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Portfolio.py
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# -*- coding: utf-8 -*-
"""
Created on Fri May 18 11:08:52 2018
@author: mai1346
"""
from Tradelog import Tradelog
class Portfolio(object):
'''
本类用于记录整个Portfolio的各个资产的仓位和市值。
本类接收Fill事件，并根据事件调整持仓信息。
'''
def __init__(self, data_handler, events, start_date, initial_capital=100000):
'''
data_handler - 数据来源
start_date - Portfolio 开始时间
initial_capital - 初始本金.
'''
self.data_handler = data_handler
self.events = events
self.symbol_list = self.data_handler.symbol_list
self.start_date = start_date
self.initial_capital = initial_capital
self.all_positions = self._construct_all_positions()
self.current_positions = dict((k, v) for k, v in [(s, 0) for s in self.symbol_list])
self.all_holdings = self._construct_all_holdings()
self.current_holdings = self._construct_current_holdings()
self.Tradelog = Tradelog()
def _construct_all_positions(self):
d = dict((k, v) for k, v in [(s, 0) for s in self.symbol_list])
d['datetime'] = self.start_date
return [d]
def _construct_all_holdings(self):
d = dict((k, v) for k, v in [(s, 0.0) for s in self.symbol_list])
d['datetime'] = self.start_date
d['cash'] = self.initial_capital
d['commission'] = 0.0
d['total'] = self.initial_capital
return [d]
def _construct_current_holdings(self):
d = dict((k, v) for k, v in [(s, 0.0) for s in self.symbol_list])
d['cash'] = self.initial_capital
d['commission'] = 0.0
d['total'] = self.initial_capital
return d
def _update_positions_from_fill(self, fill):
'''
根据FILL事件更新资产的持仓信息
'''
# Check whether the fill is a buy or sell
fill_dir = 0
if fill.direction == 'BUY':
fill_dir = 1
if fill.direction == 'SELL':
fill_dir = -1
# Update positions list with new quantities
self.current_positions[fill.symbol] += fill_dir * fill.quantity
def _update_holdings_from_fill(self, fill):
'''
根据FILL事件更新portfolio的资金信息
'''
# Check whether the fill is a buy or sell
fill_dir = 0
if fill.direction == 'BUY':
fill_dir = 1
if fill.direction == 'SELL':
fill_dir = -1
# Update holdings list with new quantities
fill_cost = fill.fill_cost
cost = fill_dir * fill_cost * fill.quantity
self.current_holdings[fill.symbol] += cost
self.current_holdings['commission'] += fill.commission
self.current_holdings['cash'] -= (cost + fill.commission)
self.current_holdings['total'] -= (cost + fill.commission)
def _update_tradelog_from_fill(self, fill):
'''
更新Tradelog
'''
self.Tradelog.update(fill)
def get_current_position(self,symbol):
return self.current_positions[symbol]
def update_fill(self, event):
if event.type == 'FILL':
self._update_positions_from_fill(event)
self._update_holdings_from_fill(event)
self._update_tradelog_from_fill(event)
def update_timeindex(self):
latest_datetime = self.data_handler.get_latest_bar_datetime(self.symbol_list[0])
positions = dict((k, v) for k, v in [(s, 0) for s in self.symbol_list])
positions['datetime'] = latest_datetime
for s in self.symbol_list:
positions[s] = self.current_positions[s]
self.all_positions.append(positions)
holdings = dict((k, v) for k, v in [(s, 0) for s in self.symbol_list])
holdings['datetime'] = latest_datetime
holdings['cash'] = self.current_holdings['cash']
holdings['commission'] = self.current_holdings['commission']
holdings['total'] = self.current_holdings['cash']
for s in self.symbol_list:
market_value = self.current_positions[s] * \
self.data_handler.get_latest_bars_values(s, "close")[0] # [0] because it's a np array
holdings[s] = market_value
holdings['total'] += market_value
self.all_holdings.append(holdings)