def account_position_repair_job(server_name, alarm_num=5):
server_model = server_constant.get_server_model(server_name)
session_portfolio = server_model.get_db_session('portfolio')
position_date, account_dict, real_position_list = query_real_position_data(
session_portfolio)
pf_position_date, pf_account_dict, pf_position_list = query_pf_position_data(
session_portfolio)
server_model.close()
if not real_position_list and not pf_position_list:
return
compare_result_list = compare_position(real_position_list,
pf_position_list)
phone_trade_list = __build_phone_trades(server_name, compare_result_list,
pf_account_dict, pf_position_list)
# 低于alarm_num直接发送至服务器，否则保存至文件
if 0 < len(phone_trade_list) <= alarm_num:
send_phone_trade(server_name, phone_trade_list)
elif len(phone_trade_list) > alarm_num:
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 abnormal_stock_repair_index(self):
"""
策略异常股票仓位处理
"""
self.__load_data_from_aggregator()
# 处理Multifactor零股至default
multifactor_phone_trades = self.__multifactor_stock_repair()
self.__phone_trade_list.extend(multifactor_phone_trades)
# 处理日内策略剩余股票
intraday_phone_trades = self.__intraday_strategy_repair()
self.__phone_trade_list.extend(intraday_phone_trades)
# 未超过设置的条目,直接发送phone_trade;超过了则保存文件,人工检查后再发送
need_check_flag = False
if len(self.__phone_trade_list) <= self.__alarm_num:
send_phone_trade(self.__server_name, self.__phone_trade_list)
else:
server_save_path = os.path.join(PHONE_TRADE_FOLDER,
self.__server_name)
if not os.path.exists(server_save_path):
os.mkdir(server_save_path)
phone_trade_file_path = '%s/abnormal_stock_repair_%s.csv' % (
server_save_path, self.__filter_date_str)
save_phone_trade_file(phone_trade_file_path,
self.__phone_trade_list)
need_check_flag = True
return need_check_flag
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 __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 __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 phone_trade_by_change_file(server_name, base_folder, result_type=1):
original_dateframe = []
for file_name in os.listdir(base_folder):
if not file_name.endswith('.txt'):
continue
file_name_items = file_name.split('-')
fund_name = file_name_items[2]
with open(os.path.join(base_folder, file_name), 'rb') as fr:
for line in fr.readlines():
line_item = line.replace('\r\n', '').split(',')
if len(line_item) != 2:
continue
trade_ticker = line_item[0]
item_volume = int(line_item[1])
original_dateframe.append(
[fund_name, file_name, trade_ticker, item_volume])
change_trade_list = []
phone_trade_list = []
original_df = pd.DataFrame(
original_dateframe, columns=['Fund', 'FileName', 'Ticker', 'Volume'])
for group_key, group in original_df.groupby(['Fund', 'Ticker']):
if len(group) >= 2:
pf_trade_list = np.array(
group[['Fund', 'FileName', 'Ticker', 'Volume']]).tolist()
temp_change_trade_list, temp_phone_trade_list = build_phone_trade(
pf_trade_list)
change_trade_list.extend(temp_change_trade_list)
phone_trade_list.extend(temp_phone_trade_list)
# 无可自撮合的条目
if len(phone_trade_list) == 0:
return
instrument_dict = __get_prev_close_dict()
for phone_trade_info in phone_trade_list:
phone_trade_info.server_name = server_name
instrument_db = instrument_dict[phone_trade_info.symbol]
phone_trade_info.exprice = instrument_db.prev_close
if result_type == 1:
phone_trade_file_name = 'phone_trade.csv'
phone_trade_file_path = '%s/%s' % (base_folder, phone_trade_file_name)
save_phone_trade_file(phone_trade_file_path, phone_trade_list)
elif result_type == 2:
send_phone_trade(server_name, phone_trade_list)
change_df = pd.DataFrame(change_trade_list,
columns=['Fund', 'FileName', 'Ticker', 'Volume'])
sum_change_list = []
for group_key, group in change_df.groupby(['Fund', 'FileName', 'Ticker']):
vol_sum = group['Volume'].sum()
temp = group.head(1)
temp.loc[:, 'Volume'] = vol_sum
sum_change_list.append(temp)
change_df = pd.concat(sum_change_list)
merge_df = pd.merge(original_df,
change_df,
on=['Fund', 'FileName', 'Ticker'],
how='left').fillna(0)
merge_df['Volume'] = merge_df['Volume_x'] + merge_df['Volume_y']
merge_result = merge_df[merge_df['Volume'] != 0]
merge_list = np.array(merge_result[['FileName', 'Ticker',
'Volume']]).tolist()
merge_dict = dict()
for merge_info in merge_list:
temp_message = '%s,%s' % (merge_info[1], int(merge_info[2]))
if merge_info[0] in merge_dict:
merge_dict[merge_info[0]].append(temp_message)
else:
merge_dict[merge_info[0]] = [temp_message]
for (change_file_name, message_info_list) in merge_dict.items():
file_save_path = '%s/%s' % (base_folder, change_file_name)
with open(file_save_path, 'w') as fr:
fr.write('\n'.join(message_info_list))