# -*- coding: utf-8 -*-
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from itertools import chain
from datetime import date
from collections.abc import Mapping
from typing import Callable, Dict, List, Tuple, Union
import jsonpickle
import numpy as np
import six
from rqalpha.const import DAYS_CNT, DEFAULT_ACCOUNT_TYPE, POSITION_DIRECTION, RUN_TYPE
from rqalpha.environment import Environment
from rqalpha.core.events import EVENT, EventBus
from rqalpha.interface import AbstractPosition
from rqalpha.model.order import Order, OrderStyle
from rqalpha.portfolio.account import Account
from rqalpha.data import DataProxy
from rqalpha.utils import is_valid_price
from rqalpha.utils.functools import lru_cache
from rqalpha.utils.i18n import gettext as _
from rqalpha.utils.logger import user_log
from rqalpha.utils.repr import PropertyReprMeta
OrderApiType = Callable[[str, Union[int, float], OrderStyle, bool], List[Order]]
[文档]class Portfolio(object, metaclass=PropertyReprMeta):
"""
投资组合，策略所有账户的集合
"""
__repr_properties__ = (
"total_value", "unit_net_value", "daily_pnl", "daily_returns", "total_returns", "annualized_returns"
)
def __init__(
self,
starting_cash: Dict[str, float],
init_positions: List[Tuple[str, int]],
financing_rate: float,
start_date: date,
data_proxy: DataProxy,
event_bus: EventBus
):
account_args = {}
for account_type, cash in starting_cash.items():
account_args[account_type] = {
"account_type": account_type, "total_cash": cash, "init_positions": {}, "financing_rate": financing_rate
}
last_trading_date = data_proxy.get_previous_trading_date(start_date)
for order_book_id, quantity in init_positions:
account_type = self.get_account_type(order_book_id)
if account_type in account_args:
price = data_proxy.get_bar(order_book_id, last_trading_date).close
if not is_valid_price(price):
raise ValueError(_("invalid init position {order_book_id}: no valid price at {date}").format(
order_book_id=order_book_id, date=last_trading_date
))
account_args[account_type]["init_positions"][order_book_id] = quantity, price
self._accounts = {account_type: Account(**args) for account_type, args in account_args.items()}
self._static_unit_net_value = 1
self._units = sum(account.total_value for account in six.itervalues(self._accounts))
event_bus.prepend_listener(EVENT.PRE_BEFORE_TRADING, self._pre_before_trading)
def get_state(self):
return jsonpickle.encode({
'static_unit_net_value': self._static_unit_net_value,
'units': self._units,
'accounts': {
name: account.get_state() for name, account in self._accounts.items()
}
}).encode('utf-8')
def set_state(self, state):
state = state.decode('utf-8')
value = jsonpickle.decode(state)
self._static_unit_net_value = value['static_unit_net_value']
self._units = value['units']
for k, v in value['accounts'].items():
self._accounts[k].set_state(v)
def get_positions(self):
return list(chain(*(a.get_positions() for a in six.itervalues(self._accounts))))
def get_position(self, order_book_id, direction):
# type: (str, POSITION_DIRECTION) -> AbstractPosition
account = self._accounts[self.get_account_type(order_book_id)]
return account.get_position(order_book_id, direction)
@classmethod
def get_account_type(cls, order_book_id):
instrument = Environment.get_instance().data_proxy.instrument(order_book_id)
return instrument.account_type
def get_account(self, order_book_id):
return self._accounts[self.get_account_type(order_book_id)]
@property
def accounts(self):
# type: () -> Dict[DEFAULT_ACCOUNT_TYPE, Account]
"""
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 Environment.get_instance().config.base.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):
"""
[float] 昨日净值
"""
return self._static_unit_net_value
@property
def daily_pnl(self):
"""
[float] 当日盈亏
"""
return sum(account.daily_pnl for account in six.itervalues(self._accounts))
@property
def daily_returns(self):
"""
[float] 当前最新一天的日收益
"""
return np.nan 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
@lru_cache()
def positions(self):
"""
[dict] 持仓字典
"""
return MixedPositions(self._accounts)
@property
def cash(self):
"""
[float] 可用资金
"""
return sum(account.cash for account in six.itervalues(self._accounts))
@property
def transaction_cost(self):
"""
[float] 交易成本（税费）
"""
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):
"""
[float] 收益
"""
return (self.unit_net_value - 1) * self.units
@property
def starting_cash(self):
"""
[float] 初始资金
"""
return self.units
@property
def frozen_cash(self):
"""
[float] 冻结资金
"""
return sum(account.frozen_cash for account in six.itervalues(self._accounts))
@property
def cash_liabilities(self):
"""
[float] 现金负债
"""
return sum(account.cash_liabilities for account in six.itervalues(self._accounts))
def _pre_before_trading(self, _):
self._static_unit_net_value = self.unit_net_value
[文档] def deposit_withdraw(self, account_type, amount, receiving_days=0):
"""出入金"""
# 入金 现金增加，份额增加，总权益增加，单位净值不变
# 出金 现金减少，份额减少，总权益减少，单位净值不变
if account_type not in self._accounts:
raise ValueError(_("invalid account type {}, choose in {}".format(account_type, list(self._accounts.keys()))))
unit_net_value = self.unit_net_value
self._accounts[account_type].deposit_withdraw(amount, receiving_days)
_units = self.total_value / unit_net_value
user_log.info(_("Cash add {}. units {} become to {}".format(amount, self._units, _units)))
self._units = _units
[文档] def finance_repay(self, amount, account_type):
""" 融资还款 """
if Environment.get_instance().config.base.run_type == RUN_TYPE.LIVE_TRADING:
raise ValueError("finance and report api not support LIVE_TRADING")
if account_type not in self._accounts:
raise ValueError(_("invalid account type {}, choose in {}".format(account_type, list(self._accounts.keys()))))
self._accounts[account_type].finance_repay(amount)
class MixedPositions(Mapping):
def __init__(self, accounts):
super(MixedPositions, self).__init__()
self._accounts = accounts
def __contains__(self, item):
account_type = Portfolio.get_account_type(item)
return item in self._accounts[account_type].positions
def __getitem__(self, item):
account_type = Portfolio.get_account_type(item)
return self._accounts[account_type].positions[item]
def __repr__(self):
keys = []
for account in six.itervalues(self._accounts):
keys += [
order_book_id for order_book_id, position in account.positions.items()
if getattr(position, "quantity", 0) > 0 or
getattr(position, "buy_quantity", 0) + getattr(position, "sell_quantity", 0) > 0
]
return str(sorted(keys))
def __len__(self):
return sum(len(account.positions) for account in six.itervalues(self._accounts))
def __iter__(self):
for account in self._accounts.values():
yield from account.positions.keys()