release/5.5.4 (#923)

* Add position queue management and related tests

Integrate a new PositionQueue class to handle trade tracking, splits, and delisting. Update existing code for proper queue handling in position models. Add comprehensive tests for stock, futures, splits, delisting, and short-selling scenarios to ensure accurate position queue functionality.

* Fix position queue rounding issue during stock splits

Ensure position queue quantity aligns with expected values after splits by addressing rounding discrepancies. Updated stock split handling logic and added corresponding test cases to verify the fix.

* Rqsdk 789 (#922)

* fix get_secutities_margin

* update test workflow ubuntu version

* 修改测试数据

---------

Co-authored-by: Cuizi7 <[email protected]>

* update version

---------

Co-authored-by: 崔子琦 <[email protected]>
Co-authored-by: Cuizi7 <[email protected]>

Author: Cuizi7

rqalpha/apis/api_rqdatac.py

@@ -429,8 +429,8 @@ def get_securities_margin(
         order_book_ids,  # type: Union[str, Iterable[str]]
         count=1,  # type: Optional[int]
         fields=None,  # type: Optional[str]
-        expect_df=False  # type: Optional[bool]
-):  # type: (...) -> Union[pd.Series, pd.DataFrame, pd.Panel]
+        expect_df=True  # type: Optional[bool]
+):  # type: (...) -> Union[pd.Series, pd.DataFrame]
     """
     获取融资融券信息。包括 `深证融资融券数据 <http://www.szse.cn/main/disclosure/rzrqxx/rzrqjy/>`_ 以及 `上证融资融券数据 <http://www.sse.com.cn/market/othersdata/margin/detail/>`_ 情况。既包括个股数据，也包括市场整体数据。需要注意，融资融券的开始日期为2010年3月31日。
 
@@ -524,11 +524,15 @@ def get_securities_margin(
         start_dt = dt
     else:
         start_dt = data_proxy.get_previous_trading_date(dt, count - 1)
-
+    
+    overall_code = {"XSHG", "XSHE", "sh", "sz"}
     if isinstance(order_book_ids, six.string_types):
-        order_book_ids = assure_order_book_id(order_book_ids)
+        if order_book_ids not in overall_code:
+            order_book_ids = assure_order_book_id(order_book_ids)
     else:
-        order_book_ids = [assure_order_book_id(i) for i in order_book_ids]
+        overall_code_list = [i for i in order_book_ids if i in overall_code]
+        order_book_ids = [assure_order_book_id(i) for i in order_book_ids if i not in overall_code]
+        order_book_ids = order_book_ids + overall_code_list
 
     return rqdatac.get_securities_margin(order_book_ids, start_dt, dt, fields=fields, expect_df=expect_df)
 

rqalpha/environment.py

@@ -15,7 +15,7 @@
 #         在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
 #         详细的授权流程，请联系 [email protected] 获取。
 
-from datetime import datetime
+from datetime import date, datetime
 from typing import Optional, Dict, List
 from itertools import chain
 from typing import TYPE_CHECKING
@@ -53,8 +53,8 @@ def __init__(self, config, rqdatac_init):
         self.user_system_log = user_system_log
         self.event_bus = EventBus()
         self.portfolio = None  # type: Optional[rqalpha.portfolio.Portfolio]
-        self.calendar_dt = None  # type: Optional[datetime]
-        self.trading_dt = None  # type: Optional[datetime]
+        self.calendar_dt: datetime = datetime.combine(config.base.start_date, datetime.min.time())
+        self.trading_dt: datetime = datetime.combine(config.base.start_date, datetime.min.time())
         self.mod_dict = None
         self.user_strategy = None
         self._frontend_validators = {}  # type: Dict[str, List]

rqalpha/mod/rqalpha_mod_sys_accounts/position_model.py

@@ -14,7 +14,7 @@
 #         否则米筐科技有权追究相应的知识产权侵权责任。
 #         在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
 #         详细的授权流程，请联系 [email protected] 获取。
-
+from collections import deque
 from datetime import date
 
 from decimal import Decimal
@@ -150,6 +150,7 @@ def settlement(self, trading_date):
             if self.cash_return_by_stock_delisted:
                 delta_cash = self.market_value
             self._quantity = self._old_quantity = 0
+            self._queue.clear()
         return delta_cash
 
     @cached_property
@@ -212,7 +213,7 @@ def _handle_split(self, trading_date, data_proxy):
         # int(6000 * 1.15) -> 6899
         self._old_quantity = self._quantity = round(Decimal(self._quantity) * ratio)
         self._logical_old_quantity = round(Decimal(self._logical_old_quantity) * ratio)
-
+        self._queue.handle_split(ratio, self._quantity)
 
 class FuturePosition(Position):
     __repr_properties__ = (
@@ -282,6 +283,7 @@ def apply_trade(self, trade):
             self._transaction_cost += trade.transaction_cost
             self._quantity -= trade.last_quantity
             self._trade_cost -= trade.last_price * trade.last_quantity
+            self._queue.handle_trade(-trade.last_quantity, self._env.trading_dt.date(), close_today=True)
         else:
             super(FuturePosition, self).apply_trade(trade)
 
@@ -325,6 +327,7 @@ def settlement(self, trading_date):
             )
             self._env.event_bus.publish_event(Event(EVENT.TRADE, account=account, trade=trade, order=None))
             self._quantity = self._old_quantity = 0
+            self._queue.clear()
         return delta_cash
 
     def post_settlement(self):

rqalpha/portfolio/position.py

@@ -15,9 +15,10 @@
 #         在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
 #         详细的授权流程，请联系 [email protected] 获取。
 
-from collections import UserDict
+from collections import UserDict, deque
 from datetime import date
-from typing import Dict, Iterable, Tuple, Optional
+from decimal import Decimal
+from typing import Dict, Iterable, Tuple, Optional, Deque, List
 
 from rqalpha.const import POSITION_DIRECTION, POSITION_EFFECT
 from rqalpha.environment import Environment
@@ -91,6 +92,10 @@ def __init__(self, order_book_id, direction, init_quantity=0, init_price=None):
 
         self._direction_factor = 1 if direction == POSITION_DIRECTION.LONG else -1
 
+        self._queue = PositionQueue()
+        if init_quantity:
+            self._queue.handle_trade(init_quantity, self._env.trading_dt.date())
+
     @property
     def order_book_id(self):
         # type: () -> str
@@ -193,7 +198,8 @@ def get_state(self):
             "avg_price": self._avg_price,
             "trade_cost": self._trade_cost,
             "transaction_cost": self._transaction_cost,
-            "prev_close": self._prev_close
+            "prev_close": self._prev_close,
+            "position_queue": list(self._queue.queue)
         }
 
     def set_state(self, state):
@@ -209,6 +215,7 @@ def set_state(self, state):
         self._trade_cost = state.get("trade_cost", 0)
         self._transaction_cost = state.get("transaction_cost", 0)
         self._prev_close = state.get("prev_close")
+        self._queue.set_sate(state.get("position_queue", []))
 
     def before_trading(self, trading_date):
         # type: (date) -> float
@@ -225,6 +232,7 @@ def apply_trade(self, trade):
         # 返回总资金的变化量
         self._transaction_cost += trade.transaction_cost
         if trade.position_effect == POSITION_EFFECT.OPEN:
+            self._queue.handle_trade(trade.last_quantity, self._env.trading_dt.date())
             if self._quantity < 0:
                 self._avg_price = trade.last_price if self._quantity + trade.last_quantity > 0 else 0
             else:
@@ -235,6 +243,7 @@ def apply_trade(self, trade):
             return (-1 * trade.last_price * trade.last_quantity) - trade.transaction_cost
         elif trade.position_effect == POSITION_EFFECT.CLOSE:
             # 先平昨，后平今
+            self._queue.handle_trade(-trade.last_quantity, self._env.trading_dt.date())
             self._old_quantity -= min(trade.last_quantity, self._old_quantity)
             self._quantity -= trade.last_quantity
             self._trade_cost -= trade.last_price * trade.last_quantity
@@ -255,6 +264,15 @@ def update_last_price(self, price):
     def calc_close_today_amount(self, trade_amount, position_effect):
         return 0
 
+    @property
+    def position_queue(self):
+        # type: () -> deque[tuple[date, int]]
+        """
+        获取持仓队列，返回每笔持仓的开仓时间和数量
+        格式为 [(开仓日期, 持仓数量), ...]
+        """
+        return self._queue.queue
+
     @property
     def _open_orders(self):
         # type: () -> Iterable[Order]
@@ -263,6 +281,69 @@ def _open_orders(self):
                 yield order
 
 
+class PositionQueue:
+    def __init__(self):
+        self._queue: Deque[Tuple[date, int]] = deque()
+
+    def set_sate(self, state: List[Tuple[date, int]]):
+        self._queue = deque(state)
+
+    def handle_trade(self, delta_quantity, trading_date: date, close_today: bool = False):
+        if delta_quantity == 0:
+            return
+        if self._queue and self._queue[0][1] * delta_quantity < 0:
+            # 从正平仓到负或者从负平仓到正
+            if close_today:
+                # 强制先平今
+                d, qty_in_queue = self._queue[-1]
+                if d >= trading_date:
+                    if abs(qty_in_queue) <= abs(delta_quantity):
+                        delta_quantity += qty_in_queue
+                        self._queue.pop()
+                    else:
+                        self._queue[-1] = (d, qty_in_queue + delta_quantity)
+                        delta_quantity = 0
+            while delta_quantity and self._queue:
+                d, qty_in_queue = self._queue[0]
+                if abs(qty_in_queue) <= abs(delta_quantity):
+                    # 当前持仓批次全部平掉
+                    delta_quantity += qty_in_queue
+                    self._queue.popleft()
+                else:
+                    # 当前持仓批次部分平掉
+                    self._queue[0] = (d, qty_in_queue + delta_quantity)
+                    delta_quantity = 0
+            if delta_quantity != 0:
+                # queue 消耗光了，delta_quantity 还没消耗完
+                self._queue.append((trading_date, delta_quantity))
+        else:
+            # 开仓
+            if self._queue and self._queue[-1][0] == trading_date:
+                # 当日已有开仓，更新数量
+                _, quantity = self._queue.pop()
+                self._queue.append((trading_date, quantity + delta_quantity))
+            else:
+                # 当日首次开仓
+                self._queue.append((trading_date, delta_quantity))
+
+    def handle_split(self, ratio: Decimal, expected_quantity):
+        self._queue = deque(
+            (d, round(Decimal(q) * ratio)) for d, q in self._queue
+        )
+        diff = expected_quantity - sum(q for _, q in self._queue)
+        if diff != 0:
+            # 有可能因为 round 的原因导致差1股
+            self._queue[-1] = (self._queue[-1][0], self._queue[-1][1] + diff)
+
+
+    def clear(self):
+        self._queue.clear()
+
+    @property
+    def queue(self):
+        return self._queue.copy()
+
+
 class PositionProxy(metaclass=PositionProxyMeta):
     __repr_properties__ = (
         "order_book_id", "positions"

rqalpha/utils/testing/fixtures.py

@@ -1,6 +1,7 @@
 import os
 import pickle
 from contextlib import contextmanager
+from datetime import date
 
 import six
 
@@ -18,7 +19,11 @@ def init_fixture(self):
 class EnvironmentFixture(RQAlphaFixture):
     def __init__(self, *args, **kwargs):
         super(EnvironmentFixture, self).__init__(*args, **kwargs)
-        self.env_config = {}
+        self.env_config = {
+            "base":{
+                "start_date": date(2016, 1, 1)
+            }
+        }
         self.env = None
 
     def init_fixture(self):
@@ -72,7 +77,8 @@ def __init__(self, *args, **kwargs):
 
         self.env_config = {
             "base": {
-                "accounts": {"STOCK": 100}
+                "accounts": {"STOCK": 100},
+                "start_date": date(2016, 1, 1),
             }
         }
 

setup.cfg

@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqalpha
-version = 5.5.3
+version = 5.5.4
 
 [versioneer]
 VCS = git