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orderanddeal.md

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import QUANTAXIS as QA
QUANTAXIS>> start QUANTAXIS
QUANTAXIS>> Selecting the Best Server IP of TDX


Bad REPSONSE 60.28.29.69
Bad REPSONSE 180.153.18.17
Bad REPSONSE 59.173.18.69
Bad REPSONSE 61.153.144.179


QUANTAXIS>> === The BEST SERVER ===
 stock_ip 60.191.117.167 future_ip 58.246.109.27
QUANTAXIS>> Welcome to QUANTAXIS, the Version is 1.0.30
QUANTAXIS>>  
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  ``````````````````````````Copyright``yutiansut``2017``````QUANTITATIVE FINANCIAL FRAMEWORK````````````````````````````` 
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在这里我们演示一下 下单/交易/结算的整个流程

我们首先会建立一个账户类和一个回测类

 # 初始化一个account
Account=QA.QA_Account()

# 初始化一个回测类
B = QA.QA_BacktestBroker()

在第一天的时候,全仓买入 000001

# 全仓买入'000001'

Order=Account.send_order(code='000001',
                        price=11,
                        money=Account.cash_available,
                        time='2018-05-09',
                        towards=QA.ORDER_DIRECTION.BUY,
                        order_model=QA.ORDER_MODEL.MARKET,
                        amount_model=QA.AMOUNT_MODEL.BY_MONEY
                        )


## 打印order的占用资金
print('ORDER的占用资金: {}'.format((Order.amount*Order.price)*(1+Account.commission_coeff)))
ORDER的占用资金: 999049.7000000001

# 账户剩余资金
print('账户剩余资金 :{}'.format(Account.cash_available))
账户剩余资金 :950.2999999999302

此时的账户cash并未减少,因为此过程为申报订单(已委托 未成交状态)

回测类接受订单,并返回撮合结果

rec_mes=B.receive_order(QA.QA_Event(order=Order))
print(rec_mes)
{'header': {'source': 'market', 'status': 200, 'code': '000001', 'session': {'user': None, 'strategy': None, 'account': 'Acc_b6DI7PfB'}, 'order_id': 'Order_kOhmiyR9', 'trade_id': 'Trade_7A4Y2wG6'}, 'body': {'order': {'price': 10.96, 'code': '000001', 'amount': 90800, 'date': '2018-05-09', 'datetime': '2018-05-09 09:30:00', 'towards': 1}, 'market': {'open': 10.98, 'high': 11.03, 'low': 10.88, 'close': 10.97, 'volume': 627656.0, 'code': '000001'}, 'fee': {'commission': 1492.071, 'tax': 0}}}

账户类接收到回测返回的回报信息,更新账户

Account.receive_deal(rec_mes)
{'source': 'account',
 'account_cookie': 'Acc_b6DI7PfB',
 'portfolio_cookie': None,
 'user_cookie': None,
 'broker': 'backtest',
 'market_type': 'stock_cn',
 'strategy_name': None,
 'current_time': None,
 'allow_sellopen': False,
 'allow_t0': False,
 'margin_level': False,
 'init_assets': 1000000,
 'cash': [1000000, 3339.9289999998837],
 'history': [['2018-05-09 09:30:00',
   '000001',
   10.96,
   90800.0,
   'Order_kOhmiyR9',
   'Trade_7A4Y2wG6',
   'Acc_b6DI7PfB',
   1492.071,
   0.0]],
 'trade_index': ['2018-05-09 09:30:00'],
 'running_time': datetime.datetime(2018, 5, 14, 23, 24, 46, 518098)}

此时我们可以打印一下现在的状态(现在的状态可以理解为在交易时 买入一只000001股票,但当天尚未收盘)

print('账户的可用资金 {}'.format(Account.cash_available))
账户的可用资金 3339.9289999998837

我们注意到 当最初申报订单的时候,可用资金只有950.2999999999302元,而买入成功后,可用资金有3339.9289999998837元,原因是下单的时候模式是市价单模式(QA.ORDER_MODEL.MARKET),故实际成交金额为10.96元

买入以后 账户的持仓为90800股 000001

Account.hold
code
000001    90800.0
Name: amount, dtype: float64

买入后账户现金表被扩展

Account.cash
[1000000, 3339.9289999998837]

因为是t+1的A股市场,故此时可卖数量为0

Account.sell_available
{}

执行结算

Account.settle()

结算后

Account.cash
[1000000, 3339.9289999998837]

Account.cash_available
3339.9289999998837

Account.sell_available
code
000001    90800.0
Name: amount, dtype: float64

Account.hold
code
000001    90800.0
Name: amount, dtype: float64

执行卖出操作

现在的持仓为: 000001 90800股

holdnum=Account.sell_available.get('000001',0)
holdnum
90800.0

申报一个卖出单,把可卖全部卖出

Order=Account.send_order(code='000001',
                        price=11,
                        amount=holdnum,
                        time='2018-05-10',
                        towards=QA.ORDER_DIRECTION.SELL,
                        order_model=QA.ORDER_MODEL.MARKET,
                        amount_model=QA.AMOUNT_MODEL.BY_AMOUNT
                        )
Order
< QA_Order datetime:2018-05-10 09:31:00 code:000001 price:11 towards:-1 btype:stock_cn order_id:Order_4nV1lmEp account:Acc_b6DI7PfB status:100 >

Account.cash_available  # 因为此时订单尚未申报成功 可用现金不变
3339.9289999998837

rec_mes=B.receive_order(QA.QA_Event(order=Order))
print(rec_mes)
{'header': {'source': 'market', 'status': 200, 'code': '000001', 'session': {'user': None, 'strategy': None, 'account': 'Acc_b6DI7PfB'}, 'order_id': 'Order_4nV1lmEp', 'trade_id': 'Trade_RZ7KDGbE'}, 'body': {'order': {'price': 11.0, 'code': '000001', 'amount': 90800, 'date': '2018-05-10', 'datetime': '2018-05-10 09:30:00', 'towards': -1}, 'market': {'open': 11.03, 'high': 11.09, 'low': 10.91, 'close': 11.01, 'volume': 552735.0, 'code': '000001'}, 'fee': {'commission': 1498.2, 'tax': 998.8}}}

Account.receive_deal(rec_mes)
{'source': 'account',
 'account_cookie': 'Acc_b6DI7PfB',
 'portfolio_cookie': None,
 'user_cookie': None,
 'broker': 'backtest',
 'market_type': 'stock_cn',
 'strategy_name': None,
 'current_time': None,
 'allow_sellopen': False,
 'allow_t0': False,
 'margin_level': False,
 'init_assets': 1000000,
 'cash': [1000000, 3339.9289999998837, 1000641.7289999999],
 'history': [['2018-05-09 09:30:00',
   '000001',
   10.96,
   90800.0,
   'Order_kOhmiyR9',
   'Trade_7A4Y2wG6',
   'Acc_b6DI7PfB',
   1492.071,
   0.0],
  ['2018-05-10 09:30:00',
   '000001',
   11.0,
   -90800.0,
   'Order_4nV1lmEp',
   'Trade_RZ7KDGbE',
   'Acc_b6DI7PfB',
   1498.2,
   998.8]],
 'trade_index': ['2018-05-09 09:30:00', '2018-05-10 09:30:00'],
 'running_time': datetime.datetime(2018, 5, 14, 23, 24, 46, 640769)}

Account.cash_available # 此时订单已成交 cash_available立刻结转
1000641.7289999999