修复order_target_portfolio由于交易费用导致资金不够用的问题

ricequant · Jul 18, 2024 · e48904d · e48904d
1 parent d703cff
commit e48904d
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Showing 3 changed files with 15 additions and 2 deletions.
diff --git a/rqalpha/environment.py b/rqalpha/environment.py
@@ -183,6 +183,10 @@ def _get_transaction_cost_decider(self, order_book_id):
 
     def get_trade_tax(self, trade):
         return self._get_transaction_cost_decider(trade.order_book_id).get_trade_tax(trade)
+
+    def get_stock_commission_and_tax(self) -> tuple[float, float]:
+        decider = self._transaction_cost_decider_dict[INSTRUMENT_TYPE.CS]
+        return decider.commission_rate, decider.tax_rate
 
     def get_trade_commission(self, trade):
         return self._get_transaction_cost_decider(trade.order_book_id).get_trade_commission(trade)

diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py
@@ -359,6 +359,15 @@ def order_target_portfolio(
     total_percent = sum(p for p, *__ in target.values())
     if total_percent > 1 and not np.isclose(total_percent, 1):
         raise RQInvalidArgument(_("total percent should be lower than 1, current: {}").format(total_percent))
+
+    cash_buffer = 1
+    if total_percent == 1:
+        # 在此处形成的订单不包含交易费用，需要预留一点余额以供交易费用使用
+        # 1 - (股票佣金 * 佣金倍率 + 印花税 * 印花税倍率)
+        commission_rate, tax_rate = env.get_stock_commission_and_tax()
+        commission_multiplier = env.config.mod.sys_transaction_cost.stock_commission_multiplier
+        tax_multiplier = env.config.mod.sys_transaction_cost.tax_multiplier
+        cash_buffer = 1 - (commission_rate * commission_multiplier + tax_rate * tax_multiplier)
 
     account = env.portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK]
 
@@ -372,7 +381,7 @@ def order_target_portfolio(
                 order_book_id, quantity, SIDE.SELL, MarketOrder(), POSITION_EFFECT.CLOSE
             ))
 
-    account_value = account.total_value
+    account_value = account.total_value * cash_buffer
     close_orders, open_orders = [], []
     for order_book_id, (target_percent, open_style, close_style, last_price) in target.items():
         open_price = _get_order_style_price(order_book_id, open_style)

diff --git a/setup.cfg b/setup.cfg
@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqalpha
-version = 5.4.1
+version = 5.4.2
 
 [versioneer]
 VCS = git