Merge pull request #650 from ricequant/develop

Develop

rqalpha/apis/api_rqdatac.py

@@ -1108,14 +1108,14 @@ def get_pit_financials_ex(order_book_ids, fields, count, statements='latest'):
     end_quarter = str(y) + 'q' + str(q)
 
     delta_year = count // 4
-    start_q = q - count % 4
+    start_q = q - count % 4 + 1
     if start_q <= 0:
         start_q = 4
         delta_year += 1
     start_quarter = str(y - delta_year) + 'q' + str(start_q)
 
     result = rqdatac.get_pit_financials_ex(fields=fields, start_quarter=start_quarter, end_quarter=end_quarter,
-        order_book_ids=order_book_ids, statements=statements, market='cn')
+        order_book_ids=order_book_ids, statements=statements, market='cn', date=dt)
     return result
 
 

rqalpha/cmds/run.py

@@ -31,12 +31,11 @@
 @click.option('-e', '--end-date', 'base__end_date', type=Date())
 @click.option('-mm', '--margin-multiplier', 'base__margin_multiplier', type=click.FLOAT)
 @click.option('-a', '--account', 'base__accounts', nargs=2, multiple=True,
-              help="set account type with starting cash")
+              help="set account type with starting cash, eg: -a stock 1000000 -a future 1000000")
 @click.option('--position', 'base__init_positions', type=click.STRING, help="set init position")
 @click.option('-fq', '--frequency', 'base__frequency', type=click.Choice(['1d', '1m', 'tick']))
 @click.option('-rt', '--run-type', 'base__run_type', type=click.Choice(['b', 'p', 'r']), default="b")
 @click.option('-rp', '--round-price', 'base__round_price', is_flag=True)
-@click.option('-mk', '--market', 'base__market', type=click.Choice(['cn', 'hk']), default=None)
 @click.option('--source-code', 'base__source_code')
 @click.option('--rqdatac', '--rqdatac-uri', 'base__rqdatac_uri', default=None,
               help='rqdatac uri, eg user:password or or license:xxxxxxx or tcp://user:password@ip:port')

rqalpha/config.yml

@@ -31,8 +31,6 @@ base:
     # 如果想设置使用某个账户，只需要增加对应的初始资金即可
     stock: ~
     future: ~
-  # 交易市场，如 cn 中国市场，hk 香港市场
-  market: cn
   # 设置初始仓位
   init_positions: {}
   # 根据价格最小变动单位调整发单价格

rqalpha/const.py

@@ -189,10 +189,15 @@ class DAYS_CNT(object):
     TRADING_DAYS_A_YEAR = 252
 
 
-# noinspection PyPep8Naming
-class MARKET(CustomEnum):
-    CN = "CN"
-    HK = "HK"
+class EXCHANGE(CustomEnum):
+    XSHE = "XSHE"
+    XSHG = "XSHG"
+    SHFE = "SHFE"
+    INE = "INE"
+    DCE = "DCE"
+    CZCE = "CZCE"
+    CFFEX = "CFFEX"
+    SGEX = "SGEX"
 
 
 # noinspection PyPep8Naming

rqalpha/data/base_data_source/data_source.py

@@ -219,7 +219,9 @@ def get_bar(self, instrument, dt, frequency):
     def get_open_auction_bar(self, instrument, dt):
         # type: (Instrument, Union[datetime, date]) -> Dict
         day_bar = self.get_bar(instrument, dt, "1d")
-        return {k: day_bar[k] for k in self.OPEN_AUCTION_BAR_FIELDS}
+        bar = {k: day_bar[k] for k in self.OPEN_AUCTION_BAR_FIELDS}
+        bar["last"] = bar["open"]
+        return bar
 
     def get_settle_price(self, instrument, date):
         bar = self.get_bar(instrument, date, '1d')

rqalpha/data/data_proxy.py

@@ -264,7 +264,12 @@ def get_last_price(self, order_book_id):
 
     def all_instruments(self, types, dt=None):
         # type: (List[INSTRUMENT_TYPE], Optional[datetime]) -> List[Instrument]
-        return [i for i in self._data_source.get_instruments(types=types) if dt is None or i.listing_at(dt)]
+        li = []
+        for i in self._data_source.get_instruments(types=types):
+            if dt is None or i.listing_at(dt):
+                li.append(i)
+        return li
+        # return [i for i in self._data_source.get_instruments(types=types) if dt is None or i.listing_at(dt)]
 
     def instruments(self, sym_or_ids):
         # type: (StrOrIter) -> Union[None, Instrument, List[Instrument]]

rqalpha/data/trading_dates_mixin.py

@@ -80,6 +80,7 @@ def get_trading_dt(self, calendar_dt):
         return datetime.datetime.combine(trading_date, calendar_dt.time())
 
     def get_future_trading_date(self, dt):
+        # type: (datetime.datetime) -> pd.Timestamp
         return self._get_future_trading_date(dt.replace(minute=0, second=0, microsecond=0))
 
     def get_n_trading_dates_until(self, dt, n, trading_calendar_type=None):
@@ -98,6 +99,9 @@ def count_trading_dates(self, start_date, end_date, trading_calendar_type=None):
 
     @lru_cache(512)
     def _get_future_trading_date(self, dt):
+        # 获取指定时间所在的期货交易日
+        # 认为晚八点后为第二个交易日，认为晚八点至次日凌晨四点为夜盘
+        # 非交易日抛出 RuntimeError
         dt1 = dt - datetime.timedelta(hours=4)
         td = pd.Timestamp(dt1.date())
         trading_dates = self.get_trading_calendar(TRADING_CALENDAR_TYPE.EXCHANGE)

rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py

@@ -61,7 +61,12 @@
 
 def _get_account_position_ins(id_or_ins):
     ins = assure_instrument(id_or_ins)
-    account = Environment.get_instance().portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK]
+    try:
+        account = Environment.get_instance().portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK]
+    except KeyError:
+        raise KeyError(_(
+                u"order_book_id: {order_book_id} needs stock account, please set and try again!"
+            ).format(order_book_id=ins.order_book_id))
     position = account.get_position(ins.order_book_id, POSITION_DIRECTION.LONG)
     return account, position, ins
 

rqalpha/mod/rqalpha_mod_sys_accounts/position_model.py

@@ -97,7 +97,7 @@ def get_state(self):
     def before_trading(self, trading_date):
         # type: (date) -> float
         delta_cash = super(StockPosition, self).before_trading(trading_date)
-        if self.quantity == 0:
+        if self.quantity == 0 and not self._dividend_receivable:
             return delta_cash
         if self.direction != POSITION_DIRECTION.LONG:
             raise RuntimeError("direction of stock position {} is not supposed to be short".format(self._order_book_id))
@@ -186,10 +186,14 @@ def _handle_dividend_payable(self, trading_date):
         self._dividend_receivable = None
         if self.dividend_reinvestment:
             last_price = self.last_price
-            self.apply_trade(Trade.__from_create__(
-                None, last_price, dividend_value / last_price, SIDE.BUY, POSITION_EFFECT.OPEN, self._order_book_id
-            ))
-            return 0
+            amount = int(Decimal(dividend_value) / Decimal(last_price))
+            round_lot = self._instrument.round_lot
+            amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
+            if amount > 0:
+                self.apply_trade(Trade.__from_create__(
+                    None, last_price, amount, SIDE.BUY, POSITION_EFFECT.OPEN, self._order_book_id
+                ))
+            return dividend_value - amount * last_price
         else:
             return dividend_value
 

rqalpha/mod/rqalpha_mod_sys_analyser/mod.py

@@ -150,7 +150,7 @@ def _collect_daily(self, _):
 
             for order_book_id, pos in pos_dict.items():
                 self._positions[account_type].append(self._to_position_record(
-                    date, order_book_id, pos[POSITION_DIRECTION.LONG], pos[POSITION_DIRECTION.SHORT]
+                    date, order_book_id, pos.get(POSITION_DIRECTION.LONG), pos.get(POSITION_DIRECTION.SHORT)
                 ))
 
     def _symbol(self, order_book_id):
@@ -242,9 +242,12 @@ def _to_position_record(self, date, order_book_id, long, short):
             for field in ['quantity', 'last_price', 'avg_price', 'market_value']:
                 data[field] = self._safe_convert(getattr(long, field, None))
         else:
-            for field in ['margin', 'contract_multiplier', 'last_price']:
-                data[field] = self._safe_convert(getattr(long, field))
-            for direction_prefix, pos in (("buy", long), ("sell", short)):
+            position = long or short
+            if position:
+                for field in ['margin', 'contract_multiplier', 'last_price']:
+                    data[field] = self._safe_convert(getattr(position, field))
+            direction_pos_iter = ((pos.direction, pos) for pos in (long, short) if pos)
+            for direction_prefix, pos in direction_pos_iter:
                 data[direction_prefix + "_pnl"] = self._safe_convert(getattr(pos, "pnl", None))
                 data[direction_prefix + "_margin"] = self._safe_convert(pos.margin)
                 data[direction_prefix + "_quantity"] = self._safe_convert(pos.quantity)

rqalpha/mod/rqalpha_mod_sys_simulation/simulation_broker.py

@@ -76,9 +76,10 @@ def register_matcher(self, instrument_type, matcher):
 
     def get_open_orders(self, order_book_id=None):
         if order_book_id is None:
-            return [order for account, order in self._open_orders]
+            return [order for account, order in chain(self._open_orders, self._open_auction_orders)]
         else:
-            return [order for account, order in self._open_orders if order.order_book_id == order_book_id]
+            return [order for account, order in chain(self._open_orders, self._open_auction_orders) if
+                    order.order_book_id == order_book_id]
 
     def get_state(self):
         return jsonpickle.dumps({
@@ -175,4 +176,4 @@ def _match(self, order_book_id=None):
     def _check_subscribe(self, order):
         if self._env.config.base.frequency == "tick" and order.order_book_id not in self._env.get_universe():
             raise RuntimeError(_("{order_book_id} should be subscribed when frequency is tick.").format(
-                    order_book_id=order.order_book_id))
+                order_book_id=order.order_book_id))

rqalpha/mod/rqalpha_mod_sys_simulation/simulation_event_source.py

@@ -22,7 +22,7 @@
 from rqalpha.core.events import Event, EVENT
 from rqalpha.utils.exception import patch_user_exc
 from rqalpha.utils.datetime_func import convert_int_to_datetime
-from rqalpha.const import DEFAULT_ACCOUNT_TYPE, MARKET
+from rqalpha.const import DEFAULT_ACCOUNT_TYPE
 from rqalpha.utils.i18n import gettext as _
 
 
@@ -34,14 +34,8 @@ def __init__(self, env):
         self._universe_changed = False
         self._env.event_bus.add_listener(EVENT.POST_UNIVERSE_CHANGED, self._on_universe_changed)
 
-        if self._config.base.market == MARKET.CN:
-            self._get_day_bar_dt = lambda date: date.replace(hour=15, minute=0)
-            self._get_after_trading_dt = lambda date: date.replace(hour=15, minute=30)
-        elif self._config.base.market == MARKET.HK:
-            self._get_day_bar_dt = lambda date: date.replace(hour=16, minute=6)
-            self._get_after_trading_dt = lambda date: date.replace(hour=16, minute=30)
-        else:
-            raise NotImplementedError(_("Unsupported market {}".format(self._config.base.market)))
+        self._get_day_bar_dt = lambda date: date.replace(hour=15, minute=0)
+        self._get_after_trading_dt = lambda date: date.replace(hour=15, minute=30)
 
     def _on_universe_changed(self, _):
         self._universe_changed = True
@@ -58,18 +52,10 @@ def _get_universe(self):
     def _get_stock_trading_minutes(self, trading_date):
         trading_minutes = set()
 
-        if self._env.config.base.market == MARKET.CN:
-            current_dt = datetime.combine(trading_date, time(9, 31))
-            am_end_dt = current_dt.replace(hour=11, minute=30)
-            pm_start_dt = current_dt.replace(hour=13, minute=1)
-            pm_end_dt = current_dt.replace(hour=15, minute=0)
-        elif self._env.config.base.market == MARKET.HK:
-            current_dt = datetime.combine(trading_date, time(9, 31))
-            am_end_dt = current_dt.replace(hour=12, minute=0)
-            pm_start_dt = current_dt.replace(hour=13, minute=1)
-            pm_end_dt = current_dt.replace(hour=16, minute=0)
-        else:
-            raise NotImplementedError(_("Unsupported market {}".format(self._env.config.base.market)))
+        current_dt = datetime.combine(trading_date, time(9, 31))
+        am_end_dt = current_dt.replace(hour=11, minute=30)
+        pm_start_dt = current_dt.replace(hour=13, minute=1)
+        pm_end_dt = current_dt.replace(hour=15, minute=0)
 
         delta_minute = timedelta(minutes=1)
         while current_dt <= am_end_dt:

rqalpha/mod/rqalpha_mod_sys_transaction_cost/README.rst

@@ -26,8 +26,6 @@ RQAlpha 交易税费 Mod，实现了不同市场不同交易标的的税费计
     {
         # A股最小手续费
         "cn_stock_min_commission": 5,
-        # 港股最小手续费
-        "hk_stock_min_commission": 50,
         # 设置手续费乘数，默认为1
         "commission_multiplier": 1,
     }

rqalpha/mod/rqalpha_mod_sys_transaction_cost/__init__.py

@@ -18,8 +18,6 @@
 __config__ = {
     # A股最小手续费
     "cn_stock_min_commission": 5,
-    # 港股最小手续费
-    "hk_stock_min_commission": 50,
     # 设置手续费乘数，默认为1
     "commission_multiplier": 1,
     # 印花税乘数，默认为1
@@ -46,16 +44,6 @@
     )
 )
 
-
-cli.commands['run'].params.append(
-    click.Option(
-        ('-hksmc', '--hk-stock-min-commission', cli_prefix + 'hk_stock_min_commission'),
-        type=click.FLOAT,
-        help="[sys_simulation] set minimum commission in Hong Kong stock trades."
-    )
-)
-
-
 # [deprecated]
 cli.commands['run'].params.append(
     click.Option(

rqalpha/mod/rqalpha_mod_sys_transaction_cost/deciders.py

@@ -87,29 +87,6 @@ def _get_tax(self, order_book_id, side, cost_money):
         return cost_money * self.tax_rate * self.tax_multiplier if side == SIDE.SELL else 0
 
 
-class HKStockTransactionCostDecider(StockTransactionCostDecider):
-    def __init__(self, commission_multiplier, min_commission, tax_multiplier):
-        super(HKStockTransactionCostDecider, self).__init__(0.0005, commission_multiplier, min_commission)
-        self.tax_rate = 0.0011
-        self.tax_multiplier = tax_multiplier
-
-    def _get_tax(self, order_book_id, _, cost_money):
-        """
-        港交所收费项目繁多，按照如下逻辑计算税费：
-        1. 税费比例为 0.11%，不足 1 元按 1 元记，四舍五入保留两位小数（包括印花税、交易征费、交易系统使用费）。
-        2，五元固定费用（包括卖方收取的转手纸印花税、买方收取的过户费用）。
-        """
-        instrument = Environment.get_instance().get_instrument(order_book_id)
-        if instrument.type != 'CS':
-            return 0
-        tax = cost_money * self.tax_rate * self.tax_multiplier
-        if tax < 1:
-            tax = 1
-        else:
-            tax = round(tax, 2)
-        return tax + 5
-
-
 class CNFutureTransactionCostDecider(AbstractTransactionCostDecider):
     def __init__(self, commission_multiplier):
         self.commission_multiplier = commission_multiplier

rqalpha/mod/rqalpha_mod_sys_transaction_cost/mod.py

@@ -16,12 +16,12 @@
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 
 from rqalpha.interface import AbstractMod
-from rqalpha.const import MARKET, INSTRUMENT_TYPE
+from rqalpha.const import INSTRUMENT_TYPE
 from rqalpha.utils.exception import patch_user_exc
 from rqalpha.utils import INST_TYPE_IN_STOCK_ACCOUNT
 from rqalpha.utils.i18n import gettext as _
 
-from .deciders import CNStockTransactionCostDecider, CNFutureTransactionCostDecider, HKStockTransactionCostDecider
+from .deciders import CNStockTransactionCostDecider, CNFutureTransactionCostDecider
 
 
 class TransactionCostMod(AbstractMod):
@@ -30,25 +30,17 @@ def start_up(self, env, mod_config):
             raise patch_user_exc(ValueError(_(u"invalid commission multiplier or tax multiplier"
                                               u" value: value range is [0, +∞)")))
 
-        if env.config.base.market == MARKET.CN:
-            for instrument_type in INST_TYPE_IN_STOCK_ACCOUNT:
-                if instrument_type == INSTRUMENT_TYPE.PUBLIC_FUND:
-                    continue
-                env.set_transaction_cost_decider(instrument_type, CNStockTransactionCostDecider(
-                    mod_config.commission_multiplier, mod_config.cn_stock_min_commission,
-                    mod_config.tax_multiplier
-                ))
-
-            env.set_transaction_cost_decider(INSTRUMENT_TYPE.FUTURE, CNFutureTransactionCostDecider(
-                mod_config.commission_multiplier
+        for instrument_type in INST_TYPE_IN_STOCK_ACCOUNT:
+            if instrument_type == INSTRUMENT_TYPE.PUBLIC_FUND:
+                continue
+            env.set_transaction_cost_decider(instrument_type, CNStockTransactionCostDecider(
+                mod_config.commission_multiplier, mod_config.cn_stock_min_commission,
+                mod_config.tax_multiplier
             ))
 
-        elif env.config.base.market == MARKET.HK:
-            for instrument_type in INST_TYPE_IN_STOCK_ACCOUNT:
-                env.set_transaction_cost_decider(instrument_type, HKStockTransactionCostDecider(
-                    mod_config.commission_multiplier, mod_config.hk_stock_min_commission,
-                    mod_config.tax_multiplier
-                ))
+        env.set_transaction_cost_decider(INSTRUMENT_TYPE.FUTURE, CNFutureTransactionCostDecider(
+            mod_config.commission_multiplier
+        ))
 
     def tear_down(self, code, exception=None):
         pass

rqalpha/model/__init__.py

@@ -11,3 +11,9 @@
 #         未经米筐科技授权，任何个人不得出于任何商业目的使用本软件（包括但不限于向第三方提供、销售、出租、出借、转让本软件、本软件的衍生产品、引用或借鉴了本软件功能或源代码的产品或服务），任何法人或其他组织不得出于任何目的使用本软件，否则米筐科技有权追究相应的知识产权侵权责任。
 #         在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
 #         详细的授权流程，请联系 public@ricequant.com 获取。
+
+from .order import Order
+from .trade import Trade
+from .instrument import Instrument
+from .bar import BarMap, BarObject, PartialBarObject
+from .tick import TickObject

rqalpha/model/bar.py

@@ -39,7 +39,7 @@
 class PartialBarObject(metaclass=PropertyReprMeta):
     # 用于 open_auction
     __repr_properties__ = (
-        "order_book_id", "datetime", "open", "limit_up", "limit_down"
+        "order_book_id", "datetime", "open", "limit_up", "limit_down", "last"
     )
 
     def __init__(self, instrument, data, dt=None):
@@ -112,10 +112,7 @@ def last(self):
         """
         [float] 当前最新价
         """
-        try:
-            return self._data["last"]
-        except KeyError:
-            return self.open
+        return self._data["last"]
 
     @cached_property
     def volume(self):