fix bug (#957)

* fix bug

* update

* update

* update

* update

* add split test case

* update

---------

Co-authored-by: Don <[email protected]>

Author: Lin-Dongzhao

rqalpha/data/bundle.py

@@ -128,7 +128,7 @@ def __call__(self):
         if split is None:
             raise RuntimeError("Got no split data")
         split['split_factor'] = split['split_coefficient_to'] / split['split_coefficient_from']
-        split = split[['split_factor']]
+        split = split[['split_factor', 'split_coefficient_to', 'split_coefficient_from']]
         split.reset_index(inplace=True)
         split.rename(columns={'ex_dividend_date': 'ex_date'}, inplace=True)  # type: ignore
         split['ex_date'] = [convert_date_to_int(d) for d in split['ex_date']]

rqalpha/mod/rqalpha_mod_sys_accounts/position_model.py

@@ -18,8 +18,8 @@
 from typing import Optional, Deque, Tuple
 from collections import deque
 
-from decimal import Decimal
-from numpy import ndarray
+from decimal import Decimal, ROUND_HALF_UP
+from numpy import ndarray, isclose
 
 from rqalpha.interface import TransactionCost
 from rqalpha.model.trade import Trade
@@ -262,17 +262,32 @@ def _handle_dividend_payable(self, trading_date: date) -> float:
             return payable_value - amount * last_price
         else:
             return payable_value
+    
+    def _get_split_ratio(self, splits) -> Decimal:
+        # rqalpha 6.1.0 修改了 bundle 的 splits_factor 的数据格式，需要向前兼容
+        if 'split_coefficient_to' not in splits.dtype.names:
+            return Decimal(splits["split_factor"].cumprod()[-1])
+
+        for field in ["split_coefficient_to", "split_coefficient_from"]:
+            if not all(isclose(splits[field] % 1, 0)):
+                ratio = splits["split_coefficient_to"] / splits["split_coefficient_from"]
+                return Decimal(ratio.cumprod[-1])
+
+        coefficient_to = (splits["split_coefficient_to"].astype(int)).cumprod()[-1]
+        coefficient_from = (splits["split_coefficient_from"].astype(int)).cumprod()[-1]
+        return Decimal(int(coefficient_to)) / Decimal(int(coefficient_from))
 
     def _handle_split(self, trading_date, data_proxy) -> float:
         splits = self._get_dividends_or_splits(self._all_splits, trading_date, "ex_date")  # type: ignore[reportIncompatibleVariableOverride]
         if splits is None or len(splits) == 0:
             return 1.
-        ratio: float = splits["split_factor"].cumprod()[-1]
+        ratio_decimal = self._get_split_ratio(splits)
+        
+        ratio = float(ratio_decimal)
         self._avg_price /= ratio
         self._last_price /= ratio  # type: ignore
-        ratio_decimal = Decimal(ratio)
         # int(6000 * 1.15) -> 6899
-        self._old_quantity = self._quantity = round(Decimal(self._quantity) * ratio_decimal)
+        self._old_quantity = self._quantity = int((Decimal(self._quantity) * ratio_decimal).quantize(Decimal("1"), rounding=ROUND_HALF_UP))
         self._queue.handle_split(ratio_decimal, self._quantity)
         return ratio
 

tests/integration_tests/test_backtest_results/outs/test_s_split#test_s_split.txt

@@ -0,0 +1,71 @@
+[trades]
+DataFrame
+{"shape":[0,0],"dtypes":{},"index_dtype":"int64","index_name":null,"columns":[]}
+# Empty DataFrame
+
+[stock_positions]
+DataFrame
+{"shape":[8,6],"dtypes":{"order_book_id":"object","symbol":"object","quantity":"float64","last_price":"float64","avg_price":"float64","market_value":"float64"},"index_dtype":"datetime64[ns]","index_name":"date","columns":["order_book_id","symbol","quantity","last_price","avg_price","market_value"]}
+,order_book_id,symbol,quantity,last_price,avg_price,market_value
+2024-06-11 00:00:00,688550.XSHG,瑞联新材,1445.0,33.39,31.79,48248.55
+2024-06-12 00:00:00,688550.XSHG,瑞联新材,1445.0,34.18,31.79,49390.1
+2024-06-13 00:00:00,688550.XSHG,瑞联新材,1445.0,34.7,31.79,50141.5
+2024-06-14 00:00:00,688550.XSHG,瑞联新材,1879.0,26.0,24.1077,48854.0
+2024-06-17 00:00:00,688550.XSHG,瑞联新材,1879.0,25.87,24.1077,48609.73
+2024-06-18 00:00:00,688550.XSHG,瑞联新材,1879.0,25.55,24.1077,48008.45
+2024-06-19 00:00:00,688550.XSHG,瑞联新材,1879.0,25.48,24.1077,47876.92
+2024-06-20 00:00:00,688550.XSHG,瑞联新材,1879.0,25.58,24.1077,48064.82
+
+[stock_account]
+DataFrame
+{"shape":[8,4],"dtypes":{"cash":"float64","transaction_cost":"float64","market_value":"float64","total_value":"float64"},"index_dtype":"datetime64[ns]","index_name":"date","columns":["cash","transaction_cost","market_value","total_value"]}
+,cash,transaction_cost,market_value,total_value
+2024-06-11 00:00:00,1000000.0,0.0,48248.55,1048248.55
+2024-06-12 00:00:00,1000000.0,0.0,49390.1,1049390.1
+2024-06-13 00:00:00,1000000.0,0.0,50141.5,1050141.5
+2024-06-14 00:00:00,1000650.25,0.0,48854.0,1049504.25
+2024-06-17 00:00:00,1000650.25,0.0,48609.73,1049259.98
+2024-06-18 00:00:00,1000650.25,0.0,48008.45,1048658.7
+2024-06-19 00:00:00,1000650.25,0.0,47876.92,1048527.17
+2024-06-20 00:00:00,1000650.25,0.0,48064.82,1048715.07
+
+[portfolio]
+DataFrame
+{"shape":[8,6],"dtypes":{"cash":"float64","total_value":"float64","market_value":"float64","unit_net_value":"float64","units":"float64","static_unit_net_value":"float64"},"index_dtype":"datetime64[ns]","index_name":"date","columns":["cash","total_value","market_value","unit_net_value","units","static_unit_net_value"]}
+,cash,total_value,market_value,unit_net_value,units,static_unit_net_value
+2024-06-11 00:00:00,1000000.0,1048248.55,48248.55,1.00221,1045936.55,1.0
+2024-06-12 00:00:00,1000000.0,1049390.1,49390.1,1.003302,1045936.55,1.0022
+2024-06-13 00:00:00,1000000.0,1050141.5,50141.5,1.00402,1045936.55,1.0033
+2024-06-14 00:00:00,1000650.25,1049504.25,48854.0,1.003411,1045936.55,1.004
+2024-06-17 00:00:00,1000650.25,1049259.98,48609.73,1.003177,1045936.55,1.0034
+2024-06-18 00:00:00,1000650.25,1048658.7,48008.45,1.002603,1045936.55,1.0032
+2024-06-19 00:00:00,1000650.25,1048527.17,47876.92,1.002477,1045936.55,1.0026
+2024-06-20 00:00:00,1000650.25,1048715.07,48064.82,1.002656,1045936.55,1.0025
+
+[summary]
+dict
+{}
+{
+    "strategy_name":"strategy",
+    "start_date":"2024-06-11",
+    "end_date":"2024-06-20",
+    "starting_cash":"STOCK:1000000.0",
+    "alpha":NaN,
+    "beta":NaN,
+    "sharpe":4.627769423802232,
+    "excess_sharpe":NaN,
+    "information_ratio":NaN,
+    "tracking_error":NaN,
+    "sortino":7.861996788106883,
+    "volatility":0.015298451977415738,
+    "max_drawdown":0.0015372499801217182,
+    "excess_max_drawdown":NaN,
+    "excess_returns":NaN,
+    "excess_annual_returns":NaN,
+    "win_rate":0.5,
+    "total_value":1048715.07,
+    "cash":1000650.25,
+    "total_returns":0.002656490013662971,
+    "annualized_returns":0.08715966696778854,
+    "unit_net_value":1.002656490013663
+}

tests/integration_tests/test_backtest_results/test_s_split.py

@@ -0,0 +1,32 @@
+from rqalpha.apis import get_position
+
+from datetime import date
+ 
+
+def test_s_split(run_and_assert_result):
+    def init(context):
+        context.s1 = "688550.XSHG"
+
+    def handle_bar(context, bar_dict):
+        position = get_position(context.s1)
+        if context.now.date() <= date(2024, 6, 13):
+            assert position.quantity == 1445
+        else:
+            assert position.quantity == 1879
+
+    config = {
+        "base": {
+            "start_date": "2024-06-10",
+            "end_date": "2024-06-20",
+            "frequency": "1d",
+            "init_positions": "688550.XSHG:1445",
+            "accounts": {
+                "stock": 1000000,
+            }
+        },
+        "extra": {
+            "log_level": "error",
+        }
+    }
+
+    run_and_assert_result(config=config, init=init, handle_bar=handle_bar)