From e48904df68b4bdda0316402af3bf37a12ba79f29 Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Thu, 18 Jul 2024 14:52:49 +0800 Subject: [PATCH 01/17] =?UTF-8?q?=E4=BF=AE=E5=A4=8Dorder=5Ftarget=5Fportfo?= =?UTF-8?q?lio=E7=94=B1=E4=BA=8E=E4=BA=A4=E6=98=93=E8=B4=B9=E7=94=A8?= =?UTF-8?q?=E5=AF=BC=E8=87=B4=E8=B5=84=E9=87=91=E4=B8=8D=E5=A4=9F=E7=94=A8?= =?UTF-8?q?=E7=9A=84=E9=97=AE=E9=A2=98?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- rqalpha/environment.py | 4 ++++ rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py | 11 ++++++++++- setup.cfg | 2 +- 3 files changed, 15 insertions(+), 2 deletions(-) diff --git a/rqalpha/environment.py b/rqalpha/environment.py index a2e8b8758..a27302ffb 100644 --- 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 index 6c8fe0057..9c16ddbad 100644 --- 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 index 7421f2443..817f0164b 100644 --- a/setup.cfg +++ b/setup.cfg @@ -5,7 +5,7 @@ [metadata] name = rqalpha -version = 5.4.1 +version = 5.4.2 [versioneer] VCS = git From 7a3900db728fd19cb6eaa71fbc5315e78973be75 Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Thu, 18 Jul 2024 14:57:44 +0800 Subject: [PATCH 02/17] update --- rqalpha/environment.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/rqalpha/environment.py b/rqalpha/environment.py index a27302ffb..2d3c43563 100644 --- a/rqalpha/environment.py +++ b/rqalpha/environment.py @@ -184,7 +184,7 @@ 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]: + def get_stock_commission_and_tax(self): decider = self._transaction_cost_decider_dict[INSTRUMENT_TYPE.CS] return decider.commission_rate, decider.tax_rate From ac258033eff95bdc91974754705bc5253c08986e Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Thu, 18 Jul 2024 15:57:54 +0800 Subject: [PATCH 03/17] =?UTF-8?q?=E6=B5=8B=E8=AF=95=E6=96=87=E4=BB=B6?= =?UTF-8?q?=E6=9B=B4=E6=96=B0?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- tests/outs/test_f_mean_reverting.pkl | Bin 111284 -> 110951 bytes 1 file changed, 0 insertions(+), 0 deletions(-) diff --git a/tests/outs/test_f_mean_reverting.pkl b/tests/outs/test_f_mean_reverting.pkl index 5c6e356b5f01ad240e0c04f6b1189533d64c018d..852f2a6af71a39b8f585a338f142b6c9f907d05b 100644 GIT binary patch delta 15544 zcmeHOS5Q{jmIeeQBL*5&vVw}JpwdPTN3V(zXhj>fTM$#*+KK_2R{M|?Nd^vzNR*t@ zFF#SKyVlFp%*)*8`!ca+rfRC@;Z9A>!#vElPxycO-nngDq9!swZLW!^VhlZc~dd5oSfR{w6^?-%%@2~|@SsXWGo^i=&T=Qgd@ zr%- z4Rig8=-anc)jd_$KR`t^?nLE@>VLR@?m=B~Aymv2+^uf#NYKoM-=Ig-u$-SHsP{c$ z-J`kw)^;l4Np;j?qqi6O6OOU9P;I~k%YS)PI4aK^9UKmQP9<{2O7}!O#-D`5YYVB6 z^SG2>yCrHO$QJX{-|$Nwq^kKg8BNj{Rk-pXTW1J|*L_DVjyz=-aZCJC&N~%qmypFP zn|i6tke^L&?YX+zT{=nTcaL)|fI|KL4!2L7u 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z4eRYH?>}|((h21~)@)uH*4tI!(OSqQ0CS&{^@^A&l}NzEjZ1z?utIusSi1?txoj|= zZpn?F2Vdd=K?!vvDB)eoa#Zhm)Us|19(D^AMUX@WCGtJb8V^ zvj=~)Gg)#kt?_ZROZgP&_9@WqQ=nV(r$9Fnp>n~W0^M{b`zg?Eo?e6TL^g-#&`*JG zdc@=0rfV)!`c69k-viy&Miv?x18?ZrZb*})->C_BXnsQc()c3QZc@*cr%^BJ9oUnspp zjNp8R*=cntaBeS5n4QKH6zzu+3q%{rB9%GOyLaLu?-X;dh@Xip*y!;Kp*fJ-4>x)d z0kx2$Z`!8(K5rF4ZZ!X4cCs2hcl1Mr*=5*Ues2D+MK+pe$+E;aI3QT;|1i5hk6m@@ rhTkm{zin-HH>ezv|JHub^M;^t+~5rtUnXedzs%xsmh`DV{m1_RQlK{F From bec769e36705122156978498a221f69d71a3dfeb Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Fri, 19 Jul 2024 10:24:58 +0800 Subject: [PATCH 04/17] pr update --- .../rqalpha_mod_sys_accounts/api/api_stock.py | 24 +++++++++++-------- 1 file changed, 14 insertions(+), 10 deletions(-) diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py index 9c16ddbad..3021430e7 100644 --- a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py +++ b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py @@ -359,15 +359,6 @@ 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] @@ -381,7 +372,20 @@ def order_target_portfolio( order_book_id, quantity, SIDE.SELL, MarketOrder(), POSITION_EFFECT.CLOSE )) - account_value = account.total_value * cash_buffer + account_value = account.total_value + 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 + commission_rate, tax_rate = env.get_stock_commission_and_tax() + commission_rate = env.config.mod.sys_transaction_cost.stock_commission_multiplier * commission_rate + tax_rate = env.config.mod.sys_transaction_cost.tax_multiplier * tax_rate + tax, commission = 0, 0 + for order_book_id, (target_percent, open_style, close_style, last_price) in target.items(): + current_value = current_quantities.get(order_book_id, 0) * last_price + change_value = target_percent * account_value - current_value + tax += abs(change_value) * tax_rate if change_value < 0 else 0 + commission += max(change_value * commission_rate, env.config.mod.sys_transaction_cost.cn_stock_min_commission) + account_value = account_value - tax - commission + 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) From c4003ad2f7cc7c43f62f887cfa34eadc3dbd6004 Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Fri, 19 Jul 2024 11:57:23 +0800 Subject: [PATCH 05/17] pr update --- rqalpha/environment.py | 2 +- rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py | 2 -- 2 files changed, 1 insertion(+), 3 deletions(-) diff --git a/rqalpha/environment.py b/rqalpha/environment.py index 2d3c43563..16035318d 100644 --- a/rqalpha/environment.py +++ b/rqalpha/environment.py @@ -186,7 +186,7 @@ def get_trade_tax(self, trade): def get_stock_commission_and_tax(self): decider = self._transaction_cost_decider_dict[INSTRUMENT_TYPE.CS] - return decider.commission_rate, decider.tax_rate + return decider.commission_rate * decider.commission_multiplier, decider.tax_rate * decider.tax_multiplier 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 index 3021430e7..870462868 100644 --- a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py +++ b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py @@ -376,8 +376,6 @@ def order_target_portfolio( 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 commission_rate, tax_rate = env.get_stock_commission_and_tax() - commission_rate = env.config.mod.sys_transaction_cost.stock_commission_multiplier * commission_rate - tax_rate = env.config.mod.sys_transaction_cost.tax_multiplier * tax_rate tax, commission = 0, 0 for order_book_id, (target_percent, open_style, close_style, last_price) in target.items(): current_value = current_quantities.get(order_book_id, 0) * last_price From e56445e89e881a5ef8f8428bb31cb2349f2f17a5 Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Fri, 19 Jul 2024 15:30:19 +0800 Subject: [PATCH 06/17] pr update --- rqalpha/environment.py | 8 +++++--- rqalpha/interface.py | 17 ++++++++++------- .../rqalpha_mod_sys_accounts/api/api_stock.py | 8 +++----- .../deciders.py | 8 ++++++++ 4 files changed, 26 insertions(+), 15 deletions(-) diff --git a/rqalpha/environment.py b/rqalpha/environment.py index 16035318d..09c0e2ed6 100644 --- a/rqalpha/environment.py +++ b/rqalpha/environment.py @@ -26,8 +26,10 @@ from rqalpha.utils.logger import system_log, user_log, user_system_log from rqalpha.core.global_var import GlobalVars from rqalpha.utils.i18n import gettext as _ +from rqalpha.const import SIDE if TYPE_CHECKING: from rqalpha.model.order import Order + class Environment(object): @@ -184,9 +186,9 @@ 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): - decider = self._transaction_cost_decider_dict[INSTRUMENT_TYPE.CS] - return decider.commission_rate * decider.commission_multiplier, decider.tax_rate * decider.tax_multiplier + def get_transaction_cost_with_value(self, value: float) -> float: + side = SIDE.BUY if value >= 0 else SIDE.SELL + return self._transaction_cost_decider_dict[INSTRUMENT_TYPE.CS].get_transaction_cost_with_value(abs(value), side) def get_trade_commission(self, trade): return self._get_transaction_cost_decider(trade.order_book_id).get_trade_commission(trade) diff --git a/rqalpha/interface.py b/rqalpha/interface.py index 6017a3f8f..7ade86245 100644 --- a/rqalpha/interface.py +++ b/rqalpha/interface.py @@ -30,7 +30,7 @@ from rqalpha.model.order import Order from rqalpha.model.trade import Trade from rqalpha.model.instrument import Instrument -from rqalpha.const import POSITION_DIRECTION, TRADING_CALENDAR_TYPE, INSTRUMENT_TYPE +from rqalpha.const import POSITION_DIRECTION, TRADING_CALENDAR_TYPE, INSTRUMENT_TYPE, SIDE class AbstractPosition(with_metaclass(abc.ABCMeta)): @@ -675,25 +675,28 @@ class AbstractTransactionCostDecider((with_metaclass(abc.ABCMeta))): 订单税费计算接口，通过实现次接口可以定义不同市场、不同合约的个性化税费计算逻辑。 """ @abc.abstractmethod - def get_trade_tax(self, trade): - # type: (Trade) -> float + def get_trade_tax(self, trade: Trade) -> float: """ 计算指定交易应付的印花税 """ raise NotImplementedError @abc.abstractmethod - def get_trade_commission(self, trade): - # type: (Trade) -> float + def get_trade_commission(self, trade: Trade) -> float: """ 计算指定交易应付的佣金 """ raise NotImplementedError @abc.abstractmethod - def get_order_transaction_cost(self, order): - # type: (Order) -> float + def get_order_transaction_cost(self, order: Order) -> float: """ 计算指定订单应付的交易成本（税 + 费） """ raise NotImplementedError + + def get_transaction_cost_with_value(self, value: float, side: SIDE) -> float: + """ + 计算指定价格交易应付的交易成本（税 + 费） + """ + raise NotImplementedError diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py index 870462868..3384b1b27 100644 --- a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py +++ b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py @@ -375,14 +375,12 @@ def order_target_portfolio( account_value = account.total_value 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 - commission_rate, tax_rate = env.get_stock_commission_and_tax() - tax, commission = 0, 0 + estimate_transaction_cost = 0 for order_book_id, (target_percent, open_style, close_style, last_price) in target.items(): current_value = current_quantities.get(order_book_id, 0) * last_price change_value = target_percent * account_value - current_value - tax += abs(change_value) * tax_rate if change_value < 0 else 0 - commission += max(change_value * commission_rate, env.config.mod.sys_transaction_cost.cn_stock_min_commission) - account_value = account_value - tax - commission + estimate_transaction_cost += env.get_transaction_cost_with_value(change_value) + account_value = account_value - estimate_transaction_cost close_orders, open_orders = [], [] for order_book_id, (target_percent, open_style, close_style, last_price) in target.items(): diff --git a/rqalpha/mod/rqalpha_mod_sys_transaction_cost/deciders.py b/rqalpha/mod/rqalpha_mod_sys_transaction_cost/deciders.py index cedf75a9f..e39fd1e1d 100644 --- a/rqalpha/mod/rqalpha_mod_sys_transaction_cost/deciders.py +++ b/rqalpha/mod/rqalpha_mod_sys_transaction_cost/deciders.py @@ -77,6 +77,9 @@ def get_order_transaction_cost(self, order): commission = self._get_order_commission(order.order_book_id, order.side, order.frozen_price, order.quantity) tax = self._get_tax(order.order_book_id, order.side, order.frozen_price * order.quantity) return tax + commission + + def get_transaction_cost_with_value(self, value: float, side: SIDE) -> float: + raise NotImplementedError class CNStockTransactionCostDecider(StockTransactionCostDecider): @@ -99,6 +102,11 @@ def set_tax_rate(self, event): else: self.tax_rate = 0.0005 + def get_transaction_cost_with_value(self, value: float, side: SIDE) -> float: + tax = value * self.tax_rate * self.tax_multiplier if side == SIDE.SELL else 0 + commission = max(value * self.commission_rate * self.commission_multiplier, self.min_commission) + return tax + commission + class CNFutureTransactionCostDecider(AbstractTransactionCostDecider): def __init__(self, commission_multiplier): From cae025a0df67bd9f7728bb57e39fd7ad53c7278a Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Tue, 30 Jul 2024 15:35:03 +0800 Subject: [PATCH 07/17] update order_target_portfolio --- .../rqalpha_mod_sys_accounts/api/api_stock.py | 61 ++++++++++++------- tests/api_tests/test_api_stock.py | 7 ++- 2 files changed, 44 insertions(+), 24 deletions(-) diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py index 3384b1b27..7494bccc6 100644 --- a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py +++ b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py @@ -19,6 +19,8 @@ from decimal import Decimal, getcontext from itertools import chain from typing import Dict, List, Optional, Union, Tuple +import math +from collections import defaultdict import numpy as np import pandas as pd @@ -70,14 +72,27 @@ def _get_account_position_ins(id_or_ins): return account, position, ins -def _round_order_quantity(ins, quantity) -> int: +def _round_order_quantity(ins, quantity, method: str = "round_down") -> int: + """ + 根据合约的 round_lot 对订单数量进行取整 + + :param method: 取整方式，可选择 'round_down'（向下取整）, 'round_up'（向上取整）, 'round'（四舍五入） + """ if ins.type == "CS" and ins.board_type == "KSH": # KSH can buy(sell) 201, 202 shares return 0 if abs(quantity) < KSH_MIN_AMOUNT else int(quantity) else: round_lot = ins.round_lot try: - return int(Decimal(quantity) / Decimal(round_lot)) * round_lot + match method: + case "round_down": + return int(Decimal(quantity) / Decimal(round_lot)) * round_lot + case "round_up": + return math.ceil(Decimal(quantity) / Decimal(round_lot)) * round_lot + case "round": + return round(Decimal(quantity) / Decimal(round_lot)) * round_lot + case _: + raise except ValueError: raise @@ -373,16 +388,8 @@ def order_target_portfolio( )) account_value = account.total_value - 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 - estimate_transaction_cost = 0 - for order_book_id, (target_percent, open_style, close_style, last_price) in target.items(): - current_value = current_quantities.get(order_book_id, 0) * last_price - change_value = target_percent * account_value - current_value - estimate_transaction_cost += env.get_transaction_cost_with_value(change_value) - account_value = account_value - estimate_transaction_cost - close_orders, open_orders = [], [] + waiting_to_buy = defaultdict() 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) close_price = _get_order_style_price(order_book_id, close_style) @@ -392,23 +399,35 @@ def order_target_portfolio( ) env.order_creation_failed(order_book_id=order_book_id, reason=reason) continue - delta_quantity = (account_value * target_percent / close_price) - current_quantities.get(order_book_id, 0) - delta_quantity = _round_order_quantity(env.data_proxy.instrument(order_book_id), delta_quantity) + delta_quantity = _round_order_quantity(env.data_proxy.instrument(order_book_id), delta_quantity, method="round") + + # 优先生成卖单，以便计算出剩余现金，进行买单数量的计算 if delta_quantity == 0: continue elif delta_quantity > 0: - quantity, side, position_effect = delta_quantity, SIDE.BUY, POSITION_EFFECT.OPEN - order_list = open_orders - target_style = open_style + waiting_to_buy[order_book_id] = (delta_quantity, POSITION_EFFECT.OPEN, open_style, last_price) + continue else: quantity, side, position_effect = abs(delta_quantity), SIDE.SELL, POSITION_EFFECT.CLOSE - order_list = close_orders - target_style = close_style - order = Order.__from_create__(order_book_id, quantity, side, target_style, position_effect) - if isinstance(target_style, MarketOrder): + order = Order.__from_create__(order_book_id, quantity, side, close_style, position_effect) + if isinstance(close_style, MarketOrder): + order.set_frozen_price(last_price) + close_orders.append(order) + + estimate_cash = account.cash + sum([o.quantity * o.frozen_price - env.get_order_transaction_cost(o) for o in close_orders]) + for order_book_id, (delta_quantity, position_effect, open_style, last_price) in waiting_to_buy.items(): + order_price = delta_quantity * last_price + if order_price + env.get_transaction_cost_with_value(order_price) > estimate_cash: + delta_quantity = estimate_cash / last_price + delta_quantity = _round_order_quantity(env.data_proxy.instrument(order_book_id), delta_quantity) + if delta_quantity == 0: + continue + order = Order.__from_create__(order_book_id, delta_quantity, SIDE.BUY, open_style, position_effect) + if isinstance(open_style, MarketOrder): order.set_frozen_price(last_price) - order_list.append(order) + open_orders.append(order) + estimate_cash -= order.quantity * order.frozen_price + env.get_order_transaction_cost(order) return list(env.submit_order(o) for o in chain(close_orders, open_orders)) diff --git a/tests/api_tests/test_api_stock.py b/tests/api_tests/test_api_stock.py index e30f8e30f..bd79cd5e7 100644 --- a/tests/api_tests/test_api_stock.py +++ b/tests/api_tests/test_api_stock.py @@ -162,8 +162,9 @@ def handle_bar(context, bar_dict): "000001.XSHE": 0.1, "000004.XSHE": 0.2, }) - assert get_position("000001.XSHE").quantity == 6900 # (1000000 * 0.1) / 14.37 = 6958.94 - assert get_position("000004.XSHE").quantity == 10500 # (1000000 * 0.2) / 18.92 = 10570.82 + # 开仓仓位在 rqalpha == 5.4.2 之后修改为四舍五入 + assert get_position("000001.XSHE").quantity == 7000 # (1000000 * 0.1) / 14.37 = 6958.94 + assert get_position("000004.XSHE").quantity == 10600 # (1000000 * 0.2) / 18.92 = 10570.82 elif context.counter == 2: order_target_portfolio({ "000004.XSHE": 0.1, @@ -175,7 +176,7 @@ def handle_bar(context, bar_dict): "600519.XSHG": (970, 980), }) assert get_position("000001.XSHE").quantity == 0 # 清仓 - assert get_position("000004.XSHE").quantity == 5600 # (993695.7496 * 0.1) / 18 = 5520.53 + assert get_position("000004.XSHE").quantity == 5500 # (993695.7496 * 0.1) / 18 = 5520.53 assert get_position("000005.XSHE").quantity == 68000 # (993695.7496 * 0.2) / 2.92 = 68061.35 assert get_position("600519.XSHG").quantity == 0 # 970 低于 收盘价 无法买进 From b750feec84a79b14206a62837c47b6cdd45cd61a Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Tue, 30 Jul 2024 15:58:21 +0800 Subject: [PATCH 08/17] update --- .../rqalpha_mod_sys_accounts/api/api_stock.py | 17 ++++++++--------- 1 file changed, 8 insertions(+), 9 deletions(-) diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py index 7494bccc6..c70849fd0 100644 --- a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py +++ b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py @@ -84,15 +84,14 @@ def _round_order_quantity(ins, quantity, method: str = "round_down") -> int: else: round_lot = ins.round_lot try: - match method: - case "round_down": - return int(Decimal(quantity) / Decimal(round_lot)) * round_lot - case "round_up": - return math.ceil(Decimal(quantity) / Decimal(round_lot)) * round_lot - case "round": - return round(Decimal(quantity) / Decimal(round_lot)) * round_lot - case _: - raise + if method == "round_down": + return int(Decimal(quantity) / Decimal(round_lot)) * round_lot + elif method == "round_up": + return math.ceil(Decimal(quantity) / Decimal(round_lot)) * round_lot + elif method == "round": + return round(Decimal(quantity) / Decimal(round_lot)) * round_lot + else: + raise RuntimeError("Rounding method only support 'round_down', 'round_up' and 'round'") except ValueError: raise From 6acab121f3f0c0952f5d47918f5526b4cc084300 Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Tue, 30 Jul 2024 17:13:11 +0800 Subject: [PATCH 09/17] pr update --- .../rqalpha_mod_sys_accounts/api/api_stock.py | 36 +++++++++---------- 1 file changed, 18 insertions(+), 18 deletions(-) diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py index c70849fd0..7326f6a8a 100644 --- a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py +++ b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py @@ -18,7 +18,7 @@ import datetime from decimal import Decimal, getcontext from itertools import chain -from typing import Dict, List, Optional, Union, Tuple +from typing import Dict, List, Optional, Union, Tuple, Callable import math from collections import defaultdict @@ -72,26 +72,14 @@ def _get_account_position_ins(id_or_ins): return account, position, ins -def _round_order_quantity(ins, quantity, method: str = "round_down") -> int: - """ - 根据合约的 round_lot 对订单数量进行取整 - - :param method: 取整方式，可选择 'round_down'（向下取整）, 'round_up'（向上取整）, 'round'（四舍五入） - """ +def _round_order_quantity(ins, quantity, method: Callable = int) -> int: if ins.type == "CS" and ins.board_type == "KSH": # KSH can buy(sell) 201, 202 shares return 0 if abs(quantity) < KSH_MIN_AMOUNT else int(quantity) else: round_lot = ins.round_lot try: - if method == "round_down": - return int(Decimal(quantity) / Decimal(round_lot)) * round_lot - elif method == "round_up": - return math.ceil(Decimal(quantity) / Decimal(round_lot)) * round_lot - elif method == "round": - return round(Decimal(quantity) / Decimal(round_lot)) * round_lot - else: - raise RuntimeError("Rounding method only support 'round_down', 'round_up' and 'round'") + return method(Decimal(quantity) / Decimal(round_lot)) * round_lot except ValueError: raise @@ -387,6 +375,15 @@ def order_target_portfolio( )) account_value = account.total_value + 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 + estimate_transaction_cost = 0 + for order_book_id, (target_percent, open_style, close_style, last_price) in target.items(): + current_value = current_quantities.get(order_book_id, 0) * last_price + change_value = target_percent * account_value - current_value + estimate_transaction_cost += env.get_transaction_cost_with_value(change_value) + account_value = account_value - estimate_transaction_cost + close_orders, open_orders = [], [] waiting_to_buy = defaultdict() for order_book_id, (target_percent, open_style, close_style, last_price) in target.items(): @@ -399,7 +396,7 @@ def order_target_portfolio( env.order_creation_failed(order_book_id=order_book_id, reason=reason) continue delta_quantity = (account_value * target_percent / close_price) - current_quantities.get(order_book_id, 0) - delta_quantity = _round_order_quantity(env.data_proxy.instrument(order_book_id), delta_quantity, method="round") + delta_quantity = _round_order_quantity(env.data_proxy.instrument(order_book_id), delta_quantity, method=round) # 优先生成卖单，以便计算出剩余现金，进行买单数量的计算 if delta_quantity == 0: @@ -417,16 +414,19 @@ def order_target_portfolio( estimate_cash = account.cash + sum([o.quantity * o.frozen_price - env.get_order_transaction_cost(o) for o in close_orders]) for order_book_id, (delta_quantity, position_effect, open_style, last_price) in waiting_to_buy.items(): order_price = delta_quantity * last_price - if order_price + env.get_transaction_cost_with_value(order_price) > estimate_cash: + transaction_cost = env.get_transaction_cost_with_value(order_price) + if order_price + transaction_cost > estimate_cash: delta_quantity = estimate_cash / last_price delta_quantity = _round_order_quantity(env.data_proxy.instrument(order_book_id), delta_quantity) if delta_quantity == 0: continue + order_price = delta_quantity * last_price + transaction_cost = env.get_transaction_cost_with_value(order_price) order = Order.__from_create__(order_book_id, delta_quantity, SIDE.BUY, open_style, position_effect) if isinstance(open_style, MarketOrder): order.set_frozen_price(last_price) open_orders.append(order) - estimate_cash -= order.quantity * order.frozen_price + env.get_order_transaction_cost(order) + estimate_cash -= order_price + transaction_cost return list(env.submit_order(o) for o in chain(close_orders, open_orders)) From f88b5f60dd76b4d27964a3a7113fda2fd0b3ef2d Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Tue, 30 Jul 2024 17:46:04 +0800 Subject: [PATCH 10/17] pr update --- rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py | 10 ++++------ 1 file changed, 4 insertions(+), 6 deletions(-) diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py index 7326f6a8a..840aa182b 100644 --- a/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py +++ b/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py @@ -413,20 +413,18 @@ def order_target_portfolio( estimate_cash = account.cash + sum([o.quantity * o.frozen_price - env.get_order_transaction_cost(o) for o in close_orders]) for order_book_id, (delta_quantity, position_effect, open_style, last_price) in waiting_to_buy.items(): - order_price = delta_quantity * last_price - transaction_cost = env.get_transaction_cost_with_value(order_price) - if order_price + transaction_cost > estimate_cash: + cost = delta_quantity * last_price + env.get_transaction_cost_with_value(delta_quantity * last_price) + if cost > estimate_cash: delta_quantity = estimate_cash / last_price delta_quantity = _round_order_quantity(env.data_proxy.instrument(order_book_id), delta_quantity) if delta_quantity == 0: continue - order_price = delta_quantity * last_price - transaction_cost = env.get_transaction_cost_with_value(order_price) + cost = delta_quantity * last_price + env.get_transaction_cost_with_value(delta_quantity * last_price) order = Order.__from_create__(order_book_id, delta_quantity, SIDE.BUY, open_style, position_effect) if isinstance(open_style, MarketOrder): order.set_frozen_price(last_price) open_orders.append(order) - estimate_cash -= order_price + transaction_cost + estimate_cash -= cost return list(env.submit_order(o) for o in chain(close_orders, open_orders)) From a7e6d6965aeda5522174c01bb59b551cf78ae715 Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Wed, 14 Aug 2024 19:57:56 +0800 Subject: [PATCH 11/17] =?UTF-8?q?=E6=9B=B4=E6=96=B0bundle=E6=95=B0?= =?UTF-8?q?=E6=8D=AE=E6=94=AF=E6=8C=81=E5=B0=86=E9=94=99=E8=AF=AF=E7=BB=9F?= =?UTF-8?q?=E4=B8=80=E8=BE=93=E5=87=BA?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- rqalpha/data/bundle.py | 63 ++++++++++++++++++++++++++---------------- 1 file changed, 39 insertions(+), 24 deletions(-) diff --git a/rqalpha/data/bundle.py b/rqalpha/data/bundle.py index cc3e16d0e..64688e2ac 100644 --- a/rqalpha/data/bundle.py +++ b/rqalpha/data/bundle.py @@ -28,6 +28,7 @@ from rqalpha.utils.datetime_func import convert_date_to_date_int, convert_date_to_int from rqalpha.utils.i18n import gettext as _ from rqalpha.utils.functools import lru_cache +from rqalpha.utils.logger import init_logger, system_log from rqalpha.environment import Environment from rqalpha.model.instrument import Instrument @@ -310,24 +311,29 @@ def __call__(self, path, fields, **kwargs): class GenerateDayBarTask(DayBarTask): def __call__(self, path, fields, **kwargs): - with h5py.File(path, 'w') as h5: - i, step = 0, 300 - while True: - order_book_ids = self._order_book_ids[i:i + step] - df = rqdatac.get_price(order_book_ids, START_DATE, datetime.date.today(), '1d', - adjust_type='none', fields=fields, expect_df=True) - if not (df is None or df.empty): - df.reset_index(inplace=True) - df['datetime'] = [convert_date_to_int(d) for d in df['date']] - del df['date'] - df.set_index(['order_book_id', 'datetime'], inplace=True) - df.sort_index(inplace=True) - for order_book_id in df.index.levels[0]: - h5.create_dataset(order_book_id, data=df.loc[order_book_id].to_records(), **kwargs) - i += step - yield len(order_book_ids) - if i >= len(self._order_book_ids): - break + try: + with h5py.File(path, 'w') as h5: + i, step = 0, 300 + while True: + order_book_ids = self._order_book_ids[i:i + step] + df = rqdatac.get_price(order_book_ids, START_DATE, datetime.date.today(), '1d', + adjust_type='none', fields=fields, expect_df=True) + if not (df is None or df.empty): + df.reset_index(inplace=True) + df['datetime'] = [convert_date_to_int(d) for d in df['date']] + del df['date'] + df.set_index(['order_book_id', 'datetime'], inplace=True) + df.sort_index(inplace=True) + for order_book_id in df.index.levels[0]: + h5.create_dataset(order_book_id, data=df.loc[order_book_id].to_records(), **kwargs) + i += step + yield len(order_book_ids) + if i >= len(self._order_book_ids): + break + except OSError: + system_log.error("File {} update failed, if it is using, please update later, " + "or you can delete then update again".format(path)) + yield 1 class UpdateDayBarTask(DayBarTask): @@ -356,9 +362,10 @@ def __call__(self, path, fields, **kwargs): try: h5 = h5py.File(path, 'a') except OSError: - raise OSError("File {} update failed, if it is using, please update later, " - "or you can delete then update again".format(path)) - try: + system_log.error("File {} update failed, if it is using, please update later, " + "or you can delete then update again".format(path)) + yield 1 + else: is_futures = "futures" == os.path.basename(path).split(".")[0] for order_book_id in self._order_book_ids: # 特殊处理前复权合约，需要全量更新 @@ -367,8 +374,10 @@ def __call__(self, path, fields, **kwargs): try: last_date = int(h5[order_book_id]['datetime'][-1] // 1000000) except OSError: - raise OSError("File {} update failed, if it is using, please update later, " - "or you can delete then update again".format(path)) + system_log.error("File {} update failed, if it is using, please update later, " + "or you can delete then update again".format(path)) + yield 1 + break except ValueError: h5.pop(order_book_id) start_date = START_DATE @@ -406,12 +415,18 @@ def init_rqdatac_with_warnings_catch(): rqdatac.init() +def process_init_func(): + init_rqdatac_with_warnings_catch() + init_logger() + + def update_bundle(path, create, enable_compression=False, concurrency=1): if create: _DayBarTask = GenerateDayBarTask else: _DayBarTask = UpdateDayBarTask + init_logger() kwargs = {} if enable_compression: kwargs['compression'] = 9 @@ -431,7 +446,7 @@ def update_bundle(path, create, enable_compression=False, concurrency=1): ) with ProgressedProcessPoolExecutor( - max_workers=concurrency, initializer=init_rqdatac_with_warnings_catch + max_workers=concurrency, initializer=process_init_func ) as executor: # windows上子进程需要执行rqdatac.init, 其他os则需要执行rqdatac.reset; rqdatac.init包含了rqdatac.reset的功能 for func in gen_file_funcs: From 2c53b9c8d17b3a76efcc45619c018f901639290a Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> 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zT)9N0Z0SP1>A#&U2P-E$qy@_)QxnOwe6|J1BvTW~Bqh{_ORss)BvTW~B;>9wOeUF{ zNG2^b5$&jeIK$&D}o|yDPe6cM=CYhQHCe3#u z|DUD5N$>t^g7?fMQxnM~B%>`%CYhRy^)a7oVH5ioBA;t+3fugWUy;S7XOgLjWRg)y z?OK3LGSzU{Pst?9caneY>u&kYtN-%%p2O0(&@%HXe3ATb4lJ?9WI%k=cW|LK1KiYo~8 From 8c85790612c7303865c3a35685bb77d957d3a06f Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Sun, 18 Aug 2024 15:16:10 +0800 Subject: [PATCH 13/17] update --- rqalpha/data/bundle.py | 41 ++++++++++++++++++----------------------- 1 file changed, 18 insertions(+), 23 deletions(-) diff --git a/rqalpha/data/bundle.py b/rqalpha/data/bundle.py index 64688e2ac..dd502e2ed 100644 --- a/rqalpha/data/bundle.py +++ b/rqalpha/data/bundle.py @@ -311,29 +311,24 @@ def __call__(self, path, fields, **kwargs): class GenerateDayBarTask(DayBarTask): def __call__(self, path, fields, **kwargs): - try: - with h5py.File(path, 'w') as h5: - i, step = 0, 300 - while True: - order_book_ids = self._order_book_ids[i:i + step] - df = rqdatac.get_price(order_book_ids, START_DATE, datetime.date.today(), '1d', - adjust_type='none', fields=fields, expect_df=True) - if not (df is None or df.empty): - df.reset_index(inplace=True) - df['datetime'] = [convert_date_to_int(d) for d in df['date']] - del df['date'] - df.set_index(['order_book_id', 'datetime'], inplace=True) - df.sort_index(inplace=True) - for order_book_id in df.index.levels[0]: - h5.create_dataset(order_book_id, data=df.loc[order_book_id].to_records(), **kwargs) - i += step - yield len(order_book_ids) - if i >= len(self._order_book_ids): - break - except OSError: - system_log.error("File {} update failed, if it is using, please update later, " - "or you can delete then update again".format(path)) - yield 1 + with h5py.File(path, 'w') as h5: + i, step = 0, 300 + while True: + order_book_ids = self._order_book_ids[i:i + step] + df = rqdatac.get_price(order_book_ids, START_DATE, datetime.date.today(), '1d', + adjust_type='none', fields=fields, expect_df=True) + if not (df is None or df.empty): + df.reset_index(inplace=True) + df['datetime'] = [convert_date_to_int(d) for d in df['date']] + del df['date'] + df.set_index(['order_book_id', 'datetime'], inplace=True) + df.sort_index(inplace=True) + for order_book_id in df.index.levels[0]: + h5.create_dataset(order_book_id, data=df.loc[order_book_id].to_records(), **kwargs) + i += step + yield len(order_book_ids) + if i >= len(self._order_book_ids): + break class UpdateDayBarTask(DayBarTask): From adaa3e7a479b0cf27d73a03b4ef5f06a6ba99f0e Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Thu, 22 Aug 2024 15:31:33 +0800 Subject: [PATCH 14/17] =?UTF-8?q?=E5=AD=98=E5=9C=A8=E6=9B=B4=E6=96=B0?= =?UTF-8?q?=E5=A4=B1=E8=B4=A5=E7=9A=84=E6=83=85=E5=86=B5=E6=97=B6=E7=A8=8B?= =?UTF-8?q?=E5=BA=8F=E7=8A=B6=E6=80=81=E7=A0=81=E4=B8=8D=E4=B8=BA0?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- rqalpha/cmds/bundle.py | 2 +- rqalpha/data/bundle.py | 22 +++++++++++++++------- 2 files changed, 16 insertions(+), 8 deletions(-) diff --git a/rqalpha/cmds/bundle.py b/rqalpha/cmds/bundle.py index 89b7a3fc7..7203b33e7 100644 --- a/rqalpha/cmds/bundle.py +++ b/rqalpha/cmds/bundle.py @@ -89,7 +89,7 @@ def update_bundle(data_bundle_path, rqdatac_uri, compression, concurrency): return 1 from rqalpha.data.bundle import update_bundle as update_bundle_ - update_bundle_(os.path.join(data_bundle_path, 'bundle'), False, compression, concurrency) + return update_bundle_(os.path.join(data_bundle_path, 'bundle'), False, compression, concurrency) @cli.command(help=_("Download bundle (monthly updated)")) diff --git a/rqalpha/data/bundle.py b/rqalpha/data/bundle.py index dd502e2ed..9750b8bc4 100644 --- a/rqalpha/data/bundle.py +++ b/rqalpha/data/bundle.py @@ -31,6 +31,8 @@ from rqalpha.utils.logger import init_logger, system_log from rqalpha.environment import Environment from rqalpha.model.instrument import Instrument +import multiprocessing +from multiprocessing.sharedctypes import Synchronized START_DATE = 20050104 END_DATE = 29991231 @@ -354,11 +356,13 @@ def __call__(self, path, fields, **kwargs): if need_recreate_h5: yield from GenerateDayBarTask(self._order_book_ids)(path, fields, **kwargs) else: + h5 = None try: h5 = h5py.File(path, 'a') except OSError: system_log.error("File {} update failed, if it is using, please update later, " "or you can delete then update again".format(path)) + sval.value = 1 yield 1 else: is_futures = "futures" == os.path.basename(path).split(".")[0] @@ -371,6 +375,7 @@ def __call__(self, path, fields, **kwargs): except OSError: system_log.error("File {} update failed, if it is using, please update later, " "or you can delete then update again".format(path)) + sval.value = 1 yield 1 break except ValueError: @@ -400,19 +405,20 @@ def __call__(self, path, fields, **kwargs): h5.create_dataset(order_book_id, data=df.to_records(), **kwargs) yield 1 finally: - h5.close() + if h5: + h5.close() -def init_rqdatac_with_warnings_catch(): +def process_init(args: Optional[Synchronized] = None): import warnings with warnings.catch_warnings(record=True): # catch warning: rqdatac is already inited. Settings will be changed rqdatac.init() - - -def process_init_func(): - init_rqdatac_with_warnings_catch() init_logger() + # Initialize process shared variables + if args: + global sval + sval = args def update_bundle(path, create, enable_compression=False, concurrency=1): @@ -440,14 +446,16 @@ def update_bundle(path, create, enable_compression=False, concurrency=1): gen_suspended_days, gen_yield_curve, gen_share_transformation, gen_future_info ) + status_code = multiprocessing.Value("i", 0) with ProgressedProcessPoolExecutor( - max_workers=concurrency, initializer=process_init_func + max_workers=concurrency, initializer=process_init, initargs=(status_code, ) ) as executor: # windows上子进程需要执行rqdatac.init, 其他os则需要执行rqdatac.reset; rqdatac.init包含了rqdatac.reset的功能 for func in gen_file_funcs: executor.submit(GenerateFileTask(func), path) for file, order_book_id, field in day_bar_args: executor.submit(_DayBarTask(order_book_id), os.path.join(path, file), field, **kwargs) + return status_code.value class AutomaticUpdateBundle(object): From a7da46f697759f25f143346c3ba60a34582df98f Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Thu, 22 Aug 2024 15:51:59 +0800 Subject: [PATCH 15/17] update --- rqalpha/cmds/bundle.py | 5 ++++- 1 file changed, 4 insertions(+), 1 deletion(-) diff --git a/rqalpha/cmds/bundle.py b/rqalpha/cmds/bundle.py index 7203b33e7..ed2fbdee4 100644 --- a/rqalpha/cmds/bundle.py +++ b/rqalpha/cmds/bundle.py @@ -19,6 +19,7 @@ import time import datetime import dateutil +import sys import click import requests @@ -89,7 +90,9 @@ def update_bundle(data_bundle_path, rqdatac_uri, compression, concurrency): return 1 from rqalpha.data.bundle import update_bundle as update_bundle_ - return update_bundle_(os.path.join(data_bundle_path, 'bundle'), False, compression, concurrency) + status = update_bundle_(os.path.join(data_bundle_path, 'bundle'), False, compression, concurrency) + if status != 0: + sys.exit(status) @cli.command(help=_("Download bundle (monthly updated)")) From 158402fe5a63ca9bdf56e8316f6dc74d6d11e93b Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Fri, 23 Aug 2024 11:40:43 +0800 Subject: [PATCH 16/17] update --- rqalpha/cmds/bundle.py | 6 ++--- rqalpha/data/bundle.py | 60 ++++++++++++++++++++++++------------------ 2 files changed, 38 insertions(+), 28 deletions(-) diff --git a/rqalpha/cmds/bundle.py b/rqalpha/cmds/bundle.py index ed2fbdee4..d93f0f248 100644 --- a/rqalpha/cmds/bundle.py +++ b/rqalpha/cmds/bundle.py @@ -90,9 +90,9 @@ def update_bundle(data_bundle_path, rqdatac_uri, compression, concurrency): return 1 from rqalpha.data.bundle import update_bundle as update_bundle_ - status = update_bundle_(os.path.join(data_bundle_path, 'bundle'), False, compression, concurrency) - if status != 0: - sys.exit(status) + succeed = update_bundle_(os.path.join(data_bundle_path, 'bundle'), False, compression, concurrency) + if not succeed: + sys.exit(1) @cli.command(help=_("Download bundle (monthly updated)")) diff --git a/rqalpha/data/bundle.py b/rqalpha/data/bundle.py index 9750b8bc4..96fdb7cb5 100644 --- a/rqalpha/data/bundle.py +++ b/rqalpha/data/bundle.py @@ -20,6 +20,9 @@ from itertools import chain from typing import Callable, Optional, Union, List from filelock import FileLock, Timeout +import multiprocessing +from multiprocessing.sharedctypes import Synchronized +from ctypes import c_bool import h5py import numpy as np @@ -31,8 +34,7 @@ from rqalpha.utils.logger import init_logger, system_log from rqalpha.environment import Environment from rqalpha.model.instrument import Instrument -import multiprocessing -from multiprocessing.sharedctypes import Synchronized + START_DATE = 20050104 END_DATE = 29991231 @@ -313,24 +315,32 @@ def __call__(self, path, fields, **kwargs): class GenerateDayBarTask(DayBarTask): def __call__(self, path, fields, **kwargs): - with h5py.File(path, 'w') as h5: - i, step = 0, 300 - while True: - order_book_ids = self._order_book_ids[i:i + step] - df = rqdatac.get_price(order_book_ids, START_DATE, datetime.date.today(), '1d', - adjust_type='none', fields=fields, expect_df=True) - if not (df is None or df.empty): - df.reset_index(inplace=True) - df['datetime'] = [convert_date_to_int(d) for d in df['date']] - del df['date'] - df.set_index(['order_book_id', 'datetime'], inplace=True) - df.sort_index(inplace=True) - for order_book_id in df.index.levels[0]: - h5.create_dataset(order_book_id, data=df.loc[order_book_id].to_records(), **kwargs) - i += step - yield len(order_book_ids) - if i >= len(self._order_book_ids): - break + try: + h5 = h5py.File(path, "w") + except OSError: + system_log.error("File {} update failed, if it is using, please update later, " + "or you can delete then update again".format(path)) + sval.value = False + yield 1 + else: + with h5: + i, step = 0, 300 + while True: + order_book_ids = self._order_book_ids[i:i + step] + df = rqdatac.get_price(order_book_ids, START_DATE, datetime.date.today(), '1d', + adjust_type='none', fields=fields, expect_df=True) + if not (df is None or df.empty): + df.reset_index(inplace=True) + df['datetime'] = [convert_date_to_int(d) for d in df['date']] + del df['date'] + df.set_index(['order_book_id', 'datetime'], inplace=True) + df.sort_index(inplace=True) + for order_book_id in df.index.levels[0]: + h5.create_dataset(order_book_id, data=df.loc[order_book_id].to_records(), **kwargs) + i += step + yield len(order_book_ids) + if i >= len(self._order_book_ids): + break class UpdateDayBarTask(DayBarTask): @@ -362,7 +372,7 @@ def __call__(self, path, fields, **kwargs): except OSError: system_log.error("File {} update failed, if it is using, please update later, " "or you can delete then update again".format(path)) - sval.value = 1 + sval.value = False yield 1 else: is_futures = "futures" == os.path.basename(path).split(".")[0] @@ -375,7 +385,7 @@ def __call__(self, path, fields, **kwargs): except OSError: system_log.error("File {} update failed, if it is using, please update later, " "or you can delete then update again".format(path)) - sval.value = 1 + sval.value = False yield 1 break except ValueError: @@ -446,16 +456,16 @@ def update_bundle(path, create, enable_compression=False, concurrency=1): gen_suspended_days, gen_yield_curve, gen_share_transformation, gen_future_info ) - status_code = multiprocessing.Value("i", 0) + succeed = multiprocessing.Value(c_bool, True) with ProgressedProcessPoolExecutor( - max_workers=concurrency, initializer=process_init, initargs=(status_code, ) + max_workers=concurrency, initializer=process_init, initargs=(succeed, ) ) as executor: # windows上子进程需要执行rqdatac.init, 其他os则需要执行rqdatac.reset; rqdatac.init包含了rqdatac.reset的功能 for func in gen_file_funcs: executor.submit(GenerateFileTask(func), path) for file, order_book_id, field in day_bar_args: executor.submit(_DayBarTask(order_book_id), os.path.join(path, file), field, **kwargs) - return status_code.value + return succeed.value class AutomaticUpdateBundle(object): From b6058edfc6bcbcfb13b68c18190be709d180453f Mon Sep 17 00:00:00 2001 From: "lin.dongzhao" <542698096@qq.com> Date: Tue, 10 Sep 2024 17:06:28 +0800 Subject: [PATCH 17/17] revise matcher validate --- rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py b/rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py index 9af13dd34..9852db31b 100644 --- a/rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py +++ b/rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py @@ -210,7 +210,7 @@ def match(self, account, order, open_auction): trade._commission = self._env.get_trade_commission(trade) trade._tax = self._env.get_trade_tax(trade) - if order.side == SIDE.BUY and self._slippage_decider.decider.rate != 0: + if order.position_effect == POSITION_EFFECT.OPEN and self._slippage_decider.decider.rate != 0: # 标的价格经过滑点处理后，账户资金可能不够买入，需要进行验证 cost_money = instrument.calc_cash_occupation(price, order.quantity, order.position_direction, order.trading_datetime.date()) cost_money += trade.transaction_cost @@ -467,7 +467,7 @@ def match(self, account, order, open_auction): # type: (Account, Order, bool) - trade._commission = self._env.get_trade_commission(trade) trade._tax = self._env.get_trade_tax(trade) - if order.side == SIDE.BUY and self._slippage_decider.decider.rate != 0: + if order.position_effect == POSITION_EFFECT.OPEN and self._slippage_decider.decider.rate != 0: cost_money = instrument.calc_cash_occupation(price, order.quantity, order.position_direction, order.trading_datetime.date()) cost_money += trade.transaction_cost if cost_money > account.cash + order.init_frozen_cash: