def __init__(self, commission_rate, commission_multiplier, min_commission):
self.commission_rate = commission_rate
self.commission_multiplier = commission_multiplier
self.commission_map = defaultdict(lambda: min_commission)
self.min_commission = min_commission
self.context = Context.get_instance()
def __from_create__(
cls, order_id, price, amount, side, position_effect, order_book_id, commission=0., tax=0.,
trade_id=None, close_today_amount=0, frozen_price=0, calendar_dt=None, trading_dt=None
):
trade = cls()
trade_id = trade_id or next(trade.trade_id_gen)
for value in (price, amount, commission, tax, frozen_price):
if value != value:
raise RuntimeError(
"price, amount, commission, tax and frozen_price of trade {trade_id} is not supposed to be nan, current_value is {price}, {amount}, {commission}, {tax}, {frozen_price}"
.format(
trade_id=trade_id, price=price, amount=amount, commission=commission, tax=tax,
frozen_price=frozen_price
))
context = Context.get_instance()
trade._calendar_dt = calendar_dt or context.calendar_dt
trade._trading_dt = trading_dt or context.trading_dt
trade._price = price
trade._amount = amount
trade._order_id = order_id
trade._commission = commission
trade._tax = tax
trade._trade_id = trade_id
trade._close_today_amount = close_today_amount
trade._side = side
trade._position_effect = position_effect
trade._order_book_id = order_book_id
trade._frozen_price = frozen_price
return trade
def _on_settlement(self, event):
trading_date = Context.get_instance().trading_dt.date()
for order_book_id, positions in list(self._positions.items()):
for position in six.itervalues(positions):
#print(trading_date)
#print(position)
delta_cash = position.settlement(trading_date)
#print(delta_cash)
self._total_cash += delta_cash
for order_book_id, positions in list(self._positions.items()):
if all(p.quantity == 0 and p.equity == 0
for p in six.itervalues(positions)):
del self._positions[order_book_id]
self._backward_trade_set.clear()
# if total_value <= 0, forced_liquidation
forced_liquidation = True #Environment.get_instance().config.base.forced_liquidation
if self.total_value <= 0 and forced_liquidation:
if self._positions:
print("Trigger Forced Liquidation, current total_value is 0")
self._positions.clear()
self._total_cash = 0
def last_price(self):
if self._last_price != self._last_price:
context = Context.get_instance()
self._last_price = context.get_last_price(self._order_book_id)
if self._last_price != self._last_price:
raise RuntimeError("last price of position {} is not supposed to be nan".format(self._order_book_id))
return self._last_price
def get_current_trading_dt_total_value(self):
# this method is stateless operation
total_equity = 0
for p in self._iter_pos():
if p.quantity !=0:
price = Context.get_instance().get_last_price(p.order_book_id)
total_equity += price * p.quantity
return self._total_cash + total_equity
def _update_last_price(self, _):
context = Context.get_instance()
#print("_update_last_price", context.trading_dt)
for order_book_id, positions in self._positions.items():
price = context.get_last_price(order_book_id)
if price == price:
for position in six.itervalues(positions):
#print("before update last price \n {}".format(position))
position.update_last_price(price)
def order_target_quantities(target_quantities: Dict[str, int]) -> List[Order]:
"""
make the account position to touch the target quantities
:param target_quantities: a dictionary contain the target quantities of position
:example:
.. code-block:: python
# adjust positions, to make the '000001.XSHE' to touch the target quantities 800
# make the '000002.XSHE' to touch the target quantities 400
order_target_quantities({
'000001.XSHE': 800
'000002.XSHE': 400
})
"""
context = Context.get_instance()
account = context.portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK]
close_orders, open_orders = [], []
current_quantities = {
p.order_book_id: p.quantity
for p in account.get_positions()
if p.direction == POSITION_DIRECTION.LONG
}
# close all position if the order_book_id not in the key list of target_quantities
for order_book_id, quantity in current_quantities.items():
if order_book_id not in target_quantities:
close_orders.append(
Order.__from_create__(order_book_id, quantity, SIDE.SELL,
MarketOrder(), POSITION_EFFECT.CLOSE))
round_lot = 100
for order_book_id, target_quantity in target_quantities.items():
if order_book_id in current_quantities:
delta_quantity = target_quantity - current_quantities[order_book_id]
else:
delta_quantity = target_quantity
if delta_quantity >= round_lot:
delta_quantity = math.floor(delta_quantity / round_lot) * round_lot
open_orders.append(
Order.__from_create__(order_book_id, delta_quantity, SIDE.BUY,
MarketOrder(), POSITION_EFFECT.OPEN))
elif delta_quantity < -1:
delta_quantity = math.floor(delta_quantity)
close_orders.append(
Order.__from_create__(order_book_id,
abs(delta_quantity), SIDE.SELL,
MarketOrder(), POSITION_EFFECT.CLOSE))
to_submit_orders = []
for order in chain(close_orders, open_orders):
#print("to submit order: {}".format(order))
to_submit_orders.append(order)
return to_submit_orders
def get_positions() -> List[Position]:
"""
get all available positions，
:example:
.. code-block:: python3
[In] get_positions()
[Out]
[BookingPosition({'order_book_id': '000014.XSHE', 'quantity': 100, 'direction': POSITION_DIRECTION.LONG, 'old_quantity': 0, 'trading_pnl': 1.0, 'avg_price': 9.56, 'last_price': 0, 'position_pnl': 0.0}),
BookingPosition({'order_book_id': '000010.XSHE', 'quantity': 100, 'direction': POSITION_DIRECTION.LONG, 'old_quantity': 0, 'trading_pnl': 0.0, 'avg_price': 3.09, 'last_price': 0, 'position_pnl': 0.0})]
"""
portfolio = Context.get_instance().portfolio
return portfolio.get_positions()
def test_senond_step_sell(self):
to_submit_orders = order_target_weights({self.order_book_id: 0.2})
state, reward, is_done, info = self.env.step(action=to_submit_orders)
order = to_submit_orders[0]
# this is a sell trade
#pdb.set_trace()
self.assertEqual(first=order.side, second=SIDE.SELL)
#
second_trading_dt = self.trading_dts[1]
expect_deal_price = self.data_source.get_last_price(
order_book_id=self.order_book_id, dt=second_trading_dt)
expect_deal_money = expect_deal_price * order.quantity
expect_commission_fee = expect_deal_money * self.commission_rate * self.commission_multiplier
expect_tax = expect_deal_money * self.tax_rate * self.tax_multiplier # no tax rate when buy
expect_transaction_cost = expect_commission_fee + expect_tax
print("expect_transaction_cost: {}".format(expect_transaction_cost))
second_trade = Context.get_instance().tracker._trades[1]
print(second_trade)
self.assertEqual(first=second_trade["order_book_id"],
second=self.order_book_id)
self.assertEqual(
first=second_trade["trading_datetime"],
second=second_trading_dt.strftime("%Y-%m-%d %H:%M:%S"))
self.assertEqual(first=second_trade["last_price"],
second=expect_deal_price)
self.assertEqual(first=second_trade["commission"],
second=expect_commission_fee)
self.assertEqual(first=second_trade["tax"], second=expect_tax)
self.assertEqual(first=second_trade["transaction_cost"],
second=expect_transaction_cost)
expect_cash_stock_settlement = self.expect_cash_stock_settlement + expect_deal_money - expect_transaction_cost
next_trading_dt = self.trading_dts[2]
expect_settlement_price = self.data_source.get_last_price(
order_book_id=self.order_book_id, dt=next_trading_dt)
expect_remaining_market_value_stock_settlement = (
self.first_trade["last_quantity"] -
second_trade["last_quantity"]) * expect_settlement_price
self.expect_total_value_stock_settlement = expect_cash_stock_settlement + expect_remaining_market_value_stock_settlement
self.expect_total_value_future_settlement = self.expect_total_value_future
expect_total_value_settlement = self.expect_total_value_stock_settlement + self.expect_total_value_future_settlement
expect_reward = (expect_total_value_settlement -
self.expect_total_value_settlement
) / self.expect_total_value_settlement
#pdb.set_trace()
self.assertAlmostEqual(first=reward, second=expect_reward)
def is_cash_enough(order, account, warn=True):
order_cost = order.frozen_price * order.quantity #instrument.calc_cash_occupation(order.frozen_price, order.quantity, order.position_direction)
order_cost += Context.get_instance().get_order_transaction_cost(order)
if order_cost <= account.cash:
return True
if warn:
print(
"Order Creation Failed: not enough money to buy {order_book_id}, needs {cost_money:.2f},"
" cash {cash:.2f}").format(
order_book_id=order.order_book_id,
cost_money=order_cost,
cash=account.cash,
)
return False
def register_event(self):
event_bus = Context.get_instance().event_bus
event_bus.add_listener(
EVENT.TRADE, lambda e: self.apply_trade(e.trade, e.order) if e.account == self else None
)
event_bus.add_listener(EVENT.ORDER_PENDING_NEW, self._on_order_pending_new)
event_bus.add_listener(EVENT.ORDER_CREATION_REJECT, self._on_order_unsolicited_update)
event_bus.add_listener(EVENT.ORDER_UNSOLICITED_UPDATE, self._on_order_unsolicited_update)
#event_bus.add_listener(EVENT.ORDER_CANCELLATION_PASS, self._on_order_unsolicited_update)
event_bus.add_listener(EVENT.PRE_BEFORE_TRADING, self._on_before_trading)
event_bus.add_listener(EVENT.SETTLEMENT, self._on_settlement)
event_bus.prepend_listener(EVENT.PRE_BAR, self._update_last_price)
def test_trading_dts_setup(self):
#test available trading dts
all_trading_dts = self.data_source.get_available_trading_dts()
expected_available_trading_dts = all_trading_dts[self.
look_backward_window -
1:]
actual_available_trading_dts = Context.get_instance(
).get_available_trading_dts()
self.assertListEqual(list(actual_available_trading_dts),
list(expected_available_trading_dts))
#test the first trading dt
expected_first_trading_dt = expected_available_trading_dts[0]
actual_first_trading_dt = Context.get_instance().trading_dt
self.assertEqual(actual_first_trading_dt, expected_first_trading_dt)
order_book_ids = self.data_source.get_available_order_book_ids()
expected_first_last_price = self.data_source.get_last_price(
order_book_id=order_book_ids[0], dt=expected_first_trading_dt)
actual_first_last_price = Context.get_instance().get_last_price(
order_book_id=order_book_ids[0])
self.assertEqual(actual_first_last_price, expected_first_last_price)
def get_position(
order_book_id: str,
direction: POSITION_DIRECTION = POSITION_DIRECTION.LONG) -> Position:
"""
get the position object from one specific order_book_id，
:param order_book_id:
:param direction:
:example:
.. code-block:: python3
[In] get_position('000014.XSHE','long_positions")
[Out]
[BookingPosition({'order_book_id': '000014.XSHE', 'quantity': 100, 'direction': POSITION_DIRECTION.LONG, 'old_quantity': 0, 'trading_pnl': 1.0, 'avg_price': 9.56, 'last_price': 0, 'position_pnl': 0.0})]
"""
portfolio = Context.get_instance().portfolio
return portfolio.get_position(order_book_id, direction)
def _submit_order(order_book_id, amount, side, position_effect, style,
quantity, auto_switch_order_value):
# param: amount: the target quantity of this order
# param: quantity: the quantity of exist position of order_book_id
context = Context.get_instance()
if isinstance(style, LimitOrder):
if not is_valid_price(style.get_limit_price()):
raise RuntimeError((u"Limit order price should be positive"))
price = context.get_last_price(order_book_id)
if not is_valid_price(price):
print("Order Creation Failed: [{order_book_id}] No market data"
).format(order_book_id=order_book_id)
return
round_lot = 100
if side in [SIDE.BUY, side.SELL]:
if not (side == SIDE.SELL and quantity == abs(amount)):
# KSH can buy(sell) 201, 202 shares
amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
if amount == 0:
print(
"Order Creation Failed: 0 order quantity, order_book_id={order_book_id}"
).format(order_book_id=order_book_id)
return
order = Order.__from_create__(order_book_id, abs(amount), side, style,
position_effect)
if order.type == ORDER_TYPE.MARKET:
order.set_frozen_price(price)
if side == SIDE.BUY and auto_switch_order_value:
account, position = _get_account_position_ins(order_book_id)
if not is_cash_enough(order, account):
print(
"insufficient cash, use all remaining cash({}) to create order"
).format(account.cash)
return _order_value(account, position, order_book_id, account.cash,
style)
return order
def _order_value(account, position, order_book_id, cash_amount, style):
context = Context.get_instance()
if cash_amount > 0:
cash_amount = min(cash_amount, account.cash)
if isinstance(style, LimitOrder):
price = style.get_limit_price()
else:
price = context.get_last_price(order_book_id)
if not is_valid_price(price):
print("Order Creation Failed: [{order_book_id}] No market data"
).format(order_book_id=order_book_id)
return
amount = int(Decimal(cash_amount) / Decimal(price))
round_lot = 100 #int(ins.round_lot)
if cash_amount > 0:
amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
while amount > 0:
expected_transaction_cost = context.get_order_transaction_cost(
Order.__from_create__(order_book_id, amount, SIDE.BUY,
LimitOrder(price), POSITION_EFFECT.OPEN))
if amount * price + expected_transaction_cost <= cash_amount:
break
amount -= round_lot
else:
print("Order Creation Failed: 0 order quantity")
return
if amount < 0:
amount = max(amount, -position.closable)
return _order_shares(order_book_id,
amount,
style,
position.quantity,
auto_switch_order_value=False)
def __from_create__(cls, order_book_id, quantity, side, style,
position_effect, **kwargs):
context = Context.get_instance()
order = cls()
order._order_id = next(order.order_id_gen)
order._calendar_dt = context.calendar_dt
order._trading_dt = context.trading_dt
order._quantity = quantity
order._order_book_id = order_book_id
order._side = side
order._position_effect = position_effect
order._message = ""
order._filled_quantity = 0
order._status = ORDER_STATUS.PENDING_NEW
if isinstance(style, LimitOrder):
order._frozen_price = style.get_limit_price()
order._type = ORDER_TYPE.LIMIT
else:
order._frozen_price = 0.
order._type = ORDER_TYPE.MARKET
order._avg_price = 0
order._transaction_cost = 0
order._kwargs = kwargs
return order
#!/usr/bin/env python3
# -*- coding: utf-8 -*-
from sharpe.utils.mock_data import create_toy_feature
from sharpe.data.data_source import DataSource
from sharpe.environment import TradingEnv
feature_df, price_s = create_toy_feature(order_book_ids_number=2,
feature_number=3,
random_seed=111)
data_source = DataSource(feature_df=feature_df, price_s=price_s)
env = TradingEnv(data_source=data_source, look_backward_window=2)
print('--------------------------------------------')
from sharpe.core.context import Context
print("current context \n", Context.get_instance().__dict__)
from sharpe.mod.sys_account.api import order_target_weights
to_submit_orders = order_target_weights({"000001.XSHE": 0.5})
state, reward, is_done, info = env.step(action=to_submit_orders)
print(state, reward, is_done)
# to_submit_orders2 = order_target_portfolio({"000001.XSHE":0.2})
# state, reward, is_done, info = env.step(action=to_submit_orders2)
# print(state, reward, is_done)
def test_first_step_buy_and_then_sell(self):
feature_df, price_s = create_toy_feature(order_book_ids_number=1,
feature_number=3,
random_seed=111)
data_source = DataSource(feature_df=feature_df, price_s=price_s)
order_book_ids = data_source.get_available_order_book_ids()
STOCK_INIT_CASH = 1000000
FUTURE_INIT_CASH = 10000
starting_cash = {"STOCK": STOCK_INIT_CASH, "FUTURE": FUTURE_INIT_CASH}
commission_rate = 0.0005 #default value in environment
tax_rate = 0.001 #default value in environment
commission_multiplier = 2
min_commission = 5
tax_multiplier = 1
"""
MANUALly check
first date:
target weight: 0.5
price at end: 77.53
target quantity: 6400
deal_money = 6400 * 77.53 = 496192
commition_fee_total = 496.192
availabel_cash_stock = 1000000 - 496192 - 496.192 = 503311.808
total_value_account_stock = 496192 + 503311.808 = 999503.808
total_value_account = 999503.808 + 10000 = 1009503.808
returns = 1009503.808/1010000 -1 = -0.0004912792079208028
second date:
target weight: 0.2
price at end: 69.78
stock_account_at_this_time: 6400*69.78 + 503311.808 = 949903.808
target quantity: 2700
to_trade_quantity: 3700
deal_money = 3700 * 69.78 = 258186
commition_fee_total = 258186 * (0.001 + 0.001) = 516.372
available_cash_stock = 503311.808 + 258186 - 516.372 = 760981.436
total_value_account_stock = 760981.436 + 2700*69.78 = 949387.436
total_value_account = 949387.436 + 10000 =959387.436
return = 959387.436/1009503.808 - 1 = -0.04964455963696568
"""
env = TradingEnv(data_source=data_source,
look_backward_window=2,
mode="non-rl",
starting_cash=starting_cash,
commission_multiplier=commission_multiplier,
min_commission=min_commission,
tax_multiplier=tax_multiplier)
print('--------------------------------------------')
#print("current context \n",Context.get_instance().__dict__)
context = Context.get_instance()
#stock account
expect_market_value_stock = 0
expect_cash_stock = starting_cash["STOCK"]
expect_total_value_stock = expect_cash_stock + expect_market_value_stock
#future account
expect_market_value_future = 0
expect_cash_future = starting_cash["FUTURE"]
expect_total_value_future = expect_cash_future + expect_market_value_future
expect_total_value_future = expect_total_value_future
#portfolio
expect_total_value_portfolio = expect_total_value_stock + expect_total_value_future
trading_dts = context.get_available_trading_dts()
first_trading_dt = trading_dts[0]
order_book_id = order_book_ids[0]
#
target_weight = 0.5
print(
"------------the first trading date: {}--------------------------".
format(env.trading_dt))
to_submit_orders = order_target_weights({order_book_id: target_weight})
submit_order = to_submit_orders[0]
# ============================================================= #
# step1: test trade correctness #
# ============================================================= #
expect_deal_price1 = data_source.get_last_price(
order_book_id=order_book_id, dt=first_trading_dt)
print("fisrt date end price: {}".format(expect_deal_price1))
expect_quantity1 = (STOCK_INIT_CASH *
target_weight) / expect_deal_price1
expect_quantity1 = int(round(expect_quantity1 / 100) * 100)
print((submit_order.quantity, expect_quantity1))
expect_deal_money = expect_deal_price1 * expect_quantity1
expect_commission_fee = expect_deal_money * commission_rate * commission_multiplier
expect_tax = 0 # no tax rate when buy
expect_transaction_cost = expect_commission_fee + expect_tax
state, reward, is_done, info = env.step(action=to_submit_orders)
true_order = context.tracker._orders[0]
print(true_order)
first_trade = context.tracker._trades[0]
#first_trade = first_trade
self.assertEqual(first=first_trade["order_book_id"],
second=order_book_id)
self.assertEqual(first=first_trade["trading_datetime"],
second=first_trading_dt.strftime("%Y-%m-%d %H:%M:%S"))
self.assertEqual(first=first_trade["last_price"],
second=expect_deal_price1)
self.assertEqual(first=first_trade["commission"],
second=expect_commission_fee)
self.assertEqual(first=first_trade["tax"], second=expect_tax)
self.assertEqual(first=first_trade["transaction_cost"],
second=expect_transaction_cost)
# =========================================== #
# step2.1 test position #
# step2.2 test account #
# step2.3 test portfolio #
# =========================================== #
# portfolio and accounts change after trading
#stock account
expect_market_value_stock = expect_deal_money #496192
expect_cash_stock = starting_cash[
"STOCK"] - expect_market_value_stock - expect_transaction_cost #502448.2768
expect_total_value_stock = expect_cash_stock + expect_market_value_stock
portfolio = Context.get_instance().portfolio
stock_account = portfolio.stock_account
position1 = stock_account.get_position(order_book_id,
POSITION_DIRECTION.LONG)
print(expect_market_value_stock, position1.market_value)
#pdb.set_trace()
assert expect_market_value_stock == position1.market_value
print(expect_market_value_stock, stock_account.market_value)
print(expect_cash_stock, stock_account.total_cash)
print(expect_total_value_stock, stock_account.total_value)
self.assertEqual(expect_market_value_stock, position1.market_value)
self.assertEqual(expect_market_value_stock, stock_account.market_value)
self.assertEqual(expect_cash_stock, stock_account.total_cash)
self.assertEqual(expect_total_value_stock, stock_account.total_value)
# #future account
expect_market_value_future = 0
expect_cash_future = starting_cash["FUTURE"]
expect_total_value_future = expect_cash_future + expect_market_value_future
# #portfolio
expect_cash_portfolio = expect_cash_stock + expect_cash_future
expect_market_value = expect_market_value_stock + expect_market_value_future
expect_total_value_portfolio_new = expect_total_value_stock + expect_total_value_future
print(expect_cash_portfolio, portfolio.cash)
print(expect_market_value, portfolio.market_value)
print(expect_total_value_portfolio_new, portfolio.total_value)
portfolio_record = Context.get_instance().tracker._total_portfolio[0]
#print(portfolio_record)
expect_reward = (expect_total_value_portfolio_new /
expect_total_value_portfolio) - 1
print(expect_reward, reward, portfolio.daily_returns)
#pdb.set_trace()
self.assertEqual(expect_cash_portfolio, portfolio.cash)
self.assertEqual(expect_market_value, portfolio.market_value)
self.assertEqual(expect_total_value_portfolio_new,
portfolio.total_value)
self.assertEqual(expect_reward, reward)
# ============================================================== #
# the next dt trade #
# ============================================================== #
print(
"------------the second trading date: {}--------------------------"
.format(env.trading_dt))
target_weight = 0.2
second_trading_dt = trading_dts[1]
print(second_trading_dt, env.trading_dt)
self.assertEqual(second_trading_dt, env.trading_dt)
to_submit_orders = order_target_weights({order_book_id: target_weight})
order = to_submit_orders[0]
#pdb.set_trace()
expect_deal_price = data_source.get_last_price(
order_book_id=order_book_id, dt=second_trading_dt)
print("second date end price: {}".format(expect_deal_price))
#here is the point: we need to get the updated account total value
expect_deal_price = data_source.get_last_price(
order_book_id=order_book_id, dt=second_trading_dt) #69.78
expect_market_value_stock = expect_quantity1 * expect_deal_price
expect_cash_stock = expect_cash_stock
expect_total_value_stock = expect_cash_stock + expect_market_value_stock
expect_quantity2 = (expect_total_value_stock *
target_weight) / expect_deal_price
expect_quantity2 = int(round(expect_quantity2 / 100) * 100)
to_trade_quantity = abs(expect_quantity2 - expect_quantity1)
#expect_quantity = true_order.quantity #allow not 100 times
#print((, expetrue_orderct_quantity))
expect_deal_money = expect_deal_price * to_trade_quantity
expect_commission_fee = expect_deal_money * commission_rate * commission_multiplier
expect_tax = expect_deal_money * tax_rate * tax_multiplier # no tax rate when buy, but charge when sell
expect_transaction_cost = expect_commission_fee + expect_tax
#pdb.set_trace()
state, reward, is_done, info = env.step(action=to_submit_orders)
true_order = context.tracker._orders[1]
# if sell, allow the quantity is not 100 times
print(true_order)
second_trade = context.tracker._trades[1]
print(second_trade["order_book_id"], order_book_id)
print(second_trade["trading_datetime"],
second_trading_dt.strftime("%Y-%m-%d %H:%M:%S"))
print(second_trade["last_price"], expect_deal_price)
print(second_trade["commission"], expect_commission_fee)
print(second_trade["tax"], expect_tax)
print(second_trade["transaction_cost"], expect_transaction_cost)
self.assertEqual(first=second_trade["order_book_id"],
second=order_book_id)
self.assertEqual(
first=second_trade["trading_datetime"],
second=second_trading_dt.strftime("%Y-%m-%d %H:%M:%S"))
self.assertEqual(first=second_trade["last_price"],
second=expect_deal_price)
self.assertEqual(first=second_trade["commission"],
second=expect_commission_fee)
self.assertEqual(first=second_trade["tax"], second=expect_tax)
self.assertEqual(first=second_trade["transaction_cost"],
second=expect_transaction_cost)
#pdb.set_trace()
# here is important and think why use settlement price rather the trade price
# the special case. when sell at the end time of the trading time. the settlement price is equal to the trade price
expect_cash_stock_settlement = expect_cash_stock + expect_deal_money - expect_transaction_cost
expect_settlement_price = data_source.get_last_price(
order_book_id=order_book_id, dt=second_trading_dt)
position1 = stock_account.get_position(order_book_id,
POSITION_DIRECTION.LONG)
print(position1)
#expect_remaining_market_value_stock_settlement = (first_trade["last_quantity"] - second_trade["last_quantity"]) * expect_settlement_price
expect_market_value_stock_settlement = position1.quantity * expect_settlement_price
expect_total_value_stock_settlement = expect_cash_stock_settlement + expect_market_value_stock_settlement
portfolio = Context.get_instance().portfolio
stock_account = portfolio.stock_account
position1 = stock_account.get_position(order_book_id,
POSITION_DIRECTION.LONG)
#expect_reward = (expect_total_value_settlement - self.expect_total_value_settlement) / self.expect_total_value_settlement
print(expect_market_value_stock_settlement, position1.market_value)
print(expect_market_value_stock_settlement, stock_account.market_value)
print(expect_cash_stock_settlement, stock_account.total_cash)
print(expect_total_value_stock_settlement, stock_account.total_value)
#pdb.set_trace()
self.assertEqual(expect_market_value_stock_settlement,
position1.market_value)
self.assertEqual(expect_market_value_stock_settlement,
stock_account.market_value)
self.assertEqual(expect_cash_stock_settlement,
stock_account.total_cash)
self.assertEqual(expect_total_value_stock_settlement,
stock_account.total_value)
expect_cash_future_settlement = starting_cash["FUTURE"]
expect_market_value_future_settlement = 0
expect_total_value_future_settlement = expect_cash_future_settlement + expect_market_value_future_settlement
expect_cash_portfolio_settlement = expect_cash_stock_settlement + expect_cash_future_settlement
expect_market_value_portfolio_settlement = expect_market_value_stock_settlement + expect_market_value_future_settlement
expect_total_value_settlement_portfolio_2 = expect_total_value_stock_settlement + expect_total_value_future_settlement
#pdb.set_trace()
print(expect_cash_portfolio_settlement, portfolio.cash)
print(expect_market_value_portfolio_settlement, portfolio.market_value)
print(expect_total_value_settlement_portfolio_2, portfolio.total_value)
expect_reward = (expect_total_value_settlement_portfolio_2 /
expect_total_value_portfolio_new) - 1
print(expect_reward, reward, portfolio.daily_returns)
#pdb.set_trace()
self.assertEqual(expect_cash_portfolio_settlement, portfolio.cash)
self.assertEqual(expect_market_value_portfolio_settlement,
portfolio.market_value)
self.assertEqual(expect_total_value_settlement_portfolio_2,
portfolio.total_value)
self.assertEqual(expect_reward, reward)
print(
"------------the third trading date: {}--------------------------".
format(env.trading_dt))
third_trading_dt = trading_dts[2]
print(second_trading_dt, env.trading_dt)
target_weight = 0.0
to_submit_orders = order_target_weights({order_book_id: target_weight})
expect_deal_price = data_source.get_last_price(
order_book_id=order_book_id, dt=third_trading_dt)
print("third date end price: {}".format(expect_deal_price)) #72.5
expect_quantity = 0 #allow not 100 times
to_trade_quantity = expect_quantity2
# #print((, expetrue_orderct_quantity))
expect_deal_money = expect_deal_price * to_trade_quantity
expect_commission_fee = expect_deal_money * commission_rate * commission_multiplier
expect_tax = expect_deal_money * tax_rate * tax_multiplier # no tax rate when buy
expect_transaction_cost = expect_commission_fee + expect_tax
state, reward, is_done, info = env.step(action=to_submit_orders)
order = to_submit_orders[0]
true_order = context.tracker._orders[2]
# if sell, allow the quantity is not 100 times
print(true_order)
third_trade = context.tracker._trades[2]
print(third_trade["order_book_id"], order_book_id)
print(third_trade["trading_datetime"],
second_trading_dt.strftime("%Y-%m-%d %H:%M:%S"))
print(third_trade["last_price"], expect_deal_price)
print(third_trade["commission"], expect_commission_fee)
print(third_trade["tax"], expect_tax)
print(third_trade["transaction_cost"], expect_transaction_cost)
#pdb.set_trace()
self.assertEqual(first=third_trade["order_book_id"],
second=order_book_id)
self.assertEqual(first=third_trade["trading_datetime"],
second=third_trading_dt.strftime("%Y-%m-%d %H:%M:%S"))
self.assertEqual(first=third_trade["last_price"],
second=expect_deal_price)
self.assertEqual(first=third_trade["commission"],
second=expect_commission_fee)
self.assertEqual(first=third_trade["tax"], second=expect_tax)
self.assertEqual(first=third_trade["transaction_cost"],
second=expect_transaction_cost)
# # here is important and think why use settlement price rather the trade price
# # the special case. when sell at the end time of the trading time. the settlement price is equal to the trade price
expect_cash_stock_settlement = expect_cash_stock_settlement + expect_deal_money - expect_transaction_cost
expect_settlement_price = data_source.get_last_price(
order_book_id=order_book_id, dt=third_trading_dt)
position = stock_account.get_position(order_book_id,
POSITION_DIRECTION.LONG)
print(position)
expect_market_value_stock_settlement = position.quantity * expect_settlement_price
print("expect_market_value_stock_settlement: {}".format(
expect_market_value_stock_settlement))
#expect_remaining_market_value_stock_settlement = (first_trade["last_quantity"] - second_trade["last_quantity"]) * expect_settlement_price
expect_total_value_stock_settlement = expect_cash_stock_settlement + expect_market_value_stock_settlement
portfolio = Context.get_instance().portfolio
stock_account = portfolio.stock_account
position1 = stock_account.get_position(order_book_id,
POSITION_DIRECTION.LONG)
print(expect_market_value_stock_settlement, position1.market_value)
print(expect_market_value_stock_settlement, stock_account.market_value)
print("---------------------")
print(expect_cash_stock_settlement, stock_account.total_cash)
print(expect_total_value_stock_settlement, stock_account.total_value)
#pdb.set_trace()
self.assertEqual(expect_market_value_stock_settlement,
position1.market_value)
self.assertEqual(expect_market_value_stock_settlement,
stock_account.market_value)
self.assertEqual(expect_cash_stock_settlement,
stock_account.total_cash)
self.assertEqual(expect_total_value_stock_settlement,
stock_account.total_value)
expect_cash_future_settlement = starting_cash["FUTURE"]
expect_market_value_future_settlement = 0
expect_total_value_future_settlement = expect_cash_future_settlement + expect_market_value_future_settlement
expect_cash_portfolio_settlement = expect_cash_stock_settlement + expect_cash_future_settlement
expect_market_value_portfolio_settlement = expect_market_value_stock_settlement + expect_market_value_future_settlement
expect_total_value_settlement_portfolio = expect_total_value_stock_settlement + expect_total_value_future_settlement
print(expect_cash_portfolio_settlement, portfolio.cash)
print(expect_market_value_portfolio_settlement, portfolio.market_value)
print(expect_total_value_settlement_portfolio, portfolio.total_value)
expect_reward = (expect_total_value_settlement_portfolio /
expect_total_value_settlement_portfolio_2) - 1
print(expect_reward, reward, portfolio.daily_returns)
print(portfolio.cash, portfolio.market_value, portfolio.total_value)
#pdb.set_trace()
self.assertEqual(expect_cash_portfolio_settlement, portfolio.cash)
self.assertEqual(expect_market_value_portfolio_settlement,
portfolio.market_value)
self.assertEqual(expect_total_value_settlement_portfolio,
portfolio.total_value)
self.assertEqual(expect_reward, reward)
def reset(self):
state = Context.get_instance().history_bars()
return state
def test_portfolio_setup(self):
portfolio = Context.get_instance().portfolio
expected_total_value = sum(self.starting_cash.values())
actual_total_value = portfolio.total_value
self.assertEqual(actual_total_value, expected_total_value)
def setUp(self):
#feature_df, price_s = create_toy_feature(order_book_ids_number=2, feature_number=3, start="2020-01-01", end="2020-01-11", random_seed=111)
feature_df, price_s = create_toy_feature(order_book_ids_number=1,
feature_number=3,
random_seed=111)
data_source = DataSource(feature_df=feature_df, price_s=price_s)
#order_book_ids = data_source.get_available_order_book_ids()
self.data_source = DataSource(feature_df=feature_df, price_s=price_s)
self.order_book_ids = self.data_source.get_available_order_book_ids()
self.look_backward_window = 2
self.starting_cash = {"STOCK": 1000000, "FUTURE": 10000}
self.commission_rate = 0.0005
self.tax_rate = 0.001
self.commission_multiplier = 1
self.min_commission = 5
self.tax_multiplier = 1
self.env = TradingEnv(data_source=self.data_source,
look_backward_window=self.look_backward_window,
mode="rl",
starting_cash=self.starting_cash,
commission_multiplier=self.commission_multiplier,
min_commission=self.min_commission,
tax_multiplier=self.tax_multiplier)
context = Context.get_instance()
#stock account
expect_market_value_stock = 0
expect_cash_stock = self.starting_cash["STOCK"]
expect_total_value_stock = expect_cash_stock + expect_market_value_stock
#future account
expect_market_value_future = 0
expect_cash_future = self.starting_cash["FUTURE"]
expect_total_value_future = expect_cash_future + expect_market_value_future
self.expect_total_value_future = expect_total_value_future
#portfolio
expect_total_value = expect_total_value_stock + expect_total_value_future
self.trading_dts = context.get_available_trading_dts()
first_trading_dt = self.trading_dts[0]
self.order_book_id = self.order_book_ids[0]
print("-------------first_trading_dt: {}----------".format(
context.trading_dt))
to_submit_orders = order_target_weights({self.order_book_id: 0.5})
order = to_submit_orders[0]
expect_deal_price = self.data_source.get_last_price(
order_book_id=self.order_book_id, dt=first_trading_dt)
expect_deal_money = expect_deal_price * order.quantity
expect_commission_fee = expect_deal_money * self.commission_rate * self.commission_multiplier
expect_tax = 0 # no tax rate when buy
expect_transaction_cost = expect_commission_fee + expect_tax
#pdb.set_trace()
state, reward, is_done, info = self.env.step(action=to_submit_orders)
first_trade = context.tracker._trades[0]
#pdb.set_trace()
self.first_trade = first_trade
self.assertEqual(first=first_trade["order_book_id"],
second=self.order_book_id)
self.assertEqual(first=first_trade["trading_datetime"],
second=first_trading_dt.strftime("%Y-%m-%d %H:%M:%S"))
self.assertEqual(first=first_trade["last_price"],
second=expect_deal_price)
self.assertEqual(first=first_trade["commission"],
second=expect_commission_fee)
self.assertEqual(first=first_trade["tax"], second=expect_tax)
self.assertEqual(first=first_trade["transaction_cost"],
second=expect_transaction_cost)
# portfolio and accounts change after trading
#stock account
expect_market_value_stock = expect_deal_money
expect_cash_stock = self.starting_cash[
"STOCK"] - expect_market_value_stock - expect_transaction_cost #502448.2768
#expect_total_value_stock = expect_cash_stock + expect_market_value_stock
#future account
#expect_market_value_future = 0
#expect_cash_future = self.starting_cash["FUTURE"]
#expect_total_value_future = expect_cash_future + expect_market_value_future
#portfolio
#expect_total_value = expect_total_value_stock + expect_total_value_future
# settlement on the next bar
next_trading_dt = self.trading_dts[1]
expect_settlement_price = self.data_source.get_last_price(
order_book_id=self.order_book_id, dt=next_trading_dt)
expect_market_value_stock_settlement = first_trade[
"last_quantity"] * expect_settlement_price
self.expect_cash_stock_settlement = expect_cash_stock
self.expect_total_value_stock_settlement = self.expect_cash_stock_settlement + expect_market_value_stock_settlement
self.expect_total_value_future_settlement = expect_total_value_future
self.expect_total_value_settlement = self.expect_total_value_stock_settlement + self.expect_total_value_future_settlement
expect_reward = (self.expect_total_value_settlement -
expect_total_value) / expect_total_value
self.assertAlmostEqual(first=reward, second=expect_reward)
def step(self, action):
reward, is_done, info = self._executor.send(action)
#pdb.set_trace()
next_state = Context.get_instance().history_bars()
return next_state, reward, is_done, info
def _on_before_trading(self, _):
trading_date = Context.get_instance().trading_dt.date()
for position in self._iter_pos():
self._total_cash += position.before_trading(trading_date)
def test_order_target_value(self):
feature_df, price_s = create_toy_feature(order_book_ids_number=3,
feature_number=3,
random_seed=111)
data_source = DataSource(feature_df=feature_df, price_s=price_s)
all_order_book_ids = data_source.get_available_order_book_ids()
print(all_order_book_ids)
STOCK_INIT_CASH = 1000000
env = TradingEnv(data_source=data_source,
look_backward_window=2,
mode="non-rl",
starting_cash={"STOCK": STOCK_INIT_CASH},
commission_multiplier=0,
min_commission=0,
tax_multiplier=0)
state = env.reset()
order_book_id = "000001.XSHE"
print(
"-----------------------current trading dt: {}-----------------------------------"
.format(Context.get_instance().trading_dt))
last_price = Context.get_instance().get_last_price(order_book_id)
to_submit_orders1 = order_target_value(order_book_id, 500000)
expect_quantity = int((500000 / last_price) / 100) * 100
assert expect_quantity == to_submit_orders1.quantity
self.assertEqual(first=expect_quantity,
second=to_submit_orders1.quantity)
state, reward, is_done, info = env.step(action=[to_submit_orders1])
current_positions0 = get_position(all_order_book_ids[0],
POSITION_DIRECTION.LONG)
print(
"-----------------------current trading dt: {}-----------------------------------"
.format(Context.get_instance().trading_dt))
last_price = Context.get_instance().get_last_price(order_book_id)
print(last_price)
#current_positions2 = get_position(all_order_book_ids[0], POSITION_DIRECTION.LONG)
to_submit_orders2 = order_target_value(order_book_id, 600000)
gap_value = 600000 - current_positions0.market_value
expect_quantity = int((gap_value / last_price) / 100) * 100
assert expect_quantity == to_submit_orders2.quantity
self.assertEqual(first=expect_quantity,
second=to_submit_orders2.quantity)
state, reward, is_done, info = env.step(action=[to_submit_orders2])
current_positions2 = get_position(all_order_book_ids[0],
POSITION_DIRECTION.LONG)
print(
"-----------------------current trading dt: {}-----------------------------------"
.format(Context.get_instance().trading_dt))
last_price = Context.get_instance().get_last_price(order_book_id)
print("price: {}".format(last_price))
# to_submit_orders3 = order_value(order_book_id, 100000)
to_submit_orders3 = order_target_value(order_book_id, 100000)
gap_value = 100000 - current_positions2.market_value
expect_quantity = abs(int((gap_value / last_price) / 100) * 100)
self.assertEqual(first=expect_quantity,
second=to_submit_orders3.quantity)
self.assertEqual(first=to_submit_orders3.side, second=SIDE.SELL)
self.assertEqual(first=to_submit_orders3.position_effect,
second=POSITION_EFFECT.CLOSE)
def prev_close(self):
if not is_valid_price(self._prev_close):
context = Context.get_instance()
self._prev_close = context.data_source.get_prev_close(self._order_book_id, context.trading_dt)
return self._prev_close
def _get_account_position_ins(order_book_id):
account = Context.get_instance().portfolio.accounts[
DEFAULT_ACCOUNT_TYPE.STOCK]
position = account.get_position(order_book_id, POSITION_DIRECTION.LONG)
return account, position
def _open_orders(self):
for order in Context.get_instance().broker.get_open_orders(self.order_book_id):
if order.position_direction == self._direction:
yield order
def _get_tax(self, order_book_id, side, cost_money):
instrument_type = Context.get_instance().data_source.instrument_type(
order_book_id)
if instrument_type != 'CS':
return 0
return cost_money * self.tax_rate * self.tax_multiplier if side == SIDE.SELL else 0
def order_target_weights(target_weights: Dict[str, float]) -> List[Order]:
"""
make the account position to touch the target position
:param target_weights: a dictionary contain the target weight of position
:example:
.. code-block:: python
# adjust positions, to make the '000001.XSHE' to touch the target percent of account 10%
# make the '000002.XSHE' to touch the target percent of account 15%
order_target_weights({
'000001.XSHE': 0.1
'000002.XSHE': 0.15
})
"""
total_percent = sum(six.itervalues(target_weights))
if total_percent > 1 and not np.isclose(total_percent, 1):
raise RuntimeError("total percent should be lower than 1, current: {}"
).format(total_percent)
context = Context.get_instance()
account = context.portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK]
account_value = account.get_current_trading_dt_total_value()
#
target_quantities = {}
for order_book_id, target_percent in target_weights.items():
if target_percent < 0:
raise RuntimeError(
"target percent of {} should between 0 and 1, current: {}".
format(order_book_id, target_percent))
price = context.get_last_price(order_book_id)
#print("trading_dt:{} current price: {}".format(context.trading_dt, price))
if not is_valid_price(price):
print("Order Creation Failed: [{order_book_id}] No market data".
format(order_book_id=order_book_id))
continue
target_quantity = account_value * target_percent / price
target_quantities[order_book_id] = int(
round(target_quantity / 100) * 100) #target_quantity#
close_orders, open_orders = [], []
current_quantities = {
p.order_book_id: p.quantity
for p in account.get_positions()
if p.direction == POSITION_DIRECTION.LONG
}
for order_book_id, quantity in current_quantities.items():
if order_book_id not in target_weights:
close_orders.append(
Order.__from_create__(order_book_id, quantity, SIDE.SELL,
MarketOrder(), POSITION_EFFECT.CLOSE))
round_lot = 100
for order_book_id, target_quantity in target_quantities.items():
if order_book_id in current_quantities:
delta_quantity = target_quantity - current_quantities[order_book_id]
else:
delta_quantity = target_quantity
if delta_quantity >= round_lot:
delta_quantity = math.floor(delta_quantity / round_lot) * round_lot
open_orders.append(
Order.__from_create__(order_book_id, delta_quantity, SIDE.BUY,
MarketOrder(), POSITION_EFFECT.OPEN))
elif delta_quantity < -1:
delta_quantity = math.floor(delta_quantity)
close_orders.append(
Order.__from_create__(order_book_id,
abs(delta_quantity), SIDE.SELL,
MarketOrder(), POSITION_EFFECT.CLOSE))
to_submit_orders = []
for order in chain(close_orders, open_orders):
#print("to submit order: {}".format(order))
to_submit_orders.append(order)
return to_submit_orders
def _register_event(self):
event_bus = Context.get_instance().event_bus
event_bus.prepend_listener(EVENT.PRE_BEFORE_TRADING,
self._pre_before_trading)
event_bus.prepend_listener(EVENT.POST_SETTLEMENT,
self._post_settlement)