lecture/Zipline Order (percent & target_percent).ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "id": "acf44d5d",
   "metadata": {},
   "source": [
    "# 下單方法介紹(三)\n",
    "\n",
    "<span id=\"menu\"></span>\n",
    "# Zipline order_percent和order_target_percent\n",
    "\n",
    "> ## Zipline有六種下單函數：\n",
    "\torder()：購買指定股數。\n",
    "\torder_value()：購買指定價值的股票。\n",
    "\torder_percent()：購買指定價值（整個投資組合價值（portfolio value）的一個特定比例）的股票。\n",
    "\torder_target()：交易直到該股票帳上總股數達到指定數量為止。\n",
    "    order_target_value()：交易到帳上該股票價值達到指定價值為止。\n",
    "    order_target_percent()：將股票在投資組合的比重調整到指定的比例。\n",
    ">     \n",
    "> ## 本篇將會介紹`order_percent()`以及`order_target_percent()`的使用辦法。\n",
    "本文件包含以下三個部份：\n",
    "> * [函數說明](#函數說明)\n",
    "> * [範例：order_percent](#Order_percent)\n",
    "> * [範例：order_target_percent](#Order_target_percent)\n",
    "> \n",
    "> ## 閱讀本篇之前請先閱讀：\n",
    "> \n",
    "> 1. [Zipline Order（order & order_target）.ipynb](https://github.com/tejtw/TQuant-Lab/blob/main/lecture/Zipline%20Order%20(order%20%26%20order_target).ipynb)\n",
    "> \n",
    "> 2. [Zipline Order（value & target_value）.ipynb](https://github.com/tejtw/TQuant-Lab/blob/main/lecture/Zipline%20Order%20(value%20%26%20target_value).ipynb)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "b2db7825",
   "metadata": {},
   "source": [
    "<span id=\"函數說明\"></span>\n",
    "## 函數說明\n",
    "使用前記得先做 import：`from zipline.api import order_percent, order_target_percent`或`from zipline.api import *`。\n",
    "\n",
    "*　order_percent：買賣一檔股票，買賣量為目前**投資組合價值（portfolio value）**的某個特定比例。\n",
    "\n",
    "`zipline.api.order_percent(asset, percent, limit_price=None, stop_price=None, style=None)`\n",
    "\n",
    "**percent**：*float*，特定比例。\n",
    "\n",
    "<br>\n",
    "\n",
    "\n",
    "*　order_target_percent：買／賣一檔股票使得該股票價值占**投資組合價值的某個目標比例（target）**，而不是直接買／賣目前**投資組合價值**的某個特定比例。\n",
    "\n",
    "`zipline.api.order_target_percent(asset, target, limit_price=None, stop_price=None, style=None)`\n",
    "\n",
    "**target**：*float*，目標比例。\n",
    "\n",
    "---\n",
    "\n",
    "### 交易機制：\n",
    "- 市價皆為**收盤價**。\n",
    "- 因 zipline 交易機制的關係，下單後會到 next bar 才成交（**也就是今天下單，下一交易日才成交**），所以`stop_price`及`limit_price`皆是和**下一個交易日的收盤價**做比較。\n",
    "- 若遇到**股票分割、股票股利等股數變動**情形：\n",
    "  - 在**除權日之前**下的單，`stop_price`及`limit_price`會在**除權日**進行調整。\n",
    "  - 新的`stop_price`及`limit_price`都是**原本數值乘以 ratio（也就是僅除權的調整係數）** 並 round 到小數以下第二位。（**僅除權的調整係數**使用 TEJ API 的 TWN/APIPRCD（交易資料-股價資料）中的 adjfac_a 欄位進行計算）\n",
    "  \n",
    "### 規則補充：\n",
    "- order 系列函數通常在`handle_data`階段使用且不得在`before_trading_start`階段使用。\n",
    "- 當使用 limit order、stop order、stop limit order 等**條件單（contingent order）**時，會產生額外的交易成本（**機會成本 opportunity cost**），因這些條件單的使用可能會影響潛在利潤。order 系列函數都提供相關功能可以模擬該成本。"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "8dbe06ff",
   "metadata": {},
   "source": [
    "# 範例講解"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "4bd38788",
   "metadata": {},
   "source": [
    "## 設定環境"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "id": "f7a621e0",
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import numpy as np\n",
    "import datetime\n",
    "import tejapi\n",
    "import time\n",
    "import os\n",
    "import warnings\n",
    "warnings.filterwarnings('ignore')\n",
    "\n",
    "# tej_key\n",
    "tej_key ='your key'\n",
    "tejapi.ApiConfig.api_key = tej_key\n",
    "os.environ['TEJAPI_BASE'] = \"https://api.tej.com.tw\"\n",
    "os.environ['TEJAPI_KEY'] = tej_key\n",
    "\n",
    "# date\n",
    "# set date\n",
    "start='2018-07-24'\n",
    "end='2018-08-14'\n",
    "os.environ['mdate'] = '20180724 20180814'\n",
    "\n",
    "tz = 'UTC'\n",
    "start_dt, end_dt = pd.Timestamp(start, tz = tz), pd.Timestamp(end, tz = tz)\n",
    "\n",
    "# calendar\n",
    "calendar_name='TEJ'\n",
    "\n",
    "# bundle_name\n",
    "bundle_name = 'tquant'\n",
    "\n",
    "os.environ['ticker'] = '1101 2330 IR0001'"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "1c7b9b0c",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Merging daily equity files:\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "[2023-09-20 09:19:37.930225] INFO: zipline.data.bundles.core: Ingesting tquant.\n"
     ]
    }
   ],
   "source": [
    "!zipline ingest -b tquant"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "97cffe6d",
   "metadata": {},
   "outputs": [],
   "source": [
    "from zipline.api import *\n",
    "from zipline import run_algorithm\n",
    "from zipline.finance import commission, slippage\n",
    "from zipline.utils.calendar_utils import get_calendar\n",
    "\n",
    "from zipline.utils.run_algo import  get_transaction_detail"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "980f6212",
   "metadata": {},
   "source": [
    "<span id=\"Order_percent\"></span>\n",
    "## 範例：order_percent\n",
    "[Return to Menu](#menu)\n",
    "\n",
    "- 運作方式：\n",
    "  - 先用自行輸入的比例（percent）及目前投資組合價值，算出需要購買的**總金額**。\n",
    "  - 再搭配下單日的收盤價，算出要買的**股數 amount**進行下單。\n",
    "  - 到了**下一個交易日**再用**該日的收盤價**和**下單時算出的 amount** 成交。\n",
    "  - 所以**下單時指定的百分比不一定會與實際成交時的百分比一致**。  \n",
    "  \n",
    "\n",
    "- 與其他 order 系列函數相同，下單時算出的 amount 若有**小數點**，則會**取整數**後再進行下單。取整數的方法為：若股數和最近整數相差在 0.0001 以內，就取最接近整數，否則直接去掉小數（3.9999 -> 4.0　;　5.5 -> 5.0　;　-5.5 -> -5.0）。"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "7ea65d87",
   "metadata": {},
   "source": [
    "### 設置交易策略\n",
    "#### def handle_data(context, data):\n",
    "\n",
    "在回測的第一個交易時間點（i 等於 0，2018-07-27）時\n",
    "```python\n",
    "if context.i == 0:\n",
    "    order_percent(symbol('1101'), 0.3, limit_price = 43.5)\n",
    "    # 使用限價訂單購買股票 '1101'，量為投資組合當前價值的 30%，限價為 43.5\n",
    "    order_percent(symbol('2330'), 0.3, limit_price = 240.6)\n",
    "    # 使用限價訂單購買股票 '2330'，量為投資組合當前價值的 30%，限價為 240.6\n",
    "```    \n",
    "在回測的第七個交易時間點（i 等於 6，2018-08-01）時\n",
    "```python\n",
    "if context.i == 6:\n",
    "    order_percent(symbol('1101'), 0.2)\n",
    "    # 購買股票 '1101'，量為投資組合當前價值的 20%\n",
    "    order_percent(symbol('2330'), 0.2)\n",
    "    # 購買股票 '2330'，量為投資組合當前價值的 20%\n",
    "```       \n",
    "記錄投資組合中所有資產的收盤價\n",
    "```python\n",
    "record(close=data.current(context.asset, 'close'))\n",
    "context.i += 1\n",
    "```  "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "95e722d7",
   "metadata": {},
   "outputs": [],
   "source": [
    "def initialize(context):\n",
    "    context.i = 0\n",
    "    context.tickers = ['1101','2330']\n",
    "    context.asset = [symbol(ticker) for ticker in context.tickers]      \n",
    "    set_slippage(slippage.FixedSlippage(spread=0.00))\n",
    "    set_commission(commission.PerDollar(cost=commission_cost))\n",
    "    set_benchmark(symbol('IR0001'))\n",
    "    \n",
    "def handle_data(context, data):\n",
    "    \n",
    "    if context.i == 0:  # 2018-07-27\n",
    "        order_percent(symbol('1101'), 0.3, limit_price = 43.5)\n",
    "        order_percent(symbol('2330'), 0.3, limit_price = 240.6)\n",
    "        \n",
    "    if context.i == 6:  # 2018-08-01\n",
    "        order_percent(symbol('1101'), 0.2)\n",
    "        order_percent(symbol('2330'), 0.2)\n",
    "\n",
    "    record(close=data.current(context.asset, 'close'))\n",
    "    context.i += 1\n",
    "\n",
    "commission_cost = 0.001425 + 0.003 / 2\n",
    "capital_base = 1e5"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "5b4d5a74",
   "metadata": {},
   "outputs": [],
   "source": [
    "closing_price = tejapi.fastget('TWN/APIPRCD',\n",
    "                               coid=['1101','2330'], \n",
    "                               opts={'columns':['mdate','coid','close_d']}, \n",
    "                               mdate={'gte':start_dt,'lte':end_dt }, \n",
    "                               paginate=True)\n",
    "\n",
    "performance = run_algorithm(start=start_dt,\n",
    "                            end=end_dt,\n",
    "                            initialize=initialize,\n",
    "                            handle_data=handle_data,\n",
    "                            capital_base=capital_base,\n",
    "                            trading_calendar=get_calendar(calendar_name),\n",
    "                            bundle=bundle_name)\n",
    "\n",
    "positions, transactions, orders = get_transaction_detail(performance)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "5c27e0b8",
   "metadata": {},
   "source": [
    "## 7/24\n",
    "7/24建立兩單，1101、2330 各 30%，limit_price 分別為 43.5、240.6。"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "7901eac7",
   "metadata": {},
   "source": [
    "#### 在7/24時起始現金為 100,000，30%的金額為 30000\n",
    "#### 1101 購買股數 = 30000 / 45.5 $\\approx$ 659 股\n",
    "#### 2330 購買股數 = 30000 / 241 $\\approx$ 124股"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "254faada",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
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       "      <th>close_d</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2018-07-24</td>\n",
       "      <td>1101</td>\n",
       "      <td>45.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>2018-07-24</td>\n",
       "      <td>2330</td>\n",
       "      <td>241.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
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      ],
      "text/plain": [
       "        mdate  coid  close_d\n",
       "0  2018-07-24  1101     45.5\n",
       "16 2018-07-24  2330    241.0"
      ]
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   "source": [
    "closing_price.query('(mdate == \"2018-07-24\")')"
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       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>id</th>\n",
       "      <th>dt</th>\n",
       "      <th>reason</th>\n",
       "      <th>created</th>\n",
       "      <th>amount</th>\n",
       "      <th>filled</th>\n",
       "      <th>commission</th>\n",
       "      <th>stop</th>\n",
       "      <th>limit</th>\n",
       "      <th>stop_reached</th>\n",
       "      <th>limit_reached</th>\n",
       "      <th>asset</th>\n",
       "      <th>status</th>\n",
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       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2018-07-24 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1101</td>\n",
       "      <td>3e91c8796d70486da122b6589d460e85</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>659</td>\n",
       "      <td>0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>None</td>\n",
       "      <td>43.5</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [1101])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2018-07-24 13:30:00+08:00</th>\n",
       "      <td>1</td>\n",
       "      <td>2330</td>\n",
       "      <td>0565a9901d5c43f7bc339e0c194dab02</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>124</td>\n",
       "      <td>0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>None</td>\n",
       "      <td>240.6</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(1 [2330])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2018-07-24 13:30:00+08:00    0   1101  3e91c8796d70486da122b6589d460e85   \n",
       "2018-07-24 13:30:00+08:00    1   2330  0565a9901d5c43f7bc339e0c194dab02   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2018-07-24 13:30:00+08:00 2018-07-24 13:30:00+08:00   None   \n",
       "2018-07-24 13:30:00+08:00 2018-07-24 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2018-07-24 13:30:00+08:00 2018-07-24 13:30:00+08:00     659       0   \n",
       "2018-07-24 13:30:00+08:00 2018-07-24 13:30:00+08:00     124       0   \n",
       "\n",
       "                           commission  stop  limit  stop_reached  \\\n",
       "2018-07-24 13:30:00+08:00         0.0  None   43.5         False   \n",
       "2018-07-24 13:30:00+08:00         0.0  None  240.6         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2018-07-24 13:30:00+08:00          False  Equity(0 [1101])       0  \n",
       "2018-07-24 13:30:00+08:00          False  Equity(1 [2330])       0  "
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.loc['2018-07-24']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "e276e62a",
   "metadata": {},
   "source": [
    "## 7/25\n",
    "- 到了7/25時 2330 的收盤價為 240.5，低於limit_price 的 240.6，於是成交（status = 1）。\n",
    "- 但 1101 股價高於 limit_price 43.5，沒有成交。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "id": "3fc7670c",
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       "      <td>1101</td>\n",
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       "      <th>17</th>\n",
       "      <td>2018-07-25</td>\n",
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      "text/plain": [
       "        mdate  coid  close_d\n",
       "1  2018-07-25  1101     45.1\n",
       "17 2018-07-25  2330    240.5"
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   ],
   "source": [
    "closing_price.query('(mdate == \"2018-07-25\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "id": "5c9ffc6a",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>id</th>\n",
       "      <th>dt</th>\n",
       "      <th>reason</th>\n",
       "      <th>created</th>\n",
       "      <th>amount</th>\n",
       "      <th>filled</th>\n",
       "      <th>commission</th>\n",
       "      <th>stop</th>\n",
       "      <th>limit</th>\n",
       "      <th>stop_reached</th>\n",
       "      <th>limit_reached</th>\n",
       "      <th>asset</th>\n",
       "      <th>status</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2018-07-24 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1101</td>\n",
       "      <td>3e91c8796d70486da122b6589d460e85</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>659</td>\n",
       "      <td>0</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>None</td>\n",
       "      <td>43.5</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [1101])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2018-07-24 13:30:00+08:00</th>\n",
       "      <td>1</td>\n",
       "      <td>2330</td>\n",
       "      <td>0565a9901d5c43f7bc339e0c194dab02</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>124</td>\n",
       "      <td>0</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>None</td>\n",
       "      <td>240.6</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(1 [2330])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2018-07-25 13:30:00+08:00</th>\n",
       "      <td>1</td>\n",
       "      <td>2330</td>\n",
       "      <td>0565a9901d5c43f7bc339e0c194dab02</td>\n",
       "      <td>2018-07-25 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>124</td>\n",
       "      <td>124</td>\n",
       "      <td>87.229350</td>\n",
       "      <td>None</td>\n",
       "      <td>240.6</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>Equity(1 [2330])</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2018-07-31 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1101</td>\n",
       "      <td>3e91c8796d70486da122b6589d460e85</td>\n",
       "      <td>2018-07-31 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>725</td>\n",
       "      <td>725</td>\n",
       "      <td>83.446594</td>\n",
       "      <td>None</td>\n",
       "      <td>39.54</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>Equity(0 [1101])</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2018-07-24 13:30:00+08:00    0   1101  3e91c8796d70486da122b6589d460e85   \n",
       "2018-07-24 13:30:00+08:00    1   2330  0565a9901d5c43f7bc339e0c194dab02   \n",
       "2018-07-25 13:30:00+08:00    1   2330  0565a9901d5c43f7bc339e0c194dab02   \n",
       "2018-07-31 13:30:00+08:00    0   1101  3e91c8796d70486da122b6589d460e85   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2018-07-24 13:30:00+08:00 2018-07-24 13:30:00+08:00   None   \n",
       "2018-07-24 13:30:00+08:00 2018-07-24 13:30:00+08:00   None   \n",
       "2018-07-25 13:30:00+08:00 2018-07-25 13:30:00+08:00   None   \n",
       "2018-07-31 13:30:00+08:00 2018-07-31 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2018-07-24 13:30:00+08:00 2018-07-24 13:30:00+08:00     659       0   \n",
       "2018-07-24 13:30:00+08:00 2018-07-24 13:30:00+08:00     124       0   \n",
       "2018-07-25 13:30:00+08:00 2018-07-24 13:30:00+08:00     124     124   \n",
       "2018-07-31 13:30:00+08:00 2018-07-24 13:30:00+08:00     725     725   \n",
       "\n",
       "                           commission  stop  limit  stop_reached  \\\n",
       "2018-07-24 13:30:00+08:00    0.000000  None   43.5         False   \n",
       "2018-07-24 13:30:00+08:00    0.000000  None  240.6         False   \n",
       "2018-07-25 13:30:00+08:00   87.229350  None  240.6         False   \n",
       "2018-07-31 13:30:00+08:00   83.446594  None  39.54         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2018-07-24 13:30:00+08:00          False  Equity(0 [1101])       0  \n",
       "2018-07-24 13:30:00+08:00          False  Equity(1 [2330])       0  \n",
       "2018-07-25 13:30:00+08:00           True  Equity(1 [2330])       1  \n",
       "2018-07-31 13:30:00+08:00           True  Equity(0 [1101])       1  "
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.query('created.dt.strftime(\"%Y-%m-%d\") == \"2018-07-24\"')"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "4c958084",
   "metadata": {},
   "source": [
    "## 7/26\n",
    "- 到了7/26時 1101 經過一次除權，ratio = 0.908945，7/24訂單的 limit_price 現在變成 43.5 * 0.908945 = 39.54，amount = 659 / 0.908945 = 725。\n",
    "- 單子還繼續開著，到了7/31才以 39.35 成交。\n",
    "- 注意，購買量是用下單日的價值、收盤價計算，成交時用成交日收盤價，所以購入的金額在成交日時不會剛好是投資組合的 30%。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "id": "65b7107c",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
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       "    .dataframe tbody tr th:only-of-type {\n",
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       "\n",
       "    .dataframe tbody tr th {\n",
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       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>mdate</th>\n",
       "      <th>coid</th>\n",
       "      <th>close_d</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2018-07-24</td>\n",
       "      <td>1101</td>\n",
       "      <td>45.50</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2018-07-25</td>\n",
       "      <td>1101</td>\n",
       "      <td>45.10</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2018-07-26</td>\n",
       "      <td>1101</td>\n",
       "      <td>40.50</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2018-07-27</td>\n",
       "      <td>1101</td>\n",
       "      <td>40.30</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2018-07-30</td>\n",
       "      <td>1101</td>\n",
       "      <td>40.70</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>2018-07-31</td>\n",
       "      <td>1101</td>\n",
       "      <td>39.35</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "       mdate  coid  close_d\n",
       "0 2018-07-24  1101    45.50\n",
       "1 2018-07-25  1101    45.10\n",
       "2 2018-07-26  1101    40.50\n",
       "3 2018-07-27  1101    40.30\n",
       "4 2018-07-30  1101    40.70\n",
       "5 2018-07-31  1101    39.35"
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "closing_price.query('(mdate <= \"2018-07-31\") & (coid == \"1101\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "id": "12ba0500",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
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       "\n",
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       "    }\n",
       "\n",
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>id</th>\n",
       "      <th>dt</th>\n",
       "      <th>reason</th>\n",
       "      <th>created</th>\n",
       "      <th>amount</th>\n",
       "      <th>filled</th>\n",
       "      <th>commission</th>\n",
       "      <th>stop</th>\n",
       "      <th>limit</th>\n",
       "      <th>stop_reached</th>\n",
       "      <th>limit_reached</th>\n",
       "      <th>asset</th>\n",
       "      <th>status</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2018-07-24 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1101</td>\n",
       "      <td>3e91c8796d70486da122b6589d460e85</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>659</td>\n",
       "      <td>0</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>None</td>\n",
       "      <td>43.5</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [1101])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2018-07-31 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1101</td>\n",
       "      <td>3e91c8796d70486da122b6589d460e85</td>\n",
       "      <td>2018-07-31 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-07-24 13:30:00+08:00</td>\n",
       "      <td>725</td>\n",
       "      <td>725</td>\n",
       "      <td>83.446594</td>\n",
       "      <td>None</td>\n",
       "      <td>39.54</td>\n",
       "      <td>False</td>\n",
       "      <td>True</td>\n",
       "      <td>Equity(0 [1101])</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2018-07-24 13:30:00+08:00    0   1101  3e91c8796d70486da122b6589d460e85   \n",
       "2018-07-31 13:30:00+08:00    0   1101  3e91c8796d70486da122b6589d460e85   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2018-07-24 13:30:00+08:00 2018-07-24 13:30:00+08:00   None   \n",
       "2018-07-31 13:30:00+08:00 2018-07-31 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2018-07-24 13:30:00+08:00 2018-07-24 13:30:00+08:00     659       0   \n",
       "2018-07-31 13:30:00+08:00 2018-07-24 13:30:00+08:00     725     725   \n",
       "\n",
       "                           commission  stop  limit  stop_reached  \\\n",
       "2018-07-24 13:30:00+08:00    0.000000  None   43.5         False   \n",
       "2018-07-31 13:30:00+08:00   83.446594  None  39.54         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2018-07-24 13:30:00+08:00          False  Equity(0 [1101])       0  \n",
       "2018-07-31 13:30:00+08:00           True  Equity(0 [1101])       1  "
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.query('(created.dt.strftime(\"%Y-%m-%d\") == \"2018-07-24\")  & (symbol == \"1101\")')"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "73025666",
   "metadata": {},
   "source": [
    "## 8/1\n",
    "- 8/1時 1101、2330 各下單 20%，沒有 stop／limit price。\n",
    "- 利用 ( 8/1 的 portfolio value * 0.2) / ( 8/1收盤價 )，算出 1101 需要買入 496 股，2330 需要買入 82 股，並於下一個交易日成交。\n",
    "\n",
    "#### 在8/1時 portfolio value 為 101992，20% 的金額為 20398\n",
    "#### 1101 購買股數 = 20398 / 41.05 $\\approx$ 496 股\n",
    "#### 2330 購買股數 = 20398 / 248 $\\approx$ 82 股"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "id": "19faa5f9",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>portfolio_value</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2018-08-01 13:30:00+08:00</th>\n",
       "      <td>101991.824056</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           portfolio_value\n",
       "2018-08-01 13:30:00+08:00    101991.824056"
      ]
     },
     "execution_count": 12,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# portfolio value\n",
    "performance[['portfolio_value']].loc['2018-08-01']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "id": "ff35fa0a",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>mdate</th>\n",
       "      <th>coid</th>\n",
       "      <th>close_d</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>2018-08-01</td>\n",
       "      <td>1101</td>\n",
       "      <td>41.05</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>22</th>\n",
       "      <td>2018-08-01</td>\n",
       "      <td>2330</td>\n",
       "      <td>248.00</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "        mdate  coid  close_d\n",
       "6  2018-08-01  1101    41.05\n",
       "22 2018-08-01  2330   248.00"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 收盤價\n",
    "closing_price.query('(mdate == \"2018-08-01\")')"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "2e53539c",
   "metadata": {},
   "source": [
    "#### 8/1交易訊號跑出"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "id": "075728bf",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
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       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>id</th>\n",
       "      <th>dt</th>\n",
       "      <th>reason</th>\n",
       "      <th>created</th>\n",
       "      <th>amount</th>\n",
       "      <th>filled</th>\n",
       "      <th>commission</th>\n",
       "      <th>stop</th>\n",
       "      <th>limit</th>\n",
       "      <th>stop_reached</th>\n",
       "      <th>limit_reached</th>\n",
       "      <th>asset</th>\n",
       "      <th>status</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2018-08-01 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1101</td>\n",
       "      <td>65a59e13dde54c038a6bf11546190a34</td>\n",
       "      <td>2018-08-01 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-08-01 13:30:00+08:00</td>\n",
       "      <td>496</td>\n",
       "      <td>0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [1101])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2018-08-01 13:30:00+08:00</th>\n",
       "      <td>1</td>\n",
       "      <td>2330</td>\n",
       "      <td>678133536bd941ecbc7b8be274bcf665</td>\n",
       "      <td>2018-08-01 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-08-01 13:30:00+08:00</td>\n",
       "      <td>82</td>\n",
       "      <td>0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(1 [2330])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2018-08-01 13:30:00+08:00    0   1101  65a59e13dde54c038a6bf11546190a34   \n",
       "2018-08-01 13:30:00+08:00    1   2330  678133536bd941ecbc7b8be274bcf665   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2018-08-01 13:30:00+08:00 2018-08-01 13:30:00+08:00   None   \n",
       "2018-08-01 13:30:00+08:00 2018-08-01 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2018-08-01 13:30:00+08:00 2018-08-01 13:30:00+08:00     496       0   \n",
       "2018-08-01 13:30:00+08:00 2018-08-01 13:30:00+08:00      82       0   \n",
       "\n",
       "                           commission  stop limit  stop_reached  \\\n",
       "2018-08-01 13:30:00+08:00         0.0  None  None         False   \n",
       "2018-08-01 13:30:00+08:00         0.0  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2018-08-01 13:30:00+08:00          False  Equity(0 [1101])       0  \n",
       "2018-08-01 13:30:00+08:00          False  Equity(1 [2330])       0  "
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.loc['2018-08-01']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "9025cc6f",
   "metadata": {},
   "source": [
    "#### 8/2買入股票"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "id": "971c4e6b",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>id</th>\n",
       "      <th>dt</th>\n",
       "      <th>reason</th>\n",
       "      <th>created</th>\n",
       "      <th>amount</th>\n",
       "      <th>filled</th>\n",
       "      <th>commission</th>\n",
       "      <th>stop</th>\n",
       "      <th>limit</th>\n",
       "      <th>stop_reached</th>\n",
       "      <th>limit_reached</th>\n",
       "      <th>asset</th>\n",
       "      <th>status</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2018-08-02 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1101</td>\n",
       "      <td>65a59e13dde54c038a6bf11546190a34</td>\n",
       "      <td>2018-08-02 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-08-01 13:30:00+08:00</td>\n",
       "      <td>496</td>\n",
       "      <td>496</td>\n",
       "      <td>58.902480</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [1101])</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2018-08-02 13:30:00+08:00</th>\n",
       "      <td>1</td>\n",
       "      <td>2330</td>\n",
       "      <td>678133536bd941ecbc7b8be274bcf665</td>\n",
       "      <td>2018-08-02 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2018-08-01 13:30:00+08:00</td>\n",
       "      <td>82</td>\n",
       "      <td>82</td>\n",
       "      <td>58.643325</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(1 [2330])</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2018-08-02 13:30:00+08:00    0   1101  65a59e13dde54c038a6bf11546190a34   \n",
       "2018-08-02 13:30:00+08:00    1   2330  678133536bd941ecbc7b8be274bcf665   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2018-08-02 13:30:00+08:00 2018-08-02 13:30:00+08:00   None   \n",
       "2018-08-02 13:30:00+08:00 2018-08-02 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2018-08-02 13:30:00+08:00 2018-08-01 13:30:00+08:00     496     496   \n",
       "2018-08-02 13:30:00+08:00 2018-08-01 13:30:00+08:00      82      82   \n",
       "\n",
       "                           commission  stop limit  stop_reached  \\\n",
       "2018-08-02 13:30:00+08:00   58.902480  None  None         False   \n",
       "2018-08-02 13:30:00+08:00   58.643325  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2018-08-02 13:30:00+08:00          False  Equity(0 [1101])       1  \n",
       "2018-08-02 13:30:00+08:00          False  Equity(1 [2330])       1  "
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.loc['2018-08-02']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "67da4620",
   "metadata": {},
   "source": [
    "<span id=\"Order_target_percent\"></span>\n",
    "## 範例：order_target_percent\n",
    "order_target_percent 用來限制該股票占投資組合價值的比例，如果持股價值超過設定的比例，他就會賣出股票來達到目標權重。相對的，如果持股價值低於設定的比例，則買入股票。<br>\n",
    "\n",
    "- 與`order_percent`原理類似，實際成交後該股票占投資組合價值的比例不一定會與目標相同。\n",
    "- 與其他 order 系列函數相同，下單時算出的 amount 若有**小數點**，則會**取整數**後再進行下單。取整數的方法為：若股數和最近整數相差在 0.0001 以內，就取最接近整數，否則直接去掉小數（3.9999 -> 4.0　;　5.5 -> 5.0　;　-5.5 -> -5.0）。\n",
    "\n",
    "[Return to Menu](#menu)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "9bed5109",
   "metadata": {},
   "source": [
    "### 設置交易策略\n",
    "#### def handle_data(context, data):\n",
    "\n",
    "在回測的第一個交易時間點（i 等於 0，2018-07-27）時\n",
    "```python\n",
    "if context.i == 0:\n",
    "    order_target_percent(symbol('1101'), 0.3, limit_price = 43.5)\n",
    "    # 使用限價訂單購買股票 '1101'，使得持股價值達到為投資組合當前價值的 30%，限價為 43.5\n",
    "    order_target_percent(symbol('2330'), 0.3, limit_price = 240.6)\n",
    "    # 使用限價訂單購買股票 '2330'，使得持股價值達到投資組合當前價值的 30%，限價為 240.6\n",
    "```\n",
    "在回測的第七個交易時間點（i 等於 6，2018-08-01）時\n",
    "```python\n",
    "if context.i == 6:\n",
    "    order_target_percent(symbol('1101'), 0.2)\n",
    "    # 調整 '1101' 持股使得持股價值達到投資組合當前價值的 20%\n",
    "    order_target_percent(symbol('2330'), 0.2)\n",
    "    # 調整 '2330' 持股使得持股價值達到投資組合當前價值的 20%\n",
    "```    \n",
    "記錄投資組合中所有資產的收盤價\n",
    "```python\n",
    "record(close=data.current(context.asset, 'close'))\n",
    "context.i += 1\n",
    "```"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "id": "e1807b0e",
   "metadata": {},
   "outputs": [],
   "source": [
    "def initialize(context):\n",
    "    context.i = 0\n",
    "    context.tickers = ['1101','2330']\n",
    "    context.asset = [symbol(ticker) for ticker in context.tickers]      \n",
    "    set_slippage(slippage.FixedSlippage(spread=0.00))\n",
    "    set_commission(commission.PerDollar(cost=commission_cost))\n",
    "    set_benchmark(symbol('IR0001'))\n",
    "    \n",
    "def handle_data(context, data):\n",
    "    \n",
    "    if context.i == 0:  # 2018-07-27\n",
    "        order_target_percent(symbol('1101'), 0.3, limit_price = 43.5)\n",
    "        order_target_percent(symbol('2330'), 0.3, limit_price = 240.6)\n",
    "         \n",
    "    if context.i == 6:  # 2018-08-01\n",
    "        print(calculate_order_target_percent_amount(symbol('1101'), 0.2))\n",
    "        order_target_percent(symbol('1101'), 0.2)\n",
    "        order_target_percent(symbol('2330'), 0.2)\n",
    "\n",
    "    record(close=data.current(context.asset, 'close'))\n",
    "    context.i += 1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "id": "0606a31a",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "-228.08490106577335\n"
     ]
    }
   ],
   "source": [
    "performance = run_algorithm(start=start_dt,\n",
    "                            end=end_dt,\n",
    "                            initialize=initialize,\n",
    "                            handle_data=handle_data,\n",
    "                            capital_base=capital_base,\n",
    "                            trading_calendar=get_calendar(calendar_name),\n",
    "                            bundle=bundle_name)\n",
    "\n",
    "positions, transactions, orders = get_transaction_detail(performance)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "90cb0ceb",
   "metadata": {},
   "source": [
    "## 7/25及7/31\n",
    "7/25及7/31成交的部分跟上面 order_percent 結果一樣，因為一開始的投資組合價值皆為 100,000（起始現金）。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "id": "91be43f0",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>amount</th>\n",
       "      <th>dt</th>\n",
       "      <th>price</th>\n",
       "      <th>order_id</th>\n",
       "      <th>asset</th>\n",
       "      <th>commission</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2018-07-25 13:30:00+08:00</th>\n",
       "      <td>1</td>\n",
       "      <td>2330</td>\n",
       "      <td>124</td>\n",
       "      <td>2018-07-25 13:30:00+08:00</td>\n",
       "      <td>240.50</td>\n",
       "      <td>1d8f998f8bf84ceaaa09d9dc7ede0a0b</td>\n",
       "      <td>Equity(1 [2330])</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2018-07-31 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1101</td>\n",
       "      <td>725</td>\n",
       "      <td>2018-07-31 13:30:00+08:00</td>\n",
       "      <td>39.35</td>\n",
       "      <td>7ac22f2a494f4fcdadc07c89f40548de</td>\n",
       "      <td>Equity(0 [1101])</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol  amount                        dt  \\\n",
       "2018-07-25 13:30:00+08:00    1   2330     124 2018-07-25 13:30:00+08:00   \n",
       "2018-07-31 13:30:00+08:00    0   1101     725 2018-07-31 13:30:00+08:00   \n",
       "\n",
       "                            price                          order_id  \\\n",
       "2018-07-25 13:30:00+08:00  240.50  1d8f998f8bf84ceaaa09d9dc7ede0a0b   \n",
       "2018-07-31 13:30:00+08:00   39.35  7ac22f2a494f4fcdadc07c89f40548de   \n",
       "\n",
       "                                      asset commission  \n",
       "2018-07-25 13:30:00+08:00  Equity(1 [2330])       None  \n",
       "2018-07-31 13:30:00+08:00  Equity(0 [1101])       None  "
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "transactions.loc[:'2018-07-31']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "768a3cf2",
   "metadata": {},
   "source": [
    "## 8/1\n",
    "#### 在8/1時portfolio value為 101992，20%的金額為 20398\n",
    "#### 1101 目標股數 = 20398 / 41.05 = 496 股，因此 496 - 725 = - 228.09378806333734 $\\approx$ - 228\n",
    "     要將出售 228 股，才能讓股票價值變成當下 portfolio value 的 20%。\n",
    "#### 2330 目標股數 = 20398 / 248 = 82 股，因此 82 - 124 = - 41.75 $\\approx$ - 41\n",
    "     要將出售 41 股，才能讓股票價值變成當下 portfolio value 的 20%。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "id": "e4452582",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>portfolio_value</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2018-08-01 13:30:00+08:00</th>\n",
       "      <td>101991.824056</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           portfolio_value\n",
       "2018-08-01 13:30:00+08:00    101991.824056"
      ]
     },
     "execution_count": 19,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# portfolio value\n",
    "performance[['portfolio_value']].loc['2018-08-01']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "id": "8e7515de",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>mdate</th>\n",
       "      <th>coid</th>\n",
       "      <th>close_d</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>2018-08-01</td>\n",
       "      <td>1101</td>\n",
       "      <td>41.05</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>22</th>\n",
       "      <td>2018-08-01</td>\n",
       "      <td>2330</td>\n",
       "      <td>248.00</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "        mdate  coid  close_d\n",
       "6  2018-08-01  1101    41.05\n",
       "22 2018-08-01  2330   248.00"
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 收盤價\n",
    "closing_price.query('(mdate == \"2018-08-01\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "id": "c5351c4e",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "\n",
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       "    }\n",
       "\n",
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>asset</th>\n",
       "      <th>amount</th>\n",
       "      <th>cost_basis</th>\n",
       "      <th>last_sale_price</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2018-08-01 13:30:00+08:00</th>\n",
       "      <td>1</td>\n",
       "      <td>2330</td>\n",
       "      <td>Equity(1 [2330])</td>\n",
       "      <td>124</td>\n",
       "      <td>241.203463</td>\n",
       "      <td>248.00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2018-08-01 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1101</td>\n",
       "      <td>Equity(0 [1101])</td>\n",
       "      <td>725</td>\n",
       "      <td>39.465099</td>\n",
       "      <td>41.05</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol             asset  amount  cost_basis  \\\n",
       "2018-08-01 13:30:00+08:00    1   2330  Equity(1 [2330])     124  241.203463   \n",
       "2018-08-01 13:30:00+08:00    0   1101  Equity(0 [1101])     725   39.465099   \n",
       "\n",
       "                           last_sale_price  \n",
       "2018-08-01 13:30:00+08:00           248.00  \n",
       "2018-08-01 13:30:00+08:00            41.05  "
      ]
     },
     "execution_count": 21,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "positions.loc['2018-08-01']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "20c5b23f",
   "metadata": {},
   "source": [
    "#### 8/1交易訊號跑出並下單"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "id": "3850a854",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
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       "                           sid symbol                                id  \\\n",
       "2018-08-01 13:30:00+08:00    0   1101  91d92da8ec864c5998507284182e8249   \n",
       "2018-08-01 13:30:00+08:00    1   2330  0f19889bb924433da574b400ce568875   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2018-08-01 13:30:00+08:00 2018-08-01 13:30:00+08:00   None   \n",
       "2018-08-01 13:30:00+08:00 2018-08-01 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2018-08-01 13:30:00+08:00 2018-08-01 13:30:00+08:00    -228       0   \n",
       "2018-08-01 13:30:00+08:00 2018-08-01 13:30:00+08:00     -41       0   \n",
       "\n",
       "                           commission  stop limit  stop_reached  \\\n",
       "2018-08-01 13:30:00+08:00         0.0  None  None         False   \n",
       "2018-08-01 13:30:00+08:00         0.0  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2018-08-01 13:30:00+08:00          False  Equity(0 [1101])       0  \n",
       "2018-08-01 13:30:00+08:00          False  Equity(1 [2330])       0  "
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.loc['2018-08-01']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "625c63da",
   "metadata": {},
   "source": [
    "#### 8/2賣出股票"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "id": "5ba497db",
   "metadata": {},
   "outputs": [
    {
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       "      <th>2018-08-02 13:30:00+08:00</th>\n",
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       "      <td>1</td>\n",
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       "                           sid symbol                                id  \\\n",
       "2018-08-02 13:30:00+08:00    0   1101  91d92da8ec864c5998507284182e8249   \n",
       "2018-08-02 13:30:00+08:00    1   2330  0f19889bb924433da574b400ce568875   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2018-08-02 13:30:00+08:00 2018-08-02 13:30:00+08:00   None   \n",
       "2018-08-02 13:30:00+08:00 2018-08-02 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2018-08-02 13:30:00+08:00 2018-08-01 13:30:00+08:00    -228    -228   \n",
       "2018-08-02 13:30:00+08:00 2018-08-01 13:30:00+08:00     -41     -41   \n",
       "\n",
       "                           commission  stop limit  stop_reached  \\\n",
       "2018-08-02 13:30:00+08:00   27.076140  None  None         False   \n",
       "2018-08-02 13:30:00+08:00   29.321663  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2018-08-02 13:30:00+08:00          False  Equity(0 [1101])       1  \n",
       "2018-08-02 13:30:00+08:00          False  Equity(1 [2330])       1  "
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.loc['2018-08-02']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "50659131",
   "metadata": {},
   "source": [
    "**8/2當天兩檔股票的價值都不會剛好是 20398。**"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "id": "b85eefb0",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th>2018-08-02 13:30:00+08:00</th>\n",
       "      <td>1</td>\n",
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       "      <td>83</td>\n",
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       "      <td>244.5</td>\n",
       "      <td>20293.5</td>\n",
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       "      <th>2018-08-02 13:30:00+08:00</th>\n",
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       "      <td>40.6</td>\n",
       "      <td>20178.2</td>\n",
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      "text/plain": [
       "                           sid symbol             asset  amount  cost_basis  \\\n",
       "2018-08-02 13:30:00+08:00    1   2330  Equity(1 [2330])      83  241.556736   \n",
       "2018-08-02 13:30:00+08:00    0   1101  Equity(0 [1101])     497   39.519578   \n",
       "\n",
       "                           last_sale_price    value  \n",
       "2018-08-02 13:30:00+08:00            244.5  20293.5  \n",
       "2018-08-02 13:30:00+08:00             40.6  20178.2  "
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
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   ],
   "source": [
    "positions['value'] = positions['amount'] * positions['last_sale_price']\n",
    "positions.loc['2018-08-02']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "b8787cc6",
   "metadata": {},
   "source": [
    "[Return to Menu](#menu)"
   ]
  }
 ],
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