def all_instruments(type=None, date=None):
"""
获取某个国家市场的所有合约信息。使用者可以通过这一方法很快地对合约信息有一个快速了解，目前仅支持中国市场。
:param str type: 需要查询合约类型，例如：type='CS'代表股票。默认是所有类型
:param date: 查询时间点
:type date: `str` | `datetime` | `date`
:return: `pandas DataFrame` 所有合约的基本信息。
其中type参数传入的合约类型和对应的解释如下：
========================= ===================================================
合约类型 说明
========================= ===================================================
CS Common Stock, 即股票
ETF Exchange Traded Fund, 即交易所交易基金
LOF Listed Open-Ended Fund，即上市型开放式基金
FenjiMu Fenji Mu Fund, 即分级母基金
FenjiA Fenji A Fund, 即分级A类基金
FenjiB Fenji B Funds, 即分级B类基金
INDX Index, 即指数
Future Futures，即期货，包含股指、国债和商品期货
========================= ===================================================
:example:
获取中国市场所有分级基金的基础信息:
.. code-block:: python3
:linenos:
[In]all_instruments('FenjiA')
[Out]
abbrev_symbol order_book_id product sector_code symbol
0 CYGA 150303.XSHE null null 华安创业板50A
1 JY500A 150088.XSHE null null 金鹰500A
2 TD500A 150053.XSHE null null 泰达稳健
3 HS500A 150110.XSHE null null 华商500A
4 QSAJ 150235.XSHE null null 鹏华证券A
...
"""
env = Environment.get_instance()
if date is None:
dt = env.trading_dt
else:
dt = pd.Timestamp(date).to_pydatetime()
dt = min(dt, env.trading_dt)
if type is not None:
if isinstance(type, six.string_types):
type = [type]
types = set()
for t in type:
if t == 'Stock':
types.add('CS')
elif t == 'Fund':
types.update(['ETF', 'LOF', 'SF', 'FenjiA', 'FenjiB', 'FenjiMu'])
else:
types.add(t)
else:
types = None
result = env.data_proxy.all_instruments(types, dt)
if types is not None and len(types) == 1:
return pd.DataFrame([i._ins_dict for i in result])
return pd.DataFrame(
[[i.order_book_id, i.symbol, i.type, i.listed_date, i.de_listed_date] for i in result],
columns=['order_book_id', 'symbol', 'type', 'listed_date', 'de_listed_date'])
def __init__(self, commission_multiplier):
self.commission_multiplier = commission_multiplier
self.hedge_type = HEDGE_TYPE.SPECULATION
self.env = Environment.get_instance()
def config(self):
return Environment.get_instance().config
def update_last_price(self):
price = Environment.get_instance().get_last_price(self._order_book_id)
if price == price:
# 过滤掉 nan
self._last_price = price
def _frozen_cash_of_order(order):
order_cost = order.frozen_price * order.quantity if order.side == SIDE.BUY else 0
return order_cost + Environment.get_instance(
).get_order_transaction_cost(DEFAULT_ACCOUNT_TYPE.STOCK, order)
def now(self):
"""
[datetime.datetime] 当前 Bar 所对应的时间
"""
return Environment.get_instance().calendar_dt
def __init__(self):
self._set = set()
Environment.get_instance().event_bus.prepend_listener(
EVENT.AFTER_TRADING, self._clear_de_listed)
def order(id_or_ins, amount, side, position_effect, style):
if not isinstance(style, OrderStyle):
raise RuntimeError
if amount < 0:
raise RuntimeError
if amount == 0:
user_system_log.warn(_(u"Order Creation Failed: Order amount is 0."))
return None
if isinstance(style, LimitOrder) and style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_future_order_book_id(id_or_ins)
env = Environment.get_instance()
if env.config.base.run_type != RUN_TYPE.BACKTEST:
if "88" in order_book_id:
raise RQInvalidArgument(
_(u"Main Future contracts[88] are not supported in paper trading."
))
if "99" in order_book_id:
raise RQInvalidArgument(
_(u"Index Future contracts[99] are not supported in paper trading."
))
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
return
amount = int(amount)
position = Environment.get_instance().portfolio.positions[order_book_id]
orders = []
if position_effect == POSITION_EFFECT.CLOSE:
if side == SIDE.BUY:
# 如果平仓量大于持仓量，则 Warning 并 取消订单创建
if amount > position.sell_quantity:
user_system_log.warn(
_(u"Order Creation Failed: close amount {amount} is larger than position "
u"quantity {quantity}").format(
amount=amount, quantity=position.sell_quantity))
return []
sell_old_quantity = position.sell_old_quantity
if amount > sell_old_quantity:
if sell_old_quantity != 0:
# 如果有昨仓，则创建一个 POSITION_EFFECT.CLOSE 的平仓单
orders.append(
Order.__from_create__(order_book_id, sell_old_quantity,
side, style,
POSITION_EFFECT.CLOSE))
# 剩下还有仓位，则创建一个 POSITION_EFFECT.CLOSE_TODAY 的平今单
orders.append(
Order.__from_create__(order_book_id,
amount - sell_old_quantity, side,
style, POSITION_EFFECT.CLOSE_TODAY))
else:
# 创建 POSITION_EFFECT.CLOSE 的平仓单
orders.append(
Order.__from_create__(order_book_id, amount, side, style,
POSITION_EFFECT.CLOSE))
else:
if amount > position.buy_quantity:
user_system_log.warn(
_(u"Order Creation Failed: close amount {amount} is larger than position "
u"quantity {quantity}").format(
amount=amount, quantity=position.buy_quantity))
return []
buy_old_quantity = position.buy_old_quantity
if amount > buy_old_quantity:
if buy_old_quantity != 0:
orders.append(
Order.__from_create__(order_book_id, buy_old_quantity,
side, style,
POSITION_EFFECT.CLOSE))
orders.append(
Order.__from_create__(order_book_id,
amount - buy_old_quantity, side,
style, POSITION_EFFECT.CLOSE_TODAY))
else:
orders.append(
Order.__from_create__(order_book_id, amount, side, style,
POSITION_EFFECT.CLOSE))
else:
orders.append(
Order.__from_create__(order_book_id, amount, side, style,
position_effect))
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
return []
for o in orders:
if o.type == ORDER_TYPE.MARKET:
o.set_frozen_price(price)
if env.can_submit_order(o):
env.broker.submit_order(o)
else:
orders.remove(o)
# 向前兼容，如果创建的order_list 只包含一个订单的话，直接返回对应的订单，否则返回列表
if len(orders) == 1:
return orders[0]
else:
return orders
def margin_rate(self):
env = Environment.get_instance()
margin_info = env.data_proxy.get_margin_info(self.order_book_id)
margin_multiplier = env.config.base.margin_multiplier
return margin_info['long_margin_ratio'] * margin_multiplier
def contract_multiplier(self):
return Environment.get_instance().get_instrument(
self.order_book_id).contract_multiplier
def _margin_of(self, quantity, price):
env = Environment.get_instance()
instrument = env.data_proxy.instruments(self.order_book_id)
return quantity * instrument.contract_multiplier * price * self.margin_rate
def open_orders(self):
return Environment.get_instance().broker.get_open_orders(
self.order_book_id)
def _frozen_cash_of_order(order):
order_cost = margin_of(
order.order_book_id, order.quantity, order.frozen_price
) if order.position_effect == POSITION_EFFECT.OPEN else 0
return order_cost + Environment.get_instance(
).get_order_transaction_cost(DEFAULT_ACCOUNT_TYPE.FUTURE, order)
def now_time_str(str_format="%H:%M:%S"):
return Environment.get_instance().trading_dt.strftime(str_format)
def register_event(self):
event_bus = Environment.get_instance().event_bus
event_bus.prepend_listener(EVENT.POST_SETTLEMENT,
lambda e: self._apply_settlement())
event_bus.add_listener(EVENT.TRADE,
lambda e: self.apply_trade(e.trade))
def tick_size(self):
return Environment.get_instance().data_proxy.get_tick_size(
self.order_book_id)
def suspended(self):
if self.isnan:
return True
return Environment.get_instance().data_proxy.is_suspended(self._instrument.order_book_id, int(self._data['datetime'] // 1000000))
def __init__(self):
self._env = Environment.get_instance()
def items(self):
return ((o, self.__getitem__(o)) for o in Environment.get_instance().get_universe())
def init_fixture(self):
from rqrobot.utils import RqAttrDict
from rqrobot.environment import Environment
super(EnvironmentFixture, self).init_fixture()
self.env = Environment(RqAttrDict(self.env_config))
def keys(self):
return (o for o in Environment.get_instance().get_universe())
def run_info(self):
"""
[:class:`~RunInfo`] 运行信息
"""
config = Environment.get_instance().config
return RunInfo(config)
def values(self):
return (self.__getitem__(o) for o in Environment.get_instance().get_universe())
def order_shares(id_or_ins, amount, price=None, style=None):
"""
落指定股数的买/卖单，最常见的落单方式之一。如有需要落单类型当做一个参量传入，如果忽略掉落单类型，那么默认是市价单（market order）。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param int amount: 下单量, 正数代表买入，负数代表卖出。将会根据一手xx股来向下调整到一手的倍数，比如中国A股就是调整成100股的倍数。
:param float price: 下单价格，默认为None，表示 :class:`~MarketOrder`, 此参数主要用于简化 `style` 参数。
:param style: 下单类型, 默认是市价单。目前支持的订单类型有 :class:`~LimitOrder` 和 :class:`~MarketOrder`
:type style: `OrderStyle` object
:return: :class:`~Order` object | None
:example:
.. code-block:: python
#购买Buy 2000 股的平安银行股票，并以市价单发送：
order_shares('000001.XSHE', 2000)
#卖出2000股的平安银行股票，并以市价单发送：
order_shares('000001.XSHE', -2000)
#购买1000股的平安银行股票，并以限价单发送，价格为￥10：
order_shares('000001.XSHG', 1000, style=LimitOrder(10))
"""
if amount == 0:
# 如果下单量为0，则认为其并没有发单，则直接返回None
user_system_log.warn(_(u"Order Creation Failed: Order amount is 0."))
return None
style = cal_style(price, style)
if isinstance(style, LimitOrder):
if style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_stock_order_book_id(id_or_ins)
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
return
if amount > 0:
side = SIDE.BUY
position_effect = POSITION_EFFECT.OPEN
else:
amount = abs(amount)
side = SIDE.SELL
position_effect = POSITION_EFFECT.CLOSE
round_lot = int(env.get_instrument(order_book_id).round_lot)
if side == SIDE.BUY or amount != env.portfolio.accounts[
DEFAULT_ACCOUNT_TYPE.STOCK.name
].positions[order_book_id].sellable:
# 一次性申报卖出时可以卖散股
try:
amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
except ValueError:
amount = 0
r_order = Order.__from_create__(order_book_id, amount, side, style, position_effect)
if amount == 0:
# 如果计算出来的下单量为0, 则不生成Order, 直接返回None
# 因为很多策略会直接在handle_bar里面执行order_target_percent之类的函数，经常会出现下一个量为0的订单，如果这些订单都生成是没有意义的。
user_system_log.warn(_(u"Order Creation Failed: 0 order quantity"))
return
if r_order.type == ORDER_TYPE.MARKET:
r_order.set_frozen_price(price)
if env.can_submit_order(r_order):
env.broker.submit_order(r_order)
return r_order
def __contains__(self, o):
return o in Environment.get_instance().get_universe()
def history_bars(order_book_id, bar_count, frequency, fields=None, skip_suspended=True,
include_now=False, adjust_type='pre'):
"""
获取指定合约的历史行情，同时支持日以及分钟历史数据。不能在init中调用。 注意，该API会自动跳过停牌数据。
日回测获取分钟历史数据：不支持
日回测获取日历史数据
========================= ===================================================
调用时间 返回数据
========================= ===================================================
T日before_trading T-1日day bar
T日handle_bar T日day bar
========================= ===================================================
分钟回测获取日历史数据
========================= ===================================================
调用时间 返回数据
========================= ===================================================
T日before_trading T-1日day bar
T日handle_bar T-1日day bar
========================= ===================================================
分钟回测获取分钟历史数据
========================= ===================================================
调用时间 返回数据
========================= ===================================================
T日before_trading T-1日最后一个minute bar
T日handle_bar T日当前minute bar
========================= ===================================================
:param order_book_id: 合约代码
:type order_book_id: `str`
:param int bar_count: 获取的历史数据数量，必填项
:param str frequency: 获取数据什么样的频率进行。'1d'或'1m'分别表示每日和每分钟，必填项
:param str fields: 返回数据字段。必填项。见下方列表。
========================= ===================================================
fields 字段名
========================= ===================================================
datetime 时间戳
open 开盘价
high 最高价
low 最低价
close 收盘价
volume 成交量
total_turnover 成交额
open_interest 持仓量（期货专用）
basis_spread 期现差（股指期货专用）
settlement 结算价（期货日线专用）
prev_settlement 结算价（期货日线专用）
========================= ===================================================
:param bool skip_suspended: 是否跳过停牌数据
:param bool include_now: 是否包含当前数据
:param str adjust_type: 复权类型，默认为前复权 pre；可选 pre, none, post
:return: `ndarray`, 方便直接与talib等计算库对接，效率较history返回的DataFrame更高。
:example:
获取最近5天的日线收盘价序列（策略当前日期为20160706）:
.. code-block:: python3
:linenos:
[In]
logger.info(history_bars('000002.XSHE', 5, '1d', 'close'))
[Out]
[ 8.69 8.7 8.71 8.81 8.81]
"""
order_book_id = assure_order_book_id(order_book_id)
env = Environment.get_instance()
dt = env.calendar_dt
if frequency[-1] not in {'m', 'd'}:
raise RQInvalidArgument('invalid frequency {}'.format(frequency))
if frequency[-1] == 'm' and env.config.base.frequency == '1d':
raise RQInvalidArgument('can not get minute history in day back test')
if frequency[-1] == 'd' and frequency != '1d':
raise RQInvalidArgument('invalid frequency')
if adjust_type not in {'pre', 'post', 'none'}:
raise RuntimeError('invalid adjust_type')
if frequency == '1d':
sys_frequency = Environment.get_instance().config.base.frequency
if ((
sys_frequency in ['1m', 'tick'] and
not include_now and
ExecutionContext.phase() != EXECUTION_PHASE.AFTER_TRADING
) or (
ExecutionContext.phase() == EXECUTION_PHASE.BEFORE_TRADING
)):
dt = env.data_proxy.get_previous_trading_date(env.trading_dt.date())
# 当 EXECUTION_PHASE.BEFORE_TRADING 的时候，强制 include_now 为 False
include_now = False
if sys_frequency == "1d":
# 日回测不支持 include_now
include_now = False
if fields is None:
fields = ["datetime", "open", "high", "low", "close", "volume"]
return env.data_proxy.history_bars(order_book_id, bar_count, frequency, fields, dt,
skip_suspended=skip_suspended, include_now=include_now,
adjust_type=adjust_type, adjust_orig=env.trading_dt)
def __len__(self):
return len(Environment.get_instance().get_universe())
def get_positions():
booking = Environment.get_instance().booking
if not booking:
raise RuntimeError(_("Booking has not been set, please check your broker configuration."))
return booking.get_positions()
def _get_tax(self, order_book_id, side, cost_money):
instrument = Environment.get_instance().get_instrument(order_book_id)
if instrument.type != 'CS':
return 0
return cost_money * self.tax_rate if side == SIDE.SELL else 0
