rqalpha.model.portfolio 源代码

# -*- coding: utf-8 -*-
#
# Copyright 2017 Ricequant, Inc
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

import six
import jsonpickle
import numpy as np

from rqalpha.environment import Environment
from rqalpha.const import DAYS_CNT, DEFAULT_ACCOUNT_TYPE
from rqalpha.utils import get_account_type, merge_dicts
from rqalpha.utils.repr import property_repr
from rqalpha.events import EVENT


[文档]class Portfolio(object): __repr__ = property_repr def __init__(self, start_date, static_unit_net_value, units, accounts, register_event=True): self._start_date = start_date self._static_unit_net_value = static_unit_net_value self._last_unit_net_value = static_unit_net_value self._units = units self._accounts = accounts self._mixed_positions = None if register_event: self.register_event()
[文档] def register_event(self): """ 注册事件 """ event_bus = Environment.get_instance().event_bus event_bus.prepend_listener(EVENT.PRE_BEFORE_TRADING, self._pre_before_trading) event_bus.prepend_listener(EVENT.POST_SETTLEMENT, self._post_settlement)
def order(self, order_book_id, quantity, style, target=False): account_type = get_account_type(order_book_id) return self.accounts[account_type].order(order_book_id, quantity, style, target) def get_state(self): return jsonpickle.encode({ 'start_date': self._start_date, 'static_unit_net_value': self._static_unit_net_value, 'last_unit_net_value': self._last_unit_net_value, 'units': self._units, 'accounts': { name: account.get_state() for name, account in six.iteritems(self._accounts) } }).encode('utf-8') def set_state(self, state): state = state.decode('utf-8') value = jsonpickle.decode(state) self._start_date = value['start_date'] self._static_unit_net_value = value['static_unit_net_value'] self._last_unit_net_value = value.get('last_unit_net_value', self._static_unit_net_value) self._units = value['units'] for k, v in six.iteritems(value['accounts']): self._accounts[k].set_state(v) def _pre_before_trading(self, event): if not np.isnan(self.unit_net_value): self._static_unit_net_value = self.unit_net_value else: self._static_unit_net_value = self._last_unit_net_value def _post_settlement(self, event): self._last_unit_net_value = self.unit_net_value @property def accounts(self): """ [dict] 账户字典 """ return self._accounts @property def stock_account(self): """ [StockAccount] 股票账户 """ return self._accounts.get(DEFAULT_ACCOUNT_TYPE.STOCK.name, None) @property def future_account(self): """ [FutureAccount] 期货账户 """ return self._accounts.get(DEFAULT_ACCOUNT_TYPE.FUTURE.name, None) @property def start_date(self): """ [datetime.datetime] 策略投资组合的开始日期 """ return self._start_date @property def units(self): """ [float] 份额 """ return self._units @property def unit_net_value(self): """ [float] 实时净值 """ if self._units == 0: return np.nan return self.total_value / self._units @property def static_unit_net_value(self): return self._static_unit_net_value @property def daily_pnl(self): """ [float] 当日盈亏 """ return self.total_value - self._static_unit_net_value * self.units @property def daily_returns(self): """ [float] 当前最新一天的日收益 """ if self._static_unit_net_value == 0: return np.nan return 0 if self._static_unit_net_value == 0 else self.unit_net_value / self._static_unit_net_value - 1 @property def total_returns(self): """ [float] 累计收益率 """ return self.unit_net_value - 1 @property def annualized_returns(self): """ [float] 累计年化收益率 """ if self.unit_net_value <= 0: return -1 env = Environment.get_instance() date_count = float(env.data_proxy.count_trading_dates(env.config.base.start_date, env.trading_dt.date())) return self.unit_net_value ** (DAYS_CNT.TRADING_DAYS_A_YEAR / date_count) - 1 @property def total_value(self): """ [float]总权益 """ return sum(account.total_value for account in six.itervalues(self._accounts)) @property def portfolio_value(self): """ [Deprecated] 总权益 """ return self.total_value @property def positions(self): """ [dict] 持仓 """ if self._mixed_positions is None: self._mixed_positions = MixedPositions(self._accounts) return self._mixed_positions @property def cash(self): """ [float] 可用资金 """ return sum(account.cash for account in six.itervalues(self._accounts)) @property def dividend_receivable(self): return sum(getattr(account, 'dividend_receivable', 0) for account in six.itervalues(self._accounts)) @property def transaction_cost(self): return sum(account.transaction_cost for account in six.itervalues(self._accounts)) @property def market_value(self): """ [float] 市值 """ return sum(account.market_value for account in six.itervalues(self._accounts)) @property def pnl(self): return (self.unit_net_value - 1) * self.units @property def starting_cash(self): return self.units @property def frozen_cash(self): return sum(account.frozen_cash for account in six.itervalues(self._accounts))
class MixedPositions(dict): def __init__(self, accounts): super(MixedPositions, self).__init__() self._accounts = accounts def __missing__(self, key): account_type = get_account_type(key) for a_type in self._accounts: if a_type == account_type: return self._accounts[a_type].positions[key] return None def __contains__(self, item): return item in self.keys() def __repr__(self): keys = [] for account in six.itervalues(self._accounts): keys += account.positions.keys() return str(sorted(keys)) def __len__(self): return sum(len(account.positions) for account in six.itervalues(self._accounts)) def __iter__(self): keys = [] for account in six.itervalues(self._accounts): keys += account.positions.keys() for key in sorted(keys): yield key def items(self): items = merge_dicts(*[account.positions.items() for account in six.itervalues(self._accounts)]) for k in sorted(items.keys()): yield k, items[k] def keys(self): keys = [] for account in six.itervalues(self._accounts): keys += list(account.positions.keys()) return sorted(keys)