update 修复双向开仓的时候的保证金结算问题

yutiansut · Jul 25, 2019 · 1a2684d · 1a2684d
2 parents 186bbd9 + c567f86
commit 1a2684d
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Showing 4 changed files with 24 additions and 17 deletions.
diff --git a/EXAMPLE/4_回测实盘交易/回测/期货回测/future_min_backtest.py b/EXAMPLE/4_回测实盘交易/回测/期货回测/future_min_backtest.py
@@ -15,7 +15,7 @@
 user = QA.QA_User(username='quantaxis', password='quantaxis')
 portfolio = user.new_portfolio('qatestportfolio')
 Account = portfolio.new_account(allow_sellopen=True, allow_margin=True, init_cash=5000, allow_t0=True,
-                                account_cookie='future_test', market_type=QA.MARKET_TYPE.FUTURE_CN, frequence=QA.FREQUENCE.FIFTEEN_MIN)
+                                account_cookie='future_testx', market_type=QA.MARKET_TYPE.FUTURE_CN, frequence=QA.FREQUENCE.FIFTEEN_MIN)
 
 
 # %%
@@ -24,7 +24,7 @@
 
 # %%
 rb_ds = QA.QA_fetch_future_min_adv(
-    'RBL8', '2018-01-01', '2018-08-28', frequence='15min')
+    'RBL8', '2019-01-01', '2019-07-20', frequence='15min')
 
 
 # %%
@@ -106,7 +106,6 @@ def MACD_JCSC(dataframe, SHORT=12, LONG=26, M=9):
                                 res.trade_amount, res.trade_time)
     Account.settle()
 
-
 # %%
 Risk = QA.QA_Risk(Account)
 

diff --git a/QUANTAXIS/QAARP/QAAccount.py b/QUANTAXIS/QAARP/QAAccount.py
@@ -317,7 +317,8 @@ def __init__(
             'tax',  # 税
             'message',  # 备注
             'frozen',  # 冻结资金.
-            'direction'  # 方向
+            'direction',  # 方向,
+            'total_frozen'
         ]
         ########################################################################
         # 信息类:
@@ -873,7 +874,7 @@ def daily_frozen(self):
         '每日交易结算时的持仓表'
         res_ = self.history_table.assign(
             date=pd.to_datetime(self.history_table.datetime)
-        ).set_index('date').resample('D').frozen.last().fillna(method='pad')
+        ).set_index('date').resample('D').total_frozen.last().fillna(method='pad')
         res_ = res_[res_.index.isin(self.trade_range)]
         return res_
 
@@ -1164,7 +1165,7 @@ def receive_simpledeal(
                         (
                             self.frozen[code][str(trade_towards)]['avg_price'] *
                             self.frozen[code][str(trade_towards)]['amount']
-                        ) + abs(raw_trade_money)
+                        ) + abs(trade_money)
                     ) / (
                         self.frozen[code][str(trade_towards)]['amount'] +
                         trade_amount
@@ -1272,6 +1273,12 @@ def receive_simpledeal(
                 ORDER_DIRECTION.BUY_OPEN,
                 ORDER_DIRECTION.SELL_OPEN
             ] else 0
+
+            try:
+                total_frozen = sum([itex.get('avg_price',0)* itex.get('amount',0) for item in self.frozen.values() for itex in item.values()])
+            except Exception as e:
+                print(e)
+                total_frozen = 0
             self.history.append(
                 [
                     str(trade_time),
@@ -1287,7 +1294,8 @@ def receive_simpledeal(
                     tax_fee,
                     message,
                     frozen_money,
-                    trade_towards
+                    trade_towards,
+                    total_frozen
                 ]
             )
             return 0

diff --git a/QUANTAXIS/QAARP/QARisk.py b/QUANTAXIS/QAARP/QARisk.py
@@ -136,7 +136,7 @@ def __init__(
         if_fq选项是@尧提出的,关于回测的时候成交价格问题(如果按不复权撮合 应该按不复权价格计算assets)
         """
         self.account = account
-        self.benchmark_code = benchmark_code # 默认沪深300
+        self.benchmark_code = benchmark_code  # 默认沪深300
         self.benchmark_type = benchmark_type
         self.client = DATABASE.risk
 
@@ -175,14 +175,14 @@ def __init__(
                 self.market_data = market_data
             self.if_fq = if_fq
             if self.account.market_type == MARKET_TYPE.FUTURE_CN:
-                self.if_fq = False # 如果是期货， 默认设为FALSE
+                self.if_fq = False  # 如果是期货， 默认设为FALSE
 
             if self.market_value is not None:
                 if self.account.market_type == MARKET_TYPE.FUTURE_CN and self.account.allow_margin == True:
                     print('margin!')
                     self._assets = (
-                        #self.account.daily_frozen +
-                        self.market_value.sum(axis=1) +
+                        self.account.daily_frozen +
+                        # self.market_value.sum(axis=1) +
                         self.account.daily_cash.set_index('date').cash
                     ).dropna()
                 else:
@@ -192,9 +192,9 @@ def __init__(
                     ).fillna(method='pad')
             else:
                 self._assets = self.account.daily_cash.set_index('date'
-                                                                ).cash.fillna(
-                                                                    method='pad'
-                                                                )
+                                                                 ).cash.fillna(
+                    method='pad'
+                )
 
             self.time_gap = QA_util_get_trade_gap(
                 self.account.start_date,
@@ -393,8 +393,8 @@ def message(self):
             'totaltimeindex': self.total_timeindex,
             'ir': self.ir,
             'month_profit': self.month_assets_profit.to_dict()
-                                                                    # 'init_assets': round(float(self.init_assets), 2),
-                                                                    # 'last_assets': round(float(self.assets.iloc[-1]), 2)
+            # 'init_assets': round(float(self.init_assets), 2),
+            # 'last_assets': round(float(self.assets.iloc[-1]), 2)
         }
 
     @property

diff --git a/QUANTAXIS/__init__.py b/QUANTAXIS/__init__.py
@@ -31,7 +31,7 @@
 2017/4/8
 """
 
-__version__ = '1.5.5'
+__version__ = '1.5.6'
 __author__ = 'yutiansut'
 
 import argparse