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QIFI协议下的Account实现

Python 45.32% Jupyter Notebook 54.68%

quantaxis

qifiaccount's Introduction

QIFIAccount

QIFI协议下的Account实现

QIFIAccount兼容 QIFI协议标准和DIFF协议标准

pip install qifiaccount

QIFIAccount/ QIFI的订书机的时间序列处理模式将兼容回测

--- timeseries => [QIFI, QIFI, QIFI, ... , QIFI..]

具体可以参考QIFIManager中的管理代码

QIFIAccount 中引入了 frozen 冻结的概念, 因此在 send_order 用法的时候, 会进行 order_check

--  平仓的时候的仓位影响会体现在 frozen 中

--  receive_deal 的时候再结算  恢复frozen | 仓位结算

用法:

参见 /usage 文件夹下的ipython notebook

from QIFIAccount import QIFI_Account, ORDER_DIRECTION
acc = QIFI_Account("x1", "x1")
acc.initial()


print(acc.message)


acc.send_order


acc.cancel_order


acc.get_position

QIFI_Account的最优实践是 QIFI_Strategy, 因为QIFI_Account已经将账户层完全实现, 并且支持多市场, 所以 QIFI_Strategy可以直接进行订阅行情/ 重写on_bar/on_tick 的策略逻辑/ 以及进行仓位/风险管理

StockSim Account

仅限QA模拟盘用户使用(需要申请)

qifiaccount's People

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qifiaccount's Issues

关于新版qa界面无法显示模拟盘账户的问题

本地安装的情况下，开启股票模拟盘同时开启qa新版和老板界面，模拟盘的账户信息在老版能显示在新版不能显示

关于qifiacc重新加载报错的问题

在创建qifiacc并运行后，关闭账户，再次登录次账户时在acc.initial() 时会报错，应该是重新加载账户信息时有个地方格式不对

QA_Position.py 中的order_check函数关于SELL_CLOSETODAY的判断那里是否有误？

    elif towards == ORDER_DIRECTION.SELL_CLOSETODAY:
        if (self.volume_long_today - self.volume_short_frozen_today) >= amount:

这里是不是应该
if (self.volume_long_today - self.volume_long_frozen_today) >= amount?

关于Qifiacc买卖手续费的问题

Qifiacc买卖好像没有看到像acc里面考虑手续费和佣金的代码，是还没有考虑这些费用吗

[bug] QIFIAccount.balance属性，在减仓操作时存在计算逻辑bug

issue: 对一只标的进行减仓处理时，会导致account.balance出现异常。

issue context:
QIFIAccount version:2021-09-03时点，master主分支

step1:期初账户100万
step2:100元价格，买入1000股，期末余额100万，正确
step3:以100元价格，卖出500股，期末余额变为105万， bug

import QUANTAXIS as QA
from QIFIAccount.QAQIFIAccount import QIFI_Account,ORDER_DIRECTION
from qaenv import  mongo_ip

acc=QIFI_Account(username='bug_test',password='stockpasswd0',model='BACKTEST',init_cash=1000000,trade_host=mongo_ip,nodatabase=False)
acc.initial()

od=acc.send_order(code='000001',amount=1000,price=100,towards=ORDER_DIRECTION.BUY, datetime='2021-09-01 11:30:00')
print("---------------after order------------------------------")

print(acc.money)
print(acc.available)
print(acc.balance)


acc.make_deal(od)
print("---------------after trade------------------------------")

print(acc.money)
print(acc.available)
print(acc.balance)
acc.settle()
    
    
od=acc.send_order(code='000001',amount=500,price=100,towards=ORDER_DIRECTION.SELL, datetime='2021-09-02 11:30:00')
print("---------------after order------------------------------")

print(acc.money)
print(acc.available)
print(acc.balance)


acc.make_deal(od)
print("---------------after trade------------------------------")

print(acc.money)
print(acc.available)
print(acc.balance)
acc.settle()
print(acc.balance)

Create new Account
account order_check
{'volume_long': 0, 'volume_short': 0, 'volume_long_frozen': 0, 'volume_short_frozen': 0}
{'volume_long': 0, 'volume_short': 0}
order check success
下单成功 3e7c8c50-59a4-447c-8978-dacdb9410f9f
---------------after order------------------------------
900000.0
900000.0
1000000.0
全部成交 3e7c8c50-59a4-447c-8978-dacdb9410f9f
update trade
---------------after trade------------------------------
900000.0
900000.0
1000000.0
settle
account order_check
{'volume_long': 1000, 'volume_short': 0, 'volume_long_frozen': 0, 'volume_short_frozen': 0}
{'volume_long': 1000, 'volume_short': 0}
order check success
下单成功 865d37f3-e9cd-40a6-8c1f-644bf89c23fa
---------------after order------------------------------
900000.0
900000.0
950000.0
全部成交 865d37f3-e9cd-40a6-8c1f-644bf89c23fa
update trade
---------------after trade------------------------------
950000.0
950000.0
1050000.0
settle
1050000.0

以固定价格申报卖出，然后部分成交，账户金额会增加成交量的金额。

目测是coeff 导致的, vi QAQIFIAccount.py +674

release_money = trade_amount * frozen.get('coeff', 1)

我本地版本的改动在vi QAQIFIAccount.py +661

frozen = self.frozen.get(
                order_id, {'order_id': order_id, 'money': 0, 'coeff': 0, 'amount': 0, 'price': 0})

QAQIFIAccount 中A股交易的qapos的问题

关于当日买入后, volume_frozen_today , volume_today 值问题

空仓建仓后应为

assert pos.volume_long_his == 0
assert pos.volume_long == amount
assert pos.volume_long_today == amount  # 此项源码作为结算使用
assert pos.volume_long_frozen_today == 0  # TODO 买入是否需要冻结?

当日空仓建仓后应无法卖出

r = acc.send_order(code, amount=amount, price=price, towards=ORDER_DIRECTION.BUY).copy()
acc.make_deal(r)
r1 = acc.send_order(code, amount=amount, price=price, towards=ORDER_DIRECTION.SELL).copy()
assert r1 == False  # 此处应为交易前置检查失败
acc.make_deal(r1)

测试源码

def test_sell():
    # 委托状态:委托全部成交
    code, price, amount = '000001', 10, 1000
    acc: QIFI_Account = QIFI_Account("x4", "x4")
    acc.initial()
    r = acc.send_order(code, amount=amount, price=price, towards=ORDER_DIRECTION.BUY).copy()
    acc.make_deal(r)
    pos: QA_Position = acc.positions.get(code)
    volume_his = pos.volume_long_his
    print("建仓买入", pos.hold_detail)
    assert pos.volume_long_his == 0
    assert pos.volume_long == amount
    assert pos.volume_long_today == amount
    assert pos.volume_long_frozen_today == 0  # TODO 买入是否需要冻结?
    if volume_his == 0:
        r = acc.send_order(code, amount=amount, price=price, towards=ORDER_DIRECTION.SELL).copy()
        print("卖出委托", r)
        assert r == False  # 此处应为交易前置检查失败
        if r:
            acc.make_deal(r)
        # {'volume_long_today': 0, 'volume_long_his': 0, 'volume_long': 1000, 'volume_short_today': 0, 'volume_short_his': 0, 'volume_short': 0, 'volume_long_frozen_today': 1000, 'volume_short_frozen_today': 0}
        print("卖出委托后", pos.hold_detail)
        assert pos.volume_long == amount
        assert pos.volume_long_today == amount
        assert pos.volume_long_frozen_today == 0  # TODO 买入是否需要冻结?
    acc.settle()
    print("结算后", pos.hold_detail)
    assert pos.volume_long == amount
    assert pos.volume_long_his == amount
    assert pos.volume_long_today == 0
    assert pos.volume_long_frozen_today == 0

卖出委托只有部分成交会报错

卖出委托，部分成交执行make_deal 报找不到字段coeff错
卖出委托部分成交后（未结算）持仓的状态量值问题

    assert pos.volume_long == amount - part_deal  # 1000 - 300 股
    assert pos.volume_long_his == amount - part_deal  # 1000 - 300股
    assert pos.volume_long_today == -amount  # 当日委托卖出1000股
    assert pos.volume_long_frozen_today == amount  # 冻结 1000 股

卖出委托部分成交结算的状态量问题
根据 qa_position 中 settle 函数，执行settle后，被直接按卖出委托全部成功处理持仓量变量（实际只成交了部分)

    assert pos.volume_long == amount - part_deal  # 1000 - 300 股
    assert pos.volume_long_his == amount - part_deal  # 1000 - 300股
    assert pos.volume_long_today == 0 # 重置
    assert pos.volume_long_frozen_today == 0  # 重置

测试代码

def test_part_sell():
    code, price, amount = '000001', 10, 1000
    part_deal = 300
    acc: QIFI_Account = QIFI_Account("x4", "x4")
    acc.initial()
    r = acc.send_order(code, amount=amount, price=price, towards=ORDER_DIRECTION.BUY).copy()
    acc.make_deal(r)
    pos: QA_Position = acc.positions.get(code)
    volume_his = pos.volume_long_his
    print("建仓买入", pos.hold_detail)
    assert pos.volume_long_his == 0
    assert pos.volume_long == amount
    assert pos.volume_long_today == amount
    assert pos.volume_long_frozen_today == 0
    acc.settle()
    print("买入结算后", pos.hold_detail)
    assert pos.volume_long_his == amount
    assert pos.volume_long == amount
    assert pos.volume_long_today == 0
    assert pos.volume_long_frozen_today == 0
    r = acc.send_order(code, amount=amount, price=price, towards=ORDER_DIRECTION.SELL).copy()
    r['volume_left'] = part_deal
    acc.make_deal(r)
    print("卖出委托部分成交后", pos.hold_detail)
    assert pos.volume_long == amount - part_deal  # 1000 - 300 股
    assert pos.volume_long_his == amount - part_deal  # 1000 - 300股
    assert pos.volume_long_today == -amount  # 当日委托卖出1000股
    assert pos.volume_long_frozen_today == amount  # 冻结 1000 股
    acc.settle()
    print("结算后", pos.hold_detail)
    assert pos.volume_long == amount - part_deal
    assert pos.volume_long_his == amount - part_deal
    assert pos.volume_long_today == 0
    assert pos.volume_long_frozen_today == 0

yutiansut / qifiaccount Goto Github PK

qifiaccount's Introduction

QIFIAccount

用法:

qifiaccount's People

Contributors

Stargazers

Watchers

Forkers

qifiaccount's Issues

关于当日买入后, volume_frozen_today , volume_today 值问题

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