async def _handle_data(self):
# print("******************************************************************")
clock = self.context.clock
current_date = clock.current_date
logger.current_date = current_date
current_timestamp = clock.current_timestamp
# print(current_date)
prebars=clock.pre_bar
pre_start = str(str2datetime(self.start) - datetime.timedelta(days=prebars))
try:
if not self.cache_data:
self.cache_data = self.context.prepare_data(self.universe, self.all_assets, self.benchmark,
self.frequency, pre_start, self.end, self.timezone)
except Exception:
output({"display_type": "error",
"error_msg": traceback.format_exc()})
return 1
# 记录初始持仓
start = self.start + ' ' + self.trigger_time[0] if self.trigger_time else self.start # 只支持一个trigger_time
if current_timestamp == str2timestamp(start):
for name, account in self.portfolio.accounts.items():
for asset, position in account.current_position.items():
position.context = self.context
init_portfolio_position = dict()
for asset in self.context.asset_varieties:
init_pp_detail = PortfolioPosition(self.context, asset, self.portfolio.accounts).detail()
init_portfolio_position[asset] = init_pp_detail
self.context.init_portfolio_position = init_portfolio_position
self.context.init_position_total = sum([asset['total_amount'] for asset in init_portfolio_position.values()])
self.context.init_total_account_position = {}
for name in self.context.accounts_name:
name_position = "{}_position".format(name)
total_amount = 0
for asset,value in self.context.init_portfolio_position.items():
if name in value['consist_of'].keys():
total_amount += value['consist_of'][name]['amount']
self.context.init_total_account_position[name_position] = total_amount
# logger.info('【记录初始持仓时间】：{} s'.format(str(time.time() - start2)[:5]))
try:
if str(current_date) in self.strategy_dates:
self.handle_data(self.context)
except Exception:
output({"display_type": "error",
"error_msg": traceback.format_exc()})
return 1
self.portfolio.record_history()
def record_history(self):
pp_detail = dict()
pp_total = dict()
orders = list()
all_total_profit = None
last_profit_and_loss = None
date = self.context.current_datetime()
last_date = self.context.previous_datetime()
for name, account in self.accounts.items():
account = account.to_dict()
orders.extend(account['orders'])
account['orders'].clear()
self.rebalance_history[date] = {
'portfolio_position': {
'detail': dict(),
'total': dict()
},
'orders': dict()
}
for asset in self.context.asset_varieties:
# TODO list to dict
pp_detail[asset] = PortfolioPosition(self.context, asset,
self.accounts).detail()
# portfolio_position.append(pp_detail)
all_total_profit = round(
sum([i['total_amount'] for i in pp_detail.values()]), 4)
# 各个持仓百分比
for asset in self.context.asset_varieties:
pp_detail[asset]['percentage_of_positions'] = round(
pp_detail[asset]['total_amount'] / all_total_profit, 4)
if self.first_flag:
last_profit_and_loss = 0
for asset in self.context.asset_varieties:
pp_detail[asset]["last_profit_and_loss"] = 0
self.first_flag = False
else:
last_profit_and_loss = round(
(all_total_profit / self.rebalance_history[last_date]
["portfolio_position"]['total']["profit"]) - 1, 4)
for asset in self.context.asset_varieties:
try:
profit_and_loss = round((
pp_detail[asset]["total_amount"] /
self.rebalance_history[last_date]["portfolio_position"]
['detail'][asset]["total_amount"]) - 1, 4)
except:
profit_and_loss = 0
pp_detail[asset]["last_profit_and_loss"] = profit_and_loss
self.rebalance_history[date]['orders'] = orders
pp_total = {
"assets": self.context.asset_varieties,
"profit": all_total_profit,
"last_profit_and_loss": last_profit_and_loss
}
self.rebalance_history[date]["portfolio_position"][
'detail'] = pp_detail
self.rebalance_history[date]["portfolio_position"]['total'] = pp_total