def __init__(self, account, benchmark_code='000300', benchmark_type=MARKET_TYPE.INDEX_CN, if_fq=True, market_data=None):
"""
account: QA_Account类/QA_PortfolioView类
benchmark_code: [str]对照参数代码
benchmark_type: [QA.PARAM]对照参数的市场
if_fq: [Bool]原account是否使用复权数据
if_fq选项是@尧提出的,关于回测的时候成交价格问题(如果按不复权撮合 应该按不复权价格计算assets)
"""
self.account = account
self.benchmark_code = benchmark_code # 默认沪深300
self.benchmark_type = benchmark_type
self.fetch = {MARKET_TYPE.STOCK_CN: QA_fetch_stock_day_adv,
MARKET_TYPE.INDEX_CN: QA_fetch_index_day_adv}
if self.account.market_type == MARKET_TYPE.STOCK_CN:
self.market_data = QA_fetch_stock_day_adv(
self.account.code, self.account.start_date, self.account.end_date)
elif self.account.market_type == MARKET_TYPE.FUTURE_CN:
self.market_data = market_data
self.if_fq = if_fq
if self.market_value is not None:
self._assets = (self.market_value.sum(
axis=1) + self.account.daily_cash.set_index('date').cash).fillna(method='pad')
else:
self._assets = self.account.daily_cash.set_index(
'date').cash.fillna(method='pad')
self.time_gap = QA_util_get_trade_gap(
self.account.start_date, self.account.end_date)
self.init_cash = self.account.init_cash
self.init_assets = self.account.init_assets
def __init__(self,
account,
benchmark_code='000300',
benchmark_type=MARKET_TYPE.INDEX_CN,
if_fq=True):
"""
if_qf选项是@尧提出的,关于回测的时候成交价格问题(如果按不复权撮合 应该按不复权价格计算assets)
"""
self.account = account
self.benchmark_code = benchmark_code # 默认沪深300
self.benchmark_type = benchmark_type
self.fetch = {
MARKET_TYPE.STOCK_CN: QA_fetch_stock_day_adv,
MARKET_TYPE.INDEX_CN: QA_fetch_index_day_adv
}
self.market_data = QA_fetch_stock_day_adv(self.account.code,
self.account.start_date,
self.account.end_date)
self.if_fq = if_fq
self._assets = (self.market_value.sum(axis=1) +
self.account.daily_cash.set_index('date').cash).fillna(
method='pad')
self.time_gap = QA_util_get_trade_gap(self.account.start_date,
self.account.end_date)
self.init_cash = self.account.init_cash
self.init_assets = self.account.init_assets
def __init__(self,
account,
benchmark_code='000300',
benchmark_type=MARKET_TYPE.INDEX_CN,
if_fq=True,
market_data=None,
auto_reload=False):
"""
account: QA_Account类/QA_PortfolioView类
benchmark_code: [str]对照参数代码
benchmark_type: [QA.PARAM]对照参数的市场
if_fq: [Bool]原account是否使用复权数据
if_fq选项是@尧提出的,关于回测的时候成交价格问题(如果按不复权撮合 应该按不复权价格计算assets)
"""
self.account = account
self.benchmark_code = benchmark_code # 默认沪深300
self.benchmark_type = benchmark_type
self.client = DATABASE.risk
self.client.create_index([("account_cookie", ASCENDING),
("user_cookie", ASCENDING),
("portfolio_cookie", ASCENDING)],
unique=True)
if auto_reload:
pass
else:
self.fetch = {
MARKET_TYPE.STOCK_CN: QA_fetch_stock_day_adv,
MARKET_TYPE.INDEX_CN: QA_fetch_index_day_adv
}
if market_data == None:
if self.account.market_type == MARKET_TYPE.STOCK_CN:
self.market_data = QA_fetch_stock_day_adv(
self.account.code, self.account.start_date,
self.account.end_date)
elif self.account.market_type == MARKET_TYPE.FUTURE_CN:
self.market_data = QA_fetch_future_day_adv(
self.account.code, self.account.start_date,
self.account.end_date)
else:
self.market_data = market_data
self.if_fq = if_fq
if self.account.market_type == MARKET_TYPE.FUTURE_CN:
self.if_fq = False # 如果是期货， 默认设为FALSE
if self.market_value is not None:
self._assets = (
self.market_value.sum(axis=1) +
self.account.daily_cash.set_index('date').cash).fillna(
method='pad')
else:
self._assets = self.account.daily_cash.set_index(
'date').cash.fillna(method='pad')
self.time_gap = QA_util_get_trade_gap(self.account.start_date,
self.account.end_date)
self.init_cash = self.account.init_cash
self.init_assets = self.account.init_assets
def __init__(self, account, benchmark_code='000300', benchmark_type=MARKET_TYPE.INDEX_CN):
self.account = account
self.benchmark_code = benchmark_code # 默认沪深300
self.benchmark_type = benchmark_type
self.fetch = {MARKET_TYPE.STOCK_CN: QA_fetch_stock_day_adv,
MARKET_TYPE.INDEX_CN: QA_fetch_index_day_adv}
self.market_data = QA_fetch_stock_day_adv(
self.account.code, self.account.start_date, self.account.end_date)
self._assets = ((self.market_data.to_qfq().pivot('close') * self.account.daily_hold).sum(
axis=1) + self.account.daily_cash.set_index('date').cash).fillna(method='pad')
self.time_gap = QA_util_get_trade_gap(
self.account.start_date, self.account.end_date)
self.init_assets = self.account.init_assets