def get_balance(self):
"""获取资金"""
data = self.trd_ctx.accinfo_query(trd_env=self.futu_trd_env)
balance = AccountBalance()
for col in data.columns:
if col in ('risk_level', 'risk_status'):
continue
setattr(balance, col, data[col].values[0])
return balance
def init_portfolio(self, strategy_account:str, strategy_version:str, init_strategy_cash:float):
"""初始化投资组合相关信息"""
self.strategy_account = strategy_account
self.strategy_version = strategy_version
# 先初始化投资组合管理，account_balance和position会在后面进行同步sync
self.portfolio = Portfolio(
account_balance=AccountBalance(cash=init_strategy_cash), # 账户余额
position=Position(), # 头寸管理
market=self.market # 交易通道
)
def get_broker_balance(self) -> AccountBalance:
"""获取券商资金"""
ret_code, data = self.trd_ctx.accinfo_query(trd_env=self.futu_trd_env)
if ret_code:
print(f"获取券商资金失败：{data}")
return
balance = AccountBalance()
balance.cash = data["cash"].values[0]
balance.power = data["power"].values[0]
balance.max_power_short = data["max_power_short"].values[0]
balance.net_cash_power = data["net_cash_power"].values[0]
if not isinstance(balance.max_power_short, float):
balance.max_power_short = -1
if not isinstance(balance.net_cash_power, float):
balance.net_cash_power = -1
return balance
def get_db_balance(self, strategy_account:str, strategy_version:str)->AccountBalance:
"""从数据库加载balance（如果数据库无记录，返回None）"""
balance_df = self.db.select_records(
table_name="balance",
broker_name=GATEWAY["broker_name"],
broker_environment=self.market.trade_mode.name,
broker_account=GATEWAY["broker_account"],
strategy_account=strategy_account,
strategy_version=strategy_version,
)
if balance_df.empty:
return None
assert balance_df.shape[0]==1, f"There are more than one rows in balance: {self.strategy_account} {self.strategy_version}"
account_balance = AccountBalance(
cash=balance_df["cash"].values[0],
power=balance_df["power"].values[0],
max_power_short=balance_df["max_power_short"].values[0],
net_cash_power=balance_df["net_cash_power"].values[0]
)
return account_balance
securities=stock_list,
start=datetime(2021, 3, 15, 9, 30, 0, 0),
end=datetime(2021, 3, 17, 16, 0, 0, 0),
)
# market = FutuGateway(
# securities=stock_list,
# end=datetime(2021, 3, 25, 16, 0, 0, 0),
# )
market.TIME_STEP = 60 # 设置时间步长
# 头寸管理
position = Position()
# 账户余额
account_balance = AccountBalance()
# 投资组合管理
portfolio = Portfolio(account_balance=account_balance,
position=position,
market=market)
# 执行引擎
engine = Engine(portfolio)
# 初始化策略
strategy = DemoStrategy(securities=stock_list, engine=engine)
strategy.init_strategy()
# 事件引擎启动
recorder = BarEventEngineRecorder()
event_engine = BarEventEngine(strategy,
recorder,