rqalpha.model.instrument 源代码

# -*- coding: utf-8 -*-
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import copy
import datetime

import numpy as np

from rqalpha.environment import Environment
from rqalpha.const import INSTRUMENT_TYPE, POSITION_DIRECTION, DEFAULT_ACCOUNT_TYPE
from rqalpha.utils import TimeRange, INST_TYPE_IN_STOCK_ACCOUNT
from rqalpha.utils.repr import property_repr, PropertyReprMeta


[文档]class Instrument(metaclass=PropertyReprMeta): DEFAULT_LISTED_DATE = datetime.datetime(1990, 1, 1) DEFAULT_DE_LISTED_DATE = datetime.datetime(2999, 12, 31) @staticmethod def _fix_date(ds, dflt): if isinstance(ds, datetime.datetime): return ds if ds == '0000-00-00': return dflt year, month, day = ds.split('-') return datetime.datetime(int(year), int(month), int(day)) __repr__ = property_repr def __init__(self, dic, future_info_store=None): self.__dict__ = copy.copy(dic) self._future_info_store = future_info_store if "listed_date" in dic: self.__dict__["listed_date"] = self._fix_date(dic["listed_date"], self.DEFAULT_LISTED_DATE) if "de_listed_date" in dic: self.__dict__["de_listed_date"] = self._fix_date(dic["de_listed_date"], self.DEFAULT_DE_LISTED_DATE) if "maturity_date" in self.__dict__: self.__dict__["maturity_date"] = self._fix_date(dic["maturity_date"], self.DEFAULT_DE_LISTED_DATE) if 'contract_multiplier' in dic: if np.isnan(self.contract_multiplier): raise RuntimeError("Contract multiplier of {} is not supposed to be nan".format(self.order_book_id)) @property def order_book_id(self): # type: () -> str """ [str] 股票:证券代码,证券的独特的标识符。应以’.XSHG’或’.XSHE’结尾,前者代表上证,后者代表深证。 期货:期货代码,期货的独特的标识符(郑商所期货合约数字部分进行了补齐。例如原有代码’ZC609’补齐之后变为’ZC1609’)。 主力连续合约UnderlyingSymbol+88,例如’IF88’ ;指数连续合约命名规则为UnderlyingSymbol+99 """ return self.__dict__["order_book_id"] @property def symbol(self): # type: () -> str """ [str] 股票:证券的简称,例如’平安银行’。期货:期货的简称,例如’沪深1005’。 """ return self.__dict__["symbol"] @property def round_lot(self): # type: () -> int """ [int] 股票:一手对应多少股,中国A股一手是100股。期货:一律为1。 """ return self.__dict__["round_lot"] @property def listed_date(self): # type: () -> datetime.datetime """ [datetime] 股票:该证券上市日期。期货:期货的上市日期,主力连续合约与指数连续合约都为 datetime(1990, 1, 1)。 """ return self.__dict__["listed_date"] @property def de_listed_date(self): # type: () -> datetime.datetime """ [datetime] 股票:退市日期。期货:交割日期。 """ return self.__dict__["de_listed_date"] @property def type(self): # type: () -> str """ [sty] 合约类型,目前支持的类型有: ‘CS’, ‘INDX’, ‘LOF’, ‘ETF’, ‘Future’ """ return INSTRUMENT_TYPE[self.__dict__["type"]] @property def exchange(self): # type: () -> str """ [str] 交易所。股票:’XSHE’ - 深交所, ‘XSHG’ - 上交所。期货:’DCE’ - 大连商品交易所, ‘SHFE’ - 上海期货交易所, ’CFFEX’ - 中国金融期货交易所, ‘CZCE’- 郑州商品交易所 """ return self.__dict__["exchange"] @property def market_tplus(self): # type: () -> int """ [int] 合约卖出和买入操作需要间隔的最小交易日数,如A股为 1 公募基金的 market_tplus 默认0 """ return self.__dict__.get("market_tplus") or 0 @property def sector_code(self): """ [str] 板块缩写代码,全球通用标准定义(股票专用) """ try: return self.__dict__["sector_code"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'sector_code' ".format(self.order_book_id) ) @property def sector_code_name(self): """ [str] 以当地语言为标准的板块代码名(股票专用) """ try: return self.__dict__["sector_code_name"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'sector_code_name' ".format(self.order_book_id) ) @property def industry_code(self): """ [str] 国民经济行业分类代码,具体可参考“Industry列表” (股票专用) """ try: return self.__dict__["industry_code"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'industry_code' ".format(self.order_book_id) ) @property def industry_name(self): """ [str] 国民经济行业分类名称(股票专用) """ try: return self.__dict__["industry_name"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'industry_name' ".format(self.order_book_id) ) @property def concept_names(self): """ [str] 概念股分类,例如:’铁路基建’,’基金重仓’等(股票专用) """ try: return self.__dict__["concept_names"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'concept_names' ".format(self.order_book_id) ) @property def board_type(self): """ [str] 板块类别,’MainBoard’ - 主板,’GEM’ - 创业板(股票专用) """ try: return self.__dict__["board_type"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'board_type' ".format(self.order_book_id) ) @property def status(self): """ [str] 合约状态。’Active’ - 正常上市, ‘Delisted’ - 终止上市, ‘TemporarySuspended’ - 暂停上市, ‘PreIPO’ - 发行配售期间, ‘FailIPO’ - 发行失败(股票专用) """ try: return self.__dict__["status"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'status' ".format(self.order_book_id) ) @property def special_type(self): """ [str] 特别处理状态。’Normal’ - 正常上市, ‘ST’ - ST处理, ‘StarST’ - *ST代表该股票正在接受退市警告, ‘PT’ - 代表该股票连续3年收入为负,将被暂停交易, ‘Other’ - 其他(股票专用) """ try: return self.__dict__["special_type"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'special_type' ".format(self.order_book_id) ) @property def contract_multiplier(self): """ [float] 合约乘数,例如沪深300股指期货的乘数为300.0(期货专用) """ return self.__dict__.get('contract_multiplier', 1) @property def margin_rate(self): """ [float] 合约最低保证金率(期货专用) """ return self.__dict__.get("margin_rate", 1) @property def underlying_order_book_id(self): """ [str] 合约标的代码,目前除股指期货(IH, IF, IC)之外的期货合约,这一字段全部为’null’(期货专用) """ try: return self.__dict__["underlying_order_book_id"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'underlying_order_book_id' ".format(self.order_book_id) ) @property def underlying_symbol(self): """ [str] 合约标的代码,目前除股指期货(IH, IF, IC)之外的期货合约,这一字段全部为’null’(期货专用) """ try: return self.__dict__["underlying_symbol"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'underlying_symbol' ".format(self.order_book_id) ) @property def maturity_date(self): # type: () -> datetime.datetime """ [datetime] 到期日 """ try: return self.__dict__["maturity_date"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'maturity_date' ".format(self.order_book_id) ) @property def settlement_method(self): """ [str] 交割方式,’CashSettlementRequired’ - 现金交割, ‘PhysicalSettlementRequired’ - 实物交割(期货专用) """ try: return self.__dict__["settlement_method"] except (KeyError, ValueError): raise AttributeError( "Instrument(order_book_id={}) has no attribute 'settlement_method' ".format(self.order_book_id) ) @property def listing(self): """ [bool] 该合约当前日期是否在交易 """ trading_dt = Environment.get_instance().trading_dt return self.listing_at(trading_dt) @property def listed(self): """ [bool] 该合约当前交易日是否已上市 """ return self.listed_at(Environment.get_instance().trading_dt) @property def de_listed(self): """ [bool] 该合约当前交易日是否已退市 """ return self.de_listed_at(Environment.get_instance().trading_dt) @property def account_type(self): if self.type in INST_TYPE_IN_STOCK_ACCOUNT: return DEFAULT_ACCOUNT_TYPE.STOCK elif self.type == INSTRUMENT_TYPE.FUTURE: return DEFAULT_ACCOUNT_TYPE.FUTURE else: raise NotImplementedError def listing_at(self, dt): """ 该合约在指定日期是否在交易 :param dt: datetime.datetime :return: bool """ return self.listed_at(dt) and not self.de_listed_at(dt) def listed_at(self, dt): """ 该合约在指定日期是否已上日 :param dt: datetime.datetime :return: bool """ return self.listed_date <= dt def de_listed_at(self, dt): """ 该合约在指定日期是否已退市 :param dt: datetime.datetime :return: bool """ if self.type in (INSTRUMENT_TYPE.FUTURE, INSTRUMENT_TYPE.OPTION): return dt.date() > self.de_listed_date.date() else: return dt >= self.de_listed_date STOCK_TRADING_PERIOD = [ TimeRange(start=datetime.time(9, 31), end=datetime.time(11, 30)), TimeRange(start=datetime.time(13, 1), end=datetime.time(15, 0)), ] @property def trading_hours(self): # trading_hours='09:31-11:30,13:01-15:00' try: trading_hours = self.__dict__["trading_hours"] except KeyError: if self.type in INST_TYPE_IN_STOCK_ACCOUNT: return self.STOCK_TRADING_PERIOD return None trading_period = [] trading_hours = trading_hours.replace("-", ":") for time_range_str in trading_hours.split(","): start_h, start_m, end_h, end_m = (int(i) for i in time_range_str.split(":")) start, end = datetime.time(start_h, start_m), datetime.time(end_h, end_m) if start > end: trading_period.append(TimeRange(start, datetime.time(23, 59))) trading_period.append(TimeRange(datetime.time(0, 0), end)) else: trading_period.append(TimeRange(start, end)) return trading_period @property def trade_at_night(self): return any(r.start <= datetime.time(4, 0) or r.end >= datetime.time(19, 0) for r in (self.trading_hours or [])) def days_from_listed(self): if self.listed_date == self.DEFAULT_LISTED_DATE: return -1 date = Environment.get_instance().trading_dt.date() if self.de_listed_date.date() < date: return -1 ipo_days = (date - self.listed_date.date()).days return ipo_days if ipo_days >= 0 else -1 def days_to_expire(self): if self.type != 'Future' or self.order_book_id[-2:] == '88' or self.order_book_id[-2:] == '99': return -1 date = Environment.get_instance().trading_dt.date() days = (self.maturity_date.date() - date).days return -1 if days < 0 else days def tick_size(self): if self.type in (INSTRUMENT_TYPE.CS, INSTRUMENT_TYPE.INDX): return 0.01 elif self.type in ("ETF", "LOF"): return 0.001 elif self.type == INSTRUMENT_TYPE.FUTURE: return self._future_info_store.get_future_info(self)["tick_size"] else: raise NotImplementedError def calc_cash_occupation(self, price, quantity, direction): # type: (float, float, POSITION_DIRECTION) -> float if self.type in INST_TYPE_IN_STOCK_ACCOUNT: return price * quantity elif self.type == INSTRUMENT_TYPE.FUTURE: margin_multiplier = Environment.get_instance().config.base.margin_multiplier return price * quantity * self.contract_multiplier * self.margin_rate * margin_multiplier else: raise NotImplementedError
class SectorCodeItem(object): def __init__(self, cn, en, name): self.__cn = cn self.__en = en self.__name = name @property def cn(self): return self.__cn @property def en(self): return self.__en @property def name(self): return self.__name def __repr__(self): return "{}: {}, {}".format(self.__name, self.__en, self.__cn) class SectorCode(object): Energy = SectorCodeItem("能源", "energy", 'Energy') Materials = SectorCodeItem("原材料", "materials", 'Materials') ConsumerDiscretionary = SectorCodeItem("非必需消费品", "consumer discretionary", 'ConsumerDiscretionary') ConsumerStaples = SectorCodeItem("必需消费品", "consumer staples", 'ConsumerStaples') HealthCare = SectorCodeItem("医疗保健", "health care", 'HealthCare') Financials = SectorCodeItem("金融", "financials", 'Financials') InformationTechnology = SectorCodeItem("信息技术", "information technology", 'InformationTechnology') TelecommunicationServices = SectorCodeItem("电信服务", "telecommunication services", 'TelecommunicationServices') Utilities = SectorCodeItem("公共服务", "utilities", 'Utilities') Industrials = SectorCodeItem("工业", "industrials", "Industrials") class IndustryCodeItem(object): def __init__(self, code, name): self.__code = code self.__name = name @property def code(self): return self.__code @property def name(self): return self.__name def __repr__(self): return "{0}:{1}".format(self.__code, self.__name) class IndustryCode(object): A01 = IndustryCodeItem("A01", "农业") A02 = IndustryCodeItem("A02", "林业") A03 = IndustryCodeItem("A03", "畜牧业") A04 = IndustryCodeItem("A04", "渔业") A05 = IndustryCodeItem("A05", "农、林、牧、渔服务业") B06 = IndustryCodeItem("B06", "煤炭开采和洗选业") B07 = IndustryCodeItem("B07", "石油和天然气开采业") B08 = IndustryCodeItem("B08", "黑色金属矿采选业") B09 = IndustryCodeItem("B09", "有色金属矿采选业") B10 = IndustryCodeItem("B10", "非金属矿采选业") B11 = IndustryCodeItem("B11", "开采辅助活动") B12 = IndustryCodeItem("B12", "其他采矿业") C13 = IndustryCodeItem("C13", "农副食品加工业") C14 = IndustryCodeItem("C14", "食品制造业") C15 = IndustryCodeItem("C15", "酒、饮料和精制茶制造业") C16 = IndustryCodeItem("C16", "烟草制品业") C17 = IndustryCodeItem("C17", "纺织业") C18 = IndustryCodeItem("C18", "纺织服装、服饰业") C19 = IndustryCodeItem("C19", "皮革、毛皮、羽毛及其制品和制鞋业") C20 = IndustryCodeItem("C20", "木材加工及木、竹、藤、棕、草制品业") C21 = IndustryCodeItem("C21", "家具制造业") C22 = IndustryCodeItem("C22", "造纸及纸制品业") C23 = IndustryCodeItem("C23", "印刷和记录媒介复制业") C24 = IndustryCodeItem("C24", "文教、工美、体育和娱乐用品制造业") C25 = IndustryCodeItem("C25", "石油加工、炼焦及核燃料加工业") C26 = IndustryCodeItem("C26", "化学原料及化学制品制造业") C27 = IndustryCodeItem("C27", "医药制造业") C28 = IndustryCodeItem("C28", "化学纤维制造业") C29 = IndustryCodeItem("C29", "橡胶和塑料制品业") C30 = IndustryCodeItem("C30", "非金属矿物制品业") C31 = IndustryCodeItem("C31", "黑色金属冶炼及压延加工业") C32 = IndustryCodeItem("C32", "有色金属冶炼和压延加工业") C33 = IndustryCodeItem("C33", "金属制品业") C34 = IndustryCodeItem("C34", "通用设备制造业") C35 = IndustryCodeItem("C35", "专用设备制造业") C36 = IndustryCodeItem("C36", "汽车制造业") C37 = IndustryCodeItem("C37", "铁路、船舶、航空航天和其它运输设备制造业") C38 = IndustryCodeItem("C38", "电气机械及器材制造业") C39 = IndustryCodeItem("C39", "计算机、通信和其他电子设备制造业") C40 = IndustryCodeItem("C40", "仪器仪表制造业") C41 = IndustryCodeItem("C41", "其他制造业") C42 = IndustryCodeItem("C42", "废弃资源综合利用业") C43 = IndustryCodeItem("C43", "金属制品、机械和设备修理业") D44 = IndustryCodeItem("D44", "电力、热力生产和供应业") D45 = IndustryCodeItem("D45", "燃气生产和供应业") D46 = IndustryCodeItem("D46", "水的生产和供应业") E47 = IndustryCodeItem("E47", "房屋建筑业") E48 = IndustryCodeItem("E48", "土木工程建筑业") E49 = IndustryCodeItem("E49", "建筑安装业") E50 = IndustryCodeItem("E50", "建筑装饰和其他建筑业") F51 = IndustryCodeItem("F51", "批发业") F52 = IndustryCodeItem("F52", "零售业") G53 = IndustryCodeItem("G53", "铁路运输业") G54 = IndustryCodeItem("G54", "道路运输业") G55 = IndustryCodeItem("G55", "水上运输业") G56 = IndustryCodeItem("G56", "航空运输业") G57 = IndustryCodeItem("G57", "管道运输业") G58 = IndustryCodeItem("G58", "装卸搬运和运输代理业") G59 = IndustryCodeItem("G59", "仓储业") G60 = IndustryCodeItem("G60", "邮政业") H61 = IndustryCodeItem("H61", "住宿业") H62 = IndustryCodeItem("H62", "餐饮业") I63 = IndustryCodeItem("I63", "电信、广播电视和卫星传输服务") I64 = IndustryCodeItem("I64", "互联网和相关服务") I65 = IndustryCodeItem("I65", "软件和信息技术服务业") J66 = IndustryCodeItem("J66", "货币金融服务") J67 = IndustryCodeItem("J67", "资本市场服务") J68 = IndustryCodeItem("J68", "保险业") J69 = IndustryCodeItem("J69", "其他金融业") K70 = IndustryCodeItem("K70", "房地产业") L71 = IndustryCodeItem("L71", "租赁业") L72 = IndustryCodeItem("L72", "商务服务业") M73 = IndustryCodeItem("M73", "研究和试验发展") M74 = IndustryCodeItem("M74", "专业技术服务业") M75 = IndustryCodeItem("M75", "科技推广和应用服务业") N76 = IndustryCodeItem("N76", "水利管理业") N77 = IndustryCodeItem("N77", "生态保护和环境治理业") N78 = IndustryCodeItem("N78", "公共设施管理业") O79 = IndustryCodeItem("O79", "居民服务业") O80 = IndustryCodeItem("O80", "机动车、电子产品和日用产品修理业") O81 = IndustryCodeItem("O81", "其他服务业") P82 = IndustryCodeItem("P82", "教育") Q83 = IndustryCodeItem("Q83", "卫生") Q84 = IndustryCodeItem("Q84", "社会工作") R85 = IndustryCodeItem("R85", "新闻和出版业") R86 = IndustryCodeItem("R86", "广播、电视、电影和影视录音制作业") R87 = IndustryCodeItem("R87", "文化艺术业") R88 = IndustryCodeItem("R88", "体育") R89 = IndustryCodeItem("R89", "娱乐业") S90 = IndustryCodeItem("S90", "综合")