def test_get_trading_period(self):
from datetime import time
from rqalpha.utils import TimeRange
rb_time_range = self.data_proxy.get_trading_period(["RB1912"])
self.assertSetEqual(
set(rb_time_range), {
TimeRange(start=time(21, 1), end=time(23, 0)),
TimeRange(start=time(9, 1), end=time(10, 15)),
TimeRange(start=time(10, 31), end=time(11, 30)),
TimeRange(start=time(13, 31), end=time(15, 0))
})
merged_time_range = self.data_proxy.get_trading_period(
["AG1912", "TF1912"], [
TimeRange(start=time(9, 31), end=time(11, 30)),
TimeRange(start=time(13, 1), end=time(15, 0)),
])
self.assertSetEqual(
set(merged_time_range), {
TimeRange(start=time(21, 1), end=time(23, 59)),
TimeRange(start=time(0, 0), end=time(2, 30)),
TimeRange(start=time(9, 1), end=time(11, 30)),
TimeRange(start=time(13, 1), end=time(15, 15)),
})
def trading_hours(self):
# trading_hours='09:31-11:30,13:01-15:00'
try:
trading_hours = self.__dict__["trading_hours"]
except KeyError:
if self.type in INST_TYPE_IN_STOCK_ACCOUNT:
return self.STOCK_TRADING_PERIOD
return None
trading_period = []
trading_hours = trading_hours.replace("-", ":")
for time_range_str in trading_hours.split(","):
start_h, start_m, end_h, end_m = (int(i) for i in time_range_str.split(":"))
start, end = datetime.time(start_h, start_m), datetime.time(end_h, end_m)
if start > end:
trading_period.append(TimeRange(start, datetime.time(23, 59)))
trading_period.append(TimeRange(datetime.time(0, 0), end))
else:
trading_period.append(TimeRange(start, end))
return trading_period
class Instrument(metaclass=PropertyReprMeta):
DEFAULT_LISTED_DATE = datetime.datetime(1990, 1, 1)
DEFAULT_DE_LISTED_DATE = datetime.datetime(2999, 12, 31)
@staticmethod
def _fix_date(ds, dflt):
if isinstance(ds, datetime.datetime):
return ds
if ds == '0000-00-00':
return dflt
year, month, day = ds.split('-')
return datetime.datetime(int(year), int(month), int(day))
__repr__ = property_repr
def __init__(self, dic, future_tick_size_getter=None):
# type: (Dict, Optional[Callable[[Instrument], float]]) -> None
self.__dict__ = copy.copy(dic)
self._future_tick_size_getter = future_tick_size_getter
if "listed_date" in dic:
self.__dict__["listed_date"] = self._fix_date(
dic["listed_date"], self.DEFAULT_LISTED_DATE)
if "de_listed_date" in dic:
self.__dict__["de_listed_date"] = self._fix_date(
dic["de_listed_date"], self.DEFAULT_DE_LISTED_DATE)
if "maturity_date" in self.__dict__:
self.__dict__["maturity_date"] = self._fix_date(
dic["maturity_date"], self.DEFAULT_DE_LISTED_DATE)
if 'contract_multiplier' in dic:
if np.isnan(self.contract_multiplier):
raise RuntimeError(
"Contract multiplier of {} is not supposed to be nan".
format(self.order_book_id))
@property
def order_book_id(self):
# type: () -> str
"""
[str] 股票：证券代码，证券的独特的标识符。应以’.XSHG’或’.XSHE’结尾，前者代表上证，后者代表深证。
期货：期货代码，期货的独特的标识符（郑商所期货合约数字部分进行了补齐。例如原有代码’ZC609’补齐之后变为’ZC1609’）。
主力连续合约UnderlyingSymbol+88，例如’IF88’ ；指数连续合约命名规则为UnderlyingSymbol+99
"""
return self.__dict__["order_book_id"]
@property
def symbol(self):
# type: () -> str
"""
[str] 股票：证券的简称，例如’平安银行’。期货：期货的简称，例如’沪深1005’。
"""
return self.__dict__["symbol"]
@property
def round_lot(self):
# type: () -> int
"""
[int] 股票：一手对应多少股，中国A股一手是100股。期货：一律为1。
"""
return self.__dict__["round_lot"]
@property
def listed_date(self):
# type: () -> datetime.datetime
"""
[datetime] 股票：该证券上市日期。期货：期货的上市日期，主力连续合约与指数连续合约都为 datetime(1990, 1, 1)。
"""
return self.__dict__["listed_date"]
@property
def de_listed_date(self):
# type: () -> datetime.datetime
"""
[datetime] 股票：退市日期。期货：交割日期。
"""
return self.__dict__["de_listed_date"]
@property
def type(self):
# type: () -> str
"""
[sty] 合约类型，目前支持的类型有: ‘CS’, ‘INDX’, ‘LOF’, ‘ETF’, ‘Future’
"""
return INSTRUMENT_TYPE[self.__dict__["type"]]
@property
def exchange(self):
# type: () -> EXCHANGE
"""
[str] 交易所。股票：’XSHE’ - 深交所, ‘XSHG’ - 上交所。期货：’DCE’ - 大连商品交易所, ‘SHFE’ - 上海期货交易所，
’CFFEX’ - 中国金融期货交易所, ‘CZCE’- 郑州商品交易所
"""
return self.__dict__["exchange"]
@property
def market_tplus(self):
# type: () -> int
"""
[int] 合约卖出和买入操作需要间隔的最小交易日数，如A股为 1
公募基金的 market_tplus 默认0
"""
return self.__dict__.get("market_tplus") or 0
@property
def sector_code(self):
"""
[str] 板块缩写代码，全球通用标准定义（股票专用）
"""
try:
return self.__dict__["sector_code"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'sector_code' ".
format(self.order_book_id))
@property
def sector_code_name(self):
"""
[str] 以当地语言为标准的板块代码名（股票专用）
"""
try:
return self.__dict__["sector_code_name"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'sector_code_name' "
.format(self.order_book_id))
@property
def industry_code(self):
"""
[str] 国民经济行业分类代码，具体可参考“Industry列表” （股票专用）
"""
try:
return self.__dict__["industry_code"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'industry_code' "
.format(self.order_book_id))
@property
def industry_name(self):
"""
[str] 国民经济行业分类名称（股票专用）
"""
try:
return self.__dict__["industry_name"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'industry_name' "
.format(self.order_book_id))
@property
def concept_names(self):
"""
[str] 概念股分类，例如：’铁路基建’，’基金重仓’等（股票专用）
"""
try:
return self.__dict__["concept_names"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'concept_names' "
.format(self.order_book_id))
@property
def board_type(self):
"""
[str] 板块类别，’MainBoard’ - 主板,’GEM’ - 创业板（股票专用）
"""
try:
return self.__dict__["board_type"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'board_type' ".
format(self.order_book_id))
@property
def status(self):
"""
[str] 合约状态。’Active’ - 正常上市, ‘Delisted’ - 终止上市, ‘TemporarySuspended’ - 暂停上市,
‘PreIPO’ - 发行配售期间, ‘FailIPO’ - 发行失败（股票专用）
"""
try:
return self.__dict__["status"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'status' ".
format(self.order_book_id))
@property
def special_type(self):
"""
[str] 特别处理状态。’Normal’ - 正常上市, ‘ST’ - ST处理, ‘StarST’ - *ST代表该股票正在接受退市警告,
‘PT’ - 代表该股票连续3年收入为负，将被暂停交易, ‘Other’ - 其他（股票专用）
"""
try:
return self.__dict__["special_type"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'special_type' "
.format(self.order_book_id))
@property
def contract_multiplier(self):
"""
[float] 合约乘数，例如沪深300股指期货的乘数为300.0（期货专用）
"""
return self.__dict__.get('contract_multiplier', 1)
@property
def margin_rate(self):
"""
[float] 合约最低保证金率（期货专用）
"""
return self.__dict__.get("margin_rate", 1)
@property
def underlying_order_book_id(self):
"""
[str] 合约标的代码，目前除股指期货(IH, IF, IC)之外的期货合约，这一字段全部为’null’（期货专用）
"""
try:
return self.__dict__["underlying_order_book_id"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'underlying_order_book_id' "
.format(self.order_book_id))
@property
def underlying_symbol(self):
"""
[str] 合约标的代码，目前除股指期货(IH, IF, IC)之外的期货合约，这一字段全部为’null’（期货专用）
"""
try:
return self.__dict__["underlying_symbol"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'underlying_symbol' "
.format(self.order_book_id))
@property
def maturity_date(self):
# type: () -> datetime.datetime
"""
[datetime] 到期日
"""
try:
return self.__dict__["maturity_date"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'maturity_date' "
.format(self.order_book_id))
@property
def settlement_method(self):
"""
[str] 交割方式，’CashSettlementRequired’ - 现金交割, ‘PhysicalSettlementRequired’ - 实物交割（期货专用）
"""
try:
return self.__dict__["settlement_method"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'settlement_method' "
.format(self.order_book_id))
@property
def listing(self):
"""
[bool] 该合约当前日期是否在交易
"""
trading_dt = Environment.get_instance().trading_dt
return self.listing_at(trading_dt)
@property
def listed(self):
"""
[bool] 该合约当前交易日是否已上市
"""
return self.listed_at(Environment.get_instance().trading_dt)
@property
def de_listed(self):
"""
[bool] 该合约当前交易日是否已退市
"""
return self.de_listed_at(Environment.get_instance().trading_dt)
@property
def account_type(self):
if self.type in INST_TYPE_IN_STOCK_ACCOUNT:
return DEFAULT_ACCOUNT_TYPE.STOCK
elif self.type == INSTRUMENT_TYPE.FUTURE:
return DEFAULT_ACCOUNT_TYPE.FUTURE
else:
raise NotImplementedError
def listing_at(self, dt):
"""
该合约在指定日期是否在交易
:param dt: datetime.datetime
:return: bool
"""
return self.listed_at(dt) and not self.de_listed_at(dt)
def listed_at(self, dt):
"""
该合约在指定日期是否已上日
:param dt: datetime.datetime
:return: bool
"""
return self.listed_date <= dt
def de_listed_at(self, dt):
"""
该合约在指定日期是否已退市
:param dt: datetime.datetime
:return: bool
"""
if self.type in (INSTRUMENT_TYPE.FUTURE, INSTRUMENT_TYPE.OPTION):
return dt.date() > self.de_listed_date.date()
else:
return dt >= self.de_listed_date
STOCK_TRADING_PERIOD = [
TimeRange(start=datetime.time(9, 31), end=datetime.time(11, 30)),
TimeRange(start=datetime.time(13, 1), end=datetime.time(15, 0)),
]
@property
def trading_hours(self):
# trading_hours='09:31-11:30,13:01-15:00'
try:
trading_hours = self.__dict__["trading_hours"]
except KeyError:
if self.type in INST_TYPE_IN_STOCK_ACCOUNT:
return self.STOCK_TRADING_PERIOD
return None
trading_period = []
trading_hours = trading_hours.replace("-", ":")
for time_range_str in trading_hours.split(","):
start_h, start_m, end_h, end_m = (
int(i) for i in time_range_str.split(":"))
start, end = datetime.time(start_h,
start_m), datetime.time(end_h, end_m)
if start > end:
trading_period.append(TimeRange(start, datetime.time(23, 59)))
trading_period.append(TimeRange(datetime.time(0, 0), end))
else:
trading_period.append(TimeRange(start, end))
return trading_period
@property
def trading_code(self):
# type: () -> str
try:
return self.__dict__["trading_code"]
except (KeyError, ValueError):
raise AttributeError(
"Instrument(order_book_id={}) has no attribute 'trading_code' "
.format(self.order_book_id))
@property
def trade_at_night(self):
return any(
r.start <= datetime.time(4, 0) or r.end >= datetime.time(19, 0)
for r in (self.trading_hours or []))
def days_from_listed(self):
if self.listed_date == self.DEFAULT_LISTED_DATE:
return -1
date = Environment.get_instance().trading_dt.date()
if self.de_listed_date.date() < date:
return -1
ipo_days = (date - self.listed_date.date()).days
return ipo_days if ipo_days >= 0 else -1
def days_to_expire(self):
if self.type != 'Future' or self.order_book_id[
-2:] == '88' or self.order_book_id[-2:] == '99':
return -1
date = Environment.get_instance().trading_dt.date()
days = (self.maturity_date.date() - date).days
return -1 if days < 0 else days
def tick_size(self):
# type: () -> float
if self.type in (INSTRUMENT_TYPE.CS, INSTRUMENT_TYPE.INDX):
return 0.01
elif self.type in ("ETF", "LOF"):
return 0.001
elif self.type == INSTRUMENT_TYPE.FUTURE:
return self._future_tick_size_getter(self)
else:
raise NotImplementedError
def calc_cash_occupation(self, price, quantity, direction):
# type: (float, float, POSITION_DIRECTION) -> float
if self.type in INST_TYPE_IN_STOCK_ACCOUNT:
return price * quantity
elif self.type == INSTRUMENT_TYPE.FUTURE:
margin_multiplier = Environment.get_instance(
).config.base.margin_multiplier
return price * quantity * self.contract_multiplier * self.margin_rate * margin_multiplier
else:
raise NotImplementedError