def __build_account_position(account_id, investor_position_array):
position_list = []
for investor_position in investor_position_array:
position_db = AccountPosition()
position_db.date = filter_date_str
position_db.id = account_id
message_symbol = getattr(investor_position, 'SYMBOL',
'NULL').split('.')[0]
if message_symbol not in instrument_dict:
continue
instrumet_db = instrument_dict[message_symbol]
position_db.symbol = instrumet_db.ticker
position_db.hedgeflag = 0
long_qty_message = int(getattr(investor_position, 'LONG_QUANTITY', 0))
long_avail_qty_message = int(
getattr(investor_position, 'AVAILABLE_QUANTITY', 0))
short_qty_message = abs(
int(getattr(investor_position, 'SHORT_QUANTITY', 0)))
if long_qty_message < 0:
long_qty = 0
long_avail_qty = 0
short_qty = abs(long_qty_message)
else:
long_qty = long_qty_message
long_avail_qty = long_avail_qty_message
short_qty = short_qty_message
average_price = float(getattr(investor_position, 'AVERAGE_PRICE', 0))
position_db.long = long_qty
position_db.long_cost = long_qty * average_price * float(
instrumet_db.fut_val_pt)
position_db.long_avail = long_avail_qty
position_db.yd_position_long = long_qty
position_db.yd_long_remain = long_qty
position_db.short = short_qty
position_db.short_cost = short_qty * average_price * float(
instrumet_db.fut_val_pt)
position_db.short_avail = short_qty
position_db.yd_position_short = short_qty
position_db.yd_short_remain = short_qty
position_db.prev_net = position_db.yd_position_long - position_db.yd_position_short
position_db.frozen = 0
position_db.update_date = date_utils.get_now()
position_list.append(position_db)
return position_list
def save_account_position(account_id, investorPositionArray):
for investorPosition in investorPositionArray:
symbol = getattr(investorPosition, 'szStkCode', 'NULL')
yd_long = getattr(investorPosition, 'llStkPrebln', '0')
td_long = getattr(investorPosition, 'llStkBln', '0')
td_long_avail = getattr(investorPosition, 'llStkAvl', '0')
td_long_cost = getattr(investorPosition, 'szStkBcostRlt', '0')
long_frozen = getattr(investorPosition, 'llStkTrdFrz', '0')
yd_short = 0
td_short = 0
td_short_cost = 0
td_short_avail = 0
yd_long_remain = yd_long
yd_short_remain = yd_short
purchase_avail = yd_long
prev_net = float(yd_long) - float(yd_short)
position_db = AccountPosition()
position_db.date = today_str
position_db.id = account_id
position_db.symbol = symbol
position_db.hedgeflag = 0
position_db.long = td_long
position_db.long_cost = td_long_cost
position_db.long_avail = td_long_avail
position_db.short = td_short
position_db.short_cost = td_short_cost
position_db.short_avail = td_short_avail
position_db.yd_position_long = yd_long
position_db.yd_position_short = yd_short
position_db.yd_long_remain = yd_long_remain
position_db.yd_short_remain = yd_short_remain
position_db.prev_net = prev_net
position_db.frozen = long_frozen
position_db.update_date = date_utils.get_now()
position_list.append(position_db)
def __build_account_position(account_id, investor_position_array):
last_position_dict = dict()
query_position = session_portfolio.query(AccountPosition)
for position_db in query_position.filter(
AccountPosition.id == account_id,
AccountPosition.date == filter_date_str):
if position_db.symbol == 'CNY':
continue
last_position_dict[position_db.symbol] = position_db
position_list = []
position_dict = dict()
ticker_position_dict = dict()
for investorPosition in investor_position_array:
symbol = getattr(investorPosition, 'm_strInstrumentID', 'NULL')
# 过滤掉SP j1609&j1701这种的持仓数据
if '&' in symbol:
continue
# 转换hedgeFlag字典
hedge_flag = getattr(investorPosition, 'm_nHedgeFlag', '0')
hedge_flag = HEDGE_FLAG_MAP[hedge_flag]
key = '%s|%s' % (symbol, hedge_flag)
if key in ticker_position_dict:
ticker_position_dict.get(key).append(investorPosition)
else:
ticker_position_dict[key] = [investorPosition]
for (key, ticker_position_list) in ticker_position_dict.items():
(symbol, hedge_flag) = key.split('|')
td_long = 0
td_long_cost = 0.0
yd_long_remain = 0
td_short = 0
td_short_cost = 0.0
yd_short_remain = 0
long_frozen = 0
for temp_position in ticker_position_list:
qty_value = int(getattr(temp_position, 'm_nPosition', '0'))
qty_cost_value = float(
getattr(temp_position, 'm_dPositionCost', '0'))
# 1:净,2:多头,3:空头
posiDirection_str = getattr(temp_position, 'm_nDirection', '0')
posiDirection = Direction_Map[posiDirection_str]
# 1:今日持仓,0:历史持仓
is_today = getattr(temp_position, 'm_bIsToday', '0')
if is_today == '0' and posiDirection == '2':
yd_long_remain = qty_value
td_long_cost += qty_cost_value
elif is_today == '0' and posiDirection == '3':
yd_short_remain = qty_value
td_short_cost += qty_cost_value
elif is_today == '1' and posiDirection == '2':
td_long = qty_value
td_long_cost += qty_cost_value
elif is_today == '1' and posiDirection == '3':
td_short = qty_value
td_short_cost += qty_cost_value
else:
print 'error m_bIsToday:%s, posiDirection:%s' % (is_today,
posiDirection)
continue
prev_net = yd_long_remain - yd_short_remain
if symbol in last_position_dict:
position_db = last_position_dict[symbol]
else:
position_db = AccountPosition()
position_db.yd_position_long = yd_long_remain
position_db.yd_position_short = yd_short_remain
position_db.date = filter_date_str
position_db.id = account_id
position_db.symbol = symbol
position_db.hedgeflag = hedge_flag
position_db.long = td_long + yd_long_remain
position_db.long_cost = td_long_cost
position_db.long_avail = td_long + yd_long_remain
position_db.short = td_short + yd_short_remain
position_db.short_cost = td_short_cost
position_db.short_avail = td_short + yd_short_remain
position_db.yd_long_remain = yd_long_remain
position_db.yd_short_remain = yd_short_remain
position_db.prev_net = prev_net
position_db.frozen = long_frozen
position_db.update_date = date_utils.get_now()
position_dict[key] = position_db
position_list.append(position_db)
return position_dict, position_list
def __calculation_position(account_id, position_info_list, trade_list):
position_info_dict = dict()
# 根据yd值还原早上持仓
for position_db in position_info_list:
position_db.td_buy_long = 0
position_db.long_avail = position_db.yd_position_long
position_db.yd_long_remain = position_db.yd_position_long
position_db.td_sell_short = 0
position_db.short_avail = position_db.yd_position_short
position_db.yd_short_remain = position_db.yd_position_short
position_info_dict[position_db.symbol] = position_db
for trade_db in trade_list:
if trade_db.symbol.upper() not in instrument_dict:
print 'error trade ticker:%s' % trade_db.symbol
continue
instrument_db = instrument_dict[trade_db.symbol.upper()]
if trade_db.symbol not in position_info_dict:
position_db = AccountPosition()
position_db.date = filter_date_str
position_db.id = account_id
position_db.symbol = trade_db.symbol
position_db.hedgeflag = 0
qty = trade_db.qty
total_cost = trade_db.qty * trade_db.price * instrument_db.fut_val_pt
if qty >= 0:
position_db.long = qty
position_db.long_cost = total_cost
position_db.long_avail = qty
position_db.yd_position_long = 0
position_db.yd_long_remain = 0
position_db.short = 0
position_db.short_cost = 0
position_db.short_avail = 0
position_db.yd_position_short = 0
position_db.yd_short_remain = 0
position_db.day_long = trade_db.qty
position_db.day_long_cost = trade_db.qty * trade_db.price * instrument_db.fut_val_pt
else:
position_db.short = qty
position_db.short_cost = total_cost
position_db.short_avail = qty
position_db.yd_position_short = 0
position_db.yd_short_remain = 0
position_db.long = 0
position_db.long_cost = 0
position_db.long_avail = 0
position_db.yd_position_long = 0
position_db.yd_long_remain = 0
position_db.day_short = trade_db.qty
position_db.day_short_cost = trade_db.qty * trade_db.price * instrument_db.fut_val_pt
position_db.prev_net = 0
position_db.frozen = 0
position_db.update_date = date_utils.get_now()
position_info_dict[position_db.symbol] = position_db
else:
position_db = position_info_dict[trade_db.symbol]
# 期货
if instrument_db.type_id == 1:
if trade_db.direction == 0:
# 买开
if trade_db.offsetflag == 0:
position_db.td_buy_long += trade_db.qty
position_db.long_cost += trade_db.qty * trade_db.price * instrument_db.fut_val_pt
# 买平
elif trade_db.offsetflag == 1:
a = min(trade_db.qty, position_db.short)
position_db.yd_short_remain -= max(
trade_db.qty - position_db.short, 0)
position_db.td_sell_short -= a
position_db.short_cost -= trade_db.qty * trade_db.price * instrument_db.fut_val_pt
# 买平昨
elif trade_db.offsetflag == 4:
position_db.yd_short_remain -= trade_db.qty
position_db.day_long += trade_db.qty
position_db.day_long_cost += trade_db.qty * trade_db.price * instrument_db.fut_val_pt
elif trade_db.direction == 1:
# 卖开
if trade_db.offsetflag == 0:
position_db.td_sell_short += trade_db.qty
position_db.short_cost += trade_db.qty * trade_db.price * instrument_db.fut_val_pt
# 卖平
elif trade_db.offsetflag == 1:
a = min(trade_db.qty, position_db.long)
position_db.yd_long_remain -= max(
trade_db.qty - position_db.long, 0)
position_db.td_buy_long -= a
position_db.long_cost -= trade_db.qty * trade_db.price * instrument_db.fut_val_pt
# 卖平昨
elif trade_db.offsetflag == 4:
position_db.yd_long_remain -= trade_db.qty
position_db.day_short += trade_db.qty
position_db.day_short_cost += trade_db.qty * trade_db.price * instrument_db.fut_val_pt
position_db.long_avail = position_db.td_buy_long + position_db.yd_long_remain
position_db.short_avail = position_db.td_sell_short + position_db.yd_short_remain
position_db.long = position_db.long_avail
position_db.short = position_db.short_avail
# 股票
elif instrument_db.type_id == 4:
if trade_db.direction == 0:
position_db.long += trade_db.qty
position_db.long_cost += trade_db.qty * trade_db.price * instrument_db.fut_val_pt
elif trade_db.direction == 1:
position_db.long -= trade_db.qty
position_db.long_cost -= trade_db.qty * trade_db.price * instrument_db.fut_val_pt
position_db.short_avail -= trade_db.qty
position_info_dict[position_db.symbol] = position_db
result_list = []
for key in position_info_dict.keys():
result_list.append(position_info_dict[key])
return result_list
def save_account_position(account_id, investor_position_array):
tick_position_dict = dict()
for investor_position in investor_position_array:
symbol = getattr(investor_position, 'InstrumentID', 'NULL')
hedge_flag = getattr(investor_position, 'HedgeFlag', '0')
if hedge_flag == '1':
hedge_flag = '0'
elif hedge_flag == '2':
hedge_flag = '1'
elif hedge_flag == '3':
hedge_flag = '2'
key = '%s|%s' % (symbol, hedge_flag)
if key in tick_position_dict:
tick_position_dict.get(key).append(investor_position)
else:
tick_position_dict[key] = [investor_position]
for (key, tickPositionList) in tick_position_dict.items():
(symbol, hedge_flag) = key.split('|')
td_long = 0
td_long_cost = 0.0
td_long_avail = 0
yd_long = 0
yd_long_remain = 0
td_short = 0
td_short_cost = 0.0
td_short_avail = 0
yd_short = 0
yd_short_remain = 0
long_frozen = 0
short_frozen = 0
prev_net = 0
for temp_position in tickPositionList:
# 转换hedgeFlag字典
direction = getattr(temp_position, 'Direction', 'NULL')
position = int(getattr(temp_position, 'Position', 'NULL'))
position_cost = getattr(temp_position, 'PositionCost', 'NULL')
yd_position = int(getattr(temp_position, 'YdPosition', 'NULL'))
if direction == '0':
td_long = position
td_long_avail = position
td_long_cost = position_cost
yd_long = yd_position
else:
td_short = position
td_short_avail = position
td_short_cost = position_cost
yd_short = yd_position
prev_net = yd_long - yd_short
(yd_long_remain,
yd_short_remain) = calculation_by_trade(symbol, yd_long, yd_short)
position_db = AccountPosition()
position_db.date = today_str
position_db.id = account_id
position_db.symbol = symbol
position_db.hedgeflag = hedge_flag
position_db.long = td_long
position_db.long_cost = td_long_cost
position_db.long_avail = td_long_avail
position_db.short = td_short
position_db.short_cost = td_short_cost
position_db.short_avail = td_short_avail
position_db.yd_position_long = yd_long
position_db.yd_position_short = yd_short
position_db.yd_long_remain = yd_long_remain
position_db.yd_short_remain = yd_short_remain
position_db.prev_net = prev_net
# position_db.purchase_avail = purchase_avail
position_db.frozen = long_frozen
position_db.update_date = datetime.now()
position_list.append(position_db)
def save_account_position(account_info, investor_position_array, filter_date_str):
position_list = []
tick_position_dict = dict()
for investor_position in investor_position_array:
symbol = getattr(investor_position, 'InstrumentID', 'NULL')
# 投机:'1'|套保:'3'
# hedge_flag = getattr(investor_position, 'HedgeFlag', '0')
# hedge_flag = const.HEDGE_FLAG_MAP[hedge_flag]
hedge_flag = 0
key = '%s|%s' % (symbol, hedge_flag)
if key in tick_position_dict:
tick_position_dict.get(key).append(investor_position)
else:
tick_position_dict[key] = [investor_position]
for (key, tickPositionList) in tick_position_dict.items():
(symbol, hedge_flag) = key.split('|')
td_long = 0
td_long_cost = 0.0
td_long_avail = 0
td_short = 0
td_short_cost = 0.0
td_short_avail = 0
yd_long = 0
yd_long_remain = 0
yd_short = 0
yd_short_remain = 0
prev_net = 0
purchase_avail = 0
long_frozen = 0
short_frozen = 0
save_flag = False
for position_message in tickPositionList:
real_account_id = getattr(position_message, 'AccountID', 'NULL')
if (real_account_id[12:14] == '70') and (account_info.accountsuffix == '70'):
save_flag = True
elif (real_account_id[12:14] == '01') and (account_info.accountsuffix == '01'):
save_flag = True
else:
continue
position = float(getattr(position_message, 'Position', '0'))
positionCost = float(getattr(position_message, 'PositionCost', '0'))
ydPosition = float(getattr(position_message, 'YdPosition', '0'))
# todayPurRedVolume = getattr(position_message, 'TodayPurRedVolume', '0')
# todayPosition = getattr(position_message, 'TodayPosition', '0')
openVolume = float(getattr(position_message, 'OpenVolume', '0'))
closeVolume = float(getattr(position_message, 'CloseVolume', '0'))
long_frozen = getattr(position_message, 'LongFrozen', '0')
short_frozen = getattr(position_message, 'ShortFrozen', '0')
long_flag = True
# 净:'1'|多头:'2'|空头:'3'|备兑:'4'
posi_direction = getattr(position_message, 'PosiDirection', '0')
if (posi_direction == '1') and (ydPosition < 0):
long_flag = False
elif (posi_direction == '1') and (ydPosition >= 0):
long_flag = True
elif posi_direction == '2':
long_flag = True
elif posi_direction == '3':
long_flag = False
elif posi_direction == '4':
long_flag = False
else:
print 'Error Type:PosiDirection'
if long_flag:
td_long += position
td_long_cost += positionCost
yd_long += ydPosition
if (yd_long - closeVolume) > 0:
yd_long_remain = yd_long - closeVolume
else:
yd_long_remain = 0
else:
td_short += abs(position)
td_short_cost += abs(positionCost)
yd_short += abs(ydPosition)
if (yd_short - openVolume) > 0:
yd_short_remain = yd_short - openVolume
else:
yd_short_remain = 0
if save_flag:
td_long_avail = yd_long
td_short_avail = yd_short
purchase_avail = yd_long
prev_net = int(yd_long) - int(yd_short)
position_db = AccountPosition()
position_db.date = filter_date_str
position_db.id = account_info.accountid
position_db.symbol = symbol
position_db.hedgeflag = hedge_flag
position_db.long = td_long
position_db.long_cost = td_long_cost
position_db.long_avail = td_long_avail
position_db.short = td_short
position_db.short_cost = td_short_cost
position_db.short_avail = td_short_avail
position_db.yd_position_long = yd_long
position_db.yd_position_short = yd_short
position_db.yd_long_remain = yd_long_remain
position_db.yd_short_remain = yd_short_remain
position_db.prev_net = prev_net
position_db.purchase_avail = purchase_avail
position_db.frozen = long_frozen
position_db.update_date = datetime.now()
position_list.append(position_db)
return position_list
def __build_account_position(account_id, account_name,
investor_position_array):
position_list = []
position_dict = dict()
ticker_position_dict = dict()
for investorPosition in investor_position_array:
symbol = getattr(investorPosition, 'InstrumentID', 'NULL')
# 过滤掉SP j1609&j1701这种的持仓数据
if '&' in symbol:
continue
if account_name in special_ctp_accounts and ('IC' in symbol
or 'IF' in symbol
or 'IH' in symbol):
continue
# 转换hedgeFlag字典
hedge_flag = getattr(investorPosition, 'HedgeFlag', '0')
hedge_flag = const.HEDGE_FLAG_MAP[hedge_flag]
key = '%s|%s' % (symbol, hedge_flag)
if key in ticker_position_dict:
ticker_position_dict.get(key).append(investorPosition)
else:
ticker_position_dict[key] = [investorPosition]
for (key, ticker_position_list) in ticker_position_dict.items():
(symbol, hedge_flag) = key.split('|')
td_long = 0
td_long_avail = 0
td_long_cost = 0.0
yd_long = 0
yd_long_remain = 0
td_short = 0
td_short_avail = 0
td_short_cost = 0.0
yd_short = 0
yd_short_remain = 0
long_Frozen = 0
short_Frozen = 0
prev_net = 0
posiDirection_dict = dict()
for temp_position in ticker_position_list:
# 1:净,2:多头,3:空头
posiDirection = getattr(temp_position, 'PosiDirection', '0')
if posiDirection in posiDirection_dict:
posiDirection_dict[posiDirection].append(temp_position)
else:
posiDirection_dict[posiDirection] = [temp_position]
for (posiDirection,
direction_position_list) in posiDirection_dict.items():
position = 0
ydPosition = 0
position_cost = 0.0
for temp_position in direction_position_list:
# 1:今日持仓,2:历史持仓
positionDate = getattr(temp_position, 'PositionDate', '1')
if positionDate == '1':
position = int(getattr(temp_position, 'Position', '0'))
position_cost = float(
getattr(temp_position, 'PositionCost', '0'))
ydPosition = int(getattr(temp_position, 'YdPosition', '0'))
elif positionDate == '2':
position += int(getattr(temp_position, 'Position', '0'))
position_cost = float(
getattr(temp_position, 'PositionCost', '0'))
ydPosition += int(getattr(temp_position, 'YdPosition',
'0'))
else:
print 'error positionDate:', positionDate
continue
if posiDirection == '1':
td_long = position
td_long_avail = position
yd_long = ydPosition
yd_long_remain = ydPosition
td_long_cost = position_cost
elif posiDirection == '2':
td_long = position
td_long_avail = position
yd_long = ydPosition
yd_long_remain = ydPosition
td_long_cost = position_cost
elif posiDirection == '3':
td_short = position
td_short_avail = position
yd_short = ydPosition
yd_short_remain = ydPosition
td_short_cost = position_cost
else:
print 'error posiDirection:', posiDirection
prev_net = yd_long - yd_short
position_db = AccountPosition()
position_db.date = filter_date_str
position_db.id = account_id
position_db.symbol = symbol
position_db.hedgeflag = hedge_flag
position_db.long = td_long
if symbol == '510050':
pre_settlement_price = float(
getattr(temp_position, 'PreSettlementPrice', '0'))
position_db.long_cost = td_long * pre_settlement_price
position_db.long_avail = yd_long_remain
else:
position_db.long_cost = td_long_cost
position_db.long_avail = td_long_avail
position_db.short = td_short
position_db.short_cost = td_short_cost
position_db.short_avail = td_short_avail
position_db.yd_position_long = yd_long
position_db.yd_position_short = yd_short
position_db.yd_long_remain = yd_long_remain
position_db.yd_short_remain = yd_short_remain
position_db.prev_net = prev_net
position_db.frozen = long_Frozen
position_db.update_date = datetime.now()
position_dict[key] = position_db
position_list.append(position_db)
return position_dict, position_list
def save_account_position(account_id, investor_position_array):
for investorPosition in investor_position_array:
symbol = getattr(investorPosition, '55', '0')
hedge_flag = 0
td_long = 0
td_long_cost = 0.0
td_long_avail = 0
yd_long = 0
yd_long_remain = 0
td_short = 0
td_short_cost = 0.0
td_short_avail = 0
yd_short = 0
yd_short_remain = 0
prev_net = 0
purchase_avail = 0
long_Frozen = 0
short_Frozen = 0
purchase_avail = 0
groupAArray = getattr(investorPosition, 'GroupA', '0')
for group in groupAArray:
(title_column, value_column) = group.split('|')
title = title_column.split('=')[1]
value = int(value_column.split('=')[1])
if title == 'SQ': # 当前拥股数
td_long = value
# elif (title == 'SB'): #股份余额
# td_long = value
# elif (title == 'SBQ'): #今日买入数量
# td_long = value
elif title == 'SAV': # 股份可用余额
td_long_avail = value
yd_long_remain = value
purchase_avail = value
elif title == 'LB': # 昨日余额
yd_long = value
elif title == 'SS': # 卖出冻结数
long_Frozen += value
elif title == 'SF': # 人工冻结数
long_Frozen += value
groupBArray = getattr(investorPosition, 'GroupB', '0')
for group in groupBArray:
(title_column, value_column) = group.split('|')
title = title_column.split('=')[1]
value = value_column.split('=')[1]
# if title == 'PC': # 持仓成本
# td_long_cost = value
if title == 'SMV': # 持仓成本
td_long_cost = value
prev_net = yd_long - yd_short
position_db = AccountPosition()
position_db.date = today_str
position_db.id = account_id
position_db.symbol = symbol
position_db.hedgeflag = hedge_flag
position_db.long = td_long
position_db.long_cost = td_long_cost
position_db.long_avail = td_long_avail
position_db.short = td_short
position_db.short_cost = td_short_cost
position_db.short_avail = td_short_avail
position_db.yd_position_long = yd_long
position_db.yd_position_short = yd_short
position_db.yd_long_remain = yd_long_remain
position_db.yd_short_remain = yd_short_remain
position_db.prev_net = prev_net
position_db.purchase_avail = purchase_avail
position_db.frozen = long_Frozen
position_db.update_date = date_utils.get_now()
position_list.append(position_db)