Merge d29040c into 6d1887f

rqalpha/__main__.py

@@ -90,7 +90,7 @@ def update_bundle(data_bundle_path, locale):
 @click.option('-bm', '--benchmark', 'base__benchmark', type=click.STRING, default=None)
 @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")
-@click.option('--position', 'base__init_positions', nargs=2, multiple=True, help="set init position")
+@click.option('--position', 'base__init_positions', 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('--resume', 'base__resume_mode', is_flag=True)

rqalpha/mod/rqalpha_mod_sys_simulation/utils.py

@@ -32,6 +32,15 @@ def _fake_trade(order_book_id, quantity, price):
                                  POSITION_EFFECT.OPEN, order_book_id)
 
 
+def _filter_positions(env, account_type):
+    positions = env.config.base.init_positions
+    futures = [ins.order_book_id for ins in env.data_proxy.all_instruments('Future')]
+    if account_type == 'FUTURE':
+        return list(filter(lambda p: p[0] in futures, positions))
+    else:
+        return list(filter(lambda p: p[0] not in futures, positions))
+
+
 def init_portfolio(env):
     accounts = {}
     config = env.config
@@ -50,27 +59,26 @@ def init_portfolio(env):
         position_model = env.get_position_model(account_type)
         positions = Positions(position_model)
 
-        if account_type in config.base.init_positions:
-            for order_book_id, quantity in config.base.init_positions[account_type]:
-                instrument = env.get_instrument(order_book_id)
-                if instrument is None:
-                    raise RuntimeError(_(u'invalid order book id {} in initial positions').format(order_book_id))
-                if not instrument.listing:
-                    raise RuntimeError(_(u'instrument {} in initial positions is not listing').format(order_book_id))
-
-                bars = env.data_proxy.history_bars(order_book_id, 1, '1d', 'close',
-                                                   env.data_proxy.get_previous_trading_date(start_date),
-                                                   adjust_type='none')
-                if bars is None:
-                    raise RuntimeError(_(u'the close price of {} in initial positions is not available').format(order_book_id))
-
-                price = bars[0]
-                trade = _fake_trade(order_book_id, quantity, price)
-                if order_book_id not in positions:
-                    positions[order_book_id] = position_model(order_book_id)
-                positions[order_book_id].apply_trade(trade)
-                # FIXME
-                positions[order_book_id]._last_price = price
+        for order_book_id, quantity in _filter_positions(env, account_type):
+            instrument = env.get_instrument(order_book_id)
+            if instrument is None:
+                raise RuntimeError(_(u'invalid order book id {} in initial positions').format(order_book_id))
+            if not instrument.listing:
+                raise RuntimeError(_(u'instrument {} in initial positions is not listing').format(order_book_id))
+
+            bars = env.data_proxy.history_bars(order_book_id, 1, '1d', 'close',
+                                               env.data_proxy.get_previous_trading_date(start_date),
+                                               adjust_type='none')
+            if bars is None:
+                raise RuntimeError(_(u'the close price of {} in initial positions is not available').format(order_book_id))
+
+            price = bars[0]
+            trade = _fake_trade(order_book_id, quantity, price)
+            if order_book_id not in positions:
+                positions[order_book_id] = position_model(order_book_id)
+            positions[order_book_id].apply_trade(trade)
+            # FIXME
+            positions[order_book_id]._last_price = price
 
         account = account_model(starting_cash, positions)
         units += account.total_value

rqalpha/utils/config.py

@@ -215,29 +215,23 @@ def parse_accounts(accounts):
     return a
 
 
-def parse_init_positions(init_positions):
-    # --position stock 000001.XSHE:1000,000003.XSHE:200
-    # --position future IF1701:-1,IF1701:2
-    def to_position_list(positions):
-        result = []
-        for s in positions.split(','):
-            try:
-                order_book_id, quantity = s.split(':')
-            except ValueError:
-                raise RuntimeError(_(u"invalid init position {}, should be in format 'order_book_id:quantity'").format(s))
-
-            try:
-                result.append((order_book_id, float(quantity)))
-            except ValueError:
-                raise RuntimeError(_(u"invalid quantity for instrument {order_book_id}: {quantity}").format(
-                    order_book_id=order_book_id, quantity=quantity))
-
+def parse_init_positions(positions):
+    # --position 000001.XSHE:1000,IF1701:-1
+    result = []
+    if not isinstance(positions, str):
         return result
-
-    return {
-        account_type.upper(): to_position_list(positions)
-        for account_type, positions in init_positions
-    }
+    for s in positions.split(','):
+        try:
+            order_book_id, quantity = s.split(':')
+        except ValueError:
+            raise RuntimeError(_(u"invalid init position {}, should be in format 'order_book_id:quantity'").format(s))
+
+        try:
+            result.append((order_book_id, float(quantity)))
+        except ValueError:
+            raise RuntimeError(_(u"invalid quantity for instrument {order_book_id}: {quantity}").format(
+                order_book_id=order_book_id, quantity=quantity))
+    return result
 
 
 def parse_run_type(rt_str):