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# -*- coding: utf-8 -*-
##
# @file profile.py
# @brief
# @author wondereamer
# @version 0.4
# @date 2016-12-18
import six
from six.moves import range
import copy
from quantdigger.datastruct import (
OneDeal,
PositionKey,
TradeSide,
)
class Profile(object):
""" 组合结果 """
def __init__(self, scontexts, dcontexts, strpcon, i):
"""
Args:
scontexts (list): 策略上下文集合
dcontexts (list): 数据上下文集合
strpcon (str): 主合约
i (int): 当前profile所对应的组合索引
"""
self._marks = [ctx.marks for ctx in scontexts]
self._blts = [ctx.blotter for ctx in scontexts]
self._dcontexts = {}
self._ith_comb = i # 对应于第几个组合
self._main_pcontract = strpcon
for key, value in six.iteritems(dcontexts):
self._dcontexts[key] = value
def name(self, j=None):
if j is not None:
return self._blts[j].name
return self._blts[0].name
def transactions(self, j=None):
""" 第j个策略的所有成交明细, 默认返回组合的成交明细。
Args:
j (int): 第j个策略
Returns:
list. [Transaction, ..]
"""
if j is not None:
return self._blts[j].transactions
trans = []
for blt in self._blts:
trans.append(blt.transactions)
# @TODO 时间排序
return trans
def deals(self, j=None):
""" 第j个策略的每笔交易(一开一平), 默认返回组合的每笔交易。
Args:
j (int): 第j个策略
Returns:
list. [OneDeal, ..]
"""
""" 交易信号对 """
positions = {}
deals = []
if j is not None:
for trans in self.transactions(j):
self._update_positions(positions, deals, trans)
else:
for i in range(0, len(self._blts)):
deals += self.deals(i)
return deals
def all_holdings(self, j=None):
""" 第j个策略的账号历史, 默认返回组合的账号历史。
Args:
j (int): 第j个策略
Returns:
list. [{'cash', 'commission', 'equity', 'datetime'}, ..]
"""
if j is not None:
return self._blts[j].all_holdings
if len(self._blts) == 1:
return self._blts[0].all_holdings
if hasattr(self, '_all_holdings'):
return self._all_holdings
self._all_holdings = copy.deepcopy(self._blts[0].all_holdings)
for i, hd in enumerate(self._all_holdings):
for blt in self._blts[1:]:
try:
rhd = blt.all_holdings[i]
except IndexError:
rhd = rhd[-2] # 是否强平导致长度不一
hd['cash'] += rhd['cash']
hd['commission'] += rhd['commission']
hd['equity'] += rhd['equity']
return self._all_holdings
def holding(self, j=None):
""" 当前账号情况
Args:
j (int): 第j个策略
Returns:
dict. {'cash', 'commission', 'history_profit', 'equity' }
"""
if j is not None:
return self._blts[j].holding
if len(self._blts) == 1:
return self._blts[0].holding
if hasattr(self, '_holdings'):
return self._holdings
self._holdings = copy.deepcopy(self._blts[0].holding)
for blt in self._blts[1:]:
rhd = blt.holding
self._holdings['cash'] += rhd['cash']
self._holdings['commission'] += rhd['commission']
self._holdings['equity'] += rhd['equity']
self._holdings['history_profit'] += rhd['history_profit']
return self._holdings
def marks(self, j=None):
""" 返回第j个策略的绘图标志集合 """
if j is not None:
return self._marks[j]
return self._marks[0]
def technicals(self, j=None, strpcon=None):
# @TODO test case
# @TODO 没必要针对不同的strpcon做分析
""" 返回第j个策略的指标, 默认返回组合的所有指标。
Args:
j (int): 第j个策略
strpcon (str): 周期合约
Returns:
dict. {指标名:指标}
"""
pcon = strpcon if strpcon else self._main_pcontract
if j is not None:
return {v.name: v for v in self._dcontexts[pcon].
technicals[self._ith_comb][j].values()}
rst = {}
for j in range(0, len(self._blts)):
t = {v.name: v for v in self._dcontexts[pcon].
technicals[self._ith_comb][j].values()}
rst.update(t)
return rst
def data(self, strpcon=None):
# @TODO execute_unit._parse_pcontracts()
""" 周期合约数据, 只有向量运行才有意义。
Args:
strpcon (str): 周期合约，如'BB.SHFE-1.Minute'
Returns:
pd.DataFrame. 数据
"""
if not strpcon:
strpcon = self._main_pcontract
strpcon = strpcon.upper()
return self._dcontexts[strpcon].raw_data
def _update_positions(self, current_positions, deal_positions, trans):
""" 根据交易明细计算开平仓对。 """
class PositionsDetail(object):
""" 当前相同合约持仓集合(可能不同时间段下单)。
:ivar cost: 持仓成本。
:ivar total: 持仓总数。
:ivar positions: 持仓集合。
:vartype positions: list
"""
def __init__(self):
self.total = 0
self.positions = []
self.cost = 0
assert trans.quantity > 0
poskey = PositionKey(trans.contract, trans.direction)
p = current_positions.setdefault(poskey, PositionsDetail())
if trans.side == TradeSide.KAI:
# 开仓
p.positions.append(trans)
p.total += trans.quantity
elif trans.side == TradeSide.PING:
# 平仓
assert(len(p.positions) > 0 and '所平合约没有持仓')
left_vol = trans.quantity
last_index = 0
search_index = 0
p.total -= trans.quantity
if trans.contract.is_stock:
for position in reversed(p.positions):
# 开仓日期小于平仓时间
if position.datetime.date() < trans.datetime.date():
break
search_index -= 1
if search_index != 0:
positions = p.positions[:search_index]
left_positions = p.positions[search_index:]
else:
positions = p.positions
for position in reversed(positions):
if position.quantity < left_vol:
# 还需从之前的仓位中平。
left_vol -= position.quantity
last_index -= 1
deal_positions.append(
OneDeal(position, trans, position.quantity))
elif position.quantity == left_vol:
left_vol -= position.quantity
last_index -= 1
deal_positions.append(
OneDeal(position, trans, position.quantity))
break
else:
position.quantity -= left_vol
left_vol = 0
deal_positions.append(OneDeal(position, trans, left_vol))
break
if last_index != 0 and search_index != 0:
p.positions = positions[0:last_index] + left_positions
elif last_index != 0:
p.positions = positions[0:last_index]
# last_index == 0, 表示没找到可平的的开仓对，最后一根强平
# 可以被catch捕获 AssertError
assert(left_vol == 0 or last_index == 0)