parent
8336556860
commit
1bb0114e37
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@ -1,7 +1,7 @@
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import warnings
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import pandas as pd
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from rich import print as rprint
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from typing import Union, Iterable, Optional, Dict
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from typing import Union
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# 警告格式
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@ -39,8 +39,6 @@ class Account():
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if isinstance(leverage, (int,float)):
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if leverage > 1.5:
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raise ValueError('leverage should less than 1.5')
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# if leverage > 1:
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# warnings.warn('leverage(杠杆率)大于1时，优先满足杠杆，会出现高于指定换手率的情况！', category=CustomWarning)
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else:
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raise ValueError('leverage should be int or float')
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self.leverage = leverage
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220
trader.py
220
trader.py
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@ -5,7 +5,6 @@ import os
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import copy
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from typing import Union, Iterable, Dict
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from ordered_set import OrderedSet
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from account import Account
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from dataloader import DataLoader
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@ -64,7 +63,7 @@ class Trader(Account):
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account: dict={},
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**kwargs) -> None:
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# 初始化账户
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super().__init__(account)
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super().__init__(**account)
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if isinstance(signal, dict):
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self.signal = signal
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if 'close' in signal:
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@ -232,18 +231,16 @@ class Trader(Account):
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"""
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# 计算持仓和最大可交易数量
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if len(self.position) > 0:
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last_position = self.position['stock_code'].values
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last_position = factor.loc[last_position].sort_values(ascending=self.ascending)
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last_position = pd.Series(index=self.position['stock_code'])
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if len(self.position) <= self.num:
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# 如果昨日持仓本身就不足持仓数量则不用足额换仓
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max_sell_num = min(int(self.interval.loc[date]*self.num), int(self.interval.loc[date]*self.num)+len(self.position)-self.num)
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else:
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# 如果昨日持仓本身就超额持仓数量则超额换仓
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max_sell_num = max(int(self.interval.loc[date]*self.num), int(self.interval.loc[date]*self.num)+len(self.position)-self.num)
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# 如果昨日持仓本身就不足持仓数量则按照昨日持仓数量作为基准计算换仓数量
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# 不足的数量通过买入列表自适应调整
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# 这样能实现在因子值不足时也正常换仓
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max_sell_num = self.interval.loc[date]*len(last_position)
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else:
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last_position = pd.Series()
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max_sell_num = self.num
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target_list = []
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# 获取用于筛选的数据
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stock_status = self.today_data['basic'].get(factor.index.values, 'opening_info').sort_index()
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stock_amt20 = self.today_data['basic'].get(factor.index.values, 'amount_20').sort_index()
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@ -255,8 +252,12 @@ class Trader(Account):
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stock_ipo_filter = stock_ipo_days.copy()
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stock_ipo_filter.loc[:] = 0
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stock_ipo_filter.loc[stock_ipo_days > self.ipo_days] = 1
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# 剔除列表 = ipo筛选 + 成交量筛选 + 额外剔除
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# 其中额外提出会强制执行，因此单独保存一份强制执行的列表
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# 剔除列表
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# 包含强制列表和普通列表：
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# 强制列表会将已经持仓的也强制剔除并且不算在换手率限制中
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# 普通列表如果已经持有不会过滤只对新买入的过滤
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# 强制过滤列表
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exclude_stock = []
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for exclude in self.exclude_list:
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if exclude == 'abnormal':
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@ -267,90 +268,80 @@ class Trader(Account):
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exclude_stock += stock_recession.loc[stock_recession > 0].index.to_list()
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exclude_stock = list(set(exclude_stock))
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force_exclude = copy.deepcopy(exclude_stock)
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exclude_stock += stock_ipo_filter.loc[stock_ipo_filter != 1].index.to_list()
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exclude_stock += stock_amt_filter.loc[stock_amt_filter != 1].index.to_list()
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exclude_stock = list(set(exclude_stock))
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# 普通过滤列表
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normal_exclude = []
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normal_exclude += stock_ipo_filter.loc[stock_ipo_filter != 1].index.to_list()
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normal_exclude += stock_amt_filter.loc[stock_amt_filter != 1].index.to_list()
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normal_exclude = list(set(normal_exclude))
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# 交易列表
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if self.leverage <= 1.0:
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# 获取当前时间目标列表和冻结(无法交易)列表:
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# 1 保留冻结的昨日持仓
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# 2 目标持仓列表会对当日因子进行ST、成交量、上市时间滤后按因子排序方向选取
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for stock in last_position.index:
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# 如果停牌或者跌停继续持有
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if stock_status.loc[stock] in [0,2]:
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target_list.append(stock)
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# 剔除过滤条件后
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after_filter_list = list(set(factor.index) - set(exclude_stock))
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for stock in factor.loc[after_filter_list].dropna().sort_values(ascending=self.ascending).index.values:
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# 目标持仓数量达到持仓数量则中止
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if len(target_list) == self.num:
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break
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# ST过滤
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if self.with_st:
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if stock_status.loc[stock] in [0,2,5,7]:
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if stock in last_position.index:
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target_list.append(stock)
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else:
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target_list.append(stock)
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else:
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# 非ST
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if stock_status.loc[stock] in [3,6]:
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target_list.append(stock)
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# 如果停牌或者跌停继续持有
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if stock_status.loc[stock] in [0,2,7]:
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if stock in last_position.index:
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target_list.append(stock)
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target_list = list(OrderedSet(target_list))
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# 如果没有杠杆
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# 如果没有杠杆：
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buy_list = []
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sell_list = []
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untradable_list = []
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target_list = []
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# ----- 卖出 -----
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# 异常强制卖出
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for stock in last_position.index:
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if stock in force_exclude:
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if stock_status.loc[stock] in [0,2,5,7]:
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continue
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untradable_list.append(stock)
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else:
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if stock in force_exclude:
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sell_list.append(stock)
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force_sell_num = len(sell_list)
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# 按照反向排名逐个卖出
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# 剔除无法交易列表后，按照当日因子反向排名逐个卖出
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# 对无因子的异常股票进行最末位填充用于判断卖出，在判断买入列表时还是使用原始因子
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if self.ascending:
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factor = factor.fillna(factor.max()+1)
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factor_filled = factor.fillna(factor.max()+1)
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else:
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factor = factor.fillna(factor.min()-1)
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for stock in factor.loc[last_position.index].sort_values(ascending=self.ascending).index.values[::-1]:
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factor_filled = factor.fillna(factor.min()-1)
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for stock in factor_filled.loc[list(set(last_position.index)-set(untradable_list)-set(sell_list))].sort_values(ascending=self.ascending).index.values[::-1]:
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if len(sell_list) >= max_sell_num + force_sell_num:
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break
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if stock in target_list:
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continue
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else:
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if stock_status.loc[stock] in [0,2,5,7]:
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continue
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else:
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sell_list.append(stock)
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sell_list = list(set(sell_list))
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# ----- 买入 -----
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# 卖出后持仓列表
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# 剔除过滤条件后可买入列表
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after_filter_list = list(set(factor.index) - set(normal_exclude) - set(force_exclude))
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target_list = factor.loc[after_filter_list].dropna().sort_values(ascending=self.ascending).index.to_list()
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# 更新卖出后的持仓列表
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after_sell_list = set(last_position.index) - set(sell_list)
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cant_buy_list = [] # 涨停股记录
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limit_up_list = [] # 涨停股记录
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max_buy_num = max(0, self.num-len(last_position)+len(sell_list))
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for stock in target_list:
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if stock in after_sell_list:
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continue
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else:
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if self.with_st:
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pass
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else:
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if stock_status.loc[stock] in [1,2]:
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continue
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if stock_status.loc[stock] in [4,6]:
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cant_buy_list.append(stock)
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limit_up_list.append(stock)
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buy_list.append(stock)
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if len(buy_list) == max_buy_num:
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break
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# 剔除同时在sell_list和buy_list的股票
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duplicate_stock = set(sell_list) & set(buy_list)
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sell_list = list(set(sell_list) - duplicate_stock)
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buy_list = list(set(buy_list) - duplicate_stock)
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# 生成下一期持仓
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next_position = pd.DataFrame({'stock_code': list((set(last_position.index) - set(sell_list)) | set(buy_list))})
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next_position['date'] = date
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next_position['weight'] = self.get_weight(date, self.leverage, next_position)
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# 剔除无法买入的涨停股，这部分仓位空出
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next_position = next_position[~next_position['stock_code'].isin(cant_buy_list)]
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next_position = next_position[~next_position['stock_code'].isin(limit_up_list)]
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next_position['margin_trade'] = 0
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else:
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# 如果有杠杆
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# 如果有杠杆：
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def assign_stock(normal_list, margin_list, margin_needed, stock, status):
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if status == 1:
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if len(margin_list) < margin_needed:
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@ -363,12 +354,6 @@ class Trader(Account):
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margin_ratio = max(self.leverage-1, 0)
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margin_needed = round(self.num * margin_ratio)
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is_margin = self.today_data['basic'].get(factor.index.values, 'margin_list').sort_index()
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# 获取当前时间目标列表和冻结(无法交易)列表:
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# 1 保留冻结的昨日持仓
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# 2 目标持仓列表会对当日因子进行ST、成交量、上市时间滤后按因子排序方向选取
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# 3 根据融资比例将股票分为常规池子和融资池子
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normal_list = []
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margin_list = []
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# 获取历史融资融券池
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if len(last_position) > 0:
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@ -381,60 +366,31 @@ class Trader(Account):
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else:
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last_normal_list = []
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for stock in last_margin_list:
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# 如果停牌或者跌停继续持有
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if stock_status.loc[stock] in [0,2]:
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margin_list.append(stock)
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for stock in last_normal_list:
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# 如果停牌或者跌停继续持有
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if stock_status.loc[stock] in [0,2]:
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normal_list.append(stock)
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# 剔除过滤条件后
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after_filter_list = list(set(factor.index) - set(exclude_stock))
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for stock in factor.loc[after_filter_list].dropna().sort_values(ascending=self.ascending).index.values:
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if len(normal_list + margin_list) == self.num:
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break
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if self.with_st:
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if stock_status.loc[stock] in [0,2,5,7]:
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if stock in last_margin_list:
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margin_list.append(stock)
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else:
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normal_list.append(stock)
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else:
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normal_list, margin_list = assign_stock(normal_list, margin_list, margin_needed, stock, is_margin.loc[stock])
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else:
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# 非ST
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if stock_status.loc[stock] in [3,6]:
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normal_list, margin_list = assign_stock(normal_list, margin_list, margin_needed, stock, is_margin.loc[stock])
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else:
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# 如果停牌或者跌停继续持有
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if stock_status.loc[stock] in [0,2,7]:
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if stock in last_margin_list:
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margin_list.append(stock)
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else:
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normal_list.append(stock)
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margin_list = list(OrderedSet(margin_list))
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normal_list = list(OrderedSet(normal_list))
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target_list = normal_list + margin_list
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# ----- 卖出 -----
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buy_list = []
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sell_list = []
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# 融资融券池的和非融资融券池的分开更新
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untradable_list = []
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# 分别更新融资融券池的和非融资融券池
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# 更新融资融券池
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# 异常强制卖出
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for stock in last_margin_list:
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if stock in force_exclude:
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if stock_status.loc[stock] in [0,2,5,7]:
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untradable_list.append(stock)
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continue
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else:
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if stock in force_exclude:
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sell_list.append(stock)
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force_sell_num = len(sell_list)
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for stock in factor.loc[last_margin_list].sort_values(ascending=self.ascending).index.values[::-1]:
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# 对无因子的异常股票进行最末位填充用于判断卖出，在判断买入列表时还是使用原始因子
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if self.ascending:
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factor_filled = factor.fillna(factor.max()+1)
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else:
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factor_filled = factor.fillna(factor.min()-1)
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for stock in factor_filled.loc[list(set(last_margin_list)-set(untradable_list)-set(sell_list))].sort_values(ascending=self.ascending).index.values[::-1]:
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if len(sell_list) >= int(max_sell_num * margin_ratio) + force_sell_num + 1:
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break
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if stock in normal_list:
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continue
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else:
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if stock_status.loc[stock] in [0,2,5,7]:
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continue
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else:
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next_margin_list = list(set(last_margin_list) - set(sell_list))
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# 更新非融资融券池
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# 异常强制卖出
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untradable_list = []
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for stock in last_normal_list:
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if stock in force_exclude:
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if stock_status.loc[stock] in [0,2,5,7]:
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continue
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sell_list.append(stock)
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force_sell_num += 1
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for stock in factor.loc[last_normal_list].sort_values(ascending=self.ascending).index.values[::-1]:
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if len(sell_list) >= max_sell_num + force_sell_num:
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break
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if stock in normal_list:
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untradable_list.append(stock)
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continue
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else:
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if stock in force_exclude:
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sell_list.append(stock)
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force_sell_num += 1
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for stock in factor_filled.loc[list(set(last_normal_list)-set(untradable_list)-set(sell_list))].sort_values(ascending=self.ascending).index.values[::-1]:
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if len(sell_list) >= max_sell_num + force_sell_num:
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break
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if stock_status.loc[stock] in [0,2,5,7]:
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continue
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else:
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sell_list.append(stock)
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sell_list = list(set(sell_list))
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next_normal_list = list(set(last_normal_list) - set(sell_list))
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# ----- 买入 -----
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# 卖出后持仓列表
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# 剔除过滤条件后可买入列表
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after_filter_list = list(set(factor.index) - set(normal_exclude) - set(force_exclude))
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target_list = factor.loc[after_filter_list].dropna().sort_values(ascending=self.ascending).index.to_list()
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# 更新卖出后的持仓列表
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after_sell_list = set(last_position.index) - set(sell_list)
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cant_buy_list = [] # 涨停股记录
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limit_up_list = [] # 涨停股记录
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# 融资融券池的和非融资融券池的分开更新
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# 更新融资融券池
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for stock in margin_list:
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for stock in target_list:
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if stock in after_sell_list:
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continue
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else:
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if self.with_st:
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pass
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else:
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if stock_status.loc[stock] in [1,2]:
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continue
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if is_margin.loc[stock]:
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if stock_status.loc[stock] in [4,6]:
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cant_buy_list.append(stock)
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limit_up_list.append(stock)
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next_margin_list.append(stock)
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if len(next_margin_list) >= margin_needed:
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break
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# 更新非融资融券池
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for stock in normal_list:
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if stock in after_sell_list:
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for stock in target_list:
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if stock in (set(after_sell_list) | set(next_margin_list)):
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continue
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else:
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if self.with_st:
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pass
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else:
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if stock_status.loc[stock] in [1,2]:
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continue
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if stock_status.loc[stock] in [4,6]:
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cant_buy_list.append(stock)
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limit_up_list.append(stock)
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next_normal_list.append(stock)
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if len(next_normal_list) >= self.num - margin_needed:
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if len(next_normal_list) >= self.num - len(next_margin_list):
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break
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next_position = pd.DataFrame({'stock_code': next_margin_list + next_normal_list})
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@ -497,7 +469,7 @@ class Trader(Account):
|
|||
next_position.loc[next_margin_list, 'margin_trade'] = 1
|
||||
next_position = next_position.reset_index()
|
||||
# 剔除无法买入的涨停股，这部分仓位空出
|
||||
next_position = next_position[~next_position['stock_code'].isin(cant_buy_list)]
|
||||
next_position = next_position[~next_position['stock_code'].isin(limit_up_list)]
|
||||
# 检测当前持仓是否可以交易
|
||||
frozen_list = []
|
||||
if len(self.position) > 0:
|
||||
|
|
|
|||
Loading…
Reference in New Issue