def __init__(self,
starting_cash,
asset_finder,
period_open=None,
period_close=None,
keep_transactions=True,
keep_orders=False,
serialize_positions=True):
self.asset_finder = asset_finder
self.period_open = period_open
self.period_close = period_close
self.ending_value = 0.0
self.ending_exposure = 0.0
self.period_cash_flow = 0.0
self.pnl = 0.0
self.ending_cash = starting_cash
# rollover initializes a number of self's attributes:
self.rollover()
self.keep_transactions = keep_transactions
self.keep_orders = keep_orders
# An object to recycle via assigning new values
# when returning portfolio information.
# So as not to avoid creating a new object for each event
self._portfolio_store = zp.Portfolio()
self._account_store = zp.Account()
self.serialize_positions = serialize_positions
# This dict contains the known cash flow multipliers for sids and is
# keyed on sid
self._execution_cash_flow_multipliers = {}
def __init__(self,
starting_cash,
period_open=None,
period_close=None,
keep_transactions=True,
keep_orders=False,
serialize_positions=True):
self.period_open = period_open
self.period_close = period_close
self.ending_value = 0.0
self.period_cash_flow = 0.0
self.pnl = 0.0
self.ending_cash = starting_cash
# rollover initializes a number of self's attributes:
self.rollover()
self.keep_transactions = keep_transactions
self.keep_orders = keep_orders
# An object to recycle via assigning new values
# when returning portfolio information.
# So as not to avoid creating a new object for each event
self._portfolio_store = zp.Portfolio()
self._account_store = zp.Account()
self.serialize_positions = serialize_positions
def __init__(
self,
starting_cash,
period_open=None,
period_close=None,
keep_transactions=True,
keep_orders=False,
serialize_positions=True):
self.period_open = period_open
self.period_close = period_close
self.ending_value = 0.0
self.period_cash_flow = 0.0
self.pnl = 0.0
# sid => position object
self.positions = positiondict()
self.ending_cash = starting_cash
# rollover initializes a number of self's attributes:
self.rollover()
self.keep_transactions = keep_transactions
self.keep_orders = keep_orders
# Arrays for quick calculations of positions value
self._position_amounts = pd.Series()
self._position_last_sale_prices = pd.Series()
self.calculate_performance()
# An object to recycle via assigning new values
# when returning portfolio information.
# So as not to avoid creating a new object for each event
self._portfolio_store = zp.Portfolio()
self._positions_store = zp.Positions()
self.serialize_positions = serialize_positions
def portfolio(self):
account = self._api.get_account()
z_portfolio = zp.Portfolio()
z_portfolio.cash = float(account.cash)
z_portfolio.positions = self.positions
z_portfolio.positions_value = float(
account.portfolio_value) - float(account.cash)
return z_portfolio
def portfolio(self):
account = self.api_client.Position.Position_get().result()
z_portfolio = zp.Portfolio()
z_portfolio.cash = float(account['cash'])
z_portfolio.positions = self.positions
z_portfolio.positions_value = float(account.portfolio_value) - float(
account.cash)
z_portfolio.portfolio_value = float(account.portfolio_value)
return z_portfolio
def __init__(self, trading_sessions, capital_base, data_frequency):
if len(trading_sessions):
start = trading_sessions[0]
else:
start = None
# Have some fields of the portfolio changed? This should be accessed
# through ``self._dirty_portfolio``
self.__dirty_portfolio = False
self._immutable_portfolio = zp.Portfolio(start, capital_base)
self._portfolio = zp.MutableView(self._immutable_portfolio)
self.daily_returns_series = pd.Series(
np.nan,
index=trading_sessions,
)
# Get a view into the storage of the returns series. Metrics
# can access this directly in minute mode for performance reasons.
self.daily_returns_array = self.daily_returns_series.values
self._previous_total_returns = 0
# this is a component of the cache key for the account
self._position_stats = None
# Have some fields of the account changed?
self._dirty_account = True
self._immutable_account = zp.Account()
self._account = zp.MutableView(self._immutable_account)
# The broker blotter can override some fields on the account. This is
# way to tangled up at the moment but we aren't fixing it today.
self._account_overrides = {}
self.position_tracker = PositionTracker(data_frequency)
self._processed_transactions = {}
self._orders_by_modified = {}
self._orders_by_id = OrderedDict()
# Keyed by asset, the previous last sale price of positions with
# payouts on price differences, e.g. Futures.
#
# This dt is not the previous minute to the minute for which the
# calculation is done, but the last sale price either before the period
# start, or when the price at execution.
self._payout_last_sale_prices = {}
self.fees = {
'interest': 0.,
'manager_fees': 0.,
}
def __init__(
self,
starting_cash,
asset_finder,
data_frequency,
period_open=None,
period_close=None,
keep_transactions=True,
keep_orders=False,
serialize_positions=True,
name=None):
self.asset_finder = asset_finder
self.data_frequency = data_frequency
# Start and end of the entire period
self.period_open = period_open
self.period_close = period_close
self.initialize(starting_cash=starting_cash,
starting_value=0.0,
starting_exposure=0.0)
self.ending_value = 0.0
self.ending_exposure = 0.0
self.ending_cash = starting_cash
self.subperiod_divider = None
# Keyed by asset, the previous last sale price of positions with
# payouts on price differences, e.g. Futures.
#
# This dt is not the previous minute to the minute for which the
# calculation is done, but the last sale price either before the period
# start, or when the price at execution.
self._payout_last_sale_prices = {}
self.keep_transactions = keep_transactions
self.keep_orders = keep_orders
self.name = name
# An object to recycle via assigning new values
# when returning portfolio information.
# So as not to avoid creating a new object for each event
self._portfolio_store = zp.Portfolio()
self._account_store = zp.Account()
self.serialize_positions = serialize_positions
# This dict contains the known cash flow multipliers for sids and is
# keyed on sid
self._execution_cash_flow_multipliers = {}
def portfolio(self):
z_portfolio = protocol.Portfolio()
data = self._client.query_data(BALANCE)
z_portfolio.capital_used = None # TODO
z_portfolio.starting_cash = None
z_portfolio.portfolio_value = data[" 总资产"].values[0]
z_portfolio.pnl = None
z_portfolio.returns = None
z_portfolio.cash = data["可用资金"].values[0]
z_portfolio.start_date = None
z_portfolio.positions = self.positions
z_portfolio.positions_value = data["最新市值"].values[0]
z_portfolio.position_exposure = z_portfolio.positions_value / (z_portfolio.positions_value + z_portfolio.cash)
return z_portfolio
def portfolio(self):
z_portfolio = protocol.Portfolio()
pfo = self._shipane_client.portfolio()
if isinstance(pfo, list):
pfo = TdxPortfolio(*pfo)
z_portfolio.capital_used = None # TODO
z_portfolio.starting_cash = None
z_portfolio.portfolio_value = pfo.portfolio_value
z_portfolio.pnl = None
z_portfolio.returns = None
z_portfolio.cash = pfo.cash
z_portfolio.start_date = None
z_portfolio.positions = self.positions
z_portfolio.positions_value = pfo.positions_value
z_portfolio.position_exposure = z_portfolio.positions_value / (z_portfolio.positions_value + z_portfolio.cash)
return z_portfolio
def portfolio(self):
ib_account = self._tws.accounts[self.account_id][self.currency]
z_portfolio = zp.Portfolio()
z_portfolio.capital_used = None # TODO(tibor)
z_portfolio.starting_cash = None # TODO(tibor): Fill from state
z_portfolio.portfolio_value = float(ib_account['EquityWithLoanValue'])
z_portfolio.pnl = (float(ib_account['RealizedPnL']) +
float(ib_account['UnrealizedPnL']))
z_portfolio.returns = None # TODO(tibor): pnl / total_at_start
z_portfolio.cash = float(ib_account['TotalCashValue'])
z_portfolio.start_date = None # TODO(tibor)
z_portfolio.positions = self.positions
z_portfolio.positions_value = None # TODO(tibor)
z_portfolio.positions_exposure = None # TODO(tibor)
return z_portfolio
def __init__(self,
starting_cash,
period_open=None,
period_close=None,
keep_transactions=True,
keep_orders=False,
serialize_positions=True):
self.period_open = period_open
self.period_close = period_close
self.ending_value = 0.0
self.period_cash_flow = 0.0
self.pnl = 0.0
# sid => position object
self.positions = positiondict()
self.starting_value = 0.0
# cash balance at start of period
self.starting_cash = starting_cash
self.ending_cash = starting_cash
self.keep_transactions = keep_transactions
self.processed_transactions = defaultdict(list)
self.keep_orders = keep_orders
self.orders_by_modified = defaultdict(list)
self.orders_by_id = OrderedDict()
self.cumulative_capital_used = 0.0
self.max_capital_used = 0.0
self.max_leverage = 0.0
# Maps position to following array indexes
self._position_index_map = {}
# Arrays for quick calculations of positions value
self._position_amounts = np.array([])
self._position_last_sale_prices = np.array([])
self.calculate_performance()
# An object to recycle via assigning new values
# when returning portfolio information.
# So as not to avoid creating a new object for each event
self._portfolio_store = zp.Portfolio()
self._positions_store = zp.Positions()
self.serialize_positions = serialize_positions
def portfolio(self):
latest_portfolio = self.get_latest_portfolio_info()
z_portfolio = zp.Portfolio()
z_portfolio.starting_cash = latest_portfolio['starting_cash']
z_portfolio.portfolio_value = latest_portfolio['portfolio_value']
z_portfolio.pnl = latest_portfolio['pnl']
z_portfolio.returns = latest_portfolio['returns']
z_portfolio.cash = latest_portfolio['cash']
z_portfolio.start_date = latest_portfolio['start_date']
z_portfolio.positions = self.positions
# TODO: calculate position value
z_portfolio.positions_value = get_latest_position_value(
z_portfolio.positions)
if z_portfolio.positions_value == 0:
z_portfolio.positions_exposure = 0
else:
z_portfolio.positions_exposure \
= (z_portfolio.positions_value / (z_portfolio.positions_value + z_portfolio.cash))
return z_portfolio
