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TEST_ORDER_BACKTEST_T0.md

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import QUANTAXIS as QA
QUANTAXIS>> start QUANTAXIS
QUANTAXIS>> Welcome to QUANTAXIS, the Version is 1.0.46
QUANTAXIS>>  
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  ``````````````````````````Copyright``yutiansut``2018``````QUANTITATIVE FINANCIAL FRAMEWORK````````````````````````````` 
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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

 # 初始化一个account
Account=QA.QA_Account()

# 初始化一个回测类
B = QA.QA_BacktestBroker()
C:\ProgramData\Anaconda3\lib\site-packages\ipykernel_launcher.py:2: DeprecationWarning: QUANTAXIS 1.0.47 has changed the init_assets ==> init_cash, please pay attention to this change if you using init_cash to initial an account class,

在第一天的时候,全仓买入 000001

# 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
                        )


## 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

# 账户剩余资金
print('账户剩余资金 :{}'.format(Account.cash_available))
账户剩余资金 :0

Account.hold
Series([], Name: amount, dtype: float64)

Account.init_hold
Series([], Name: amount, dtype: float64)

Account.hold_available
Series([], Name: amount, dtype: float64)

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

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_8wab3yjO'}, 'order_id': 'Order_WH05kvAI', 'trade_id': 'Trade_NQG2ZDtF'}, 'body': {'order': {'price': 10.96, 'code': '000001', 'amount': 90800, 'date': '2018-05-09', 'datetime': '2018-05-09 09:30:00', 'towards': 1}, 'fee': {'commission': 248.67849999999999, 'tax': 0}}}

账户类接收到回测返回的回报信息,更新账户

Account.receive_deal(rec_mes)
{'source': 'account',
 'account_cookie': 'Acc_8wab3yjO',
 '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': {'cash': 1000000, 'hold': {}},
 'commission_coeff': 0.00025,
 'tax_coeff': 0.0015,
 'cash': [1000000, 4583.321499999845],
 'history': [['2018-05-09 09:30:00',
   '000001',
   10.96,
   90800.0,
   'Order_WH05kvAI',
   'Trade_NQG2ZDtF',
   'Acc_8wab3yjO',
   248.67849999999999,
   0.0]],
 'trade_index': ['2018-05-09 09:30:00'],
 'running_time': datetime.datetime(2018, 6, 11, 22, 2, 41, 739082),
 'quantaxis_version': '1.0.46',
 'running_environment': 'backtest'}

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)

print('账户的可用资金 {}'.format(Account.cash_available))
账户的可用资金 4583.321499999845

Account.hold
code
000001    90800.0
Name: amount, dtype: float64

Account.hold_available
code
000001    90800.0
Name: amount, dtype: float64

Account.init_hold.index_name='code'
import pandas as pd
pd.concat([Account.hold_available,Account.init_hold])
code
000001    90800.0
Name: amount, dtype: float64

+Account.hold_available
code
000001    90800.0
Name: amount, dtype: float64

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

Account.hold
code
000001    90800.0
Name: amount, dtype: float64

买入后账户现金表被扩展

Account.cash
[1000000, 4583.321499999845]

因为是t+1的A股市场,故此时可卖数量为0

Account.sell_available
Series([], Name: amount, dtype: float64)

执行结算

Account.settle()

结算后

Account.cash
[1000000, 4583.321499999845]

Account.cash_available
4583.321499999845

Account.sell_available
code
000001    90800.0
Name: amount, dtype: float64

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

holdnum=Account.sell_available.get('000001',0)
holdnum
90800.0

申报一个卖出单,把可卖全部卖出

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
                        )
Order
< QA_Order datetime:2018-05-10 09:31:00 code:000001 amount:90800.0 price:11 towards:-1 btype:stock_cn order_id:Order_3Eo6b9wO account:Acc_8wab3yjO status:300 >

Account.cash_available  # 因为此时订单尚未申报成功 可用现金不变
4583.321499999845

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_8wab3yjO'}, 'order_id': 'Order_3Eo6b9wO', 'trade_id': 'Trade_6ns5CruI'}, 'body': {'order': {'price': 11.0, 'code': '000001', 'amount': 90800.0, 'date': '2018-05-10', 'datetime': '2018-05-10 09:30:00', 'towards': -1}, 'fee': {'commission': 249.7, 'tax': 1498.2}}}

Account.receive_deal(rec_mes)
{'source': 'account',
 'account_cookie': 'Acc_8wab3yjO',
 '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': {'cash': 1000000, 'hold': {}},
 'commission_coeff': 0.00025,
 'tax_coeff': 0.0015,
 'cash': [1000000, 4583.321499999845, 1001635.4214999999],
 'history': [['2018-05-09 09:30:00',
   '000001',
   10.96,
   90800.0,
   'Order_WH05kvAI',
   'Trade_NQG2ZDtF',
   'Acc_8wab3yjO',
   248.67849999999999,
   0.0],
  ['2018-05-10 09:30:00',
   '000001',
   11.0,
   -90800.0,
   'Order_3Eo6b9wO',
   'Trade_6ns5CruI',
   'Acc_8wab3yjO',
   249.7,
   1498.2]],
 'trade_index': ['2018-05-09 09:30:00', '2018-05-10 09:30:00'],
 'running_time': datetime.datetime(2018, 6, 11, 22, 2, 41, 964236),
 'quantaxis_version': '1.0.46',
 'running_environment': 'backtest'}

Account.cash_available # 此时订单已成交 cash_available立刻结转
1001635.4214999999

Account.history_table
<style scoped> .dataframe tbody tr th:only-of-type { vertical-align: middle; } 
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datetime code price amount order_id trade_id account_cookie commission tax
0 2018-05-09 09:30:00 000001 10.96 90800.0 Order_WH05kvAI Trade_NQG2ZDtF Acc_8wab3yjO 248.6785 0.0
1 2018-05-10 09:30:00 000001 11.00 -90800.0 Order_3Eo6b9wO Trade_6ns5CruI Acc_8wab3yjO 249.7000 1498.2 
Account.orders
< QA_OrderQueue AMOUNT 2 WAITING TRADE 2 >

Account.orders.queue_df.query('date=="2018-05-09"')
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</style>
account_cookie amount amount_model callback code commission_coeff date datetime frequence market_type ... price sending_time status strategy tax_coeff towards trade_id transact_time type user
order_id
Order_WH05kvAI Acc_8wab3yjO 90800.0 by_money <bound method QA_Account.receive_deal of < QA_... 000001 0.00025 2018-05-09 2018-05-09 09:31:00 day stock_cn ... 11 2018-05-09 09:31:00 300 None 0.0015 1 None None stock_cn None

1 rows × 23 columns

# 测试T0账户
 # 初始化一个account
AccountT0=QA.QA_Account(running_environment=QA.RUNNING_ENVIRONMENT.TZERO,init_hold={'000001':10000},init_cash=200000)

# 初始化一个回测类
B = QA.QA_BacktestBroker()
C:\ProgramData\Anaconda3\lib\site-packages\ipykernel_launcher.py:2: DeprecationWarning: QUANTAXIS 1.0.47 has changed the init_assets ==> init_cash, please pay attention to this change if you using init_cash to initial an account class,                

AccountT0.init_assets
{'cash': 200000, 'hold': {'000001': 10000}}

AccountT0.init_hold
code
000001    10000
Name: amount, dtype: int64

AccountT0.hold_available
Series([], Name: amount, dtype: float64)

AccountT0.sell_available
code
000001    10000
Name: amount, dtype: int64

Order=AccountT0.send_order(code='000001',
                        price=11,
                        amount=AccountT0.sell_available.get('000001',0),
                        time='2018-05-10',
                        towards=QA.ORDER_DIRECTION.SELL,
                        order_model=QA.ORDER_MODEL.MARKET,
                        amount_model=QA.AMOUNT_MODEL.BY_AMOUNT
                        )
Order
< QA_Order datetime:2018-05-10 09:31:00 code:000001 amount:10000 price:11 towards:-1 btype:stock_cn order_id:Order_CoB3PaZW account:Acc_Qkl8bKjf status:300 >

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_Qkl8bKjf'}, 'order_id': 'Order_CoB3PaZW', 'trade_id': 'Trade_JyRSPIm2'}, 'body': {'order': {'price': 11.0, 'code': '000001', 'amount': 10000, 'date': '2018-05-10', 'datetime': '2018-05-10 09:30:00', 'towards': -1}, 'fee': {'commission': 27.5, 'tax': 165.0}}}

AccountT0.receive_deal(rec_mes)
{'source': 'account',
 'account_cookie': 'Acc_Qkl8bKjf',
 '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': {'cash': 200000, 'hold': {'000001': 10000}},
 'commission_coeff': 0.00025,
 'tax_coeff': 0.0015,
 'cash': [200000, 309807.5],
 'history': [['2018-05-10 09:30:00',
   '000001',
   11.0,
   -10000.0,
   'Order_CoB3PaZW',
   'Trade_JyRSPIm2',
   'Acc_Qkl8bKjf',
   27.5,
   165.0]],
 'trade_index': ['2018-05-10 09:30:00'],
 'running_time': datetime.datetime(2018, 6, 11, 22, 2, 42, 131389),
 'quantaxis_version': '1.0.46',
 'running_environment': 't0'}

AccountT0.sell_available
code
000001    0
Name: amount, dtype: int64

AccountT0.hold
code
000001    0.0
Name: amount, dtype: float64

AccountT0.hold_available.sum()
-10000.0

AccountT0.running_time
datetime.datetime(2018, 6, 11, 22, 2, 42, 49052)

AccountT0.datetime
'2018-05-10 09:30:00'

AccountT0.close_positions_order
[< QA_Order datetime:2018-05-10 15:00:00 code:000001 amount:10000 price:0 towards:1 btype:stock_cn order_id:Order_9VYZWkov account:Acc_Qkl8bKjf status:300 >]

for item in AccountT0.close_positions_order:
    rec_mes=B.receive_order(QA.QA_Event(order=item))
    print(rec_mes)
    AccountT0.receive_deal(rec_mes)
{'header': {'source': 'market', 'status': 200, 'code': '000001', 'session': {'user': None, 'strategy': None, 'account': 'Acc_Qkl8bKjf'}, 'order_id': 'Order_rWlXR8ZS', 'trade_id': 'Trade_7IBiPSCN'}, 'body': {'order': {'price': 11.01, 'code': '000001', 'amount': 10000, 'date': '2018-05-10', 'datetime': '2018-05-10 15:00:00', 'towards': 1}, 'fee': {'commission': 27.525000000000002, 'tax': 0}}}

AccountT0.cash
[200000, 309807.5, 199679.975]

AccountT0.sell_available
code
000001    0
Name: amount, dtype: int64

AccountT0.hold_available
code
000001    0.0
Name: amount, dtype: float64

AccountT0.hold
code
000001    10000.0
Name: amount, dtype: float64

AccountT0.settle()
AccountT0.daily_hold
<style scoped> .dataframe tbody tr th:only-of-type { vertical-align: middle; } 
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code 000001
date account_cookie
2018-05-10 Acc_Qkl8bKjf 0.0 
AccountT0.daily_cash
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cash datetime date account_cookie
datetime account_cookie
2018-05-10 15:00:00 Acc_Qkl8bKjf 199680 2018-05-10 15:00:00 2018-05-10 Acc_Qkl8bKjf 
AccountT0.hold_table()
code
000001    10000.0
Name: amount, dtype: float64

AccountT0.hold_price()
code
000001    (0, 0)
dtype: object

AccountT0.datetime
'2018-05-11 09:30:00'

AccountT0.sell_available
code
000001    10000.0
Name: amount, dtype: float64