# -*- coding: utf-8 -*-
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from __future__ import division
from typing import Union, Optional, List
import numpy as np
from rqalpha.api import export_as_api
from rqalpha.apis.api_base import assure_instrument
from rqalpha.apis.api_abstract import order, order_to, buy_open, buy_close, sell_open, sell_close, PRICE_OR_STYLE_TYPE
from rqalpha.apis.api_base import cal_style
from rqalpha.apis.api_rqdatac import futures
from rqalpha.environment import Environment
from rqalpha.model.order import Order, LimitOrder, OrderStyle, ALGO_ORDER_STYLES
from rqalpha.const import SIDE, POSITION_EFFECT, ORDER_TYPE, RUN_TYPE, INSTRUMENT_TYPE, POSITION_DIRECTION
from rqalpha.model.instrument import Instrument
from rqalpha.portfolio.position import Position
from rqalpha.utils import is_valid_price
from rqalpha.utils.exception import RQInvalidArgument
from rqalpha.utils.logger import user_system_log
from rqalpha.utils.i18n import gettext as _
from rqalpha.utils.arg_checker import apply_rules, verify_that
__all__ = []
def _submit_order(id_or_ins, amount, side, position_effect, style):
instrument = assure_instrument(id_or_ins)
order_book_id = instrument.order_book_id
env = Environment.get_instance()
amount = int(amount)
if amount == 0:
user_system_log.warn(_(
u"Order Creation Failed: 0 order quantity, order_book_id={order_book_id}"
).format(order_book_id=order_book_id))
return None
if isinstance(style, LimitOrder) and np.isnan(style.get_limit_price()):
raise RQInvalidArgument(_(u"Limit order price should not be nan."))
if env.config.base.run_type != RUN_TYPE.BACKTEST and instrument.type == INSTRUMENT_TYPE.FUTURE:
if "88" in order_book_id:
raise RQInvalidArgument(_(u"Main Future contracts[88] are not supported in paper trading."))
if "99" in order_book_id:
raise RQInvalidArgument(_(u"Index Future contracts[99] are not supported in paper trading."))
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id)
)
return
env = Environment.get_instance()
orders = []
if position_effect in (POSITION_EFFECT.CLOSE_TODAY, POSITION_EFFECT.CLOSE):
direction = POSITION_DIRECTION.LONG if side == SIDE.SELL else POSITION_DIRECTION.SHORT
position = env.portfolio.get_position(order_book_id, direction) # type: Position
if position_effect == POSITION_EFFECT.CLOSE_TODAY:
if amount > position.today_closable:
user_system_log.warning(_(
"Order Creation Failed: "
"close today amount {amount} is larger than today closable quantity {quantity}"
).format(amount=amount, quantity=position.today_closable))
return []
orders.append(Order.__from_create__(
order_book_id, amount, side, style, POSITION_EFFECT.CLOSE_TODAY
))
else:
quantity, old_quantity = position.quantity, position.old_quantity
if amount > quantity:
user_system_log.warn(_(
u"Order Creation Failed: close amount {amount} is larger than position quantity {quantity}").format(
amount=amount, quantity=quantity
))
return []
if amount > old_quantity:
if old_quantity != 0:
# 如果有昨仓，则创建一个 POSITION_EFFECT.CLOSE 的平仓单
orders.append(Order.__from_create__(
order_book_id, old_quantity, side, style, POSITION_EFFECT.CLOSE
))
# 剩下还有仓位，则创建一个 POSITION_EFFECT.CLOSE_TODAY 的平今单
orders.append(Order.__from_create__(
order_book_id, amount - old_quantity, side, style, POSITION_EFFECT.CLOSE_TODAY
))
else:
# 创建 POSITION_EFFECT.CLOSE 的平仓单
orders.append(Order.__from_create__(order_book_id, amount, side, style, POSITION_EFFECT.CLOSE))
elif position_effect == POSITION_EFFECT.OPEN:
orders.append(Order.__from_create__(order_book_id, amount, side, style, position_effect))
else:
raise NotImplementedError()
if len(orders) > 1:
user_system_log.warn(_(
"Order was separated, original order: {original_order_repr}, new orders: [{new_orders_repr}]").format(
original_order_repr="Order(order_book_id={}, quantity={}, side={}, position_effect={})".format(
order_book_id, amount, side, position_effect
), new_orders_repr=", ".join(["Order({}, {}, {}, {})".format(
o.order_book_id, o.quantity, o.side, o.position_effect
) for o in orders])
)
)
for o in orders:
if env.can_submit_order(o):
env.broker.submit_order(o)
else:
orders.remove(o)
# 向前兼容，如果创建的order_list 只包含一个订单的话，直接返回对应的订单，否则返回列表
if len(orders) == 1:
return orders[0]
else:
return orders
def _order(order_book_id, quantity, style, target):
# type: (str, Union[int, float], OrderStyle, bool) -> List[Order]
portfolio = Environment.get_instance().portfolio
long_position = portfolio.get_position(order_book_id, POSITION_DIRECTION.LONG)
short_position = portfolio.get_position(order_book_id, POSITION_DIRECTION.SHORT)
if target:
# For order_to
quantity -= (long_position.quantity - short_position.quantity)
orders = []
if quantity > 0:
# 平空头，开多头
position_to_be_closed = short_position
side = SIDE.BUY
else:
# 平多头，开空头
position_to_be_closed = long_position
side = SIDE.SELL
quantity *= -1
old_to_be_closed, today_to_be_closed = position_to_be_closed.old_quantity, position_to_be_closed.today_quantity
if old_to_be_closed > 0:
# 平昨仓
orders.append(_submit_order(order_book_id, min(quantity, old_to_be_closed), side, POSITION_EFFECT.CLOSE, style))
quantity -= old_to_be_closed
if quantity <= 0:
return orders
if today_to_be_closed > 0:
# 平今仓
orders.append(_submit_order(
order_book_id, min(quantity, today_to_be_closed), side, POSITION_EFFECT.CLOSE_TODAY, style
))
quantity -= today_to_be_closed
if quantity <= 0:
return orders
# 开仓
orders.append(_submit_order(order_book_id, quantity, side, POSITION_EFFECT.OPEN, style))
return orders
@order.register(INSTRUMENT_TYPE.FUTURE)
def future_order(order_book_id, quantity, price_or_style=None, price=None, style=None):
# type: (Union[str, Instrument], int, PRICE_OR_STYLE_TYPE, Optional[float], Optional[OrderStyle]) -> List[Order]
return _order(order_book_id, quantity, cal_style(price, style, price_or_style), False)
@order_to.register(INSTRUMENT_TYPE.FUTURE)
def future_order_to(order_book_id, quantity, price_or_style=None, price=None, style=None):
# type: (Union[str, Instrument], int, PRICE_OR_STYLE_TYPE, Optional[float], Optional[OrderStyle]) -> List[Order]
return _order(order_book_id, quantity, cal_style(price, style, price_or_style), True)
@buy_open.register(INSTRUMENT_TYPE.FUTURE)
def future_buy_open(id_or_ins, amount, price_or_style=None, price=None, style=None):
return _submit_order(id_or_ins, amount, SIDE.BUY, POSITION_EFFECT.OPEN, cal_style(price, style, price_or_style))
@buy_close.register(INSTRUMENT_TYPE.FUTURE)
def future_buy_close(id_or_ins, amount, price_or_style=None, price=None, style=None, close_today=False):
position_effect = POSITION_EFFECT.CLOSE_TODAY if close_today else POSITION_EFFECT.CLOSE
return _submit_order(id_or_ins, amount, SIDE.BUY, position_effect, cal_style(price, style, price_or_style))
@sell_open.register(INSTRUMENT_TYPE.FUTURE)
def future_sell_open(id_or_ins, amount, price_or_style=None, price=None, style=None):
return _submit_order(id_or_ins, amount, SIDE.SELL, POSITION_EFFECT.OPEN, cal_style(price, style, price_or_style))
@sell_close.register(INSTRUMENT_TYPE.FUTURE)
def future_sell_close(id_or_ins, amount, price_or_style=None, price=None, style=None, close_today=False):
position_effect = POSITION_EFFECT.CLOSE_TODAY if close_today else POSITION_EFFECT.CLOSE
return _submit_order(id_or_ins, amount, SIDE.SELL, position_effect, cal_style(price, style, price_or_style))
[文档]@export_as_api
@apply_rules(verify_that('underlying_symbol').is_instance_of(str))
def get_future_contracts(underlying_symbol):
# type: (str) -> List[str]
"""
获取某一期货品种在策略当前日期的可交易合约order_book_id列表。按照到期月份，下标从小到大排列，返回列表中第一个合约对应的就是该品种的近月合约。
:param underlying_symbol: 期货合约品种，例如沪深300股指期货为'IF'
:example:
获取某一天的主力合约代码（策略当前日期是20161201）:
.. code-block:: python
[In]
logger.info(get_future_contracts('IF'))
[Out]
['IF1612', 'IF1701', 'IF1703', 'IF1706']
"""
env = Environment.get_instance()
return env.data_proxy.get_future_contracts(underlying_symbol, env.trading_dt)
futures.get_contracts = staticmethod(get_future_contracts)