)
effective_date = models.DateField(indexed=False)
expire_date = models.DateField(indexed=False)
is_trading = models.BooleanField()
long_margin_ratio = models.FloatField(indexed=False)
short_margin_ratio = models.FloatField(indexed=False)
volume = models.FloatField(indexed=False)
def __repr__(self):
return self.symbol
def amount(self, price, volume):
if not price:
return 0.0
if self.indirect_quotation:
return volume * self.multiplier / price
else:
return volume * self.multiplier * price
def calc_margin(self, price, volume, direction=None):
if direction:
return abs(self.amount(price, volume) * self.long_margin_ratio)
else:
return abs(self.amount(price, volume) * self.short_margin_ratio)
def amount2volume(self, amt, price):
if not price:
return 0.0
if self.indirect_quotation:
return amt * price / self.multiplier
else:
return amt / price / self.multiplier
def margin2volume(self, margin, price, direction=None):
if direction:
amt = margin / self.long_margin_ratio
else:
amt = margin / self.short_margin_ratio
return self.amount2volume(amt, price)
def calc_commission(self, price, volume, is_open):
if is_open:
if self.open_commission_rate is None:
self.open_commission_rate = 0.000025
commission = abs(self.amount(price,
volume)) * self.open_commission_rate
else:
if self.close_commission_rate is None:
self.close_commission_rate = 0.000025
commission = abs(self.amount(price,
volume)) * self.close_commission_rate
ndigits = self.ndigits or 2
return round(commission, ndigits)
@classmethod
def symbol2id(cls, symbol):
instance = cls.objects.filter(symbol=symbol).first()
if instance:
return instance.secid
@classmethod
def from_id(cls, secid):
return cls.objects.filter(secid=secid).first()
@classmethod
def all_ids(cls):
return [obj.secid for obj in cls.objects.all()]
def deadline(self):
if self.exchangeid in ('DCE', 'CZCE'): # 大连/郑州
d = self.expire_date.replace(day=1) - datetime.date.resolution
while d.weekday() >= 5: # weekend
d = d - datetime.date.resolution
t = datetime.time(14, 0)
elif self.exchangeid == 'SHFE': # 上期
d = self.expire_date - datetime.timedelta(3)
t = datetime.time(14, 0)
elif self.exchangeid == 'CFFEX': # 中金所
d = self.expire_date
t = datetime.time(14, 55)
else:
d = self.expire_date
t = datetime.time(23, 59)
return datetime.datetime.combine(d, t)
