```python import QUANTAXIS as QA ``` QUANTAXIS>> start QUANTAXIS QUANTAXIS>> Selecting the Best Server IP of TDX Bad REPSONSE 60.28.29.69 Bad REPSONSE 180.153.18.17 Bad REPSONSE 59.173.18.69 Bad REPSONSE 61.153.144.179 QUANTAXIS>> === The BEST SERVER === stock_ip 60.191.117.167 future_ip 58.246.109.27 QUANTAXIS>> Welcome to QUANTAXIS, the Version is 1.0.30 QUANTAXIS>> ```````````````````````````````````````````````````````````````````````````````````````````````````````````````````````` ``########`````##````````##``````````##`````````####````````##```##########````````#``````##``````###```##`````######`` `##``````## ```##````````##`````````####````````##`##```````##```````##```````````###``````##````##`````##```##`````##` ##````````##```##````````##````````##`##````````##``##``````##```````##``````````####```````#```##``````##```##``````## ##````````##```##````````##```````##```##```````##```##`````##```````##`````````##`##```````##`##```````##````##``````` ##````````##```##````````##``````##`````##``````##````##````##```````##````````##``###```````###````````##`````##`````` ##````````##```##````````##``````##``````##`````##`````##```##```````##```````##````##```````###````````##``````###```` ##````````##```##````````##`````##````````##````##``````##``##```````##``````##``````##`````##`##```````##````````##``` ##````````##```##````````##````#############````##```````##`##```````##`````###########`````##``##``````##`````````##`` ###```````##```##````````##```##```````````##```##```````##`##```````##````##`````````##```##```##``````##```##`````##` `##``````###````##``````###``##`````````````##``##````````####```````##```##``````````##``###````##`````##````##`````## ``#########``````########```##``````````````###`##``````````##```````##``##````````````##`##``````##````##`````###``### ````````#####`````````````````````````````````````````````````````````````````````````````````````````````````````##`` ``````````````````````````````````````````````````````````````````````````````````````````````````````````````````````` ``````````````````````````Copyright``yutiansut``2017``````QUANTITATIVE FINANCIAL FRAMEWORK````````````````````````````` ``````````````````````````````````````````````````````````````````````````````````````````````````````````````````````` ```````````````````````````````````````````````````````````````````````````````````````````````````````````````````````` ```````````````````````````````````````````````````````````````````````````````````````````````````````````````````````` # 在这里我们演示一下 下单/交易/结算的整个流程 我们首先会建立一个账户类和一个回测类 ```python # 初始化一个account Account=QA.QA_Account() # 初始化一个回测类 B = QA.QA_BacktestBroker() ``` 在第一天的时候,全仓买入 000001 ```python # 全仓买入'000001' Order=Account.send_order(code='000001', price=11, money=Account.cash_available, time='2018-05-09', towards=QA.ORDER_DIRECTION.BUY, order_model=QA.ORDER_MODEL.MARKET, amount_model=QA.AMOUNT_MODEL.BY_MONEY ) ``` ```python ## 打印order的占用资金 print('ORDER的占用资金: {}'.format((Order.amount*Order.price)*(1+Account.commission_coeff))) ``` ORDER的占用资金: 999049.7000000001 ```python # 账户剩余资金 print('账户剩余资金 :{}'.format(Account.cash_available)) ``` 账户剩余资金 :950.2999999999302 此时的账户cash并未减少,因为此过程为申报订单(已委托 未成交状态) 回测类接受订单,并返回撮合结果 ```python rec_mes=B.receive_order(QA.QA_Event(order=Order)) print(rec_mes) ``` {'header': {'source': 'market', 'status': 200, 'code': '000001', 'session': {'user': None, 'strategy': None, 'account': 'Acc_b6DI7PfB'}, 'order_id': 'Order_kOhmiyR9', 'trade_id': 'Trade_7A4Y2wG6'}, 'body': {'order': {'price': 10.96, 'code': '000001', 'amount': 90800, 'date': '2018-05-09', 'datetime': '2018-05-09 09:30:00', 'towards': 1}, 'market': {'open': 10.98, 'high': 11.03, 'low': 10.88, 'close': 10.97, 'volume': 627656.0, 'code': '000001'}, 'fee': {'commission': 1492.071, 'tax': 0}}} 账户类接收到回测返回的回报信息,更新账户 ```python Account.receive_deal(rec_mes) ``` {'source': 'account', 'account_cookie': 'Acc_b6DI7PfB', 'portfolio_cookie': None, 'user_cookie': None, 'broker': 'backtest', 'market_type': 'stock_cn', 'strategy_name': None, 'current_time': None, 'allow_sellopen': False, 'allow_t0': False, 'margin_level': False, 'init_assets': 1000000, 'cash': [1000000, 3339.9289999998837], 'history': [['2018-05-09 09:30:00', '000001', 10.96, 90800.0, 'Order_kOhmiyR9', 'Trade_7A4Y2wG6', 'Acc_b6DI7PfB', 1492.071, 0.0]], 'trade_index': ['2018-05-09 09:30:00'], 'running_time': datetime.datetime(2018, 5, 14, 23, 24, 46, 518098)} 此时我们可以打印一下现在的状态(现在的状态可以理解为在交易时 买入一只000001股票,但当天尚未收盘) ```python print('账户的可用资金 {}'.format(Account.cash_available)) ``` 账户的可用资金 3339.9289999998837 我们注意到 当最初申报订单的时候,可用资金只有950.2999999999302元,而买入成功后,可用资金有3339.9289999998837元,原因是下单的时候模式是市价单模式(QA.ORDER_MODEL.MARKET),故实际成交金额为10.96元 买入以后 账户的持仓为90800股 000001 ```python Account.hold ``` code 000001 90800.0 Name: amount, dtype: float64 买入后账户现金表被扩展 ```python Account.cash ``` [1000000, 3339.9289999998837] 因为是t+1的A股市场,故此时可卖数量为0 ```python Account.sell_available ``` {} # 执行结算 ```python Account.settle() ``` # 结算后 ```python Account.cash ``` [1000000, 3339.9289999998837] ```python Account.cash_available ``` 3339.9289999998837 ```python Account.sell_available ``` code 000001 90800.0 Name: amount, dtype: float64 ```python Account.hold ``` code 000001 90800.0 Name: amount, dtype: float64 # 执行卖出操作 现在的持仓为: 000001 90800股 ```python holdnum=Account.sell_available.get('000001',0) ``` ```python holdnum ``` 90800.0 申报一个卖出单,把可卖全部卖出 ```python Order=Account.send_order(code='000001', price=11, amount=holdnum, time='2018-05-10', towards=QA.ORDER_DIRECTION.SELL, order_model=QA.ORDER_MODEL.MARKET, amount_model=QA.AMOUNT_MODEL.BY_AMOUNT ) ``` ```python Order ``` < QA_Order datetime:2018-05-10 09:31:00 code:000001 price:11 towards:-1 btype:stock_cn order_id:Order_4nV1lmEp account:Acc_b6DI7PfB status:100 > ```python Account.cash_available # 因为此时订单尚未申报成功 可用现金不变 ``` 3339.9289999998837 ```python rec_mes=B.receive_order(QA.QA_Event(order=Order)) print(rec_mes) ``` {'header': {'source': 'market', 'status': 200, 'code': '000001', 'session': {'user': None, 'strategy': None, 'account': 'Acc_b6DI7PfB'}, 'order_id': 'Order_4nV1lmEp', 'trade_id': 'Trade_RZ7KDGbE'}, 'body': {'order': {'price': 11.0, 'code': '000001', 'amount': 90800, 'date': '2018-05-10', 'datetime': '2018-05-10 09:30:00', 'towards': -1}, 'market': {'open': 11.03, 'high': 11.09, 'low': 10.91, 'close': 11.01, 'volume': 552735.0, 'code': '000001'}, 'fee': {'commission': 1498.2, 'tax': 998.8}}} ```python Account.receive_deal(rec_mes) ``` {'source': 'account', 'account_cookie': 'Acc_b6DI7PfB', 'portfolio_cookie': None, 'user_cookie': None, 'broker': 'backtest', 'market_type': 'stock_cn', 'strategy_name': None, 'current_time': None, 'allow_sellopen': False, 'allow_t0': False, 'margin_level': False, 'init_assets': 1000000, 'cash': [1000000, 3339.9289999998837, 1000641.7289999999], 'history': [['2018-05-09 09:30:00', '000001', 10.96, 90800.0, 'Order_kOhmiyR9', 'Trade_7A4Y2wG6', 'Acc_b6DI7PfB', 1492.071, 0.0], ['2018-05-10 09:30:00', '000001', 11.0, -90800.0, 'Order_4nV1lmEp', 'Trade_RZ7KDGbE', 'Acc_b6DI7PfB', 1498.2, 998.8]], 'trade_index': ['2018-05-09 09:30:00', '2018-05-10 09:30:00'], 'running_time': datetime.datetime(2018, 5, 14, 23, 24, 46, 640769)} ```python Account.cash_available # 此时订单已成交 cash_available立刻结转 ``` 1000641.7289999999