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update risk/frozen and many more
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update risk/frozen and many more
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@yutiansut
yutiansut authored Mar 1, 2019
2 parents 66e29ce + 99ad643 commit 661579d
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690 changes: 690 additions & 0 deletions EXAMPLE/2_类的测试与讲解/QAACCOUNT 保证金冻结释放测试.ipynb
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0 QUANTAXIS/QAARP/QAAccount.ipynb → EXAMPLE/2_类的测试与讲解/QAAccount.ipynb
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0 QUANTAXIS/QAARP/QAUSER.ipynb → EXAMPLE/2_类的测试与讲解/QAUSER.ipynb
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96 changes: 54 additions & 42 deletions QUANTAXIS/QAARP/QAAccount.py
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Original file line number Diff line number Diff line change
Expand Up @@ -333,8 +333,9 @@ def __init__(
self.allow_t0 = True
self.allow_sellopen = True

if self.allow_t0 and self.allow_sellopen or self.market_type is MARKET_TYPE.FUTURE_CN:
self.load_marketpreset()
self.market_preset = MARKET_PRESET()
# if self.allow_t0 and self.allow_sellopen or self.market_type is MARKET_TYPE.FUTURE_CN:
# self.load_marketpreset()
"""期货的多开/空开 ==> 资金冻结进保证金 frozen
对应平仓的时候, 释放保证金
Expand Down Expand Up @@ -379,6 +380,8 @@ def message(self):
str(self._currenttime),
'allow_sellopen':
self.allow_sellopen,
'allow_margin':
self.allow_margin,
'allow_t0':
self.allow_t0,
'margin_level':
Expand Down Expand Up @@ -409,7 +412,9 @@ def message(self):
'start_date':
self.start_date,
'end_date':
self.end_date
self.end_date,
'frozen':
self.frozen
}

@property
Expand Down Expand Up @@ -602,14 +607,6 @@ def hold(self):
).groupby('code').sum().replace(0,
np.nan).dropna().sort_index()

# @property
# def hold_available_temp(self):
# """可用持仓
# """
# return self._table.groupby('code').amount.sum().replace(
# 0,
# np.nan
# ).dropna().sort_index()

@property
def hold_available(self):
Expand Down Expand Up @@ -670,8 +667,11 @@ def daily_hold(self):
return pd.concat([res.reset_index().set_index('date'), pd.Series(data=None, index=pd.to_datetime(self.trade_range).set_names('date'), name='predrop')], axis=1)\
.ffill().drop(['predrop'], axis=1).reset_index().set_index(['date', 'account_cookie']).sort_index()

# 计算assets的时候 需要一个market_data=QA.QA_fetch_stock_day_adv(list(data.columns),data.index[0],data.index[-1])
# (market_data.to_qfq().pivot('close')*data).sum(axis=1)+user_cookie.get_account(a_1).daily_cash.set_index('date').cash

@property
def daily_frozen(self):
'每日交易结算时的持仓表'
return self.history_table.assign(date=pd.to_datetime(self.history_table.datetime)).set_index('date').resample('D').frozen.last()

@property
def latest_cash(self):
Expand Down Expand Up @@ -876,19 +876,19 @@ def receive_simpledeal(
if trade_towards in self.frozen[code].keys():
pass
else:
self.frozen[code][trade_towards] = {
self.frozen[code][str(trade_towards)] = {
'money': 0,
'amount': 0,
'avg_price': 0
}
else:
self.frozen[code] = {
ORDER_DIRECTION.BUY_OPEN: {
str(ORDER_DIRECTION.BUY_OPEN): {
'money': 0,
'amount': 0,
'avg_price': 0
},
ORDER_DIRECTION.SELL_OPEN: {
str(ORDER_DIRECTION.SELL_OPEN): {
'money': 0,
'amount': 0,
'avg_price': 0
Expand All @@ -903,73 +903,73 @@ def receive_simpledeal(
"""

self.frozen[code][trade_towards]['money'] = (
self.frozen[code][str(trade_towards)]['money'] = (
(
self.frozen[code][trade_towards]['money'] *
self.frozen[code][trade_towards]['amount']
self.frozen[code][str(trade_towards)]['money'] *
self.frozen[code][str(trade_towards)]['amount']
) + abs(trade_money)
) / (
self.frozen[code][trade_towards]['amount'] +
self.frozen[code][str(trade_towards)]['amount'] +
trade_amount
)
self.frozen[code][trade_towards]['avg_price'] = (
self.frozen[code][str(trade_towards)]['avg_price'] = (
(
self.frozen[code][trade_towards]['avg_price'] *
self.frozen[code][trade_towards]['amount']
self.frozen[code][str(trade_towards)]['avg_price'] *
self.frozen[code][str(trade_towards)]['amount']
) + abs(raw_trade_money)
) / (
self.frozen[code][trade_towards]['amount'] +
self.frozen[code][str(trade_towards)]['amount'] +
trade_amount
)
self.frozen[code][trade_towards]['amount'] += trade_amount
self.frozen[code][str(trade_towards)]['amount'] += trade_amount

self.cash.append(
self.cash[-1] - abs(trade_money) - commission_fee -
tax_fee
)
elif trade_towards in [ORDER_DIRECTION.BUY_CLOSE,
ORDER_DIRECTION.SELL_CLOSE]:
elif trade_towards in [ORDER_DIRECTION.BUY_CLOSE, ORDER_DIRECTION.BUY_CLOSETODAY,
ORDER_DIRECTION.SELL_CLOSE, ORDER_DIRECTION.SELL_CLOSETODAY]:
# 平仓单释放现金
# if trade_towards == ORDER_DIRECTION.BUY_CLOSE:
# 卖空开仓 平仓买入
# self.cash
if trade_towards == ORDER_DIRECTION.BUY_CLOSE: # 买入平仓 之前是空开
if trade_towards in [ORDER_DIRECTION.BUY_CLOSE, ORDER_DIRECTION.BUY_CLOSETODAY]: # 买入平仓 之前是空开
# self.frozen[code][ORDER_DIRECTION.SELL_OPEN]['money'] -= trade_money
self.frozen[code][ORDER_DIRECTION.SELL_OPEN
self.frozen[code][str(ORDER_DIRECTION.SELL_OPEN)
]['amount'] -= trade_amount

frozen_part = self.frozen[code][
ORDER_DIRECTION.SELL_OPEN]['money'] * trade_amount
str(ORDER_DIRECTION.SELL_OPEN)]['money'] * trade_amount
# 账户的现金+ 冻结的的释放 + 买卖价差* 杠杆
self.cash.append(
self.cash[-1] + frozen_part +
(frozen_part - trade_money) / frozen -
commission_fee - tax_fee
)
if self.frozen[code][ORDER_DIRECTION.SELL_OPEN
if self.frozen[code][str(ORDER_DIRECTION.SELL_OPEN)
]['amount'] == 0:
self.frozen[code][ORDER_DIRECTION.SELL_OPEN
self.frozen[code][str(ORDER_DIRECTION.SELL_OPEN)
]['money'] = 0
self.frozen[code][ORDER_DIRECTION.SELL_OPEN
self.frozen[code][str(ORDER_DIRECTION.SELL_OPEN)
]['avg_price'] = 0

elif trade_towards == ORDER_DIRECTION.SELL_CLOSE: # 卖出平仓 之前是多开
elif trade_towards in [ORDER_DIRECTION.SELL_CLOSE, ORDER_DIRECTION.SELL_CLOSETODAY]: # 卖出平仓 之前是多开
# self.frozen[code][ORDER_DIRECTION.BUY_OPEN]['money'] -= trade_money
self.frozen[code][ORDER_DIRECTION.BUY_OPEN
self.frozen[code][str(ORDER_DIRECTION.BUY_OPEN)
]['amount'] -= trade_amount

frozen_part = self.frozen[code][ORDER_DIRECTION.BUY_OPEN
frozen_part = self.frozen[code][str(ORDER_DIRECTION.BUY_OPEN)
]['money'] * trade_amount
self.cash.append(
self.cash[-1] + frozen_part +
(abs(trade_money) - frozen_part) / frozen -
commission_fee - tax_fee
)
if self.frozen[code][ORDER_DIRECTION.BUY_OPEN
if self.frozen[code][str(ORDER_DIRECTION.BUY_OPEN)
]['amount'] == 0:
self.frozen[code][ORDER_DIRECTION.BUY_OPEN
self.frozen[code][str(ORDER_DIRECTION.BUY_OPEN)
]['money'] = 0
self.frozen[code][ORDER_DIRECTION.BUY_OPEN
self.frozen[code][str(ORDER_DIRECTION.BUY_OPEN)
]['avg_price'] = 0
else: # 不允许卖空开仓的==> 股票

Expand Down Expand Up @@ -1007,7 +1007,8 @@ def receive_simpledeal(
)

else:
# print(self.cash[-1])
print('ALERT MONEY NOT ENOUGH!!!')
print(self.cash[-1])
self.cash_available = self.cash[-1]
#print('NOT ENOUGH MONEY FOR {}'.format(order_id))

Expand Down Expand Up @@ -1366,7 +1367,7 @@ def close_positions_order(self):
)
)

def settle(self):
def settle(self, settle_data = None):
"""
股票/期货的日结算
Expand All @@ -1375,8 +1376,16 @@ def settle(self):
期货的结算: 结转静态资金
"""
@2019-02-25 yutiansut
hold 在下面要进行大变化:
从 只计算数量 ==> 数量+成本+买入价 (携带更多信息)
基于history去计算hold ==> last_settle+ today_pos_change
"""
print('FROM QUANTAXIS QA_ACCOUNT: account settle')
if self.running_environment == RUNNING_ENVIRONMENT.TZERO and self.hold_available.sum(
) != 0:
raise RuntimeError(
Expand All @@ -1385,6 +1394,7 @@ def settle(self):
)
)
if self.market_type == MARKET_TYPE.FUTURE_CN:
# 增加逐日盯市制度

self.static_balance['frozen'].append(
sum(
Expand Down Expand Up @@ -1489,6 +1499,7 @@ def from_message(self, message):
self.strategy_name = message.get('strategy_name', None)
self._currenttime = message.get('current_time', None)
self.allow_sellopen = message.get('allow_sellopen', False)
self.allow_margin = message.get('allow_margin', False)
self.allow_t0 = message.get('allow_t0', False)
self.margin_level = message.get('margin_level', False)
self.frequence = message.get('frequence', FREQUENCE.FIFTEEN_MIN) #默认15min
Expand All @@ -1510,6 +1521,7 @@ def from_message(self, message):
'running_environment',
RUNNING_ENVIRONMENT.BACKETEST
)
self.frozen = message.get('frozen', {})
self.settle()
return self

Expand Down
15 changes: 11 additions & 4 deletions QUANTAXIS/QAARP/QARisk.py
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Original file line number Diff line number Diff line change
Expand Up @@ -175,10 +175,17 @@ def __init__(


if self.market_value is not None:
self._assets = (
self.market_value.sum(axis=1) +
self.account.daily_cash.set_index('date').cash
).fillna(method='pad')
if self.account.market_type == MARKET_TYPE.FUTURE_CN and self.account.allow_margin == True:
print('margin!')
self._assets = (
self.market_value.sum(axis=1) + self.account.daily_frozen.fillna(0) +
self.account.daily_cash.set_index('date').cash
).fillna(method='pad')
else:
self._assets = (
self.market_value.sum(axis=1) +
self.account.daily_cash.set_index('date').cash
).fillna(method='pad')
else:
self._assets = self.account.daily_cash.set_index('date'
).cash.fillna(
Expand Down
2 changes: 1 addition & 1 deletion QUANTAXIS/QAARP/market_preset.py
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Original file line number Diff line number Diff line change
Expand Up @@ -262,7 +262,7 @@ def __init__(self):
'buy_frozen_coeff': 0.09,
'commission_coeff_peramount': 0.0001,
'commission_coeff_pervol': 0.0,
'commission_coeff_today_peramount': 5e-05,
'commission_coeff_today_peramount': 0.0001,
'commission_coeff_today_pervol': 0.0,
'exchange': 'SHFE',
'name': '螺纹钢',
Expand Down
1 change: 1 addition & 0 deletions QUANTAXIS/QAApplication/QABacktest.py
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Original file line number Diff line number Diff line change
Expand Up @@ -185,6 +185,7 @@ def run(self):
elif self.market_type in [MARKET_TYPE.FUND_CN,
MARKET_TYPE.INDEX_CN,
MARKET_TYPE.FUTURE_CN]:

self.market._settle(self.broker_name)

self.broker.run(
Expand Down
54 changes: 49 additions & 5 deletions QUANTAXIS/QAData/QADataStruct.py
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Original file line number Diff line number Diff line change
Expand Up @@ -203,7 +203,6 @@ def __init__(self, DataFrame, dtype='stock_min', if_fq='bfq'):
except Exception as e:
raise e


self.type = dtype
self.if_fq = if_fq

Expand Down Expand Up @@ -322,6 +321,33 @@ def month(self):
def quarter(self):
return self.resample('Q')

@property
@lru_cache()
def tradedate(self):
"""返回交易所日历下的日期
Returns:
[type] -- [description]
"""

try:
return self.date
except:
return None

@property
@lru_cache()
def tradetime(self):
"""返回交易所日历下的日期
Returns:
[type] -- [description]
"""

try:
return self.date
except:
return None
# @property
# @lru_cache()
# def semiannual(self):
Expand Down Expand Up @@ -359,15 +385,29 @@ def choose_db(self):

@property
@lru_cache()
def trade_date(self):
def tradedate(self):
"""返回交易所日历下的日期
Returns:
[type] -- [description]
"""

try:
return self.data.trade_date
return self.data.tradetime.apply(lambda x: x[0:10])
except:
return None

@property
@lru_cache()
def tradetime(self):
"""返回交易所日历下的日期
Returns:
[type] -- [description]
"""

try:
return self.data.tradetime
except:
return None

Expand Down Expand Up @@ -772,9 +812,11 @@ def __init__(self, data, dtype='unknown_day', if_fq='bfq'):
class QA_DataStruct_Min(_quotation_base):
'''这个类是个通用类 一般不使用 特定生成的时候可能会用到 只具备基类方法
'''

def __init__(self, data, dtype='unknown_min', if_fq='bfq'):
super().__init__(data, dtype, if_fq)


class _realtime_base():
"""
realtime 基类
Expand Down Expand Up @@ -942,7 +984,7 @@ def _data(self):
@property
def datetime(self):
return self.index.levels[0]

@property
def code(self):
return self.index.levels[1]
Expand All @@ -951,15 +993,17 @@ def serialize(self):
"""to_protobuf
"""
pass

def to_json(self):
return self.data.assign(code=self.code, datetime=str(self.datetime)).to_dict(orient='records')

def resample(self, level):
return QA_data_tick_resample(self.data, level)


QA_DataStruct_Future_realtime = QA_DataStruct_Stock_realtime


class QA_DataStruct_Stock_realtime_series():
def __init__(self, sr_series):

Expand Down
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