# coding :utf-8
#
# The MIT License (MIT)
#
# Copyright (c) 2016-2019 XuHaiJiang/QFF
#
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# of this software and associated documentation files (the "Software"), to deal
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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from qff.frame.context import context, RUN_TYPE
from qff.price.cache import get_current_data
[文档]class Portfolio:
"""
股票账户
账户当前的资金，标的信息，即所有标的操作仓位的信息汇总。
================== ============== ==============================================================
属性 类型 说明
================== ============== ==============================================================
starting_cash float 初始资金
available_cash float 可用资金, 可用来购买证券的资金
locked_cash float 冻结资金, 挂单锁住资金
total_assets float 账户总资产, 包括现金, 仓位(股票)的总价值, 可用来计算收益
positions_assets float 持仓资产价值
benchmark_assets float 基准市值
income float 账户累计收益
returns float 账户收益率
day_income float 当日盈亏金额
day_returns float 当日涨幅
positions Dict 当前仓位，key值为股票代码，value是 :class:`.Position` 对象
benchmark_returns float 基准收益率
================== ============== ==============================================================
"""
def __init__(self, starting_cash):
self.starting_cash = starting_cash # 初始资金
self.available_cash = starting_cash # 可用资金, 可用来购买证券的资金
self.locked_cash = 0 # 挂单锁住资金
self.positions = {} # key值为股票代码，value是Position对象
self.pre_total_assets = starting_cash # 上一个交易日的资产总值，用于计算当日收益。
self._snapshot_time = None
self._total_assets = 0
self._position_assets = 0
def update(self):
self._position_assets = sum([pst.valuation for pst in self.positions.values()])
self._total_assets = round(self.available_cash + self._position_assets + self.locked_cash, 2)
self._snapshot_time = context.current_dt
@property
def positions_assets(self):
""" 持仓资产市值 """
if context.current_dt != self._snapshot_time:
self.update()
return self._position_assets
@property
def total_assets(self):
""" 账户当日总市值
包括现金, 仓位(股票)的总价值, 可用来计算收益
"""
if context.current_dt != self._snapshot_time:
self.update()
return self._total_assets
@property
def benchmark_assets(self):
""" 基准市值 """
if context.run_type == RUN_TYPE.BACK_TEST:
b_assets = round(context.bm_data.loc[context.current_dt[0:10]].close
/ context.bm_start * self.starting_cash, 2)
else:
b_assets = round(get_current_data(context.benchmark, market='index').last_price
/ context.bm_start * self.starting_cash, 2)
return b_assets
@property
def income(self):
""" 账户累计收益 """
return round(self.total_assets - self.starting_cash , 2)
@property
def returns(self):
""" 账户累计收益率 """
return round(self.total_assets / self.starting_cash - 1, 4)
@property
def benchmark_returns(self):
""" 基准收益率 """
return round(self.benchmark_assets / self.starting_cash - 1, 4)
@property
def day_income(self):
""" 账户当日盈亏 """
return round(self.total_assets - self.pre_total_assets, 2)
@property
def day_returns(self):
""" 账户当日涨幅 """
return round(self.total_assets / self.pre_total_assets - 1, 4)
@property
def message(self):
""" 账户当前资产信息快照 """
return {
'日期': context.current_dt[:10],
'现金资产': round(self.available_cash + self.locked_cash, 2),
'持仓资产': self.positions_assets,
'账户总资产': self.total_assets,
'累计收益额': self.income,
'累计收益率': self.returns,
'当日盈亏金额': self.day_income,
'当日涨幅': self.day_returns,
'仓位': round(self.positions_assets / self.total_assets, 4),
'基准总资产': self.benchmark_assets,
'基准收益率': self.benchmark_returns,
}
@property
def init_message(self):
return {
'日期': context.previous_date[:10],
'现金资产': self.starting_cash,
'持仓资产': 0,
'账户总资产': self.starting_cash,
'累计收益额': 0,
'累计收益率': 0,
'当日盈亏金额': 0,
'当日涨幅': 0,
'仓位': 0,
'基准总资产': self.starting_cash,
'基准收益率': 0,
}
def get_portfolio():
""" 获取账户当前时刻信息 """
return context.portfolio.message, [pst.message for pst in context.portfolio.positions.values()]