def start_roll(current_day, total_money, old_group=None):
# 买入的组合转债信息 {code:{amount:xxx}}
group = {}
with db_utils.get_daily_connect() as con:
cur = con.cursor()
rows = global_test_context.get_start_rows(cur, current_day)
# 没找到可转债, 或者太贵了, 不满足轮动条件, 不买, 进入下一个交易日
if len(rows) == 0 or \
(global_test_context.need_check_double_low and
is_too_expensive(rows, max_double_low=global_test_context.max_double_low)):
# 取下一个交易日
next_day = get_next_day(current_day, cur)
if next_day is not None:
return start_roll(next_day, total_money, old_group)
else:
# 已经到结束日了
print('not found next day by ' + str(current_day))
return None, current_day, None
# 等权分配资金
remain_money = do_push_bond(group,
rows,
total_money,
old_group=old_group)
return group, current_day, remain_money
def push_bond(group, cur, buy_num, exclude_ids, params, total_money,
test_result, current_day, row_size):
# 卖出几只, 就买入几只
params.setdefault("count", buy_num)
push_rows = global_test_context.get_push_rows(cur, exclude_ids, params)
# 没有找到满足条件的转债, 一个也不买, 下一个交易日重新开仓
if len(push_rows) == 0:
print("not find bond to push with:" + str(params))
return True
remain_money = do_push_bond(group,
push_rows,
total_money,
row_size=row_size)
for row in push_rows:
bond_id = row[0]
bond = group[bond_id]
if bond is not None:
_add_roll_row_to(test_result, current_day, bond_id, bond, '买入')
else:
print("not find bond in group by bond_id" + str(bond_id) +
", group:" + str(group))
# 对新的组合再次检查, 看是否满足条件
expensive = global_test_context.need_check_double_low and is_too_expensive(
None, group, global_test_context.max_double_low)
if expensive is False:
# 只有继续下一个交易,才需要更新剩下的零头
test_result['remain_money'] = remain_money
return expensive
def pop_bond(group, new_rows, current_day, test_result):
sell_total_money = 0
total_money = 0
sell_num = 0
# 应该group已经用rows更新过了, 所以直接用group判断
if global_test_context.need_check_double_low and is_too_expensive(
None, group, global_test_context.max_double_low):
return len(new_rows), total_money
for new_row in new_rows:
bond_id = new_row[0]
bond = group.get(bond_id)
bond_nm = bond['bond_nm']
new_price = new_row[2]
if new_price is None:
print("price is None in row:" + str(new_row))
new_price = bond.get("price")
total_money += new_price * bond.get("amount")
max_price = global_test_context.max_price
max_rise = global_test_context.max_rise
# 价格超过200的轮出
if new_price >= max_price:
print("pop bond:" + bond_nm + " when price >=" + str(max_price) +
" at " + str(current_day))
sell_total_money += new_price * bond.get("amount")
group.pop(bond_id)
sell_num += 1
_add_roll_row_to(test_result, current_day, bond_id, bond,
'价格超过' + str(max_price) + "卖出")
# 强赎/退市的轮出
elif new_row[4] is not None and new_row[4] == 1:
print("pop bond:" + bond_nm + " when delist or enforce at " +
str(current_day))
sell_total_money += new_price * bond.get("amount")
group.pop(bond_id)
sell_num += 1
_add_roll_row_to(test_result, current_day, bond_id, bond, '退市卖出')
# 一周涨幅超过30%的轮出
elif new_row[6] is not None and new_row[6] >= max_rise:
print("pop bond:" + bond_nm + " when raise " + str(max_rise) +
"% at " + str(current_day))
sell_total_money += new_price * bond.get("amount")
group.pop(bond_id)
sell_num += 1
_add_roll_row_to(test_result, current_day, bond_id, bond,
'涨幅超过' + str(max_rise) + "%卖出")
return sell_num, sell_total_money
def do_trade(current_day, group, previous_day, test_result):
# 用来和七天前的价格进行比较, 如果涨幅过大(30%), 提前止盈
params = {
"current": current_day,
"pre_day": global_test_context.pre_day,
'max_price': global_test_context.max_price,
}
keys = sorted(group.keys())
ids = parse_bond_ids_params(keys, params)
with db_utils.get_daily_connect() as con:
cur = con.cursor()
new_rows = get_hold_rows(cur, ids, params)
# 异常数据, 跳过
if new_rows is None:
print('not get new rows. params:' + str(params))
return False, previous_day, get_pre_total_money(
previous_day, test_result)
# 有可能那天停牌了, 导致两边数据不一致
if len(new_rows) != len(group):
print("data is conflict. current_day:" + str(current_day) +
", group size:" + str(len(group)) + ", new_row size:" +
str(len(new_rows)))
# 为了计算盈亏, 主要更新价格
update_bond(group, new_rows)
total_money = get_total_money(group, test_result)
calc_test_result(test_result, total_money, current_day, previous_day)
# 太贵了, 清仓(并没有实际的卖出操作, 只是总金额不再随价格变动)
if global_test_context.need_check_double_low and \
is_too_expensive(new_rows, group, global_test_context.max_double_low, current_day, test_result,
need_roll_row=global_test_context.one_strategy_with_one_scenario):
print("clean all bonds at " + str(current_day) + " bonds:" +
str(new_rows))
return True, current_day
# 根据条件对转债进行轮换(不影响当天收益)
break_roll = exchange_bond(cur, current_day, group, ids, params,
new_rows, test_result)
return break_roll, current_day