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Cash Update (#559)

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* fix negative cash

* update order test

* fix bug

* update file_order_test
This commit is contained in:
wangwenxi-handsome
2021-08-12 23:44:22 +08:00
committed by GitHub
parent 05b9fb5a47
commit 735153a50d
4 changed files with 87 additions and 209 deletions
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39
qlib/backtest/account.py
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@@ -165,24 +165,25 @@ class Account:
def get_cash(self):
return self.current.get_cash()
def _update_state_from_order(self, order, trade_val, cost, trade_price):
# update turnover
self.accum_info.add_turnover(trade_val)
# update cost
self.accum_info.add_cost(cost)
def _update_accum_info_from_order(self, order, trade_val, cost, trade_price):
if self.is_port_metr_enabled():
# update turnover
self.accum_info.add_turnover(trade_val)
# update cost
self.accum_info.add_cost(cost)
# update return from order
trade_amount = trade_val / trade_price
if order.direction == Order.SELL: # 0 for sell
# when sell stock, get profit from price change
profit = trade_val - self.current.get_stock_price(order.stock_id) * trade_amount
self.accum_info.add_return_value(profit) # note here do not consider cost
# update return from order
trade_amount = trade_val / trade_price
if order.direction == Order.SELL: # 0 for sell
# when sell stock, get profit from price change
profit = trade_val - self.current.get_stock_price(order.stock_id) * trade_amount
self.accum_info.add_return_value(profit) # note here do not consider cost
elif order.direction == Order.BUY: # 1 for buy
# when buy stock, we get return for the rtn computing method
# profit in buy order is to make rtn is consistent with earning at the end of bar
profit = self.current.get_stock_price(order.stock_id) * trade_amount - trade_val
self.accum_info.add_return_value(profit) # note here do not consider cost
elif order.direction == Order.BUY: # 1 for buy
# when buy stock, we get return for the rtn computing method
# profit in buy order is to make rtn is consistent with earning at the end of bar
profit = self.current.get_stock_price(order.stock_id) * trade_amount - trade_val
self.accum_info.add_return_value(profit) # note here do not consider cost
def update_order(self, order, trade_val, cost, trade_price):
if self.current.skip_update():
@@ -195,8 +196,7 @@ class Account:
# The cost will be substracted from the cash at last. So the trading logic can ignore the cost calculation
if order.direction == Order.SELL:
# sell stock
if getattr(self, "accum_info") is not None:
self._update_state_from_order(order, trade_val, cost, trade_price)
self._update_accum_info_from_order(order, trade_val, cost, trade_price)
# update current position
# for may sell all of stock_id
self.current.update_order(order, trade_val, cost, trade_price)
@@ -204,8 +204,7 @@ class Account:
# buy stock
# deal order, then update state
self.current.update_order(order, trade_val, cost, trade_price)
if getattr(self, "accum_info") is not None:
self._update_state_from_order(order, trade_val, cost, trade_price)
self._update_accum_info_from_order(order, trade_val, cost, trade_price)
def update_bar_count(self):
"""at the end of the trading bar, update holding bar, count of stock"""