Merge pull request #1396 from yutiansut/master

update to 1.7.7

PULL_REQUEST_TEMPLATE.md

@@ -11,8 +11,6 @@
 
 请使用如下代码对要PR的代码进行格式化:
 
-qa的 yapf格式也是从vnpy那拿来的 参见 https://github.com/vnpy/vnpy/blob/v2.0-DEV/.style.yapf
-
 使用以下代码来格式化
 ```
 pip install https://github.com/google/yapf/archive/master.zip

QUANTAXIS/QAARP/QAAccount.py

@@ -25,7 +25,7 @@
 import copy
 import datetime
 import warnings
-
+import random
 import numpy as np
 import pandas as pd
 from pymongo import DESCENDING, ASCENDING
@@ -50,10 +50,12 @@
  MARKET_TYPE,
  ORDER_DIRECTION,
  ORDER_MODEL,
+ ORDER_STATUS,
  RUNNING_ENVIRONMENT,
  TRADE_STATUS,
  EXCHANGE_ID
 )
+from QUANTAXIS.QAFetch.Fetcher import QA_quotation
 from QUANTAXIS.QAUtil.QARandom import QA_util_random_with_topic
 
 # 2017/6/4修改: 去除总资产的动态权益计算
@@ -301,8 +303,6 @@ def __init__(
  """
  super().__init__()
 
- # warnings.warn('QUANTAXIS 1.0.46 has changed the init_assets ==> init_cash, please pay attention to this change if you using init_cash to initial an account class,\
- # ', DeprecationWarning, stacklevel=2)
  self._history_headers = [
  'datetime', # 日期/时间
  'code', # 品种
@@ -993,14 +993,24 @@ def weights(x):
  ).sort_index().loc[:datetime].groupby('code').apply(weights
  ).dropna()
 
- def reset_assets(self, init_cash=None):
- 'reset_history/cash/'
+ def reset_assets(self, init_cash=1000000):
+ """重置账户
+ 
+ Keyword Arguments:
+ init_cash {int} -- [description] (default: {1000000})
+ """
  self.sell_available = copy.deepcopy(self.init_hold)
  self.history = []
  self.init_cash = init_cash
  self.cash = [self.init_cash]
  self.cash_available = self.cash[-1] # 在途资金
 
+ self.time_index_max = []
+
+ self.frozen = {} # 冻结资金(保证金)
+ self.finishedOrderid = []
+
+
  def receive_simpledeal(
  self,
  code,
@@ -1261,11 +1271,15 @@ def receive_simpledeal(
  self.cash.append(
  self.cash[-1] - trade_money - tax_fee - commission_fee
  )
- if self.allow_t0 or trade_towards == ORDER_DIRECTION.SELL:
+ if trade_towards in [ORDER_DIRECTION.BUY, ORDER_DIRECTION.BUY_OPEN, ORDER_DIRECTION.SELL_OPEN]:
+ """平仓部分的sell_available已经被提前扣减了 在sendorder中
+ """
+
  self.sell_available[code] = self.sell_available.get(
  code,
  0
  ) + trade_amount * market_towards
+ if self.allow_t0:
  self.buy_available = self.sell_available
 
  self.cash_available = self.cash[-1]
@@ -1344,7 +1358,7 @@ def receive_deal(
  [type] -- [description]
  """
 
- print('QAACCOUNT ==> receive deal')
+ print('QAACCOUNT ==> receive deal {} {} {} {}'.format(trade_time, code, trade_price, trade_towards, ))
 
  trade_time = str(trade_time)
  code = str(code)
@@ -1502,6 +1516,7 @@ def send_order(
  assert (int(towards) != 0)
  if int(towards) in [1, 2, 3]:
  # 是买入的情况(包括买入.买开.买平)
+
  if self.cash_available >= money:
  if self.market_type == MARKET_TYPE.STOCK_CN: # 如果是股票 买入的时候有100股的最小限制
  amount = int(amount / 100) * 100
@@ -1530,10 +1545,11 @@ def send_order(
  float(amount * price * (1 + self.commission_coeff))
  )
 
- print(_hold)
+ #print(_hold)
  if self.cash_available >= _money:
- if _hold < 0:
+ if _hold < 0 and abs(_hold) >= amount:
  self.cash_available -= _money
+ self.sell_available[code] += amount
 
  flag = True
  else:
@@ -1558,10 +1574,11 @@ def send_order(
 
  # 如果你的hold> amount>0
  # 持仓数量>卖出数量
- if _hold >= amount:
- self.sell_available[code] -= amount
- # towards = ORDER_DIRECTION.SELL
- flag = True
+ if int(towards) in [-1, -3]:
+ if _hold >= amount:
+ self.sell_available[code] -= amount
+ # towards = ORDER_DIRECTION.SELL
+ flag = True
  # 如果持仓数量<卖出数量
  else:
 
@@ -2025,6 +2042,227 @@ def get_history(self, start, end):
  pd.Timestamp(end))]
 
 
+
+ def generate_randomtrade(self, code, start, end, frequence):
+ """快速生成一坨交易
+ 
+ Arguments:
+ code {[type]} -- [description]
+ frequence {[type]} -- [description]
+ start {[type]} -- [description]
+ end {[type]} -- [description]
+ 
+ Keyword Arguments:
+ num {int} -- [description] (default: {100})
+ """
+
+ # 先生成交易日
+ day = start[0:9]
+ for idx, item in QA_quotation(code, start, end, frequence, self.market_type, 'mongo').iterrows():
+
+ code = idx[1]
+ time = idx[0]
+
+ if self.market_type == MARKET_TYPE.STOCK_CN:
+ if time != day:
+ self.settle()
+ day = time
+ if self.market_type == MARKET_TYPE:
+ self.settle()
+ day = time
+
+
+ price = item['close']
+ holdamount = self.sell_available.get(code, 0)
+
+ if random.random() < 0.5:
+ # open
+
+ if holdamount == 0:
+ if random.random() < 0.5:
+ self.buy(code,price, amount=1, time = time, if_selfdeal=True)
+ else:
+ self.sell(code,price, amount=1, time = time,if_selfdeal=True)
+ else:
+ pass
+ else:
+
+ if holdamount>0:
+ self.sell_close(code, price, amount=holdamount, time = time, if_selfdeal=True)
+ elif holdamount<0:
+ holdamount = abs(holdamount)
+ self.buy_close(code, price, amount=holdamount, time = time, if_selfdeal=True)
+
+
+
+
+
+ def buy(self, code:str, price:float, amount:int, time:str, order_model:str = ORDER_MODEL.LIMIT, amount_model:str = AMOUNT_MODEL.BY_AMOUNT, if_selfdeal:bool =False):
+ """self.buy == self.buy_open 自动识别股票/期货
+
+ 一个方便使用的sendorder的二次封装 方便直接调用
+ 
+ Arguments:
+ code {str} -- [description]
+ price {float} -- [description]
+ amount {int} -- [description]
+ time {str} -- [description]
+ 
+ Keyword Arguments:
+ order_model {str} -- [description] (default: {ORDER_MODEL.LIMIT})
+ amount_model {str} -- [description] (default: {AMOUNT_MODEL.BY_AMOUNT})
+ if_selfdeal {bool} -- [description] (default: {False})
+ """
+
+ if self.market_type== MARKET_TYPE.FUTURE_CN:
+ towards=ORDER_DIRECTION.BUY_OPEN
+ else:
+ towards=QA.ORDER_DIRECTION.BUY
+
+
+
+ order = self.send_order(
+ code=code, time=time, amount=amount, 
+ towards=towards, price=price, 
+ order_model=order_model, 
+ amount_model=amount_model
+ )
+
+ if if_selfdeal:
+ if order:
+
+ order.trade('buy', order.price,
+ order.amount, order.datetime)
+ self.orders.set_status(order.order_id, ORDER_STATUS.SUCCESS_ALL)
+
+ else:
+ return order
+
+ def sell(self, code:str, price:float, amount:int, time:str, order_model:str = ORDER_MODEL.LIMIT, amount_model:str = AMOUNT_MODEL.BY_AMOUNT, if_selfdeal:bool =False):
+ """self.sell == self.sell_open 自动识别股票/期货
+
+ 一个方便使用的sendorder的二次封装 方便直接调用
+ 
+ Arguments:
+ code {str} -- [description]
+ price {float} -- [description]
+ amount {int} -- [description]
+ time {str} -- [description]
+ 
+ Keyword Arguments:
+ order_model {str} -- [description] (default: {ORDER_MODEL.LIMIT})
+ amount_model {str} -- [description] (default: {AMOUNT_MODEL.BY_AMOUNT})
+ if_selfdeal {bool} -- [description] (default: {False})
+ """
+
+ if self.market_type== MARKET_TYPE.FUTURE_CN:
+ towards=ORDER_DIRECTION.SELL_OPEN
+ else:
+ towards=QA.ORDER_DIRECTION.SELL
+
+
+
+ order = self.send_order(
+ code=code, time=time, amount=amount, 
+ towards=towards, price=price, 
+ order_model=order_model, 
+ amount_model=amount_model
+ )
+
+ if if_selfdeal:
+ if order:
+ order.trade('sell', order.price,
+ order.amount, order.datetime)
+ self.orders.set_status(order.order_id, ORDER_STATUS.SUCCESS_ALL) 
+ else:
+ return order
+
+
+ def buy_close(self, code:str, price:float, amount:int, time:str, order_model:str = ORDER_MODEL.LIMIT, amount_model:str = AMOUNT_MODEL.BY_AMOUNT, if_selfdeal:bool =False):
+ """自动识别股票/期货
+
+ 一个方便使用的sendorder的二次封装 方便直接调用
+ 
+ Arguments:
+ code {str} -- [description]
+ price {float} -- [description]
+ amount {int} -- [description]
+ time {str} -- [description]
+ 
+ Keyword Arguments:
+ order_model {str} -- [description] (default: {ORDER_MODEL.LIMIT})
+ amount_model {str} -- [description] (default: {AMOUNT_MODEL.BY_AMOUNT})
+ if_selfdeal {bool} -- [description] (default: {False})
+ """
+
+ if self.market_type== MARKET_TYPE.FUTURE_CN:
+ towards=ORDER_DIRECTION.BUY_CLOSE
+ else:
+ print("WARING: 当前账户是股票账户, 不应该使用此接口")
+ towards=QA.ORDER_DIRECTION.BUY
+
+
+
+ order = self.send_order(
+ code=code, time=time, amount=amount, 
+ towards=towards, price=price, 
+ order_model=order_model, 
+ amount_model=amount_model
+ )
+
+ if if_selfdeal:
+ if order:
+ order.trade('buyclose', order.price,
+ order.amount, order.datetime)
+ self.orders.set_status(order.order_id, ORDER_STATUS.SUCCESS_ALL)
+ else:
+ return order
+
+ def sell_close(self, code:str, price:float, amount:int, time:str, order_model:str = ORDER_MODEL.LIMIT, amount_model:str = AMOUNT_MODEL.BY_AMOUNT, if_selfdeal:bool =False):
+ """self.buy == self.buy_open 自动识别股票/期货
+
+ 一个方便使用的sendorder的二次封装 方便直接调用
+ 
+ Arguments:
+ code {str} -- [description]
+ price {float} -- [description]
+ amount {int} -- [description]
+ time {str} -- [description]
+ 
+ Keyword Arguments:
+ order_model {str} -- [description] (default: {ORDER_MODEL.LIMIT})
+ amount_model {str} -- [description] (default: {AMOUNT_MODEL.BY_AMOUNT})
+ if_selfdeal {bool} -- [description] (default: {False})
+ """
+
+ if self.market_type== MARKET_TYPE.FUTURE_CN:
+ towards=ORDER_DIRECTION.SELL_CLOSE
+ else:
+ print("WARING: 当前账户是股票账户, 不应该使用此接口")
+ towards=QA.ORDER_DIRECTION.SELL
+
+
+
+ order = self.send_order(
+ code=code, time=time, amount=amount, 
+ towards=towards, price=price, 
+ order_model=order_model, 
+ amount_model=amount_model
+ )
+
+ if if_selfdeal:
+ if order:
+ order.trade('sellclose', order.price,
+ order.amount, order.datetime)
+ self.orders.set_status(order.order_id, ORDER_STATUS.SUCCESS_ALL)
+ else:
+ return order
+
+
+ buy_open = buy
+ sell_open = sell
+
+
 class Account_handler():
 
  def __init__(self):

QUANTAXIS/__init__.py

@@ -31,7 +31,7 @@
 2017/4/8
 """
 
-__version__ = '1.7.6'
+__version__ = '1.7.7'
 __author__ = 'yutiansut'
 
 import argparse