QAPortfolio.py

# coding:utf-8
#
# The MIT License (MIT)
#
# Copyright (c) 2016-2019 yutiansut/QUANTAXIS
#
# Permission is hereby granted, free of charge, to any person obtaining a copy
# of this software and associated documentation files (the "Software"), to deal
# in the Software without restriction, including without limitation the rights
# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
# copies of the Software, and to permit persons to whom the Software is
# furnished to do so, subject to the following conditions:
#
# The above copyright notice and this permission notice shall be included in all
# copies or substantial portions of the Software.
#
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
# SOFTWARE.

from functools import lru_cache

import pandas as pd

from QUANTAXIS.QAARP.QAAccount import QA_Account
from QUANTAXIS.QAARP.QAAccountPro import QA_AccountPRO
from QUANTAXIS.QAARP.QARisk import QA_Performance, QA_Risk
from QUANTAXIS.QAUtil import (
    DATABASE,
    QA_util_log_info,
    QA_util_random_with_topic
)
from QUANTAXIS.QAUtil import MARKET_TYPE, RUNNING_ENVIRONMENT

# pylint: disable=old-style-class, too-few-public-methods


class QA_Portfolio(QA_Account):
    """QA_Portfolio
    User-->Portfolio-->Account/Strategy

    ::::::::::::::::::::::::::::::::::::::::::::::::::
    ::        :: Portfolio 1 -- Account/Strategy 1  ::
    ::  USER  ::             -- Account/Strategy 2  ::
    ::        :: Portfolio 2 -- Account/Strategy 3  ::
    ::::::::::::::::::::::::::::::::::::::::::::::::::

    QUANTAXIS 多账户
    以及组合管理

    # 适用 回测/实盘

    # PORTFOLIO应当作为一个视图来处理,这个视图作为一个静态的观察点 可以去衡量风险 观察业绩等等
    @2018/02/26

    ::::::::::::::::::::::::::::::::::::::::::::::::
    ::        ::STRATEGY 1 -- ACCOUNT 1 --{P1,P3} ::
    ::  USER  ::STRATEGY 2 -- ACCOUNT 2 --{P1,P2} ::
    ::        ::STRATEGY 3 -- ACCOUNT 3 --{P2,P3} ::
    ::::::::::::::::::::::::::::::::::::::::::::::::


    PORTFOLIO

    在portfolio中,我们希望通过cookie来控制account_unit

    对于account的指标,要进行风险控制,组合成最优的投资组合的量

    用account的cookie来管理控制account

    portfolio里面的资产主要考虑的是 资金的分配

    @2018/05/16
    fix 通过 cookie 获取 account

    @royburns  1.根据指定的user_cookie创建user； 2.添加对应的测试代码； 3.添加注释
    2018/05/18

    @yutiansut
    修改init_assets ==> init_cash ,删除cash,history在初始的输入

    @2018/11/02

    """

    def __init__(
            self,
            user_cookie=None,
            portfolio_cookie=None,
            strategy_name=None,
            init_cash=100000000,
            sell_available=None,
            market_type=MARKET_TYPE.STOCK_CN,
            running_environment=RUNNING_ENVIRONMENT.BACKETEST
    ):
        self.user_cookie = user_cookie
        # self.portfolio_cookie = QA_util_random_with_topic('Portfolio')
        self.portfolio_cookie = QA_util_random_with_topic(
            'Portfolio'
        ) if portfolio_cookie is None else portfolio_cookie
        self.strategy_name = strategy_name
        # 和account一样的资产类
        self.init_cash = init_cash
        self.cash = [self.init_cash]
        # 可用资金
        self.sell_available = sell_available
        #self.history = []
        self.time_index_max = []
        self.commission_coeff = 0.005
        self.market_type = market_type
        self.running_environment = running_environment
        self.cash_history = []
        self.account_list = []
        self.client = DATABASE.portfolio

        self.reload()

    def __repr__(self):
        return '< QA_Portfolio {} with {} Accounts >'.format(
            self.portfolio_cookie,
            len(self.account_list)
        )

    def __getitem__(self, account_cookie):
        """类似 DICT的形式取account

        Arguments:
            account_cookie {[type]} -- [description]

        Returns:
            [type] -- [description]
        """

        try:
            return self.get_account_by_cookie(account_cookie)
        except:
            return None

    @property
    def node_view(self):
        return {
            'node_name':
            self.portfolio_cookie,
            'cash_available':
            self.cash_available,
            'sub_node':
            [account.node_view for account in self.accounts.values()],
            'links': [
                {
                    'source': self.portfolio_cookie,
                    'target': item
                } for item in self.account_list
            ]
        }

    @property
    def accounts(self):
        return dict(
            zip(
                self.account_list,
                [
                    QA_Account(
                        account_cookie=item,
                        user_cookie=self.user_cookie,
                        portfolio_cookie=self.portfolio_cookie,
                        auto_reload=True
                    ) for item in self.account_list
                ]
            )
        )

    @property
    def init_hold_table(self):
        return pd.concat(
            [
                account.init_hold_with_account
                for account in list(self.accounts.values())
            ]
        )

    @property
    def init_hold(self):
        return self.init_hold_table.groupby('code').sum()

    @property
    def cash_available(self):
        return self.cash[-1]

    def get_portfolio(self):
        'return the accounts dict'
        return self.accounts

    def add_account(self, account):
        'portfolio add a account/stratetgy'
        if account.account_cookie not in self.account_list:
            if self.cash_available > account.init_cash:
                account.portfolio_cookie = self.portfolio_cookie
                account.user_cookie = self.user_cookie
                self.cash.append(self.cash_available - account.init_cash)
                self.account_list.append(account.account_cookie)
                account.save()
                return account
        else:
            pass

    def drop_account(self, account_cookie):
        """删除一个account

        Arguments:
            account_cookie {[type]} -- [description]

        Raises:
            RuntimeError -- [description]
        """

        if account_cookie in self.account_list:
            res = self.account_list.remove(account_cookie)
            self.cash.append(
                self.cash[-1] + self.get_account_by_cookie(res).init_cash
            )
            return True
        else:
            raise RuntimeError(
                'account {} is not in the portfolio'.format(account_cookie)
            )

    def new_accountpro(
            self,
            account_cookie=None,
            init_cash=1000000,
            market_type=MARKET_TYPE.STOCK_CN,
            *args,
            **kwargs
    ):
        """创建一个新的Account

        Keyword Arguments:
            account_cookie {[type]} -- [description] (default: {None})

        Returns:
            [type] -- [description]
        """

        if account_cookie is None:
            """创建新的account

            Returns:
                [type] -- [description]
            """
            # 如果组合的cash_available>创建新的account所需cash
            if self.cash_available >= init_cash:

                temp = QA_AccountPRO(
                    user_cookie=self.user_cookie,
                    portfolio_cookie=self.portfolio_cookie,
                    init_cash=init_cash,
                    market_type=market_type,
                    *args,
                    **kwargs
                )
                if temp.account_cookie not in self.account_list:
                    #self.accounts[temp.account_cookie] = temp
                    self.account_list.append(temp.account_cookie)
                    temp.save()
                    self.cash.append(self.cash_available - init_cash)
                    return temp

                else:
                    return self.new_accountpro()
        else:
            if self.cash_available >= init_cash:
                if account_cookie not in self.account_list:

                    acc = QA_AccountPRO(
                        portfolio_cookie=self.portfolio_cookie,
                        user_cookie=self.user_cookie,
                        init_cash=init_cash,
                        market_type=market_type,
                        account_cookie=account_cookie,
                        *args,
                        **kwargs
                    )
                    acc.save()
                    self.account_list.append(acc.account_cookie)
                    self.cash.append(self.cash_available - init_cash)
                    return acc
                else:
                    return QA_AccountPRO(
                        account_cookie=account_cookie,
                        user_cookie=self.user_cookie,
                        portfolio_cookie=self.portfolio_cookie,
                        auto_reload=True
                    )

    def new_account(
            self,
            account_cookie=None,
            init_cash=1000000,
            market_type=MARKET_TYPE.STOCK_CN,
            *args,
            **kwargs
    ):
        """创建一个新的Account

        Keyword Arguments:
            account_cookie {[type]} -- [description] (default: {None})

        Returns:
            [type] -- [description]
        """

        if account_cookie is None:
            """创建新的account

            Returns:
                [type] -- [description]
            """
            # 如果组合的cash_available>创建新的account所需cash
            if self.cash_available >= init_cash:

                temp = QA_Account(
                    user_cookie=self.user_cookie,
                    portfolio_cookie=self.portfolio_cookie,
                    init_cash=init_cash,
                    market_type=market_type,
                    *args,
                    **kwargs
                )
                if temp.account_cookie not in self.account_list:
                    #self.accounts[temp.account_cookie] = temp
                    self.account_list.append(temp.account_cookie)
                    temp.save()
                    self.cash.append(self.cash_available - init_cash)
                    return temp

                else:
                    return self.new_account()
        else:
            if self.cash_available >= init_cash:
                if account_cookie not in self.account_list:

                    acc = QA_Account(
                        portfolio_cookie=self.portfolio_cookie,
                        user_cookie=self.user_cookie,
                        init_cash=init_cash,
                        market_type=market_type,
                        account_cookie=account_cookie,
                        *args,
                        **kwargs
                    )
                    acc.save()
                    self.account_list.append(acc.account_cookie)
                    self.cash.append(self.cash_available - init_cash)
                    return acc
                else:
                    return self.get_account_by_cookie(account_cookie)

    def get_account_by_cookie(self, cookie):
        '''
        'give the account_cookie and return the account/strategy back'
        :param cookie:
        :return: QA_Account with cookie if in dict
                 None not in list
        '''
        try:
            return QA_Account(
                account_cookie=cookie,
                user_cookie=self.user_cookie,
                portfolio_cookie=self.portfolio_cookie,
                auto_reload=True
            )
        except:
            QA_util_log_info('Can not find this account')
            return None

    def get_account(self, account):
        '''
        check the account whether in the protfolio dict or not
        :param account:  QA_Account
        :return: QA_Account if in dict
                 None not in list
        '''
        try:
            return self.get_account_by_cookie(account.account_cookie)
        except:
            QA_util_log_info(
                'Can not find this account with cookies %s' %
                account.account_cookie
            )
            return None

    def cookie_mangement(self):
        pass

    @property
    def message(self):
        """portfolio 的cookie
        """
        return {
            'user_cookie': self.user_cookie,
            'portfolio_cookie': self.portfolio_cookie,
            'account_list': list(self.account_list),
            'init_cash': self.init_cash,
            'cash': self.cash,
            'history': self.history
        }

    def send_order(
            self,
            account_cookie: str,
            code=None,
            amount=None,
            time=None,
            towards=None,
            price=None,
            money=None,
            order_model=None,
            amount_model=None,
            *args,
            **kwargs
    ):
        """基于portfolio对子账户下单

        Arguments:
            account_cookie {str} -- [description]

        Keyword Arguments:
            code {[type]} -- [description] (default: {None})
            amount {[type]} -- [description] (default: {None})
            time {[type]} -- [description] (default: {None})
            towards {[type]} -- [description] (default: {None})
            price {[type]} -- [description] (default: {None})
            money {[type]} -- [description] (default: {None})
            order_model {[type]} -- [description] (default: {None})
            amount_model {[type]} -- [description] (default: {None})

        Returns:
            [type] -- [description]
        """

        return self.get_account_by_cookie(account_cookie).send_order(
            code=code,
            amount=amount,
            time=time,
            towards=towards,
            price=price,
            money=money,
            order_model=order_model,
            amount_model=amount_model
        )

    def receive_deal(self):
        raise RuntimeError('PROTFOLIO shouldnot have this methods')

    @property
    def table(self):
        return pd.concat([acc.table for acc in self.accounts.values()], axis=1)

    @property
    def portfolioView(self):
        return []

    def get_cash(self):
        """拿到整个portfolio的可用资金

        统计每一个时间点的时候的cash总和
        """

        return sum(
            [account.cash_available for account in self.accounts.values()]
        )

    # def pull(self, account_cookie=None, collection=DATABASE.account):
    #     'pull from the databases'
    #     if account_cookie is None:
    #         for item in self.account_list:
    #             try:
    #                 message = collection.find_one({'account_cookie': item})
    #                 QA_util_log_info('{} sync successfully'.format(item))
    #             except Exception as e:
    #                 QA_util_log_info(
    #                     '{} sync wrong \\\n wrong info {}'.format(item,
    #                                                               e)
    #                 )
    #             self.accounts[item].from_message(message)

    #     else:
    #         try:
    #             message = collection.find_one(
    #                 {'account_cookie': account_cookie}
    #             )
    #             QA_util_log_info('{} sync successfully'.format(item))
    #         except Exception as e:
    #             QA_util_log_info(
    #                 '{} sync wrong \\\n wrong info {}'.format(
    #                     account_cookie,
    #                     e
    #                 )
    #             )
    #         self.accounts[account_cookie].from_message(message)

    # def push(self, account_cookie=None, collection=DATABASE.account):
    #     'push to databases'
    #     message = self.accounts[account_cookie].message
    #     if account_cookie is None:
    #         for item in self.account_list:
    #             try:
    #                 message = collection.find_one_and_update(
    #                     {'account_cookie': item}
    #                 )
    #                 QA_util_log_info('{} sync successfully'.format(item))
    #             except Exception as e:
    #                 QA_util_log_info(
    #                     '{} sync wrong \\\n wrong info {}'.format(item,
    #                                                               e)
    #                 )
    #             self.accounts[item].from_message(message)

    #     else:
    #         try:
    #             message = collection.find_one(
    #                 {'account_cookie': account_cookie}
    #             )
    #             QA_util_log_info('{} sync successfully'.format(item))
    #         except Exception as e:
    #             QA_util_log_info(
    #                 '{} sync wrong \\\n wrong info {}'.format(
    #                     account_cookie,
    #                     e
    #                 )
    #             )
    #         self.accounts[account_cookie].from_message(message)

    @property
    def history_split(self):
        res = []
        ids = []
        for account in list(self.accounts.values()):
            res.append(account.history)
            ids.append(account.account_cookie)
        return res, ids

    @property
    def history(self):
        res = []
        for account in list(self.accounts.values()):
            res.extend(account.history)

        return res

    @property
    def history_table(self):
        return pd.concat(
            [account.history_table for account in list(self.accounts.values())]
        )

    def reload(self):

        message = self.client.find_one(
            {
                'user_cookie': self.user_cookie,
                'portfolio_cookie': self.portfolio_cookie
            }
        )
        # 'user_cookie': self.user_cookie,
        # 'portfolio_cookie': self.portfolio_cookie,
        # 'account_list': list(self.account_list),
        # 'init_cash': self.init_cash,
        # 'cash': self.cash,
        # 'history': self.history[0]
        # 'history_header': self.history[1]
        if message is None:
            self.client.insert(self.message)
        else:
            self.init_cash = message['init_cash']
            self.cash = message['cash']

            self.account_list = [
                item['account_cookie'] for item in DATABASE.account.find(
                    {
                        'user_cookie': self.user_cookie,
                        'portfolio_cookie': self.portfolio_cookie
                    },
                    {'account_cookie': 1}
                )
            ]
            #self.history = (message['history'], message['history_header'])
            #account_list = message['account_list']

    @property
    def code(self):
        """code of portfolio ever hold

        Returns:
            [type] -- [description]
        """

        return self.history_table.code.unique().tolist()

    def save(self):
        """存储过程
        """
        self.client.update(
            {
                'portfolio_cookie': self.portfolio_cookie,
                'user_cookie': self.user_cookie
            },
            {'$set': self.message},
            upsert=True
        )

        # for account in self.accounts.values():
        #     print('account {} save'.format(account.account_cookie))
        #     account.save()


class QA_PortfolioView():
    """
    对于Portfolio而言,一切都是基于内部的account的信息的变更而变更的

    Portfolio不应该有过多可以修改的部分(作为一个view存在)
    """

    def __init__(self, account_list):
        """
                    ||portfolio||
        ||acc1_cookie--acc1||acc2-cookie--acc2||...||


        ||cash||assets||hold||history||trade_index||


        ||Risk_analysis||Performace_analysis||
        """
        self.account_cookie = QA_util_random_with_topic('PVIEW', 3)
        self.account_list = dict(
            zip(
                [account.account_cookie for account in account_list],
                account_list
            )
        )
        self.portfolio_cookie = QA_util_random_with_topic('Portfolio')
        self.user_cookie = None
        self.market_type = account_list[0].market_type

    def __repr__(self):
        return '< QA_PortfolioVIEW {} with {} Accounts >'.format(
            self.account_cookie,
            len(self.accounts)
        )

    @property
    def contained_cookie(self):
        """

        CHANGED in 1.0.38
        2018-05-23

        portfolio-view 含有的account_cookie使用contained_cookie来承载

        原先的account_cookie 使用 PVIEW_xxx 代替
        """
        return [account.account_cookie for account in self.accounts]

    @property
    def accounts(self):
        """
        return all accounts inside the portfolio view
        """
        return list(self.account_list.values())

    @property
    def start_date(self):
        return str(
            pd.to_datetime(
                pd.Series([account.start_date for account in self.accounts])
            ).min()
        )[0:10]

    @property
    def end_date(self):
        return str(
            pd.to_datetime(
                pd.Series([account.end_date for account in self.accounts])
            ).max()
        )[0:10]

    @property
    def code(self):
        return pd.concat(
            [pd.Series(account.code) for account in self.accounts]
        ).drop_duplicates().tolist()

    @property
    def init_cash(self):
        return sum([account.init_cash for account in self.accounts])

    @property
    def init_hold(self):
        return sum([account.init_hold for account in self.accounts])

    @property
    def init_assets(self):
        """初始化账户资产

        Returns:
            dict -- 2keys-cash,hold
        """

        return {'cash': self.init_cash, 'hold': self.init_hold.to_dict()}

    @property
    def daily_cash(self):
        # res = pd.DataFrame(sum([account.daily_cash.set_index(
        #     'datetime').cash for account in self.accounts]))
        # res = res.assign(date=res.index)
        # res.date = res.date.apply(lambda x: str(x)[0:10])

        return pd.concat([item.daily_cash for item in self.accounts]).groupby(level=0).sum()\
            .assign(account_cookie=self.account_cookie).reset_index().set_index(['date', 'account_cookie'], drop=False)

    @property
    def daily_hold(self):
        return pd.concat([account.daily_hold.xs(account.account_cookie, level=1) for account in self.accounts])\
            .groupby('date').sum().assign(account_cookie=self.account_cookie)\
            .reset_index().set_index(['date', 'account_cookie'])

    @property
    def trade(self):
        return pd.concat([item.trade for item in self.accounts]).groupby(level=0).sum()\
            .assign(account_cookie=self.account_cookie).reset_index().set_index(['datetime', 'account_cookie'])

    @property
    def history_table(self):
        return pd.concat([item.history_table for item in self.accounts]
                        ).sort_index()

    @property
    def trade_day(self):
        return pd.concat([pd.Series(item.trade_day) for item in self.accounts]
                        ).drop_duplicates().sort_values().tolist()

    @property
    def trade_range(self):
        return pd.concat(
            [pd.Series(item.trade_range) for item in self.accounts]
        ).drop_duplicates().sort_values().tolist()