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add position test

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wangwenxi.handsome
2021-08-08 14:32:33 +00:00
parent 74e1ee6921
commit 7c858803f0
6 changed files with 205 additions and 52 deletions
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73
qlib/backtest/exchange.py
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@@ -713,12 +713,11 @@ class Exchange:
f"Order clipped due to volume limitation: {order}, {[(vol, rule) for vol, rule in zip(vol_limit_num, vol_limit)]}"
)
def _cal_trade_amount_by_cash_limit(self, now_trade_amount, trade_price, order, position):
def _get_max_amount_by_cash_limit(self, trade_price, order, position):
"""return the real order amount after cash limit.
Parameters
----------
now_trade_amount : float
trade_price : float
order : Order
position : Position
@@ -729,27 +728,24 @@ class Exchange:
the real order amount after cash limit.
"""
cash = position.get_cash()
trade_val = now_trade_amount * trade_price
if order.direction == Order.SELL:
if cash < trade_val * self.close_cost:
# The money is not enough
self.logger.debug(f"Order clipped due to cash limitation: {order}")
return self.round_amount_by_trade_unit(cash / self.close_cost, order.factor)
elif order.direction == Order.BUY:
if cash < trade_val * (1 + self.open_cost):
# The money is not enough
self.logger.debug(f"Order clipped due to cash limitation: {order}")
return self.round_amount_by_trade_unit(cash / (1 + self.open_cost) / trade_price, order.factor)
max_trade_amount = 0
if cash >= self.min_cost:
if order.direction == Order.SELL:
max_trade_amount = cash / self.close_cost / trade_price
elif order.direction == Order.BUY:
critical_amount = self.min_cost / (self.open_cost * trade_price)
critical_price = critical_amount * trade_price + self.min_cost
if cash >= critical_price:
max_trade_amount = cash / (1 + self.open_cost) / trade_price
else:
max_trade_amount = (cash - self.min_cost) / trade_price
return max_trade_amount
# The money is enough
return self.round_amount_by_trade_unit(now_trade_amount, order.factor)
def _cal_trade_amount_by_stock_limit(self, now_trade_amount, order, position):
def _get_max_amount_by_stock_limit(self, order, position):
"""return the real order amount after stock amount limit.
Parameters
----------
now_trade_amount : float
order : Order
position : Position
@@ -760,15 +756,9 @@ class Exchange:
"""
if order.direction == Order.SELL:
current_amount = position.get_stock_amount(order.stock_id) if position.check_stock(order.stock_id) else 0
if np.isclose(now_trade_amount, current_amount):
# when selling last stock. The amount don't need rounding
return now_trade_amount
elif now_trade_amount > current_amount:
return self.round_amount_by_trade_unit(current_amount, order.factor)
else:
return self.round_amount_by_trade_unit(now_trade_amount, order.factor)
return current_amount
elif order.direction == Order.BUY:
return self.round_amount_by_trade_unit(now_trade_amount, order.factor)
return np.inf
def _calc_trade_info_by_order(self, order, position: Position, dealt_order_amount):
"""
@@ -779,18 +769,33 @@ class Exchange:
:param order:
:param position: Position
:param dealt_order_amount: the dealt order amount dict with the format of {stock_id: float}
:return: trade_val, trade_cost
:return: trade_price, trade_val, trade_cost
"""
trade_price = self.get_deal_price(order.stock_id, order.start_time, order.end_time, direction=order.direction)
order.factor = self.get_factor(order.stock_id, order.start_time, order.end_time)
# get all limits amount
# cash limit
cash_max_amount = self._get_max_amount_by_cash_limit(trade_price, order, position)
# held stock limit
stock_max_amount = self._get_max_amount_by_stock_limit(order, position)
if order.direction == Order.SELL:
# sell
if position is not None:
now_trade_amount = order.amount
now_trade_amount = self._cal_trade_amount_by_stock_limit(now_trade_amount, order, position)
now_trade_amount = self._cal_trade_amount_by_cash_limit(now_trade_amount, trade_price, order, position)
order.deal_amount = now_trade_amount
if np.isclose(order.amount, stock_max_amount):
# when selling last stock. The amount don't need rounding
if stock_max_amount <= cash_max_amount:
order.deal_amount = stock_max_amount
else:
order.deal_amount = self.round_amount_by_trade_unit(cash_max_amount, order.factor)
else:
now_trade_amount = min(order.amount, stock_max_amount)
if now_trade_amount > cash_max_amount:
self.logger.debug(f"Order clipped due to cash limitation: {order}")
order.deal_amount = self.round_amount_by_trade_unit(
min(now_trade_amount, cash_max_amount), order.factor
)
else:
# TODO: We don't know current position.
# We choose to sell all
@@ -802,9 +807,9 @@ class Exchange:
elif order.direction == Order.BUY:
# buy
if position is not None:
now_trade_amount = order.amount
now_trade_amount = self._cal_trade_amount_by_cash_limit(now_trade_amount, trade_price, order, position)
order.deal_amount = now_trade_amount
if order.amount > cash_max_amount:
self.logger.debug(f"Order clipped due to cash limitation: {order}")
order.deal_amount = self.round_amount_by_trade_unit(min(order.amount, cash_max_amount), order.factor)
else:
# Unknown amount of money. Just round the amount
order.deal_amount = self.round_amount_by_trade_unit(order.amount, order.factor)