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fix bug
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bxdd
@@ -1,170 +0,0 @@
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# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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import copy
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from .position import Position
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from .report import Report
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from .order import Order
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"""
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rtn & earning in the Account
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rtn:
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from order's view
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1.change if any order is executed, sell order or buy order
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2.change at the end of today, (today_clse - stock_price) * amount
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earning
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from value of current position
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earning will be updated at the end of trade date
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earning = today_value - pre_value
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**is consider cost**
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while earning is the difference of two position value, so it considers cost, it is the true return rate
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in the specific accomplishment for rtn, it does not consider cost, in other words, rtn - cost = earning
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"""
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class Account:
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def __init__(self, init_cash, last_trade_time=None):
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self.init_vars(init_cash, last_trade_time)
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def init_vars(self, init_cash, last_trade_time=None):
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# init cash
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self.init_cash = init_cash
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self.current = Position(cash=init_cash)
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self.positions = {}
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self.rtn = 0
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self.ct = 0
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self.to = 0
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self.val = 0
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self.report = Report()
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self.earning = 0
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self.last_trade_time = last_trade_time
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def get_positions(self):
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return self.positions
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def get_cash(self):
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return self.current.position["cash"]
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def update_state_from_order(self, order, trade_val, cost, trade_price):
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# update turnover
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self.to += trade_val
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# update cost
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self.ct += cost
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# update return
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# update self.rtn from order
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trade_amount = trade_val / trade_price
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if order.direction == Order.SELL: # 0 for sell
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# when sell stock, get profit from price change
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profit = trade_val - self.current.get_stock_price(order.stock_id) * trade_amount
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self.rtn += profit # note here do not consider cost
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elif order.direction == Order.BUY: # 1 for buy
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# when buy stock, we get return for the rtn computing method
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# profit in buy order is to make self.rtn is consistent with self.earning at the end of date
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profit = self.current.get_stock_price(order.stock_id) * trade_amount - trade_val
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self.rtn += profit
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def update_order(self, order, trade_val, cost, trade_price):
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# if stock is sold out, no stock price information in Position, then we should update account first, then update current position
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# if stock is bought, there is no stock in current position, update current, then update account
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# The cost will be substracted from the cash at last. So the trading logic can ignore the cost calculation
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trade_amount = trade_val / trade_price
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if order.direction == Order.SELL:
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# sell stock
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self.update_state_from_order(order, trade_val, cost, trade_price)
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# update current position
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# for may sell all of stock_id
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self.current.update_order(order, trade_val, cost, trade_price)
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else:
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# buy stock
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# deal order, then update state
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self.current.update_order(order, trade_val, cost, trade_price)
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self.update_state_from_order(order, trade_val, cost, trade_price)
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def update_bar_end(self, trade_start_time, trade_end_time, trade_exchange):
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"""
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start_time: pd.TimeStamp
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end_time: pd.TimeStamp
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quote: pd.DataFrame (code, date), collumns
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when the end of trade date
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- update rtn
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- update price for each asset
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- update value for this account
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- update earning (2nd view of return )
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- update holding day, count of stock
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- update position hitory
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- update report
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:return: None
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"""
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# update price for stock in the position and the profit from changed_price
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stock_list = self.current.get_stock_list()
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profit = 0
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for code in stock_list:
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# if suspend, no new price to be updated, profit is 0
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if trade_exchange.check_stock_suspended(code, trade_start_time, trade_end_time):
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continue
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bar_close = trade_exchange.get_close(code, trade_start_time, trade_end_time)
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profit += (bar_close - self.current.position[code]["price"]) * self.current.position[code]["amount"]
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self.current.update_stock_price(stock_id=code, price=bar_close)
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self.rtn += profit
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# update holding day count
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self.current.add_count_all()
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# update value
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self.val = self.current.calculate_value()
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# update earning (2nd view of return)
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# account_value - last_account_value
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# for the first trade date, account_value - init_cash
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# self.report.is_empty() to judge is_first_trade_date
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# get last_account_value, now_account_value, now_stock_value
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if self.report.is_empty():
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last_account_value = self.init_cash
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else:
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last_account_value = self.report.get_latest_account_value()
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now_account_value = self.current.calculate_value()
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now_stock_value = self.current.calculate_stock_value()
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self.earning = now_account_value - last_account_value
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# update report for today
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# judge whether the the trading is begin.
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# and don't add init account state into report, due to we don't have excess return in those days.
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self.report.update_report_record(
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trade_time=trade_start_time,
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account_value=now_account_value,
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cash=self.current.position["cash"],
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return_rate=(self.earning + self.ct) / last_account_value,
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# here use earning to calculate return, position's view, earning consider cost, true return
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# in order to make same definition with original backtest in evaluate.py
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turnover_rate=self.to / last_account_value,
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cost_rate=self.ct / last_account_value,
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stock_value=now_stock_value,
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)
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# set now_account_value to position
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self.current.position["now_account_value"] = now_account_value
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self.current.update_weight_all()
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# update positions
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# note use deepcopy
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self.positions[trade_start_time] = copy.deepcopy(self.current)
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# finish today's updation
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# reset the daily variables
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self.rtn = 0
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self.ct = 0
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self.to = 0
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self.last_trade_time = (trade_start_time, trade_end_time)
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def load_account(self, account_path):
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report = Report()
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position = Position()
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last_trade_time = position.load_position(account_path / "position.xlsx")
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report.load_report(account_path / "report.csv")
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# assign values
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self.init_vars(position.init_cash)
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self.current = position
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self.report = report
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self.last_trade_time = last_trade_time
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def save_account(self, account_path):
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self.current.save_position(account_path / "position.xlsx", self.last_trade_time)
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self.report.save_report(account_path / "report.csv")
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