liuyu/qlib
1
0
Fork 0
mirror of https://github.com/microsoft/qlib.git synced 2026-07-02 02:21:18 +08:00
Code Activity

avoid trade without enough cash

Browse Source
This commit is contained in:
Dong Zhou
2021-10-25 05:46:12 +00:00
parent 3d7ebd1fe0
commit c6bb11fe56
1 changed files with 12 additions and 6 deletions
Download Patch File Download Diff File Expand all files Collapse all files

18
qlib/backtest/exchange.py
View File

@@ -690,12 +690,14 @@ class Exchange:
f"Order clipped due to volume limitation: {order}, {[(vol, rule) for vol, rule in zip(vol_limit_num, vol_limit)]}"
)
def _get_buy_amount_by_cash_limit(self, trade_price, cash):
def _get_buy_amount_by_cash_limit(self, trade_price, cash, cost_ratio):
"""return the real order amount after cash limit for buying.
Parameters
----------
trade_price : float
position : cash
cost_ratio : float
Return
----------
float
@@ -704,10 +706,10 @@ class Exchange:
max_trade_amount = 0
if cash >= self.min_cost:
# critical_price means the stock transaction price when the service fee is equal to min_cost.
critical_price = self.min_cost / self.open_cost + self.min_cost
critical_price = self.min_cost / cost_ratio + self.min_cost
if cash >= critical_price:
# the service fee is equal to open_cost * trade_amount
max_trade_amount = cash / (1 + self.open_cost) / trade_price
# the service fee is equal to cost_ratio * trade_amount
max_trade_amount = cash / (1 + cost_ratio) / trade_price
else:
# the service fee is equal to min_cost
max_trade_amount = (cash - self.min_cost) / trade_price
@@ -765,9 +767,13 @@ class Exchange:
if position is not None:
cash = position.get_cash()
trade_val = order.deal_amount * trade_price
if cash < trade_val + max(trade_val * cost_ratio, self.min_cost):
if cash < max(trade_val * cost_ratio, self.min_cost):
# cash cannot cover cost
order.deal_amount = 0
self.logger.debug(f"Order clipped due to cost higher than cash: {order}")
elif cash < trade_val + max(trade_val * cost_ratio, self.min_cost):
# The money is not enough
max_buy_amount = self._get_buy_amount_by_cash_limit(trade_price, cash)
max_buy_amount = self._get_buy_amount_by_cash_limit(trade_price, cash, cost_ratio)
order.deal_amount = self.round_amount_by_trade_unit(
min(max_buy_amount, order.deal_amount), order.factor
)