Merge pull request #739 from ricequant/develop

Develop

CHANGELOG.rst

@@ -2,6 +2,12 @@
 CHANGELOG
 ==================
 
+4.12.0
+==================
+- 调整分析指标中部分指标的显示格式为百分比
+- 将分析指标中的超额收益波动率从日度改为年化
+- 入金支持延迟到账
+
 4.11.3
 ==================
 - 分析指标新增胜率和盈亏比，调整了作图中指标的布局

rqalpha/apis/api_base.py

@@ -865,17 +865,17 @@ def symbol(order_book_id, sep=", "):
     EXECUTION_PHASE.SCHEDULED,
     EXECUTION_PHASE.GLOBAL
 )
-def deposit(account_type, amount):
-    # type: (str, float) -> None
+def deposit(account_type: str, amount: float, receiving_days: int = 0):
     """
     入金（增加账户资金）
 
     :param account_type: 账户类型
-    :param amount: 增加金额
+    :param amount: 入金金额
+    :param receiving_days: 入金到账天数，0 表示立刻到账，1 表示资金在下一个交易日盘前到账
     :return: None
     """
     env = Environment.get_instance()
-    return env.portfolio.deposit_withdraw(account_type, amount)
+    return env.portfolio.deposit_withdraw(account_type, amount, receiving_days)
 
 
 @export_as_api

rqalpha/mod/rqalpha_mod_sys_analyser/mod.py

@@ -323,7 +323,7 @@ def tear_down(self, code, exception=None):
             'tracking_error': risk.annual_tracking_error,
             'sortino': risk.sortino,
             'volatility': risk.annual_volatility,
-            'excess_volatility': risk.excess_volatility,
+            'excess_volatility': risk.excess_annual_volatility,
             'excess_annual_volatility': risk.excess_annual_volatility,
             'max_drawdown': risk.max_drawdown,
             'excess_max_drawdown': risk.excess_max_drawdown,
@@ -368,7 +368,8 @@ def tear_down(self, code, exception=None):
         df = pd.DataFrame(self._total_portfolios)
         df['date'] = pd.to_datetime(df['date'])
         total_portfolios = df.set_index('date').sort_index()
-        weekly_nav = df.resample("W", on="date").last().set_index("date").unit_net_value.dropna()
+        df.index = df['date']
+        weekly_nav = df.resample("W").last().set_index("date").unit_net_value.dropna()
         weekly_returns = (weekly_nav / weekly_nav.shift(1).fillna(1)).fillna(0) - 1
 
         # 最长回撤持续期
@@ -403,7 +404,8 @@ def tear_down(self, code, exception=None):
             df = pd.DataFrame(self._total_benchmark_portfolios)
             df['date'] = pd.to_datetime(df['date'])
             benchmark_portfolios = df.set_index('date').sort_index()
-            weekly_b_nav = df.resample("W", on="date").last().set_index("date").unit_net_value.dropna()
+            df.index = df['date']
+            weekly_b_nav = df.resample("W").last().set_index("date").unit_net_value.dropna()
             weekly_b_returns = (weekly_b_nav / weekly_b_nav.shift(1).fillna(1)).fillna(0) - 1
             result_dict['benchmark_portfolio'] = benchmark_portfolios
             # 超额收益最长回撤持续期

rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py

@@ -79,16 +79,16 @@
 ], [
     IndicatorInfo("benchmark_total_returns", _("BenchmarkReturns"), BLUE, "{0:.3%}", 11),
     IndicatorInfo("benchmark_annualized_returns", _("BenchmarkAnnual"), BLUE, "{0:.3%}", 11),
-    IndicatorInfo("volatility", _("Volatility"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("tracking_error", _("TrackingError"), BLACK, "{0:.4}", 11),
+    IndicatorInfo("volatility", _("Volatility"), BLACK, "{0:.3%}", 11),
+    IndicatorInfo("tracking_error", _("TrackingError"), BLACK, "{0:.3%}", 11),
     IndicatorInfo("downside_risk", _("DownsideRisk"), BLACK, "{0:.4}", 11),
     IndicatorInfo("information_ratio", _("InformationRatio"), BLACK, "{0:.4}", 11),
 ], [
     IndicatorInfo("excess_cum_returns", _("ExcessCumReturns"), BLACK, "{0:.3%}", 11),
-    IndicatorInfo("win_rate", _("WinRate"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("weekly_win_rate", _("WeeklyWinRate"), BLACK, "{0:.4}", 11),
+    IndicatorInfo("win_rate", _("WinRate"), BLACK, "{0:.3%}", 11),
+    IndicatorInfo("weekly_win_rate", _("WeeklyWinRate"), BLACK, "{0:.3%}", 11),
     IndicatorInfo("profit_loss_rate", _("ProfitLossRate"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("max_drawdown", _("MaxDrawDown"), BLACK, "{0:.4}", 11),
+    IndicatorInfo("max_drawdown", _("MaxDrawDown"), BLACK, "{0:.3%}", 11),
     IndicatorInfo("max_dd_ddd", _("MaxDD/MaxDDD"), BLACK, "{}", 6),
 ]]
 
@@ -97,15 +97,15 @@
     IndicatorInfo("weekly_beta", _("WeeklyBeta"), BLACK, "{0:.4}", 11),
     IndicatorInfo("weekly_sharpe", _("WeeklySharpe"), BLACK, "{0:.4}", 11),
     IndicatorInfo("weekly_information_ratio", _("WeeklyInfoRatio"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("weekly_tracking_error", _("WeeklyTrackingError"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("weekly_max_drawdown", _("WeeklyMaxDrawdown"), BLACK, "{0:.4}", 11),
+    IndicatorInfo("weekly_tracking_error", _("WeeklyTrackingError"), BLACK, "{0:.3%}", 11),
+    IndicatorInfo("weekly_max_drawdown", _("WeeklyMaxDrawdown"), BLACK, "{0:.3%}", 11),
 ]
 
 EXCESS_INDICATORS = [
     IndicatorInfo("excess_returns", _("ExcessReturns"), BLACK, "{0:.3%}", 11),
     IndicatorInfo("excess_annual_returns", _("ExcessAnnual"), BLACK, "{0:.3%}", 11),
     IndicatorInfo("excess_sharpe", _("ExcessSharpe"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("excess_volatility", _("ExcessVolatility"), BLACK, "{0:.4}", 11),
-    IndicatorInfo("excess_max_drawdown", _("ExcessMaxDD"), BLACK, "{0:.4}", 11),
+    IndicatorInfo("excess_volatility", _("ExcessVolatility"), BLACK, "{0:.3%}", 11),
+    IndicatorInfo("excess_max_drawdown", _("ExcessMaxDD"), BLACK, "{0:.3%}", 11),
     IndicatorInfo("excess_max_dd_ddd", _("ExcessMaxDD/ExcessMaxDDD"), BLACK, "{}", 6),
 ]

rqalpha/mod/rqalpha_mod_sys_analyser/plot/utils.py

@@ -74,8 +74,7 @@ def max_ddd(arr: array, index: DatetimeIndex) -> IndexRange:
 
 
 def weekly_returns(portfolio: DataFrame) -> Series:
-    return portfolio.unit_net_value.reset_index().resample(
-        "W", on="date").last().set_index("date").unit_net_value.dropna() - 1
+    return portfolio.unit_net_value.resample("W").last().dropna() - 1
 
 
 def trading_dates_index(trades: DataFrame, position_effect, index: DatetimeIndex):

rqalpha/portfolio/__init__.py

@@ -270,16 +270,16 @@ def cash_liabilities(self):
     def _pre_before_trading(self, _):
         self._static_unit_net_value = self.unit_net_value
 
-    def deposit_withdraw(self, account_type, amount):
+    def deposit_withdraw(self, account_type, amount, receiving_days=0):
         """出入金"""
         # 入金 现金增加，份额增加，总权益增加，单位净值不变
         # 出金 现金减少，份额减少，总权益减少，单位净值不变
         if account_type not in self._accounts:
             raise ValueError(_("invalid account type {}, choose in {}".format(account_type, list(self._accounts.keys()))))
         unit_net_value = self.unit_net_value
-        self._accounts[account_type].deposit_withdraw(amount)
+        self._accounts[account_type].deposit_withdraw(amount, receiving_days)
         _units = self.total_value / unit_net_value
-        user_log.info(_("Cash add {}. units {} become to {}".format(amount, self._units ,_units)))
+        user_log.info(_("Cash add {}. units {} become to {}".format(amount, self._units, _units)))
         self._units = _units
 
     def finance_repay(self, amount, account_type):

rqalpha/portfolio/account.py

@@ -16,6 +16,7 @@
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 
 from itertools import chain
+from datetime import date
 from typing import Callable, Dict, Iterable, List, Optional, Union, Tuple
 
 import six
@@ -60,10 +61,12 @@ def __init__(
     ):
         self._type = account_type
         self._total_cash = total_cash  # 包含保证金的总资金
+        self._env = Environment.get_instance()
 
         self._positions: Dict[str, Dict[POSITION_DIRECTION, Position]] = {}
         self._backward_trade_set = set()
         self._frozen_cash = 0
+        self._pending_deposit_withdraw: List[Tuple[date, float]] = []
 
         self._cash_liabilities = 0      # 现金负债
 
@@ -91,7 +94,7 @@ def __repr__(self):
         )
 
     def register_event(self):
-        event_bus = Environment.get_instance().event_bus
+        event_bus = self._env.event_bus
         event_bus.add_listener(
             EVENT.TRADE, lambda e: self.apply_trade(e.trade, e.order) if e.account == self else None
         )
@@ -276,12 +279,14 @@ def equity(self):
         return sum(p.equity for p in self._iter_pos())
 
     @property
-    def total_value(self):
-        # type: () -> float
+    def total_value(self) -> float:
         """
         账户总权益
         """
-        return self._total_cash + self.equity - self.cash_liabilities - self.cash_liabilities_interest
+        total_value = self._total_cash + self.equity - self.cash_liabilities - self.cash_liabilities_interest
+        if self._pending_deposit_withdraw:
+            total_value += sum(amount for _, amount in self._pending_deposit_withdraw)
+        return total_value
 
     @property
     def total_cash(self):
@@ -312,7 +317,11 @@ def _on_before_trading(self, _):
             if all(p.quantity == 0 and p.equity == 0 for p in six.itervalues(positions)):
                 del self._positions[order_book_id]
 
-        trading_date = Environment.get_instance().trading_dt.date()
+        trading_date = self._env.trading_dt.date()
+        while self._pending_deposit_withdraw and self._pending_deposit_withdraw[0][0] <= trading_date:
+            _, amount = self._pending_deposit_withdraw.pop(0)
+            self._total_cash += amount
+
         for position in self._iter_pos():
             self._total_cash += position.before_trading(trading_date)
 
@@ -321,7 +330,7 @@ def _on_before_trading(self, _):
             self._cash_liabilities += self.cash_liabilities_interest
 
     def _on_settlement(self, event):
-        trading_date = Environment.get_instance().trading_dt.date()
+        trading_date = self._env.trading_dt.date()
 
         for order_book_id, positions in list(self._positions.items()):
             for position in six.itervalues(positions):
@@ -335,7 +344,7 @@ def _on_settlement(self, event):
         self._total_cash -= fee
 
         # 如果 total_value <= 0 则认为已爆仓，清空仓位，资金归0
-        forced_liquidation = Environment.get_instance().config.base.forced_liquidation
+        forced_liquidation = self._env.config.base.forced_liquidation
         if self.total_value <= 0 and forced_liquidation:
             if self._positions:
                 user_system_log.warn(_("Trigger Forced Liquidation, current total_value is 0"))
@@ -395,7 +404,6 @@ def _get_or_create_pos(
             init_price : Optional[float] = None
     ) -> Position:
         if order_book_id not in self._positions:
-            env = Environment.get_instance()
             if direction == POSITION_DIRECTION.LONG:
                 long_quantity, short_quantity = init_quantity, 0
             else:
@@ -405,7 +413,7 @@ def _get_or_create_pos(
                 POSITION_DIRECTION.SHORT: Position(order_book_id, POSITION_DIRECTION.SHORT, short_quantity, init_price)
             })
             if not init_price:
-                last_price = env.get_last_price(order_book_id)
+                last_price = self._env.get_last_price(order_book_id)
                 for p in positions.values():
                     p.update_last_price(last_price)
             if hasattr(positions[direction], "margin") and hasattr(self.__class__, "_margin"):
@@ -426,21 +434,19 @@ def _on_tick(self, event):
             position.update_last_price(tick.last)
 
     def _on_bar(self, _):
-        env = Environment.get_instance()
         for order_book_id, positions in self._positions.items():
-            price = env.get_last_price(order_book_id)
+            price = self._env.get_last_price(order_book_id)
             if price == price:
                 for position in six.itervalues(positions):
                     position.update_last_price(price)
 
     def _frozen_cash_of_order(self, order):
-        env = Environment.get_instance()
         if order.position_effect == POSITION_EFFECT.OPEN:
-            instrument = env.data_proxy.instrument(order.order_book_id)
+            instrument = self._env.data_proxy.instrument(order.order_book_id)
             order_cost = instrument.calc_cash_occupation(order.frozen_price, order.quantity, order.position_direction)
         else:
             order_cost = 0
-        return order_cost + env.get_order_transaction_cost(order)
+        return order_cost + self._env.get_order_transaction_cost(order)
 
     def _management_fee(self):
         # type: () -> float
@@ -478,12 +484,16 @@ def management_fees(self):
         """该账户的管理费用总计"""
         return self._management_fees
 
-    def deposit_withdraw(self, amount):
-        # type: (float) -> None
+    def deposit_withdraw(self, amount: float, receiving_days: int = 0):
         """出入金"""
         if (amount < 0) and (self.cash < amount * -1):
             raise ValueError(_('insufficient cash, current {}, target withdrawal {}').format(self._total_cash, amount))
-        self._total_cash += amount
+        if receiving_days >= 1:
+            receiving_date = self._env.data_proxy.get_next_trading_date(self._env.trading_dt.date(), n=receiving_days)
+            self._pending_deposit_withdraw.append((receiving_date, amount))
+            self._pending_deposit_withdraw.sort(key=lambda i: i[0])
+        else:
+            self._total_cash += amount
 
     def finance_repay(self, amount):
         """ 融资还款 """

setup.cfg

@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqalpha
-version = 4.11.3
+version = 4.12.0
 
 [versioneer]
 VCS = git

setup.py

@@ -27,7 +27,7 @@
     'simplejson',
     'PyYAML',
     'tabulate',
-    'rqrisk >=1.0.0',
+    'rqrisk >=1.0.3',
     'h5py',
     'matplotlib >=2.2.0',
     "openpyxl"

tests/api_tests/test_api_base.py

@@ -482,4 +482,10 @@ def handle_bar(context, bar_dict):
             else:
                 assert False, "未报出当前账户可取出金额不足异常"
 
+            deposit("STOCK", 10000, 3)
+            context.cash = context.portfolio.accounts["STOCK"].cash
+
+        elif context.counter == 9:
+            assert int(context.portfolio.accounts["STOCK"].cash) == int(context.cash) + 10000
+
     return locals()