lecture/Zipline Order (value & target_value).ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "id": "2ad82a80",
   "metadata": {},
   "source": [
    "# 下單方法介紹(二)\n",
    "\n",
    "<span id=\"menu\"></span>\n",
    "# Zipline order_value 和 order_target_value\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_value()`以及`order_target_value()`的使用辦法。\n",
    "> 本文件包含以下兩個部份：\n",
    "  > - [函數介紹](#函數介紹)\n",
    "  > - [範例：order_value與order_target_value](#Order_value與Order_target_value)\n",
    ">\n",
    ">\n",
    "> ## 閱讀本篇之前請先閱讀：\n",
    ">\n",
    "> [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",
    "> ## 閱讀本篇之後可以搭配閱讀：\n",
    "> \n",
    "> [Zipline Order（percent & target_percent）.ipynb](https://github.com/tejtw/TQuant-Lab/blob/main/lecture/Zipline%20Order%20(percent%20%26%20target_percent).ipynb)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "d8683ce0",
   "metadata": {},
   "source": [
    "<span id=\"函數介紹\"></span>\n",
    "\n",
    "## 函數介紹：\n",
    "\n",
    "使用前記得先做 import：`from zipline.api import order_value, order_target_value`或`from zipline.api import *`。\n",
    "\n",
    "<br>\n",
    "\n",
    "*　order_value：買賣指定價值的股票。\n",
    "\n",
    "`zipline.api.order_value(asset, value, limit_price=None, stop_price=None, style=None)`\n",
    "\n",
    "**value**：*float*股票價值\n",
    "\n",
    "*　order_target_value：透過買／賣使手上股票在**下單當下**的市場價值達到指定目標。\n",
    "\n",
    "`zipline.api.order_target_value(asset, target, limit_price=None, stop_price=None, style=None)`\n",
    "\n",
    "**target**：*float*目標價值\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",
    "- `order_value`與`order_target_value`運作邏輯類似，都是以**下單日的收盤價**做基準，將下單的價值**轉換為 amount**。實際交易時再用**當天的收盤價**，和**下單時算出的 amount 成交**，所以**下單時指定的價值不一定會與實際成交時價值一致**。\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",
    "- 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": "fb6a8ba0",
   "metadata": {},
   "source": [
    "## 設定環境"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "id": "660e446d",
   "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='2022-09-16'\n",
    "end='2022-10-16'\n",
    "\n",
    "os.environ['mdate'] = '20220916 20221016'\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'] = '2603 IR0001'"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "0ed7119e",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Merging daily equity files:\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "[2023-11-30 07:51:09.233092] INFO: zipline.data.bundles.core: Ingesting tquant.\n"
     ]
    }
   ],
   "source": [
    "!zipline ingest -b tquant"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "64b924fa",
   "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": "01c5b164",
   "metadata": {},
   "source": [
    "<span id=\"Order_value與Order_target_value\"></span>\n",
    "## 範例：order_value與order_target_value\n",
    "\n",
    "[Return to Menu](#menu)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "a296b050",
   "metadata": {},
   "source": [
    "### 交易策略\n",
    "\n",
    "#### def handle_data(context, data):\n",
    "\n",
    "在回測的第一個時間點（context.i 為 0，2022-09-16），購買`context.asset`中每檔股票，每檔價值皆為 40000 元。\n",
    "```python\n",
    "if context.i == 0:\n",
    "    for asset in context.asset:\n",
    "        order_value(asset, 40000)\n",
    "```\n",
    "\n",
    "在回測的第十一個時間點（context.i 為 10，2022-09-30），對投資組合中的每檔股票進行調整，使其帳上持有的價值達到 60000 元。\n",
    "```python\n",
    "if context.i == 10:\n",
    "    for asset in context.asset:\n",
    "        order_target_value(asset, 60000)\n",
    "```\n",
    "在回測的第十六個時間點（context.i 為 15，2022-10-07），對投資組合中的每檔股票進行調整，使其帳上持有的價值減少到 30000 元。\n",
    "```python\n",
    "if context.i == 15:\n",
    "    for asset in context.asset:\n",
    "        order_target_value(asset, 30000)\n",
    "```\n",
    "最後，使用 record 函數記錄每檔股票的收盤價。然後遞增 context.i 的值，表示回測已進入下一個時間點。  \n",
    "```python\n",
    "record(close=data.current(context.asset, 'close'))\n",
    "context.i += 1\n",
    "```\n",
    "記錄每檔股票的收盤價，並將 `context.i` 遞增 1，表示回測進入下一個時間點。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "8594bfe9",
   "metadata": {},
   "outputs": [],
   "source": [
    "def initialize(context):\n",
    "    context.i = 0\n",
    "    context.tickers = ['2603']\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:   # 2022-09-16\n",
    "        for asset in context.asset:\n",
    "            order_value(asset, 40000)\n",
    "            \n",
    "    if context.i == 10:  # 2022-09-30\n",
    "        for asset in context.asset:\n",
    "            order_target_value(asset, 60000)\n",
    "\n",
    "    if context.i == 15:  # 2022-10-07\n",
    "        for asset in context.asset:\n",
    "            order_target_value(asset, 30000)\n",
    "            \n",
    "    record(close=data.current(context.asset, 'close'))\n",
    "    context.i += 1\n",
    "\n",
    "commission_cost = 0.001425 + 0.003 / 2  # commission + tax \n",
    "capital_base = 1e6"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "9531ef30",
   "metadata": {
    "scrolled": false
   },
   "outputs": [],
   "source": [
    "closing_price = tejapi.fastget('TWN/APIPRCD',\n",
    "                               coid=['2603'],\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": "3d650429",
   "metadata": {},
   "source": [
    "## 9/16\n",
    "- 在9/16時下單買進價值 40000 元的長榮（2603）股票，用9/16的收盤價計算出應買股數為 40000 / 80.8 $\\approx$ 495。\n",
    "- 下個交易日（9/19）遇到減資，ratio是 2.314356，所以下單量調整成 495 / 2.314356 $\\approx$ 213，並以當天收盤價 169 元成交。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "13ddf528",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
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       "      <th>close_d</th>\n",
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       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2022-09-16</td>\n",
       "      <td>2603</td>\n",
       "      <td>80.8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2022-09-19</td>\n",
       "      <td>2603</td>\n",
       "      <td>169.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
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      ],
      "text/plain": [
       "       mdate  coid  close_d\n",
       "0 2022-09-16  2603     80.8\n",
       "1 2022-09-19  2603    169.0"
      ]
     },
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   "source": [
    "closing_price.query('mdate <= \"2022-09-19\"')"
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   "execution_count": 7,
   "id": "e0880a8e",
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       "      <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>2022-09-16 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>2603</td>\n",
       "      <td>df7703877ef749c9af6551dd24992a8b</td>\n",
       "      <td>2022-09-16 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2022-09-16 13:30:00+08:00</td>\n",
       "      <td>495</td>\n",
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       "      <td>0.000000</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [2603])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-09-19 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>2603</td>\n",
       "      <td>df7703877ef749c9af6551dd24992a8b</td>\n",
       "      <td>2022-09-19 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2022-09-16 13:30:00+08:00</td>\n",
       "      <td>213</td>\n",
       "      <td>213</td>\n",
       "      <td>105.291225</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [2603])</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
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      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2022-09-16 13:30:00+08:00    0   2603  df7703877ef749c9af6551dd24992a8b   \n",
       "2022-09-19 13:30:00+08:00    0   2603  df7703877ef749c9af6551dd24992a8b   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2022-09-16 13:30:00+08:00 2022-09-16 13:30:00+08:00   None   \n",
       "2022-09-19 13:30:00+08:00 2022-09-19 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2022-09-16 13:30:00+08:00 2022-09-16 13:30:00+08:00     495       0   \n",
       "2022-09-19 13:30:00+08:00 2022-09-16 13:30:00+08:00     213     213   \n",
       "\n",
       "                           commission  stop limit  stop_reached  \\\n",
       "2022-09-16 13:30:00+08:00    0.000000  None  None         False   \n",
       "2022-09-19 13:30:00+08:00  105.291225  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-09-16 13:30:00+08:00          False  Equity(0 [2603])       0  \n",
       "2022-09-19 13:30:00+08:00          False  Equity(0 [2603])       1  "
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.loc['2022-09-16':'2022-09-19']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "3f0df68a",
   "metadata": {},
   "source": [
    "## 9/30\n",
    "- 9/30利用 order_target_value 下單，希望將 2603 的持股價值調整為 60000 元。\n",
    "- 首先計算9/30帳上長榮的市值 146（last_sale_price）* 213股 = 31098，所以還需要 ( 60000 - 31098 ) / 146 $\\approx$ 197股（無條件捨去）。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "id": "8a4ce92a",
   "metadata": {},
   "outputs": [
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       "      <th>2022-09-30 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>2603</td>\n",
       "      <td>Equity(0 [2603])</td>\n",
       "      <td>213</td>\n",
       "      <td>169.494325</td>\n",
       "      <td>146.0</td>\n",
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      "text/plain": [
       "                           sid symbol             asset  amount  cost_basis  \\\n",
       "2022-09-30 13:30:00+08:00    0   2603  Equity(0 [2603])     213  169.494325   \n",
       "\n",
       "                           last_sale_price  \n",
       "2022-09-30 13:30:00+08:00            146.0  "
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "positions.loc['2022-09-30']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "2fdfa0b3",
   "metadata": {},
   "source": [
    "下一個交易日（10/3）成交。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "id": "b5b6cdd1",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "    <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",
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       "      <th>status</th>\n",
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       "    <tr>\n",
       "      <th>2022-09-30 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>2603</td>\n",
       "      <td>81259ca0671a45a9b447e597843195f6</td>\n",
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       "      <td>False</td>\n",
       "      <td>Equity(0 [2603])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-10-03 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>2603</td>\n",
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       "      <td>None</td>\n",
       "      <td>2022-09-30 13:30:00+08:00</td>\n",
       "      <td>197</td>\n",
       "      <td>197</td>\n",
       "      <td>86.145637</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [2603])</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2022-09-30 13:30:00+08:00    0   2603  81259ca0671a45a9b447e597843195f6   \n",
       "2022-10-03 13:30:00+08:00    0   2603  81259ca0671a45a9b447e597843195f6   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2022-09-30 13:30:00+08:00 2022-09-30 13:30:00+08:00   None   \n",
       "2022-10-03 13:30:00+08:00 2022-10-03 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2022-09-30 13:30:00+08:00 2022-09-30 13:30:00+08:00     197       0   \n",
       "2022-10-03 13:30:00+08:00 2022-09-30 13:30:00+08:00     197     197   \n",
       "\n",
       "                           commission  stop limit  stop_reached  \\\n",
       "2022-09-30 13:30:00+08:00    0.000000  None  None         False   \n",
       "2022-10-03 13:30:00+08:00   86.145637  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-09-30 13:30:00+08:00          False  Equity(0 [2603])       0  \n",
       "2022-10-03 13:30:00+08:00          False  Equity(0 [2603])       1  "
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.loc['2022-09-30':'2022-10-03']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "eb573fc3",
   "metadata": {},
   "source": [
    "## 10/7\n",
    "- 在10/7利用order_target_value()下單，希望將 2603 的持股價值調整為 30000 元。因為帳上長榮股票市值超過 30000，需要賣掉一定數量來達到目標。\n",
    "- 用10/7的收盤價和帳上持有數量，計算出價值為 155.5（last_sale_price） * 410 = 63755，需要賣掉 ( 63755 - 30000 ) / 155.5 $\\approx$ 217股（無條件捨去）。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "id": "33c3c5bf",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <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>2022-10-07 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>2603</td>\n",
       "      <td>Equity(0 [2603])</td>\n",
       "      <td>410</td>\n",
       "      <td>160.097407</td>\n",
       "      <td>155.5</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol             asset  amount  cost_basis  \\\n",
       "2022-10-07 13:30:00+08:00    0   2603  Equity(0 [2603])     410  160.097407   \n",
       "\n",
       "                           last_sale_price  \n",
       "2022-10-07 13:30:00+08:00            155.5  "
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "positions.loc['2022-10-07']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "99d1ac05",
   "metadata": {},
   "source": [
    "- 在下個交易日（10/11），以當天收盤價 156 賣出"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "id": "775e7018",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>id</th>\n",
       "      <th>dt</th>\n",
       "      <th>reason</th>\n",
       "      <th>created</th>\n",
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       "      <th>filled</th>\n",
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       "      <th>2022-10-07 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>2603</td>\n",
       "      <td>4321592d8ad044e3948c70129676e278</td>\n",
       "      <td>2022-10-07 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2022-10-07 13:30:00+08:00</td>\n",
       "      <td>-217</td>\n",
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       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [2603])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-10-11 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>2603</td>\n",
       "      <td>4321592d8ad044e3948c70129676e278</td>\n",
       "      <td>2022-10-11 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2022-10-07 13:30:00+08:00</td>\n",
       "      <td>-217</td>\n",
       "      <td>-217</td>\n",
       "      <td>99.0171</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [2603])</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2022-10-07 13:30:00+08:00    0   2603  4321592d8ad044e3948c70129676e278   \n",
       "2022-10-11 13:30:00+08:00    0   2603  4321592d8ad044e3948c70129676e278   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2022-10-07 13:30:00+08:00 2022-10-07 13:30:00+08:00   None   \n",
       "2022-10-11 13:30:00+08:00 2022-10-11 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2022-10-07 13:30:00+08:00 2022-10-07 13:30:00+08:00    -217       0   \n",
       "2022-10-11 13:30:00+08:00 2022-10-07 13:30:00+08:00    -217    -217   \n",
       "\n",
       "                           commission  stop limit  stop_reached  \\\n",
       "2022-10-07 13:30:00+08:00      0.0000  None  None         False   \n",
       "2022-10-11 13:30:00+08:00     99.0171  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-10-07 13:30:00+08:00          False  Equity(0 [2603])       0  \n",
       "2022-10-11 13:30:00+08:00          False  Equity(0 [2603])       1  "
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.query('created.dt.strftime(\"%Y-%m-%d\") == \"2022-10-07\"')"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "5f4d7e9b",
   "metadata": {},
   "source": [
    "### Exposure：\n",
    "- 在 performance （`run_algorithm` 產出的報表）中的 `long_exposure` （帳上股票長部位市值）可以看到，在10/3第一次調整，目標是 6 萬元，但因為10/3市價相對於下單日（9/30）提高了，然而還是會用9/30算出來的 amount 去買，因此 long_exposure 超出了目標。\n",
    "- 同理，在10/11第二次調整，目標是 3 萬，但因為10/11市價相對於下單日（10/7）提高了，然而還是會用10/7算出來的 amount 去買，因此 long_exposure 也超出了目標。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "id": "0d38805b",
   "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>period_open</th>\n",
       "      <th>long_exposure</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2022-10-03 13:30:00+08:00</th>\n",
       "      <td>2022-10-03 09:01:00+08:00</td>\n",
       "      <td>61295.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-10-11 13:30:00+08:00</th>\n",
       "      <td>2022-10-11 09:01:00+08:00</td>\n",
       "      <td>30108.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                        period_open  long_exposure\n",
       "2022-10-03 13:30:00+08:00 2022-10-03 09:01:00+08:00        61295.0\n",
       "2022-10-11 13:30:00+08:00 2022-10-11 09:01:00+08:00        30108.0"
      ]
     },
     "execution_count": 12,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "performance[['period_open','long_exposure']].query('period_open.dt.strftime(\"%Y-%m-%d\") in [\"2022-10-03\",\"2022-10-11\"]')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "id": "311c5384",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
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       "</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>2022-09-16</td>\n",
       "      <td>2603</td>\n",
       "      <td>80.8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2022-09-19</td>\n",
       "      <td>2603</td>\n",
       "      <td>169.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2022-09-20</td>\n",
       "      <td>2603</td>\n",
       "      <td>172.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2022-09-21</td>\n",
       "      <td>2603</td>\n",
       "      <td>166.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2022-09-22</td>\n",
       "      <td>2603</td>\n",
       "      <td>156.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>2022-09-23</td>\n",
       "      <td>2603</td>\n",
       "      <td>158.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>2022-09-26</td>\n",
       "      <td>2603</td>\n",
       "      <td>145.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>2022-09-27</td>\n",
       "      <td>2603</td>\n",
       "      <td>153.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>2022-09-28</td>\n",
       "      <td>2603</td>\n",
       "      <td>144.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>2022-09-29</td>\n",
       "      <td>2603</td>\n",
       "      <td>144.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>2022-09-30</td>\n",
       "      <td>2603</td>\n",
       "      <td>146.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>2022-10-03</td>\n",
       "      <td>2603</td>\n",
       "      <td>149.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>2022-10-04</td>\n",
       "      <td>2603</td>\n",
       "      <td>150.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>2022-10-05</td>\n",
       "      <td>2603</td>\n",
       "      <td>155.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>2022-10-06</td>\n",
       "      <td>2603</td>\n",
       "      <td>155.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>2022-10-07</td>\n",
       "      <td>2603</td>\n",
       "      <td>155.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>2022-10-11</td>\n",
       "      <td>2603</td>\n",
       "      <td>156.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>2022-10-12</td>\n",
       "      <td>2603</td>\n",
       "      <td>147.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>2022-10-13</td>\n",
       "      <td>2603</td>\n",
       "      <td>144.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>2022-10-14</td>\n",
       "      <td>2603</td>\n",
       "      <td>152.5</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "        mdate  coid  close_d\n",
       "0  2022-09-16  2603     80.8\n",
       "1  2022-09-19  2603    169.0\n",
       "2  2022-09-20  2603    172.5\n",
       "3  2022-09-21  2603    166.5\n",
       "4  2022-09-22  2603    156.0\n",
       "5  2022-09-23  2603    158.0\n",
       "6  2022-09-26  2603    145.5\n",
       "7  2022-09-27  2603    153.5\n",
       "8  2022-09-28  2603    144.0\n",
       "9  2022-09-29  2603    144.0\n",
       "10 2022-09-30  2603    146.0\n",
       "11 2022-10-03  2603    149.5\n",
       "12 2022-10-04  2603    150.5\n",
       "13 2022-10-05  2603    155.5\n",
       "14 2022-10-06  2603    155.5\n",
       "15 2022-10-07  2603    155.5\n",
       "16 2022-10-11  2603    156.0\n",
       "17 2022-10-12  2603    147.0\n",
       "18 2022-10-13  2603    144.5\n",
       "19 2022-10-14  2603    152.5"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "closing_price"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "04e2689c",
   "metadata": {},
   "source": [
    "[Return to Menu](#menu)"
   ]
  }
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