def start_up(self, env, mod_config):
self._env = env
self._mod_config = mod_config
self._enabled = (mod_config.record or mod_config.plot
or mod_config.output_file or mod_config.plot_save_file
or mod_config.report_save_path or mod_config.bechmark)
if self._enabled:
env.event_bus.add_listener(EVENT.POST_SYSTEM_INIT,
self._subscribe_events)
if not mod_config.benchmark:
if getattr(env.config.base, "benchmark", None):
user_system_log.warning(
_("config 'base.benchmark' is deprecated, use 'mod.sys_analyser.benchmark' instead"
))
mod_config.benchmark = getattr(env.config.base,
"benchmark")
if mod_config.benchmark:
self._benchmark = self._parse_benchmark(mod_config.benchmark)
self._plot_store = PlotStore(env)
export_as_api(self._plot_store.plot)
def start_up(self, env, mod_config):
if DEFAULT_ACCOUNT_TYPE.STOCK not in env.config.base.accounts:
return
from .scheduler import Scheduler, market_close, market_open
self._scheduler = Scheduler(env.config.base.frequency)
export_as_api(self._scheduler, name='scheduler')
export_as_api(market_open)
export_as_api(market_close)
quarter,
interval,
order_book_ids,
if_adjusted,
max_info_date=int_date,
market='cn')
if result is None:
return pd.DataFrame()
if if_adjusted == 'ignore':
result = result.reset_index().sort_values('info_date')
result = result.groupby(['order_book_id', 'end_date'],
as_index=False).fillna(method='ffill')
result = result.drop(['info_date', 'if_adjusted'], axis=1)
result = result.drop_duplicates(['order_book_id', 'end_date'],
keep='last')
result = result.set_index(['order_book_id', 'end_date']).sort_index()
return result
@export_as_api
@apply_rules(verify_that('entities').are_valid_query_entities())
def query(*entities):
return rqdatac.query(*entities)
export_as_api(rqdatac.financials, name='financials')
export_as_api(rqdatac.financials, name='Financials')
export_as_api(rqdatac.fundamentals, name='fundamentals')
export_as_api(rqdatac.Fundamentals, name='Fundamentals')
from rqalpha.utils.exception import RQInvalidArgument
from rqalpha.utils.i18n import gettext as _
from rqalpha.utils.arg_checker import apply_rules, verify_that
from rqalpha.api import export_as_api
from rqalpha.utils.logger import user_log as logger, user_system_log, user_print
from rqalpha.model.instrument import Instrument
from rqalpha.model.tick import TickObject
from rqalpha.const import (
EXECUTION_PHASE, ORDER_STATUS, SIDE, POSITION_EFFECT, ORDER_TYPE, MATCHING_TYPE, RUN_TYPE, POSITION_DIRECTION,
)
from rqalpha.model.order import Order, MarketOrder, LimitOrder, OrderStyle
from rqalpha.core.events import EVENT, Event
from rqalpha.core.strategy_context import StrategyContext
from rqalpha.portfolio.position import Position
export_as_api(logger, name='logger')
export_as_api(user_print, name='print')
export_as_api(LimitOrder, name='LimitOrder')
export_as_api(MarketOrder, name='MarketOrder')
export_as_api(ORDER_STATUS, name='ORDER_STATUS')
export_as_api(SIDE, name='SIDE')
export_as_api(POSITION_EFFECT, name='POSITION_EFFECT')
export_as_api(POSITION_DIRECTION, name='POSITION_DIRECTION')
export_as_api(ORDER_TYPE, name='ORDER_TYPE')
export_as_api(RUN_TYPE, name='RUN_TYPE')
export_as_api(MATCHING_TYPE, name='MATCHING_TYPE')
export_as_api(EVENT, name='EVENT')
def assure_instrument(id_or_ins):
if isinstance(id_or_ins, Instrument):
Instrument, IndustryCode as industry_code, IndustryCodeItem, SectorCode as sector_code, SectorCodeItem
)
from rqalpha.model.order import Order, MarketOrder, LimitOrder, OrderStyle
from rqalpha.interface import AbstractPosition
from rqalpha.utils import is_valid_price
from rqalpha.utils.arg_checker import apply_rules, verify_that
from rqalpha.utils.exception import RQInvalidArgument
from rqalpha.utils.i18n import gettext as _
from rqalpha.utils.logger import user_system_log
from rqalpha.mod.rqalpha_mod_sys_scheduler.scheduler import market_close, market_open
from rqalpha.mod.rqalpha_mod_sys_scheduler import scheduler
# 使用Decimal 解决浮点数运算精度问题
getcontext().prec = 10
export_as_api(market_close)
export_as_api(market_open)
export_as_api(industry_code, name='industry_code')
export_as_api(sector_code, name='sector_code')
@export_as_api
@ExecutionContext.enforce_phase(
EXECUTION_PHASE.OPEN_AUCTION,
EXECUTION_PHASE.ON_BAR,
EXECUTION_PHASE.ON_TICK,
EXECUTION_PHASE.SCHEDULED,
EXECUTION_PHASE.GLOBAL
)
@apply_rules(verify_that('id_or_ins').is_valid_stock(),
verify_that('amount').is_number(),
from rqalpha.model.instrument import IndustryCode as industry_code
from rqalpha.model.instrument import IndustryCodeItem, Instrument
from rqalpha.model.instrument import SectorCode as sector_code
from rqalpha.model.instrument import SectorCodeItem
from rqalpha.model.order import LimitOrder, MarketOrder, Order, OrderStyle
from rqalpha.utils import INST_TYPE_IN_STOCK_ACCOUNT, is_valid_price
from rqalpha.utils.arg_checker import apply_rules, verify_that
from rqalpha.utils.datetime_func import to_date
from rqalpha.utils.exception import RQInvalidArgument
from rqalpha.utils.i18n import gettext as _
from rqalpha.utils.logger import user_system_log
# 使用Decimal 解决浮点数运算精度问题
getcontext().prec = 10
export_as_api(industry_code, name='industry_code')
export_as_api(sector_code, name='sector_code')
KSH_MIN_AMOUNT = 200
def _get_account_position_ins(id_or_ins):
ins = assure_instrument(id_or_ins)
account = Environment.get_instance().portfolio.accounts[
DEFAULT_ACCOUNT_TYPE.STOCK]
position = account.get_position(ins.order_book_id, POSITION_DIRECTION.LONG)
return account, position, ins
def _get_ksh_amount(amount):
return 0 if abs(amount) < KSH_MIN_AMOUNT else amount // 1
