fix bug in trade

flike · May 13, 2020 · df5afc4 · df5afc4
1 parent 1e1985f
commit df5afc4
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Showing 4 changed files with 39 additions and 6 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -3,6 +3,7 @@
 ### fixed
 * xirrrate 支持调整时间起点，并修改内部 bug
 * 允许账单的 date 不出现在第一列
+* 修复了 trade 不支持按周计价净值基金的 bug
 
 ## v0.8.10 - 2020.05.01
 ### added

diff --git a/tests/test_trade.py b/tests/test_trade.py
@@ -81,6 +81,15 @@ def test_policy_buyandhold():
     assert round(cm_t2.xirrrate("2019-08-12", guess=-0.9), 2) == -0.33
 
 
+def test_weekly_price():
+    # see https://github.com/refraction-ray/xalpha/issues/27
+    ryjh = xa.fundinfo("008969")
+    bah = xa.policy.buyandhold(ryjh, start="2019-01-01", totmoney=100000)
+    bah.sellout("2020-05-12")  # 选定日期全部卖出
+    jshstrade = xa.trade(ryjh, bah.status)
+    assert round(jshstrade.xirrrate("2020-05-01", startdate="2020-02-01"), 1) == 0.2
+
+
 def test_policy_scheduled():
     auto = xa.policy.scheduled(
         cm, 1000, pd.date_range("2015-07-01", "2018-07-01", freq="W-THU")

diff --git a/xalpha/trade.py b/xalpha/trade.py
@@ -200,6 +200,7 @@ def __init__(self, infoobj, status):
         self.cftable = pd.DataFrame([], columns=["date", "cash", "share"])
         self.remtable = pd.DataFrame([], columns=["date", "rem"])
         self.status = status.loc[:, ["date", code]]
+        self.status = self.status[self.status[code] != 0]
         self._arrange()
 
     def _arrange(self):
@@ -221,7 +222,9 @@ def _addrow(self):
         分级份额折算日封闭无法买入，所以程序直接忽略当天的买卖。因此不会出现多个操作共存的情形。
         """
         # the design on data remtable is disaster, it is very dangerous though works now
-
+        # possibly failing cases include:
+        # 买卖日记录是节假日，而顺延的日期恰好是折算日（理论上无法申赎）或分红日（可能由于 date 和 rdate 的错位而没有考虑到），
+        # 又比如周日申购记录，周一申购记录，那么周日记录会现金流记在周一，继续现金流标更新将从周二开始，周一数据被丢弃
         code = self.aim.code
         if len(self.cftable) == 0:
             if len(self.status[self.status[code] != 0]) == 0:
@@ -238,7 +241,10 @@ def _addrow(self):
                 raise TradeBehaviorError("You cannot sell first when you never buy")
         elif len(self.cftable) > 0:
             recorddate = list(self.status.date)
-            lastdate = self.cftable.iloc[-1].date + pd.Timedelta(1, unit="d")
+            if not getattr(self, "lastdate", None):
+                lastdate = self.cftable.iloc[-1].date + pd.Timedelta(1, unit="d")
+            else:
+                lastdate = self.lastdate + pd.Timedelta(1, unit="d")
             while (lastdate not in self.aim.specialdate) and (
                 (lastdate not in recorddate)
                 or (
@@ -255,14 +261,29 @@ def _addrow(self):
             if (lastdate - yesterdayobj()).days >= 1:
                 raise Exception("no other info to be add into cashflow table")
             date = lastdate
+            # 无净值日优先后移，无法后移则前移
+            if len(self.price[self.price["date"] >= date]) > 0:
+                date = self.price[self.price["date"] >= date].iloc[0]["date"]
+            else:
+                date = self.price[self.price["date"] <= date].iloc[-1]["date"]
+            if date != lastdate and date in list(self.status.date):
+                # 日期平移到了其他记录日，很可能出现问题!
+                logger.warning(
+                    "账单日期 %s 非 %s 的净值记录日期，日期智能平移后 %s 与账单其他日期重合！交易处理极可能出现问题！！ "
+                    "靠后日期的记录被覆盖" % (lastdate, self.code, date)
+                )
+            self.lastdate = lastdate
+            if date > lastdate:
+                self.lastdate = date
+            # see https://github.com/refraction-ray/xalpha/issues/27, begin new date from last one in df is not reliable
             label = self.aim.dividend_label  # 现金分红 0, 红利再投 1
             cash = 0
             share = 0
             rem = self.remtable.iloc[-1].rem
             rdate = date
-            if (date in recorddate) and (date not in self.aim.zhesuandate):
+            if (lastdate in recorddate) and (date not in self.aim.zhesuandate):
                 # deal with buy and sell and label the fenhongzaitouru, namely one label a 0.05 in the original table to label fenhongzaitouru
-                value = self.status[self.status["date"] == date].iloc[0].loc[code]
+                value = self.status[self.status["date"] <= lastdate].iloc[-1].loc[code]
                 fenhongmark = round(10 * value - int(10 * value), 1)
                 if fenhongmark == 0.5 and label == 0:
                     label = 1  # fenhong reinvest
@@ -282,7 +303,9 @@ def _addrow(self):
                     _, rem = rm.sell(rem, -dshare, rdate)
                 elif value >= -0.005 and value < 0:
                     # value now stands for the ratio to be sold in terms of remain positions, -0.005 stand for sell 100%
-                    remainshare = sum(self.cftable.loc[:, "share"])
+                    remainshare = sum(
+                        self.cftable[self.cftable["date"] <= date].loc[:, "share"]
+                    )
                     ratio = -value / 0.005
                     rdate, dcash, dshare = self.aim.shuhui(
                         remainshare * ratio, date, self.remtable.iloc[-1].rem

diff --git a/xalpha/universal.py b/xalpha/universal.py
@@ -847,7 +847,7 @@ def _get_daily(
 
             3. 对于美国市场的股票，指数，ETF 等，直接使用其字母缩写代码即可。
 
-            4. 对于人民币中间价数据，使用 "USD/CNY" 的形式，具体可能的值可在 http://www.chinamoney.com.cn/chinese/bkccpr/ 历史数据的横栏查询
+            4. 对于人民币中间价数据，使用 "USD/CNY" 的形式，具体可能的值可在 http://www.chinamoney.com.cn/chinese/bkccpr/ 历史数据的横栏查询，注意日元需要用 100JPY/CNY.
 
             5. 对于所有可以在 cn.investing.com 网站查到的金融产品，其代码可以是该网站对应的统一代码，或者是网址部分，比如 DAX 30 的概览页面为 https://cn.investing.com/indices/germany-30，那么对应代码即为 "indices/germany-30"。也可去网页 inspect 手动查找其内部代码（一般不需要自己做，推荐直接使用网页url作为 code 变量值），手动 inspect 加粗的实时价格，其对应的网页 span class 中的 pid 的数值即为内部代码。