quantdigger/quantdigger/datastruct.py at quantweb · javaFather/quantdigger

644 lines (538 loc) · 17.2 KB
# -*- coding: utf-8 -*-
# from flufl.enum import Enum
from quantdigger.errors import PeriodTypeError
from quantdigger.config import settings
from quantdigger.util import dlogger as logger
class TradeSide(object):
    """ 开平仓标志
    :ivar BUY: 多头开仓， 1
    :ivar SHORT: 空头开仓， 2
    :ivar COVER: 空头平仓，3
    :ivar SELL: 多头平仓，4
    :ivar COVER_TODAY: 空头平今，5
    :ivar SELL_TODAY: 多头平今，6
    :ivar KAI: 开仓，7
    :ivar PING: 平仓，8
    :ivar CANCEL: 撤单，9
    BUY = 1
    SHORT = 2
    COVER = 3
    SELL = 4
    COVER_TODAY = 5
    SELL_TODAY = 6
    KAI = 7
    PING = 8
    CANCEL = 9
    @classmethod
    def arg_to_type(cls, arg):
        """
        把用户输入参数转化为系统类型。
        """
        tdict = {
            'BUY': 1,
            'SHORT': 2,
            'COVER': 3,
            'SELL': 4,
            'COVER_TODAY': 5,
            'SELL_TODAY': 6,
            'KAI': 7,
            'PING': 8,
            'CANCEL': 9
        if isinstance(arg, str):
            return tdict[arg.upper()]
        else:
            return arg
    @classmethod
    def type_to_str(cls, type_):
        type2str = {
            cls.BUY: '多头开仓',
            cls.SHORT: '空头开仓',
            cls.COVER: '空头平仓',
            cls.SELL: '多头平仓',
            cls.COVER_TODAY: '空头平今',
            cls.SELL_TODAY: '多头平今',
            cls.KAI: '开仓',
            cls.PING: '平仓',
            cls.CANCEL: '撤单',
        return type2str[type_]
class Captial(object):
    """ 账号资金
    :ivar broker_id: 经纪商
    :ivar account_id: 交易账号
    :ivar margin: 保证金占用
    :ivar position_profit: 持仓盈亏
    :ivar close_profit: 平仓盈亏
    :ivar trading_day: 交易日
    :ivar equity: 当前权益
    :ivar cash: 可用资金
    def __init__(self, dt, contract, type_, side, direction, price, quantity):
        self.broker_id = None
        self.account_id = None
        self.margin = None
        self.position_profit = None
        self.close_profit = None
        self.trading_day = None
        self.cash = None
        self.equity = None
class PriceType(object):
    """ 下单类型
    :ivar MKT: 市价单 - 1.
    :ivar LMT: 限价单 - 2.
    MKT = 1
    LMT = 2
    @classmethod
    def arg_to_type(cls, arg):
        """
        把用户输入参数转化为系统类型。
        """
        tdict = {
            'LMT': cls.LMT,
            'MKT': cls.MKT
        if isinstance(arg, str):
            return tdict[arg.upper()]
        else:
            return arg
    @classmethod
    def type_to_str(cls, type):
        type2str = {
            cls.LMT: 'LMT',
            cls.MKT: 'MKT'
        return type2str[type]
class HedgeType(object):
    """ 下单类型
    :ivar SPEC: 投机 - 1.
    :ivar HEDG: 套保 - 2.
    SPEC = 1
    HEDG = 2
    @classmethod
    def arg_to_type(cls, arg):
        """
        把用户输入参数转化为系统类型。
        """
        tdict = {
            'SPEC': cls.SPEC,
            'HEDG': cls.HEDG
        if isinstance(arg, str):
            return tdict[arg.upper()]
        else:
            return arg
    @classmethod
    def type_to_str(cls, type):
        type2str = {cls.SPEC: 'SPEC',
                    cls.HEDG: 'HEDG'}
        return type2str[type]
class Direction(object):
    :ivar LONG: 多头 - 1.
    :ivar SHORT: 空头 - 2.
    LONG = 1
    SHORT = 2
    @classmethod
    def arg_to_type(cls, arg):
        """
        把用户输入参数转化为系统类型。
        """
        arg2type = {
            'LONG': cls.LONG,
            'SHORT': cls.SHORT
        if isinstance(arg, str):
            return arg2type[arg.upper()]
        else:
            return arg
    @classmethod
    def type_to_str(cls, type_):
        type2str = {
            cls.LONG: 'long',
            cls.SHORT: 'short'
        return type2str[type_]
class Transaction(object):
    """ 成交记录。
    :ivar id: 成交编号
    :ivar contract: 合约。
    :ivar direction: 多空方向。
    :ivar price: 成交价格。
    :ivar quantity: 成交数量。
    :ivar side: 开平仓标志。
    :ivar datetime: 成交时间
    :ivar price_type: 下单类型。
    :ivar hedge_type: 交易类型。
    def __init__(self, order=None):
        if order:
            self.id = order.id
            self.contract = order.contract
            self.direction = order.direction
            self.price = order.price
            self.quantity = order.quantity
            self.side = order.side
            self.datetime = order.datetime
            self.price_type = order.price_type
            self.hedge_type = order.hedge_type
            self.order = order
        self.volume_multiple = order.volume_multiple
        self.compute_commission()
        #print "********************" 
        #print self.datetime, self.price, self.quantity, self.volume_multiple, ratio
        #print "********************" 
        #assert False
    def compute_commission(self):
        ratio = settings['stock_commission'] if self.contract.is_stock else\
                     settings['future_commission']
        self.commission = self.price * self.quantity * \
            self.volume_multiple * ratio
    def __hash__(self):
        try:
            return self._hash
        except AttributeError:
            self._hash = hash(self.id)
            return self._hash
    def __eq__(self, r):
        return self._hash == r._hash
    def __str__(self):
        rst = " id: %s\n contract: %s\n direction: %s\n price: %f\n quantity: %d\n side: %s\n datetime: %s\n price_type: %s\n hedge_type: %s" % \
        (self.id, self.contract, Direction.type_to_str(self.direction),
        self.price, self.quantity, TradeSide.type_to_str(self.side),
        self.datetime, PriceType.type_to_str(self.price_type),
        HedgeType.type_to_str(self.hedge_type))
        return rst
class OrderID(object):
    """ 委托ID， 用来唯一的标识一个委托订单。 """
    order_id = 0
    def __init__(self, id):
        self.id = id
        # self.ref = OrderID.next_order_id()
    @classmethod
    def next_order_id(cls):
        """ 下个有效的委托ID编号。 """
        cls.order_id += 1
        return OrderID(cls.order_id)
    def __eq__(self, v):
        return self.id == v.id
    def __lt__(self, other):
        return self.id < other.id
    def __le__(self, other):
        return self.id <= other.id
    def __ne__(self, other):
        return self.id != other.id
    def __gt__(self, other):
        return self.id > other.id
    def __ge__(self, other):
        return self.id >= other.id
    def __str__(self):
        return str(self.id)
    def __hash__(self):
        return hash(self.id)
class Order(object):
        :ivar id: 报单编号
        :ivar contract: 合约。
        :ivar direction: 多空方向。
        :ivar price: 成交价格。
        :ivar quantity: 成交数量。
        :ivar side: 开平仓标志。
        :ivar datetime: 成交时间
        :ivar price_type: 下单类型。
        :ivar hedge_type: 交易类型。
    def __init__(self, dt, contract, type_, side, direction,
                 price, quantity, hedge=HedgeType.SPEC, id=None):
        self.id = id if id else OrderID.next_order_id()
        self.contract = contract
        self.direction = direction
        self.price = price
        self.quantity = quantity
        self.side = side
        self.datetime = dt
        self.price_type = type_
        self.hedge_type = hedge
        if self.direction == Direction.LONG:
            self._margin_ratio = Contract.long_margin_ratio(str(self.contract))
        else:
            self._margin_ratio = Contract.short_margin_ratio(
                str(self.contract))
        self.volume_multiple = Contract.volume_multiple(str(self.contract))
    def order_margin(self, new_price):
        """ 计算这笔限价交易的保证金。
        Args:
            new_price (float): 最新价格。
        Returns:
            float. 保证金占用
        """
        price = self.price if self.contract.is_stock else new_price
        return price * self.quantity * self._margin_ratio * \
            self.volume_multiple
    def print_order(self):
        #print "Order: Symbol=%s, Type=%s, Quantity=%s, Direction=%s" % \
            #(self.symbol, self.order_type, self.quantity, self.direction)
        pass
    def __hash__(self):
        try:
            return self._hash
        except AttributeError:
            self._hash = hash(self.id)
            return self._hash
    def __str__(self):
        rst = " id: %s\n contract: %s\n direction: %s\n price: %f\n quantity: %d\n side: %s\n datetime: %s\n price_type: %s\n hedge_type: %s\n long_margin_ratio: %f" % \
        (self.id, self.contract, Direction.type_to_str(self.direction),
        self.price, self.quantity, TradeSide.type_to_str(self.side),
        self.datetime, PriceType.type_to_str(self.price_type),
        HedgeType.type_to_str(self.hedge_type), self.long_margin_ratio)
        return rst
    def __eq__(self, r):
        return self._hash == r._hash
class Contract(object):
    """ 合约。
    :ivar exchange: 市场类型。
    :ivar code: 合约代码
    :ivar is_stock: 是否是股票
    :ivar margin_ratio: 保证金比例。
    :ivar volume_multiple: 合约乘数。
    info = None
    def __init__(self, str_contract):
        info = str_contract.split('.')
        if len(info) == 2:
            code = info[0].upper()
            exchange = info[1].upper()
        else:
            logger.error('错误的合约格式！')
            assert(False)
        self.exchange = exchange
        self.code = code
        if self.exchange == 'SZ' or self.exchange == 'SH':
            self.is_stock = True
        elif self.exchange == 'SHFE':
            self.is_stock = False
        elif self.exchange == 'TEST' and self.code == 'STOCK':
            self.is_stock = True
        elif self.exchange == 'TEST':
            self.is_stock = False
    def __str__(self):
        """"""
        return "%s.%s" % (self.code, self.exchange)
    def __hash__(self):
        try:
            return self._hash
        except AttributeError:
            self._hash = hash(self.__str__())
            return self._hash
    def __eq__(self, r):
        return self._hash == r._hash
    @classmethod
    def trading_interval(cls, contract):
        """ 获取合约的交易时段。"""
        pass
    @classmethod
    def long_margin_ratio(cls, strcontract):
        try:
            return cls.info.ix[strcontract.upper(), 'long_margin_ratio']
        except KeyError:
            print "Can't not find contract: %s" % strcontract
            return 1
            # assert(False)
    @classmethod
    def short_margin_ratio(cls, strcontract):
        try:
            return cls.info.ix[strcontract.upper(), 'short_margin_ratio']
        except KeyError:
            print "Can't not find contract: %s" % strcontract
            return 1
            # assert(False)
    @classmethod
    def volume_multiple(cls, strcontract):
        try:
            return cls.info.ix[strcontract.upper(), 'volume_multiple']
        except KeyError:
            print "Can't not find contract: %s" % strcontract
            return 1
            # assert(False)
class Period(object):
    :ivar unit: 时间单位
    :ivar count: 数值
    #class Type(Enum):
        #MilliSeconds = "MilliSeconds" 
        #Seconds = "Seconds" 
        #Minutes = "Minutes" 
        #Hours = "Hours" 
        #Days = "Days" 
        #Months = "Months" 
        #Seasons = "Seasons" 
        #Years = "Years" 
    periods = ["MILLISECOND", "SECOND", "MINUTE", "HOUR",
               "DAY", "MONTH", "SEASON", "YEAR"]
    def __init__(self, strperiod):
        period = strperiod.split('.')
        if len(period) == 2:
            unit_count = int(period[0])
            time_unit = period[1].upper()
        else:
            raise PeriodTypeError
        if time_unit not in self.periods:
            raise PeriodTypeError(period=time_unit)
        self.unit = time_unit
        self.count = unit_count
    def __str__(self):
        return "%d.%s" % (self.count, self.unit)
class PContract(object):
    """ 特定周期的合约。
    :ivar contract: 合约对象。
    :ivar period: 周期。
    def __init__(self, contract, period):
        self.contract = contract
        self.period = period
    def __str__(self):
        """ return string like 'IF000.SHEF-10.Minutes'  """
        return "%s-%s" % (self.contract, self.period)
    @classmethod
    def from_string(cls, strpcon):
        t = strpcon.split('-')
        return cls(Contract(t[0]), Period(t[1]))
    def __hash__(self):
        try:
            return self._hash
        except AttributeError:
            self._hash = hash(self.__str__())
            return self._hash
    def __eq__(self, r):
        return self._hash == r._hash
class PositionKey(object):
    def __init__(self, contract, direction):
        self.contract = contract
        self.direction = direction
    def __str__(self):
        return "%s_%s" % (self.contract, str(self.direction))
    @property
    def is_stock(self):
        return self.contract.is_stock
    def __hash__(self):
        if hasattr(self, '_hash'):
            return self._hash
        else:
            self._hash = hash((self.contract, self.direction))
            return self._hash
    def __eq__(self, r):
        return self._hash == r._hash
class Position(object):
    """ 单笔仓位信息。
    :ivar contract: 合约。
    :ivar quantity: 数目。
    :ivar closable: 可平数目。
    :ivar today: 当天开仓数目。
    :ivar cost: 成本价。
    :ivar direction: 开仓方向。
    def __init__(self, trans):
        self.contract = trans.contract
        self.quantity = 0
        self.closable = 0
        self.today = 0
        self.cost = 0
        self.direction = trans.direction
        strcon = str(self.contract)
        if self.direction == Direction.LONG:
            self._margin_ratio = Contract.long_margin_ratio(strcon)
        else:
            self._margin_ratio = Contract.short_margin_ratio(strcon)
        self._volume_multiple = Contract.volume_multiple(strcon)
        self.symbol = str(trans.contract)
    def profit(self, new_price):
        """ 根据最新价格计算持仓盈亏。
        Args:
            new_price (float): 最新价格。
        Returns:
            float. 盈亏数额
        """
        profit = 0
        if self.direction == Direction.LONG:
            profit += (new_price - self.cost) * self.quantity * \
                self._volume_multiple
        else:
            profit -= (new_price - self.cost) * self.quantity * \
                self._volume_multiple
        return profit
    @property
    def pre_margin(self):
        """ 昨日保证金占用 """
        pass
    def position_margin(self, new_price):
        """ 根据当前价格计算这保证金占用。
        Args:
            new_price (float): 最新价格。
        Returns:
            float. 证金占用/市值
        """
        return new_price * self.quantity * self._margin_ratio * \
            self._volume_multiple
    def __str__(self):
        rst = " contract: %s\n direction: %s\n cost: %f\n quantity: %d\n closeable: %d\n" % \
                (self.contract, Direction.type_to_str(self.direction),
                 self.cost, self.quantity, self.closable)
        return rst
class Bar(object):
    """Bar数据。
    :ivar datetime: 开盘时间。
    :ivar open: 开盘价。
    :ivar close: 收盘价。
    :ivar high: 最高价。
    :ivar low: 最低价。
    :ivar volume: 成交量。
    def __init__(self, dt, open, close, high, low, vol):
        self.datetime = dt
        self.open = open
        self.close = close
        self.high = high
        self.low = low
        self.volume = vol
class OneDeal(object):
    """ 每笔交易（一开，一平)
    :ivar open_datetime: 开仓时间
    :ivar close_datetime: 平仓时间
    :ivar open_price: 开仓价格
    :ivar close_price: 平仓价格
    :ivar direction: 开仓方向
    def __init__(self, buy_trans, sell_trans, quantity):
        self.open = buy_trans
        self.close = sell_trans
        self.quantity = quantity
    def profit(self):
        """ 盈亏额  """
        direction = self.open.direction
        if direction == Direction.LONG:
            return (self.close.price - self.open.price) * self.open.quantity *\
                    self.open.order.volume_multiple
        else:
            return (self.open.price - self.close.price) * self.open.quantity *\
                    self.open.order.volume_multiple
    @property
    def open_datetime(self):
        return self.open.datetime
    @property
    def open_price(self):
        return self.open.price
    @property
    def close_datetime(self):
        return self.close.datetime
    @property
    def close_price(self):
        return self.close.price
    @property
    def direction(self):
        return self.open.direction
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