def testSelectByInnerCodeAndDate(self):
dailyQuote = SourceDataDao.load_new_daily_quote('')
dailyQuote = SourceDataDao.select_by_inner_code_and_date(dailyQuote, '2004-09-14', '000049.SZ')
# self.assertEqual(self.sum(1, 2), 3)
print('dailyQuote:'+str(len(dailyQuote)))
print(dailyQuote)
self.assertNotEqual(len(dailyQuote), 0)
def get_plan_sell_list_mv(planSellList, tradingDay, signalData, dailyQuote, cannotSellList, dailyQuote1day, currHoldSet):
planSellListMV = []
if len(planSellList) == 0:
return planSellListMV
# 排序
planSellList = sort_by_tech(planSellList, signalData, tradingDay, StockConst.MOM) #TODO 排序
for innerCode in planSellList:
isCannotSell = SourceDataDao.check_if_cannot_sell_1day(dailyQuote1day, innerCode)
#能卖
if not isCannotSell:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDay, innerCode)
stockHoldEntity = currHoldSet.get(innerCode)
# 当前vwap
sellPrice = BackTestHelper.get_vwap(dailyQuoteRow)
# 当前市值
sellMV = BackTestHelper.get_sell_mv(stockHoldEntity.buyPrice, stockHoldEntity.buyMV, sellPrice)
# mVEntity = MVEntity.MVEntity(innerCode, currMV)
planDict = {StockConst.INNERCODE: innerCode, planDictMV: sellMV, planDictPrice:sellPrice}
planSellListMV.append(planDict)
else:
cannotSellList.append(innerCode)
return planSellListMV
def handleBuyList(tradingDate, buyList, dailyQuote, usableVol, stockHoldDF,
stockTradeDF):
vol = usableVol / len(buyList)
#print('vol:'+vol)
partChangePCT = 0
for innerCode in buyList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
#print('innerCode:'+str(innerCode))
#print(dailyQuoteRow)
turnoverValue = dailyQuoteRow["TurnoverValue"]
turnoverVolume = dailyQuoteRow["TurnoverVolume"]
closePrice = dailyQuoteRow["ClosePrice"]
cost = turnoverValue / turnoverVolume
changePCT = NumUtil.get_change_pct(cost, closePrice, 2)
realChangePCT = changePCT * vol / 100.0
partChangePCT = partChangePCT + realChangePCT
hold = StockHoldEntity.StockHoldEntity(tradingDate, innerCode, vol)
trade = StockTradeEntityBak.StockTradeEntity(tradingDate, innerCode, 1,
vol, cost, changePCT,
realChangePCT)
stockHoldDF.setdefault(innerCode, hold)
#TODO trade
return partChangePCT
def calculateDailyMV(currHoldSet, capitalEntity, dailyQuote, tradingDate,
stockHoldDailyList, initialMV):
usableCach = capitalEntity.get_usable_cash()
dailyMV = 0
for innerCode in currHoldSet:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
stockHoldEntity = currHoldSet[innerCode]
vol = stockHoldEntity.vol
# print('innerCode:' + str(innerCode))
closePrice = dailyQuoteRow["ClosePrice"]
mv = vol * closePrice
dailyMV += mv
#stockHoldEntity.setClosePrice(closePrice)
#stockHoldEntity.setMV(mv)
cost = stockHoldEntity.cost
profit = (closePrice - cost) * vol
holdDict = {
'tradingDate': tradingDate,
'innerCode': innerCode,
'vol': vol,
'buyPrice': stockHoldEntity.buyPrice,
'cost': cost,
'closePrice': closePrice,
'mv': mv,
'profit': profit,
'profitPCT': NumUtil.get_round(profit / initialMV * 100, 5)
}
stockHoldDailyList.append(holdDict)
#print('dailyMV:' + str(dailyMV))
#print('usableCach:' + str(usableCach))
dailyMV = dailyMV + usableCach
return dailyMV
def get_plan_buy_list_mv(planBuyList, dailyQuote, tradingDay, cannotBuyList, dailyQuotePn, dailyQuote1day, lastCapitalEntity, currSelectStock, preHoldList, currHoldSet):
planBuyListMV = []
if len(planBuyList) == 0:
return planBuyListMV
#无需排序，因为planBuyList已经排过序
# 昨日总现金
lastTotalCash = get_last_total_cash(lastCapitalEntity)
for innerCode in planBuyList:
# print('dailyQuote:' + str(len(dailyQuote)))
# print('dailyQuote1day:'+str(len(dailyQuote1day)))
# isCannotBuy = SourceDataDao.checkIfCannotBuy(dailyQuote,tradingDay,innerCode)
isCannotBuy = SourceDataDao.check_if_cannot_buy_1day(dailyQuote1day, innerCode)
# isCannotBuy = SourceDataDao.checkIfCannotBuyPn(dailyQuotePn, tradingDay, innerCode)
# isCannotBuy = False
#buyFlg = dailyQuoteRow[StockConst.buyFlg]
#可买
if not isCannotBuy:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDay, innerCode)
# 当前vwap
buyPrice = BackTestHelper.get_vwap(dailyQuoteRow)
volWeight = currSelectStock.ix[innerCode][StockConst.VOL_WEIGHT]
# 计划买入现金=昨日总现金*仓位权重
buyCash = lastTotalCash * volWeight
# [处理调整仓位2017-03-28]######################################
# 在昨日持有列表中：调整仓位
isAdjust = None
partialFlg = None
if innerCode in preHoldList:
stockHoldEntity = currHoldSet.get(innerCode)
# 当前vwap
sellPrice = BackTestHelper.get_vwap(dailyQuoteRow)
# 当前市值
sellMV = BackTestHelper.get_sell_mv(stockHoldEntity.closePrice, stockHoldEntity.closeMV, sellPrice)
# 不买的情况
if buyCash <= sellMV:
buyCash = 0
# 调整仓位
else:
buyCash = buyCash - sellMV
isAdjust = 1
partialFlg = 1
#################################################
# 有买入
if buyCash > 0:
planDict = {StockConst.TRADINGDAY: tradingDay, StockConst.INNERCODE: innerCode, planDictMV:buyCash, planDictPrice:buyPrice, planDictIsAdjust:isAdjust, 'partialFlg': partialFlg}
planBuyListMV.append(planDict)
else:
cannotBuyList.append(innerCode)
return planBuyListMV
def getToSellInSellList(sellList, tradingDate, signalData, dailyQuote,
numOfToKeepInSellList, cannotSellList, currHoldSet):
if len(sellList) == 0:
return sellList
#创建2列DF，innerCode，Mom（空）
dic = {StockConst.INNERCODE: sellList}
sortedSellDf = pd.DataFrame(data=dic)
sortedSellDf.insert(1, StockConst.MOM, Series())
#print(sortedSellList)
#从信号数据中获取Mom
for innerCode in sellList:
entity = signalData.ix[(tradingDate, innerCode)]
sortedSellDf.loc[(sortedSellDf[StockConst.INNERCODE] == innerCode),
[StockConst.MOM]] = entity[StockConst.MOM]
#按Mom倒序排序
sortedSellDf = sortedSellDf.sort_values(by=StockConst.MOM, ascending=False)
#卖出列表中保留的股票
toKeepInSellList = []
#保留的股票: 停牌或一字跌停股
#if len(toKeepInSellList) < numOfToKeepInSellList:
for index, row in sortedSellDf.iterrows():
innerCode = row[StockConst.INNERCODE]
sellFlg = 0
try:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
except:
#print('tradingDate:'+DateUtil.datetime2Str(tradingDate))
#print(sortedSellDf)
#print(sellList)
#print(currHoldSet)
#print(dailyQuoteRow)
sellFlg = 0
sellFlg = dailyQuoteRow[StockConst.SELL_FLG]
#不能卖
if sellFlg == -1:
toKeepInSellList.append(innerCode)
cannotSellList.append(innerCode)
# 保留的股票:按sortedSellDf的顺序加入
for index, row in sortedSellDf.iterrows():
if len(toKeepInSellList) < numOfToKeepInSellList:
innerCode = row[StockConst.INNERCODE]
if (innerCode not in toKeepInSellList):
toKeepInSellList.append(innerCode)
#去掉需要保留的股票
toSellInSellList = sortedSellDf[~(
sortedSellDf[StockConst.INNERCODE].isin(toKeepInSellList))][
StockConst.INNERCODE].values
#print('toSellInSellList')
#print(toSellInSellList)
return toSellInSellList
def handleSellList(tradingDate,dailyQuote,stockTradeList,currHoldSet,capitalEntity,actualSellList):
#partChangePCT = 0
dateStr = DateUtil.datetime2_str(tradingDate)
if len(actualSellList) == 0:
return
#sellList全部可以卖出
for innerCode in actualSellList:
#print('innerCode:' + str(innerCode))
#try:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDate, innerCode)
#except:
#退市的股票: 查询不到行情,取最后一个交易日
#dailyQuoteRow = SourceDataDao.selectByLastDay(dailyQuote,innerCode)
# print(dailyQuoteSingle)
#可卖
#if sellFlg != -1:
#actualSellList.append(innerCode)
stockHoldEntity = currHoldSet.pop(innerCode)
#vol = stockHoldEntity.vol
sellPrice = BackTestHelper.get_vwap(dailyQuoteRow)
#卖出市值（没有扣佣金）
#turnover = sellPrice * vol
sellMV = BackTestHelper.get_sell_mv(stockHoldEntity.buyPrice, stockHoldEntity.buyMV, sellPrice)
#佣金（元）
commission = BackTestHelper.get_sell_commission(sellMV, StockConst.SELL_COMMISSION / 100)
#卖出后所得资金(扣掉佣金后所得金额)
sellCach = sellMV - commission
# 更新可用金额(增加)
capitalEntity.increase_usable_cash(sellCach)
# 开仓日
openDate = stockHoldEntity.openDate
# 加入交易表
stockTradeDict = {'tradingDate': dateStr, 'innerCode': innerCode, 'type': -1, 'price': sellPrice,
'buyMV': '', 'sellMV': sellMV, 'commission': commission,
'sellCach': sellCach,'buyCach':'','openDate':openDate}
stockTradeList.append(stockTradeDict)
"""
if DateUtil.datetime2Str(tradingDate) == '2014-12-09':
print('-----handleSellList-----')
print(DateUtil.datetime2Str(tradingDate))
print(innerCode)
print(vol)
print(sellPrice)
print(turnoverValue)
print(dailyQuoteRow)
print('----------')
"""
#changePCT = NumUtil.getChangePCT(prevClosePrice, sellPrice, 2)
#realChangePCT = (changePCT - StockConst.sellCommission) * vol / 100.0
#partChangePCT = partChangePCT + realChangePCT
"""
def getToBuyInBuyList(buyList, dailyQuote, tradingDate, cannotBuyList):
toBuyInBuyList = []
for innerCode in buyList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
buyFlg = dailyQuoteRow[StockConst.BUY_FLG]
#可买
if buyFlg != -1:
toBuyInBuyList.append(innerCode)
else:
cannotBuyList.append(innerCode)
return toBuyInBuyList
def debugDailyQuote(groupedSignalData,date,dailyQuote):
""" """
# 行情数据Debug
#dailyQuoteToDebug = pd.DataFrame()
signalDataToDebug = groupedSignalData.ix[date]
print('行情数据:')
#print('signalDataToDebug:'+str(len(signalDataToDebug)))
for index, row in signalDataToDebug.iterrows():
tradingDate = index[0]
innerCode = index[1]
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDate, innerCode)
#dailyQuoteToDebug.append(dailyQuoteRow)
print(dailyQuoteRow)
def get_plan_sell_list_mv(planSellList, tradingDay, signalData, dailyQuote, cannotSellList, dailyQuote1day, currHoldSet, preHoldList, currSelectStock, lastCapitalEntity):
planSellListMV = []
if len(planSellList) == 0:
return planSellListMV
# 昨日总现金
lastTotalCash = get_last_total_cash(lastCapitalEntity)
# 排序
planSellList = sort_by_tech(planSellList, signalData, tradingDay, StockConst.MOM) #TODO 排序
for innerCode in planSellList:
isCannotSell = SourceDataDao.check_if_cannot_sell_1day(dailyQuote1day, innerCode)
#能卖
if not isCannotSell:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDay, innerCode)
stockHoldEntity = currHoldSet.get(innerCode)
# 当前vwap
sellPrice = BackTestHelper.get_vwap(dailyQuoteRow)
# 当前市值
sellMV = BackTestHelper.get_sell_mv(stockHoldEntity.closePrice, stockHoldEntity.closeMV, sellPrice) #stockHoldEntity.buyPrice, stockHoldEntity.buyMV
# [处理调整仓位2017-03-28]######################################
# 在昨日持有列表中：调整仓位
isAdjust = None
partialFlg = None
if innerCode in preHoldList:
volWeight = currSelectStock.ix[innerCode][StockConst.VOL_WEIGHT]
# 计划买入现金=昨日总现金*仓位权重
buyCash = lastTotalCash * volWeight
# 不卖的情况
if sellMV <= buyCash:
sellMV = 0
# 调整仓位
else:
sellMV = sellMV - buyCash
isAdjust = 1
partialFlg = 1
#################################################
# 有卖出
if sellMV > 0:
planDict = {StockConst.TRADINGDAY: tradingDay, StockConst.INNERCODE: innerCode, planDictMV: sellMV, planDictPrice: sellPrice, planDictIsAdjust:isAdjust, 'partialFlg': partialFlg}
planSellListMV.append(planDict)
else:
cannotSellList.append(innerCode)
return planSellListMV
def getNumOfActualBuy(tradingDate, buyList, dailyQuote):
if len(buyList) == 0:
return 0
numOfActualBuy = 0
for innerCode in buyList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
buyFlg = dailyQuoteRow[StockConst.BUY_FLG]
# 可买
if buyFlg != -1:
numOfActualBuy += 1
return numOfActualBuy
def calculate_daily_mv(currHoldSet, capitalEntity, dailyQuote, tradingDay, stockHoldDailyList, initialCash):
usableCash = capitalEntity.get_usable_cash()
stockMV = 0
for innerCode in currHoldSet:
#try:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDay, innerCode)
#except:
#缺少数据,取最近一个交易日的数据
#dailyQuoteRow = SourceDataDao.selectByPrevTradingDay(dailyQuote, tradingDay, innerCode)
#print('calculateDailyMV '+DateUtil.datetime2Str(tradingDay)+' '+str(innerCode))
stockHoldEntity = currHoldSet[innerCode]
#vol = stockHoldEntity.vol
# print('innerCode:' + str(innerCode))
closePrice = BackTestHelper.get_close_price(dailyQuoteRow)
#mv = vol * closePrice
#收盘市值
closeMV = BackTestHelper.get_sell_mv(stockHoldEntity.lastTradePrice, stockHoldEntity.lastTradeMV, closePrice) #stockHoldEntity.buyPrice, stockHoldEntity.buyMV
#
stockHoldEntity.set_close_price(closePrice)
stockHoldEntity.set_close_mv(closeMV)
#每日市值
stockMV += closeMV
#该股收益(已扣佣金)(仅用于查看) TODO(部分卖出时的算法)
profit = (closeMV - stockHoldEntity.lastTradeMV) * (1 - StockConst.BUY_COMMISSION / 100)
holdDict = {'tradingDay': tradingDay,
'innerCode': innerCode,
'lastTradePrice': stockHoldEntity.lastTradePrice,
'lastTradeMV': stockHoldEntity.lastTradeMV,
'cost': stockHoldEntity.cost,
'closePrice': closePrice,
'closeMV': closeMV,
'profit': profit,
'openDate': stockHoldEntity.openDate,
'profitPCT': NumUtil.get_round(profit / initialCash * 100, 5),
'changeDate': stockHoldEntity.changeDate
}
stockHoldDailyList.append(holdDict)
#print('dailyMV:' + str(dailyMV))
#print('usableCash:' + str(usableCash))
#总资产=股票市值+现金
totalAsset = stockMV + usableCash
capitalEntity.set_total_asset(totalAsset)
#股票市值
capitalEntity.set_stock_mv(stockMV)
def handleBuyList(tradingDate,dailyQuote,stockTradeList,currHoldSet,capitalEntity,actualBuyList):
usableCach = capitalEntity.get_usable_cash()
if usableCach == 0:
return
if len(actualBuyList) == 0:
return
buyCach = usableCach/len(actualBuyList)
#print('vol:'+vol)
#partChangePCT = 0
# buyList全部可以买入
for innerCode in actualBuyList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDate, innerCode)
#print('innerCode:'+str(innerCode))
#print(dailyQuoteRow)
#可买
#if buyFlg != -1:
#平均买入价（没有算佣金）
buyPrice = BackTestHelper.get_vwap(dailyQuoteRow)
#成本价（算佣金）
cost = buyPrice*(1 + StockConst.BUY_COMMISSION / 100)
#仓位（股）
#vol = NumUtil.getRound(turnover/cost,StockConst.volScale)
#佣金（元）
commission = BackTestHelper.get_buy_commission(buyCach, StockConst.BUY_COMMISSION / 100)
#买入市值
buyMV = buyCach - commission
#更新可用金额(减少)
capitalEntity.reduce_usable_cash(buyCach)
#changePCT = NumUtil.getChangePCT(cost, closePrice, 2)
#realChangePCT = (changePCT - StockConst.buyCommission) * vol / 100.0
#partChangePCT = partChangePCT + realChangePCT
#
#stockHold = StockHoldEntity.StockHoldEntity(tradingDate,innerCode,vol)
#stockTrade = StockTradeEntity.StockTradeEntity(tradingDate, innerCode, 1, vol, cost, '', '')
dateStr = DateUtil.datetime2_str(tradingDate)
stockTradeDict = {'tradingDate':dateStr,'innerCode':innerCode,'type':1,
'price':buyPrice,'buyMV':buyMV,'sellMV':'','commission': commission,
'sellCach':'','buyCach':buyCach,'openDate':''}
stockTradeList.append(stockTradeDict)
#插入表
#stockHoldDF.setdefault(innerCode,stockHold)
#当前持仓
stockHoldEntity = StockHoldEntity.StockHoldEntity(innerCode, buyPrice, cost, DateUtil.datetime2_str(tradingDate), buyMV)
currHoldSet.setdefault(innerCode,stockHoldEntity)
"""
def handleBuyList(tradingDate, buyList, dailyQuote, usableVol, stockHoldDF,
stockTradeDF, currHoldSet, actualBuyList, cannotBuyList):
if usableVol == 0:
return 0
if len(buyList) == 0:
return 0
vol = usableVol / len(buyList)
#print('vol:'+vol)
partChangePCT = 0
for innerCode in buyList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
#print('innerCode:'+str(innerCode))
#print(dailyQuoteRow)
turnoverValue = dailyQuoteRow["TurnoverValue"]
turnoverVolume = dailyQuoteRow["TurnoverVolume"]
prevClosePrice = dailyQuoteRow["PrevClosePrice"]
closePrice = dailyQuoteRow["ClosePrice"]
highPrice = dailyQuoteRow["HighPrice"]
lowPrice = dailyQuoteRow["LowPrice"]
# 非停牌 且 非一字涨停: 可以卖出
check = not BackTestHelper.isYiZiZhangTing(highPrice, lowPrice,
prevClosePrice)
if (closePrice != 0) & (turnoverValue != float(0)) & check:
actualBuyList.append(innerCode)
cost = turnoverValue / turnoverVolume
changePCT = NumUtil.get_change_pct(cost, closePrice, 2)
realChangePCT = (changePCT -
StockConst.BUY_COMMISSION) * vol / 100.0
partChangePCT = partChangePCT + realChangePCT
#
stockHold = StockHoldEntity.StockHoldEntity(
tradingDate, innerCode, vol)
stockTrade = StockTradeEntityBak.StockTradeEntity(
tradingDate, innerCode, 1, vol, cost, changePCT, realChangePCT)
#插入表
#stockHoldDF.setdefault(innerCode,stockHold)
#当前持仓
currHoldSet.setdefault(innerCode, vol)
#TODO trade
else:
cannotBuyList.append(innerCode)
return partChangePCT
def calculateDailyMV(currHoldSet, capitalEntity, dailyQuote, tradingDate,
stockHoldDailyList, initialMV):
usableCach = capitalEntity.get_usable_cash()
dailyMV = 0
for innerCode in currHoldSet:
#try:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
#except:
#缺少数据,取最近一个交易日的数据
#dailyQuoteRow = SourceDataDao.selectByPrevTradingDay(dailyQuote, tradingDate, innerCode)
#print('calculateDailyMV '+DateUtil.datetime2Str(tradingDate)+' '+str(innerCode))
stockHoldEntity = currHoldSet[innerCode]
#vol = stockHoldEntity.vol
# print('innerCode:' + str(innerCode))
closePrice = BackTestHelper.get_close_price(dailyQuoteRow)
#mv = vol * closePrice
#收盘市值
closeMV = BackTestHelper.get_sell_mv(stockHoldEntity.buyPrice,
stockHoldEntity.buyMV, closePrice)
#每日市值
dailyMV += closeMV
#该股收益(已扣佣金)(仅用于查看)
profit = (closeMV - stockHoldEntity.buyMV) * (
1 - StockConst.BUY_COMMISSION / 100)
holdDict = {
'tradingDate': tradingDate,
'innerCode': innerCode,
'buyPrice': stockHoldEntity.buyPrice,
'buyMV': stockHoldEntity.buyMV,
'cost': stockHoldEntity.cost,
'closePrice': closePrice,
'closeMV': closeMV,
'profit': profit,
'openDate': stockHoldEntity.openDate,
'profitPCT': NumUtil.get_round(profit / initialMV * 100, 5)
}
stockHoldDailyList.append(holdDict)
#print('dailyMV:' + str(dailyMV))
#print('usableCach:' + str(usableCach))
dailyMV = dailyMV + usableCach
return dailyMV
def handleSellList(tradingDate, sellList, dailyQuote, usableVol, stockHoldDF,
stockTradeDF):
partChangePCT = 0
for innerCode in sellList:
dailyQuoteSingle = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
#print('innerCode:' + str(innerCode))
hold = stockHoldDF.pop(innerCode)
vol = hold.vol
# print(dailyQuoteSingle)
turnoverValue = dailyQuoteSingle["TurnoverValue"]
turnoverVolume = dailyQuoteSingle["TurnoverVolume"]
prevClosePrice = dailyQuoteSingle["PrevClosePrice"]
sellPrice = turnoverValue / turnoverVolume
changePCT = NumUtil.get_change_pct(prevClosePrice, sellPrice, 2)
realChangePCT = changePCT * vol / 100.0
partChangePCT = partChangePCT + realChangePCT
return partChangePCT
def get_plan_buy_list_mv(planBuyList, dailyQuote, tradingDay, cannotBuyList, dailyQuotePn, dailyQuote1day, lastCapitalEntity, currSelectStock):
planBuyListMV = []
if len(planBuyList) == 0:
return planBuyListMV
#无需排序，因为planBuyList已经排过序
lastStockMV = lastCapitalEntity.get_stock_mv() #昨日股票市值
lastUsableCash = lastCapitalEntity.get_usable_cash() #昨日现金
# 佣金（元）
commission = BackTestHelper.get_sell_commission(lastStockMV, StockConst.SELL_COMMISSION / 100)
# 昨日市值扣掉佣金后可得现金
lastMVToCash = lastStockMV - commission
# 昨日总现金
lastTotalCash = lastUsableCash + lastMVToCash
for innerCode in planBuyList:
# print('dailyQuote:' + str(len(dailyQuote)))
# print('dailyQuote1day:'+str(len(dailyQuote1day)))
# isCannotBuy = SourceDataDao.checkIfCannotBuy(dailyQuote,tradingDay,innerCode)
isCannotBuy = SourceDataDao.check_if_cannot_buy_1day(dailyQuote1day, innerCode)
# isCannotBuy = SourceDataDao.checkIfCannotBuyPn(dailyQuotePn, tradingDay, innerCode)
# isCannotBuy = False
#buyFlg = dailyQuoteRow[StockConst.buyFlg]
#可买
if not isCannotBuy:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDay, innerCode)
# 当前vwap
buyPrice = BackTestHelper.get_vwap(dailyQuoteRow)
volWeight = currSelectStock.ix[innerCode][StockConst.VOL_WEIGHT]
# 计划买入现金=昨日总现金*仓位权重
buyCash = lastTotalCash * volWeight
# mVEntity = MVEntity.MVEntity(innerCode,buyMV)
planDict = {StockConst.INNERCODE: innerCode, planDictMV:buyCash, planDictPrice:buyPrice}
planBuyListMV.append(planDict)
else:
cannotBuyList.append(innerCode)
return planBuyListMV
def handleSellList(tradingDate, sellList, dailyQuote, usableVol, stockHoldDF,
stockTradeDF, currHoldSet, actualSellList, cannotSellList):
partChangePCT = 0
dateStr = DateUtil.datetime2_str(tradingDate)
if len(sellList) == 0:
return 0
for innerCode in sellList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
#print('innerCode:' + str(innerCode))
# print(dailyQuoteSingle)
turnoverValue = dailyQuoteRow["TurnoverValue"]
turnoverVolume = dailyQuoteRow["TurnoverVolume"]
prevClosePrice = dailyQuoteRow["PrevClosePrice"]
closePrice = dailyQuoteRow["ClosePrice"]
highPrice = dailyQuoteRow["HighPrice"]
lowPrice = dailyQuoteRow["LowPrice"]
#非停牌 且 非一字跌停: 可以卖出
check = not BackTestHelper.isYiZiDieTing(highPrice, lowPrice,
prevClosePrice)
if (closePrice != 0) & (turnoverValue != float(0)) & check:
actualSellList.append(innerCode)
vol = currHoldSet.pop(innerCode)
sellPrice = turnoverValue / turnoverVolume
changePCT = NumUtil.get_change_pct(prevClosePrice, sellPrice, 2)
realChangePCT = (changePCT -
StockConst.SELL_COMMISSION) * vol / 100.0
partChangePCT = partChangePCT + realChangePCT
"""
if dateStr == '2001-01-17':
print("vol:"+str(vol)+" turnoverValue:"+str(turnoverValue)+" turnoverVolume:"+str(turnoverVolume)+
" prevClosePrice:"+str(prevClosePrice)+" closePrice:"+str(closePrice)+" sellPrice:"+str(sellPrice)+
" changePCT:"+str(changePCT)+
" realChangePCT:"+str(realChangePCT)+" partChangePCT:"+str(partChangePCT))
"""
else:
cannotSellList.append(innerCode)
return partChangePCT
def get_force_sell_list_mv(prevHoldList, tradingDay, signalData, dailyQuote, dailyQuote1day, currHoldSet):
forceSellListMV = []
if len(prevHoldList) == 0:
return forceSellListMV
for innerCode in prevHoldList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDay, innerCode)
delistFlg = dailyQuoteRow['delistFlg']
#退市
if delistFlg == '1':
stockHoldEntity = currHoldSet.get(innerCode)
# 当前vwap
sellPrice = BackTestHelper.get_vwap(dailyQuoteRow)
# 当前市值
sellMV = BackTestHelper.get_sell_mv(stockHoldEntity.buyPrice, stockHoldEntity.buyMV, sellPrice)
# mVEntity = MVEntity.MVEntity(innerCode, currMV)
planDict = {StockConst.INNERCODE: innerCode, planDictMV: sellMV, planDictPrice:sellPrice}
forceSellListMV.append(planDict)
return forceSellListMV
def handleSellList(tradingDate,sellList,dailyQuote,usableVol,stockHoldDF,stockTradeDF):
partChangePCT = 0
dateStr = DateUtil.datetime2_str(tradingDate)
for innerCode in sellList:
dailyQuoteSingle = SourceDataDao.select_by_inner_code_and_date(dailyQuote, tradingDate, innerCode)
#print('innerCode:' + str(innerCode))
hold = stockHoldDF.pop(innerCode)
vol = hold.vol
# print(dailyQuoteSingle)
turnoverValue = dailyQuoteSingle["TurnoverValue"]
turnoverVolume = dailyQuoteSingle["TurnoverVolume"]
prevClosePrice = dailyQuoteSingle["PrevClosePrice"]
sellPrice = turnoverValue / turnoverVolume
changePCT = NumUtil.get_change_pct(prevClosePrice, sellPrice, 2)
realChangePCT = changePCT * vol / 100.0
partChangePCT = partChangePCT + realChangePCT;
if dateStr == '2001-01-17':
print("vol:"+str(vol)+" turnoverValue:"+str(turnoverValue)+" turnoverVolume:"+str(turnoverVolume)+
" prevClosePrice:"+str(prevClosePrice)+" sellPrice:"+str(sellPrice)+" changePCT:"+str(changePCT)+
" realChangePCT:"+str(realChangePCT)+" partChangePCT:"+str(partChangePCT))
return partChangePCT
def handleHoldList(tradingDate, holdList, dailyQuote, usableVol, stockHoldDF,
stockTradeDF, currHoldSet):
partChangePCT = 0
#dateStr = DateUtil.datetime2Str(tradingDate)
if len(holdList) == 0:
return 0
for innerCode in holdList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
#print('innerCode:' + str(innerCode))
# print(dailyQuoteSingle)
turnoverValue = dailyQuoteRow["TurnoverValue"]
#turnoverVolume = dailyQuoteRow["TurnoverVolume"]
prevClosePrice = dailyQuoteRow["PrevClosePrice"]
closePrice = dailyQuoteRow["ClosePrice"]
#非停牌
if (closePrice != 0) & (turnoverValue != float(0)):
vol = currHoldSet.get(innerCode)
changePCT = NumUtil.get_change_pct(prevClosePrice, closePrice, 2)
realChangePCT = changePCT * vol / 100.0
partChangePCT = partChangePCT + realChangePCT
return partChangePCT
def printByInnerCodeAndDate(addr):
dailyQuote = SourceDataDao.load_daily_quote(addr)
dailyQuote = SourceDataDao.select_by_inner_code_and_date(dailyQuote, '2004-01-17', '000049.SZ')
print(dailyQuote)
def handleBuyList(tradingDate, buyList, dailyQuote, usableVol, stockHoldDF,
stockTradeList, currHoldSet, actualBuyList, cannotBuyList,
capitalEntity):
usableCach = capitalEntity.get_usable_cash()
if usableCach == 0:
return
#if usableVol == 0:
#return 0
if len(buyList) == 0:
return
#可买列表
buyList = getToBuyInBuyList(buyList, dailyQuote, tradingDate,
cannotBuyList)
if len(buyList) == 0:
return
turnover = usableCach / len(buyList)
#print('vol:'+vol)
partChangePCT = 0
for innerCode in buyList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
#print('innerCode:'+str(innerCode))
#print(dailyQuoteRow)
turnoverValue = dailyQuoteRow[StockConst.TURNOVER_VALUE]
turnoverVolume = dailyQuoteRow[StockConst.TURNOVER_VOLUME]
#buyFlg = dailyQuoteRow[StockConst.buyFlg]
#可买
#if buyFlg != -1:
#actualBuyList.append(innerCode)
#平均买入价（没有算佣金）
buyPrice = turnoverValue / turnoverVolume
#成本价（算佣金）
cost = buyPrice * (1 + StockConst.BUY_COMMISSION / 100)
#仓位（股）
#vol = NumUtil.getRound(turnover/cost,StockConst.volScale)
#佣金（元）
commission = BackTestHelper.get_buy_commission(
turnover, StockConst.BUY_COMMISSION / 100)
#买入市值
buyMV = turnover - commission
#更新可用金额(减少)
capitalEntity.reduce_usable_cash(turnover)
#changePCT = NumUtil.getChangePCT(cost, closePrice, 2)
#realChangePCT = (changePCT - StockConst.buyCommission) * vol / 100.0
#partChangePCT = partChangePCT + realChangePCT
#
#stockHold = StockHoldEntity.StockHoldEntity(tradingDate,innerCode,vol)
#stockTrade = StockTradeEntity.StockTradeEntity(tradingDate, innerCode, 1, vol, cost, '', '')
stockTradeDict = {
'tradingDate': tradingDate,
'innerCode': innerCode,
'type': 1,
'vol': 0,
'price': buyPrice,
'turnover': turnover,
'commission': commission,
'MV': buyMV
}
stockTradeList.append(stockTradeDict)
#插入表
#stockHoldDF.setdefault(innerCode,stockHold)
#当前持仓
stockHoldEntity = StockHoldEntity.StockHoldEntity(
innerCode, vol, buyPrice, cost,
DateUtil.datetime2_str(tradingDate)) #tradingDate,
currHoldSet.setdefault(innerCode, stockHoldEntity) #vol
"""
def handleBuyList(tradingDate, buyList, dailyQuote, usableVol, stockHoldDF,
stockTradeList, currHoldSet, actualBuyList, cannotBuyList,
capitalEntity):
usableCach = capitalEntity.get_usable_cash()
if usableCach == 0:
return 0
#if usableVol == 0:
#return 0
if len(buyList) == 0:
return 0
turnover = usableCach / len(buyList)
#print('vol:'+vol)
partChangePCT = 0
for innerCode in buyList:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
#print('innerCode:'+str(innerCode))
#print(dailyQuoteRow)
turnoverValue = dailyQuoteRow["TurnoverValue"]
turnoverVolume = dailyQuoteRow["TurnoverVolume"]
buyFlg = dailyQuoteRow[StockConst.BUY_FLG]
#可买
if buyFlg != -1:
actualBuyList.append(innerCode)
#平均买入价（没有算佣金）
buyPrice = turnoverValue / turnoverVolume
#成本价（算佣金）
cost = buyPrice * (1 + StockConst.BUY_COMMISSION / 100)
#仓位（股）
vol = NumUtil.get_round(turnover / cost, StockConst.VOL_SCALE)
#佣金（元）
commission = BackTestHelper.get_buy_commission(
turnover, StockConst.BUY_COMMISSION / 100)
#更新可用金额(减少)
capitalEntity.reduce_usable_cash(turnover)
#changePCT = NumUtil.getChangePCT(cost, closePrice, 2)
#realChangePCT = (changePCT - StockConst.buyCommission) * vol / 100.0
#partChangePCT = partChangePCT + realChangePCT
#
#stockHold = StockHoldEntity.StockHoldEntity(tradingDate,innerCode,vol)
#stockTrade = StockTradeEntity.StockTradeEntity(tradingDate, innerCode, 1, vol, cost, '', '')
stockTradeDict = {
'tradingDate': tradingDate,
'innerCode': innerCode,
'type': 1,
'vol': vol,
'price': buyPrice,
'turnover': turnover,
'commission': commission
}
stockTradeList.append(stockTradeDict)
#插入表
#stockHoldDF.setdefault(innerCode,stockHold)
#当前持仓
stockHoldEntity = StockHoldEntity.StockHoldEntity(
innerCode, vol, buyPrice, cost,
DateUtil.datetime2_str(tradingDate)) #tradingDate,
currHoldSet.setdefault(innerCode, stockHoldEntity) #vol
"""
if (DateUtil.datetime2Str(tradingDate) == '2014-12-08') | (DateUtil.datetime2Str(tradingDate) == '2014-12-09'):
print('-----handleBuyList-----')
print(DateUtil.datetime2Str(tradingDate))
print(innerCode)
print(vol)
print(buyPrice)
print(cost)
print(turnoverValue)
print(dailyQuoteRow)
print('----------')
"""
else:
cannotBuyList.append(innerCode)
def handleSellList(tradingDate, sellList, dailyQuote, usableVol, stockHoldDF,
stockTradeList, currHoldSet, actualSellList, cannotSellList,
capitalEntity, numOfActualBuy, signalData, prevHoldList,
numOfDailyHolding):
partChangePCT = 0
dateStr = DateUtil.datetime2_str(tradingDate)
if len(sellList) == 0:
return
#卖出列表中要保留的股票数
numOfToKeepInSellList = numOfDailyHolding - numOfActualBuy - len(
prevHoldList)
#卖出数 > 实际买入数：对卖出列表进行排序
#if len(sellList) > numOfActualBuy:
sellList = getToSellInSellList(sellList, tradingDate, signalData,
dailyQuote, numOfToKeepInSellList,
cannotSellList, currHoldSet)
if len(sellList) == 0:
return
#numOfActualSell = 0
for innerCode in sellList:
#print('innerCode:' + str(innerCode))
try:
dailyQuoteRow = SourceDataDao.select_by_inner_code_and_date(
dailyQuote, tradingDate, innerCode)
except:
#退市的股票: 查询不到行情,取最后一个交易日
dailyQuoteRow = SourceDataDao.selectByLastDay(
dailyQuote, innerCode)
#print('innerCode:' + str(innerCode))
# print(dailyQuoteSingle)
#try:
turnoverValue = dailyQuoteRow["TurnoverValue"]
#except:
#print('tradingDate:'+dateStr)
#print('innerCode:' + str(innerCode))
#print(dailyQuoteRow)
turnoverVolume = dailyQuoteRow["TurnoverVolume"]
#prevClosePrice = dailyQuoteRow["PrevClosePrice"]
#closePrice = dailyQuoteRow["ClosePrice"]
#highPrice = dailyQuoteRow["HighPrice"]
#lowPrice = dailyQuoteRow["LowPrice"]
#sellFlg = dailyQuoteRow[StockConst.sellFlg]
#buyFlg = dailyQuoteRow["buyFlg"]
#sellFlg = dailyQuoteRow["sellFlg"]
#非停牌
#check1 = not BackTestHelper.isStop(closePrice, turnoverValue)
#非一字跌停: 可以卖出
#check2 = not BackTestHelper.isYiZiDieTing(highPrice,lowPrice,prevClosePrice)
#可卖
#if sellFlg != -1:
#实际卖出数不能大于实际买入数
#if numOfActualSell >= numOfActualBuy:
#continue
actualSellList.append(innerCode)
stockHoldEntity = currHoldSet.pop(innerCode)
vol = stockHoldEntity.vol
sellPrice = turnoverValue / turnoverVolume
#卖出后所得资金（没有扣佣金）
turnover = sellPrice * vol
# 佣金（元）
commission = BackTestHelper.get_sell_commission(
turnover, StockConst.SELL_COMMISSION / 100)
# 扣掉佣金后所得金额
turnover = turnover - commission
# 更新可用金额(增加)
capitalEntity.increase_usable_cash(turnover)
# 加入交易表
stockTradeDict = {
'tradingDate': tradingDate,
'innerCode': innerCode,
'type': -1,
'vol': vol,
'price': sellPrice,
'turnover': turnover,
'commission': commission
}
stockTradeList.append(stockTradeDict)
#实际卖出数
#numOfActualSell += 1
"""
if DateUtil.datetime2Str(tradingDate) == '2014-12-09':
print('-----handleSellList-----')
print(DateUtil.datetime2Str(tradingDate))
print(innerCode)
print(vol)
print(sellPrice)
print(turnoverValue)
print(dailyQuoteRow)
print('----------')
"""
#changePCT = NumUtil.getChangePCT(prevClosePrice, sellPrice, 2)
#realChangePCT = (changePCT - StockConst.sellCommission) * vol / 100.0
#partChangePCT = partChangePCT + realChangePCT
"""
