def create(stg_run_id, init_cash: int, md: dict):
"""
根据 md 及 初始化资金 创建对象，默认日期为当前md数据-1天
:param stg_run_id:
:param init_cash:
:param md:
:return:
"""
trade_date = str_2_date(md['ActionDay']) - timedelta(days=1)
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
trade_price = float(md['close'])
acc_status_info = AccountStatusInfo(stg_run_id=stg_run_id,
trade_date=trade_date,
trade_time=trade_time,
trade_millisec=trade_millisec,
available_cash=init_cash,
balance_tot=init_cash,
)
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(acc_status_info)
session.commit()
return acc_status_info
def create(stg_run_id, init_cash: int, md: dict):
"""
根据 md 及 初始化资金 创建对象，默认日期为当前md数据-1天
:param stg_run_id:
:param init_cash:
:param md:
:return:
"""
trade_date = str_2_date(md['ActionDay']) - timedelta(days=1)
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
trade_price = float(md['close'])
acc_status_info = AccountStatusInfo(stg_run_id=stg_run_id,
trade_date=trade_date,
trade_time=trade_time,
trade_millisec=trade_millisec,
available_cash=init_cash,
balance_tot=init_cash,
)
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(acc_status_info)
session.commit()
return acc_status_info
def update_by_pos_status_info(self, pos_status_info_dic, md: dict):
"""
根据 持仓列表更新账户信息
:param pos_status_info_dic:
:return:
"""
account_status_info = self.create_by_self()
# 上一次更新日期、时间
# trade_date_last, trade_time_last, trade_millisec_last = \
# account_status_info.trade_date, account_status_info.trade_time, account_status_info.trade_millisec
# 更新日期、时间
trade_date = md['ActionDay']
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
available_cash_chg = 0
curr_margin = 0
close_profit = 0
position_profit = 0
floating_pl_chg = 0
margin_chg = 0
floating_pl_cum = 0
for instrument_id, pos_status_info in pos_status_info_dic.items():
curr_margin += pos_status_info.margin
if pos_status_info.position == 0:
close_profit += pos_status_info.floating_pl
else:
position_profit += pos_status_info.floating_pl
floating_pl_chg += pos_status_info.floating_pl_chg
margin_chg += pos_status_info.margin_chg
floating_pl_cum += pos_status_info.floating_pl_cum
available_cash_chg = floating_pl_chg - margin_chg
account_status_info.curr_margin = curr_margin
# # 对于同一时间，平仓后又开仓的情况，不能将close_profit重置为0
# if trade_date == trade_date_last and trade_time == trade_time_last and trade_millisec == trade_millisec_last:
# account_status_info.close_profit += close_profit
# else:
# 一个单位时段只允许一次，不需要考虑上面的情况
account_status_info.close_profit = close_profit
account_status_info.position_profit = position_profit
account_status_info.available_cash += available_cash_chg
account_status_info.floating_pl_cum = floating_pl_cum
account_status_info.balance_tot = account_status_info.available_cash + curr_margin
account_status_info.trade_date = trade_date
account_status_info.trade_time = trade_time
account_status_info.trade_millisec = trade_millisec
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(account_status_info)
session.commit()
return account_status_info
def update_by_pos_status_info(self, pos_status_info_dic, md: dict):
"""
根据 持仓列表更新账户信息
:param pos_status_info_dic:
:return:
"""
account_status_info = self.create_by_self()
# 上一次更新日期、时间
# trade_date_last, trade_time_last, trade_millisec_last = \
# account_status_info.trade_date, account_status_info.trade_time, account_status_info.trade_millisec
# 更新日期、时间
trade_date = md['ActionDay']
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
available_cash_chg = 0
curr_margin = 0
close_profit = 0
position_profit = 0
floating_pl_chg = 0
margin_chg = 0
floating_pl_cum = 0
for instrument_id, pos_status_info in pos_status_info_dic.items():
curr_margin += pos_status_info.margin
if pos_status_info.position == 0:
close_profit += pos_status_info.floating_pl
else:
position_profit += pos_status_info.floating_pl
floating_pl_chg += pos_status_info.floating_pl_chg
margin_chg += pos_status_info.margin_chg
floating_pl_cum += pos_status_info.floating_pl_cum
available_cash_chg = floating_pl_chg - margin_chg
account_status_info.curr_margin = curr_margin
# # 对于同一时间，平仓后又开仓的情况，不能将close_profit重置为0
# if trade_date == trade_date_last and trade_time == trade_time_last and trade_millisec == trade_millisec_last:
# account_status_info.close_profit += close_profit
# else:
# 一个单位时段只允许一次，不需要考虑上面的情况
account_status_info.close_profit = close_profit
account_status_info.position_profit = position_profit
account_status_info.available_cash += available_cash_chg
account_status_info.floating_pl_cum = floating_pl_cum
account_status_info.balance_tot = account_status_info.available_cash + curr_margin
account_status_info.trade_date = trade_date
account_status_info.trade_time = trade_time
account_status_info.trade_millisec = trade_millisec
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(account_status_info)
session.commit()
return account_status_info
def create_by_dic(order_dic):
order_info = OrderInfo()
order_info.order_date = order_dic['TradingDay']
order_info.order_time = pd_timedelta_2_timedelta(order_dic['InsertTime'])
order_info.order_millisec = 0
order_info.direction = Direction.create_by_direction(order_dic['Direction'])
order_info.action = Action.create_by_offsetflag(order_dic['CombOffsetFlag'])
order_info.instrument_id = order_dic['InstrumentID']
order_info.order_price = order_dic['LimitPrice']
order_info.order_vol = order_dic['VolumeTotalOriginal']
order_info.traded_vol = order_dic['VolumeTraded']
order_info.margin = 0
return order_info
def create_by_dic(order_dic):
order_info = OrderInfo()
order_info.order_date = order_dic['TradingDay']
order_info.order_time = pd_timedelta_2_timedelta(order_dic['InsertTime'])
order_info.order_millisec = 0
order_info.direction = Direction.create_by_direction(order_dic['Direction'])
order_info.action = Action.create_by_offsetflag(order_dic['CombOffsetFlag'])
order_info.instrument_id = order_dic['InstrumentID']
order_info.order_price = order_dic['LimitPrice']
order_info.order_vol = order_dic['VolumeTotalOriginal']
order_info.traded_vol = order_dic['VolumeTraded']
order_info.margin = 0
return order_info
def update_by_md(self, md: dict):
"""
创建新的对象，根据 trade_info 更新相关信息
:param md:
:return:
"""
trade_date = md['ActionDay']
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
trade_price = float(md['close'])
instrument_id = md['InstrumentID']
pos_status_info = self.create_by_self()
pos_status_info.cur_price = trade_price
pos_status_info.trade_date = trade_date
pos_status_info.trade_time = trade_time
pos_status_info.trade_millisec = trade_millisec
# 计算 floating_pl margin
# instrument_info = Config.instrument_info_dic[instrument_id]
# multiple = instrument_info['VolumeMultiple']
# margin_ratio = instrument_info['LongMarginRatio']
multiple, margin_ratio = 1, 1
position = pos_status_info.position
cur_price = pos_status_info.cur_price
avg_price = pos_status_info.avg_price
pos_status_info.margin = position * cur_price * multiple * margin_ratio
pos_status_info.margin_chg = pos_status_info.margin - self.margin
if pos_status_info.direction == Direction.Long:
pos_status_info.floating_pl = (cur_price - avg_price) * position * multiple
else:
pos_status_info.floating_pl = (avg_price - cur_price) * position * multiple
pos_status_info.floating_pl_chg = pos_status_info.floating_pl - self.floating_pl
pos_status_info.floating_pl_cum += pos_status_info.floating_pl_chg
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(pos_status_info)
session.commit()
return pos_status_info
def update_by_md(self, md: dict):
"""
创建新的对象，根据 trade_info 更新相关信息
:param md:
:return:
"""
trade_date = md['ActionDay']
trade_time = pd_timedelta_2_timedelta(md['ActionTime'])
trade_millisec = int(md.setdefault('ActionMillisec', 0))
trade_price = float(md['close'])
instrument_id = md['InstrumentID']
pos_status_info = self.create_by_self()
pos_status_info.cur_price = trade_price
pos_status_info.trade_date = trade_date
pos_status_info.trade_time = trade_time
pos_status_info.trade_millisec = trade_millisec
# 计算 floating_pl margin
# instrument_info = Config.instrument_info_dic[instrument_id]
# multiple = instrument_info['VolumeMultiple']
# margin_ratio = instrument_info['LongMarginRatio']
multiple, margin_ratio = 1, 1
position = pos_status_info.position
cur_price = pos_status_info.cur_price
avg_price = pos_status_info.avg_price
pos_status_info.margin = position * cur_price * multiple * margin_ratio
pos_status_info.margin_chg = pos_status_info.margin - self.margin
if pos_status_info.direction == Direction.Long:
pos_status_info.floating_pl = (cur_price - avg_price) * position * multiple
else:
pos_status_info.floating_pl = (avg_price - cur_price) * position * multiple
pos_status_info.floating_pl_chg = pos_status_info.floating_pl - self.floating_pl
pos_status_info.floating_pl_cum += pos_status_info.floating_pl_chg
if UPDATE_OR_INSERT_PER_ACTION:
# 更新最新持仓纪录
with with_db_session(engine_abat, expire_on_commit=False) as session:
session.add(pos_status_info)
session.commit()
return pos_status_info