# -*- coding: utf-8 -*-
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from collections import UserDict
from datetime import date
from typing import Dict, Iterable, Tuple
from rqalpha.const import POSITION_DIRECTION, POSITION_EFFECT
from rqalpha.environment import Environment
from rqalpha.interface import AbstractPosition
from rqalpha.model.instrument import Instrument
from rqalpha.model.order import Order
from rqalpha.model.trade import Trade
from rqalpha.utils import is_valid_price
from rqalpha.utils.i18n import gettext as _
from rqalpha.utils.repr import PropertyReprMeta, property_repr
def new_position_meta():
type_map = {}
class Meta(PropertyReprMeta):
def __new__(mcs, *args, **kwargs):
cls = super(Meta, mcs).__new__(mcs, *args, **kwargs)
try:
instrument_types = cls.__instrument_types__
except AttributeError:
pass
else:
for instrument_type in instrument_types:
type_map[instrument_type] = cls
return cls
return type_map, Meta
POSITION_TYPE_MAP, PositionMeta = new_position_meta()
POSITION_PROXY_TYPE_MAP, PositionProxyMeta = new_position_meta()
[文档]class Position(AbstractPosition, metaclass=PositionMeta):
__repr_properties__ = (
"order_book_id", "direction", "quantity", "market_value", "trading_pnl", "position_pnl"
)
# 用于注册该 Position 类型适用的 instrument_type
__instrument_types__ = []
def __new__(cls, order_book_id, direction, init_quantity=0):
if cls == Position:
ins_type = Environment.get_instance().data_proxy.instruments(order_book_id).type
try:
position_cls = POSITION_TYPE_MAP[ins_type]
except KeyError:
raise NotImplementedError("")
return position_cls.__new__(position_cls, order_book_id, direction, init_quantity)
else:
return object.__new__(cls)
def __init__(self, order_book_id, direction, init_quantity=0):
self._env = Environment.get_instance()
self._order_book_id = order_book_id
self._instrument = self._env.data_proxy.instruments(order_book_id) # type: Instrument
self._direction = direction
self._old_quantity = init_quantity
self._logical_old_quantity = 0
self._today_quantity = 0
self._avg_price = 0
self._trade_cost = 0
self._transaction_cost = 0
self._prev_close = None
self._last_price = float("NaN")
self._direction_factor = 1 if direction == POSITION_DIRECTION.LONG else -1
@property
def order_book_id(self):
# type: () -> str
return self._order_book_id
@property
def direction(self):
# type: () -> POSITION_DIRECTION
return self._direction
@property
def quantity(self):
# type: () -> int
return self._old_quantity + self._today_quantity
@property
def transaction_cost(self):
# type: () -> float
return self._transaction_cost
@property
def avg_price(self):
# type: () -> float
return self._avg_price
@property
def trading_pnl(self):
# type: () -> float
trade_quantity = self._today_quantity + (self._old_quantity - self._logical_old_quantity)
if trade_quantity == 0:
return 0
return (trade_quantity * self.last_price - self._trade_cost) * self._direction_factor
@property
def position_pnl(self):
# type: () -> float
if self._logical_old_quantity == 0:
return 0
return self._logical_old_quantity * (self.last_price - self.prev_close) * self._direction_factor
@property
def pnl(self):
# type: () -> float
"""
返回该持仓的累积盈亏
"""
if self.quantity == 0:
return 0
return (self.last_price - self.avg_price) * self.quantity * self._direction_factor
@property
def market_value(self):
# type: () -> float
return self.last_price * self.quantity if self.quantity != 0 else 0
@property
def margin(self):
# type: () -> float
return 0
@property
def equity(self):
# type: () -> float
return self.last_price * self.quantity if self.quantity != 0 else 0
@property
def prev_close(self):
if not is_valid_price(self._prev_close):
env = Environment.get_instance()
self._prev_close = env.data_proxy.get_prev_close(self._order_book_id, env.trading_dt)
return self._prev_close
@property
def last_price(self):
if self._last_price != self._last_price:
env = Environment.get_instance()
self._last_price = env.data_proxy.get_last_price(self._order_book_id)
if self._last_price != self._last_price:
raise RuntimeError(_("last price of position {} is not supposed to be nan").format(self._order_book_id))
return self._last_price
@property
def closable(self):
# type: () -> int
"""
可平仓位
"""
order_quantity = sum(o.unfilled_quantity for o in self._open_orders if o.position_effect in (
POSITION_EFFECT.CLOSE, POSITION_EFFECT.CLOSE_TODAY, POSITION_EFFECT.EXERCISE
))
return self.quantity - order_quantity
@property
def today_closable(self):
# type: () -> int
return self._today_quantity - sum(
o.unfilled_quantity for o in self._open_orders if o.position_effect == POSITION_EFFECT.CLOSE_TODAY
)
def get_state(self):
""""""
return {
"old_quantity": self._old_quantity,
"logical_old_quantity": self._logical_old_quantity,
"today_quantity": self._today_quantity,
"avg_price": self._avg_price,
"trade_cost": self._trade_cost,
"transaction_cost": self._transaction_cost,
"prev_close": self._prev_close
}
def set_state(self, state):
""""""
self._old_quantity = state.get("old_quantity", 0)
self._logical_old_quantity = state.get("logical_old_quantity", self._old_quantity)
self._today_quantity = state.get("today_quantity", 0)
self._avg_price = state.get("avg_price", 0)
self._trade_cost = state.get("trade_cost", 0)
self._transaction_cost = state.get("transaction_cost", 0)
self._prev_close = state.get("prev_close")
def before_trading(self, trading_date):
# type: (date) -> float
# 返回该阶段导致总资金的变化量
self._transaction_cost = 0
return 0
def apply_trade(self, trade):
# type: (Trade) -> float
# 返回总资金的变化量
self._transaction_cost += trade.transaction_cost
if trade.position_effect == POSITION_EFFECT.OPEN:
if self.quantity < 0:
self._avg_price = trade.last_price if self.quantity + trade.last_quantity > 0 else 0
else:
cost = self.quantity * self._avg_price + trade.last_quantity * trade.last_price
self._avg_price = cost / (self.quantity + trade.last_quantity)
self._today_quantity += trade.last_quantity
self._trade_cost += trade.last_price * trade.last_quantity
return (-1 * trade.last_price * trade.last_quantity) - trade.transaction_cost
elif trade.position_effect == POSITION_EFFECT.CLOSE:
self._today_quantity -= max(trade.last_quantity - self._old_quantity, 0)
self._old_quantity -= min(trade.last_quantity, self._old_quantity)
self._trade_cost -= trade.last_price * trade.last_quantity
return trade.last_price * trade.last_quantity - trade.transaction_cost
else:
raise NotImplementedError("{} does not support position effect {}".format(
self.__class__.__name__, trade.position_effect
))
def settlement(self, trading_date):
# type: (date) -> float
# 返回该阶段导致总资金的变化量以及反映该阶段引起其他持仓变化的虚拟交易，虚拟交易用于换代码，转股等操作
self._old_quantity += self._today_quantity
self._logical_old_quantity = self._old_quantity
self._today_quantity = self._trade_cost = self._non_closable = 0
self._prev_close = self.last_price
return 0
def update_last_price(self, price):
self._last_price = price
def calc_close_today_amount(self, trade_amount):
return 0
@property
def _open_orders(self):
# type: () -> Iterable[Order]
for order in Environment.get_instance().broker.get_open_orders(self.order_book_id):
if order.position_direction == self._direction:
yield order
class PositionProxy(metaclass=PositionProxyMeta):
__repr_properties__ = (
"order_book_id", "positions"
)
# 用于注册该 Position 类型适用的 instrument_type
__instrument_types__ = []
def __init__(self, long, short):
# type: (Position, Position) -> PositionProxy
self._long = long
self._short = short
__repr__ = property_repr
@property
def type(self):
raise NotImplementedError
@property
def order_book_id(self):
return self._long.order_book_id
@property
def last_price(self):
return self._long.last_price
@property
def market_value(self):
return self._long.market_value - self._short.market_value
# -- PNL 相关
@property
def position_pnl(self):
"""
[float] 昨仓盈亏，当前交易日盈亏中来源于昨仓的部分
多方向昨仓盈亏 = 昨日收盘时的持仓 * 合约乘数 * (最新价 - 昨收价)
空方向昨仓盈亏 = 昨日收盘时的持仓 * 合约乘数 * (昨收价 - 最新价)
"""
return self._long.position_pnl + self._short.position_pnl
@property
def trading_pnl(self):
"""
[float] 交易盈亏，当前交易日盈亏中来源于当日成交的部分
单比买方向成交的交易盈亏 = 成交量 * (最新价 - 成交价)
单比卖方向成交的交易盈亏 = 成交量 * (成交价 - 最新价)
"""
return self._long.trading_pnl + self._short.trading_pnl
@property
def daily_pnl(self):
"""
[float] 当日盈亏
当日盈亏 = 昨仓盈亏 + 交易盈亏
"""
return self._long.position_pnl + self._long.trading_pnl + self._short.position_pnl + \
self._short.trading_pnl - self.transaction_cost
@property
def pnl(self):
return self._long.pnl + self._short.pnl
# -- Quantity 相关
@property
def open_orders(self):
return Environment.get_instance().broker.get_open_orders(self.order_book_id)
# -- Margin 相关
@property
def margin(self):
"""
[float] 保证金
保证金 = 持仓量 * 最新价 * 合约乘数 * 保证金率
股票保证金 = 市值 = 持仓量 * 最新价
"""
return self._long.margin + self._short.margin
@property
def transaction_cost(self):
"""
[float] 交易费率
"""
return self._long.transaction_cost + self._short.transaction_cost
@property
def positions(self):
return [self._long, self._short]
@property
def long(self):
return self._long
@property
def short(self):
return self._short
PositionDictType = Dict[str, Dict[POSITION_DIRECTION, Position]]
class PositionProxyDict(UserDict):
def __init__(self, positions):
super(PositionProxyDict, self).__init__()
self._positions = positions # type: PositionDictType
def keys(self):
return self._positions.keys()
def __getitem__(self, order_book_id):
position_type, position_proxy_type = self._get_position_types(order_book_id)
if order_book_id not in self._positions:
long = position_type(order_book_id, POSITION_DIRECTION.LONG)
short = position_type(order_book_id, POSITION_DIRECTION.SHORT)
else:
positions = self._positions[order_book_id]
long = positions[POSITION_DIRECTION.LONG]
short = positions[POSITION_DIRECTION.SHORT]
return position_proxy_type(long, short)
def __contains__(self, item):
return item in self._positions
def __iter__(self):
return iter(self._positions)
def __len__(self):
return len(self._positions)
def __setitem__(self, key, value):
raise TypeError("{} object does not support item assignment".format(self.__class__.__name__))
def __delitem__(self, key):
raise TypeError("{} object does not support item deletion".format(self.__class__.__name__))
def __repr__(self):
return repr({k: self[k] for k in self._positions.keys()})
def _get_position_types(self, order_book_id):
# type: (str) -> Tuple[type, type]
instrument_type = Environment.get_instance().data_proxy.instruments(order_book_id).type
position_type = POSITION_TYPE_MAP.get(instrument_type, Position)
position_proxy_type = POSITION_PROXY_TYPE_MAP.get(instrument_type, PositionProxy)
return position_type, position_proxy_type