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Merge branch 'master' of https://github.com/QUANTAXIS/QUANTAXIS
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Zeroun authored and Zeroun committed Apr 2, 2019
2 parents a641b61 + 65cd9ea commit bf97aa1
Showing 1 changed file with 83 additions and 20 deletions.
103 changes: 83 additions & 20 deletions QUANTAXIS/QAARP/QAAccount.py
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Original file line number Diff line number Diff line change
Expand Up @@ -305,7 +305,7 @@ def __init__(
self.sell_available = copy.deepcopy(self.init_hold)
self.buy_available = copy.deepcopy(self.init_hold)
self.history = []
self.time_index = []
self.time_index_max = []

# 在回测中, 每日结算后更新
# 真实交易中, 为每日初始化/每次重新登录后的同步信息
Expand Down Expand Up @@ -406,7 +406,7 @@ def message(self):
'history':
self.history,
'trade_index':
self.time_index,
self.time_index_max,
'running_time':
str(datetime.datetime.now())
if self.running_time is None else str(self.running_time),
Expand Down Expand Up @@ -501,16 +501,16 @@ def start_date(self):
[type] -- [description]
"""
if self.start_==None:
if len(self.time_index) > 0:
return str(min(self.time_index))[0:10]
if len(self.time_index_max) > 0:
return str(min(self.time_index_max))[0:10]
else:
print(
RuntimeWarning(
'QAACCOUNT: THIS ACCOUNT DOESNOT HAVE ANY TRADE'
)
)
else:
return self.end_
return self.start_

@property
def end_date(self):
Expand All @@ -523,8 +523,8 @@ def end_date(self):
[type] -- [description]
"""
if self.start_==None:
if len(self.time_index) > 0:
return str(max(self.time_index))[0:10]
if len(self.time_index_max) > 0:
return str(max(self.time_index_max))[0:10]
else:
print(
RuntimeWarning(
Expand All @@ -541,10 +541,65 @@ def market_data(self):
def trade_range(self):
return QA_util_get_trade_range(self.start_date, self.end_date)

@property
def trade_range_max(self):
if self.start_date < str(min(self.time_index_max))[0:10] :
return QA_util_get_trade_range(self.start_date, self.end_date)
else:
return QA_util_get_trade_range(str(min(self.time_index_max))[0:10], str(max(self.time_index_max))[0:10])
@property
def time_index(self):
if len(self.time_index_max):
res_=pd.DataFrame(self.time_index_max)
res_.columns=(['datetime'])
res_['date']=[ i[0:10] for i in res_['datetime']]
res_=res_[res_['date'].isin(self.trade_range)]
return list(res_['datetime'])
else:
return self.time_index_max
#
# if self.start_date < str(min(self.time_index))[0:10] :
# return QA_util_get_trade_range(self.start_date, self.end_date)
# else:
# return QA_util_get_trade_range(str(min(self.time_index))[0:10], str(max(self.time_index))[0:10])
@property
def history_min(self):
if len(self.history):
res_=pd.DataFrame(self.history)
res_['date']=[ i[0:10] for i in res_[0]]
res_=res_[res_['date'].isin(self.trade_range)]
return np.array(res_.drop(['date'],axis=1)).tolist()
else:
return self.history
@property
def history_table_min(self):
'区间交易历史的table'
if len(self.history_min) > 0:
lens = len(self.history_min[0])
else:
lens = len(self._history_headers)

return pd.DataFrame(
data=self.history_min,
columns=self._history_headers[:lens]
).sort_index()
# @property
# def history(self):
# if len(self.history_max):
# res_=pd.DataFrame(self.history_max)
# res_['date']=[ i[0:10] for i in res_[0]]
# res_=res_[res_['date'].isin(self.trade_range)]
# return np.array(res_.drop(['date'],axis=1)).tolist()
# else:
# return self.history_max
# res_=pd.DataFrame(self.time_index_max)
# res_.columns=(['datetime'])
# res_['date']=[ i[0:10] for i in res_['datetime']]
# res_=res_[res_['date'].isin(self.trade_range)]
@property
def trade_day(self):
return list(
pd.Series(self.time_index).apply(lambda x: str(x)[0:10]).unique()
pd.Series(self.time_index_max).apply(lambda x: str(x)[0:10]).unique()
)

@property
Expand Down Expand Up @@ -572,7 +627,7 @@ def cash_table(self):
'现金的table'
_cash = pd.DataFrame(
data=[self.cash[1::],
self.time_index],
self.time_index_max],
index=['cash',
'datetime']
).T
Expand Down Expand Up @@ -654,9 +709,13 @@ def trade(self):
def daily_cash(self):
'每日交易结算时的现金表'
res = self.cash_table.drop_duplicates(subset='date', keep='last')
res_=pd.concat([res.set_index('date'), pd.Series(data=None, index=pd.to_datetime(self.trade_range).set_names('date'), name='predrop')], axis=1).ffill()
return res_.fillna(self.init_cash).drop(['predrop','datetime','account_cookie'], axis=1).reset_index().set_index(['date'],drop=False).sort_index()

le=pd.DataFrame(pd.Series(data=None, index=pd.to_datetime(self.trade_range_max).set_names('date'), name='predrop'))
ri=res.set_index('date')
res_=pd.merge(le,ri,how='left',left_index=True,right_index=True)
res_=res_.ffill().fillna(self.init_cash).drop(['predrop','datetime','account_cookie'], axis=1).reset_index().set_index(['date'],drop=False).sort_index()
res_=res_[res_.index.isin(self.trade_range)]
return res_

@property
def daily_hold(self):
'每日交易结算时的持仓表'
Expand All @@ -673,15 +732,19 @@ def daily_hold(self):
data = data.set_index(['date', 'account_cookie'])
res = data[~data.index.duplicated(keep='last')].sort_index()
# 这里会导致股票停牌时的持仓也被计算 但是计算market_value的时候就没了
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().fillna(0).drop(['predrop','account_cookie'], axis=1).reset_index().set_index(['date']).sort_index()

le=pd.DataFrame(pd.Series(data=None, index=pd.to_datetime(self.trade_range_max).set_names('date'), name='predrop'))
ri=res.reset_index().set_index('date')
res_=pd.merge(le,ri,how='left',left_index=True,right_index=True)
res_=res_.ffill().fillna(0).drop(['predrop','account_cookie'], axis=1).reset_index().set_index(['date']).sort_index()
res_=res_[res_.index.isin(self.trade_range)]
return res_

@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().fillna(0)

res_=self.history_table.assign(date=pd.to_datetime(self.history_table.datetime)).set_index('date').resample('D').frozen.last().fillna(0)
res_=res_[res_.index.isin(self.trade_range)]
return res_
@property
def latest_cash(self):
'return the lastest cash 可用资金'
Expand Down Expand Up @@ -878,7 +941,7 @@ def receive_simpledeal(

# 结算交易
if self.cash[-1] > trade_money + commission_fee + tax_fee:
self.time_index.append(trade_time)
self.time_index_max.append(trade_time)
# TODO: 目前还不支持期货的锁仓
if self.allow_sellopen:
if trade_towards in [ORDER_DIRECTION.BUY_OPEN,
Expand Down Expand Up @@ -1398,7 +1461,7 @@ def settle(self, settle_data = None):
基于history去计算hold ==> last_settle+ today_pos_change
"""
print('FROM QUANTAXIS QA_ACCOUNT: account settle')
#print('FROM QUANTAXIS QA_ACCOUNT: account settle')
if self.running_environment == RUNNING_ENVIRONMENT.TZERO and self.hold_available.sum(
) != 0:
raise RuntimeError(
Expand Down Expand Up @@ -1527,7 +1590,7 @@ def from_message(self, message):
self.tax_coeff = message.get('tax_coeff', 0.0015)
self.history = message['history']
self.cash = message['cash']
self.time_index = message['trade_index']
self.time_index_max = message['trade_index']
self.running_time = message.get('running_time', None)
self.quantaxis_version = message.get('quantaxis_version', None)
self.running_environment = message.get(
Expand Down

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