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量化交易之Python篇 - 合并历史平仓 - merge_all_closePositions_holdPositions_period_api.py

禾木瞎写 2023-03-02 阅读 45
Python后端开发


import re
import os
import pandas

from tools_part.file_path_operator.file_path_operator import TQZFilePathOperator
from tools_part.split_dataframe_operator.split_dataframe_operator import TQZSplitDataframeOperator

from constants_part.tqz_constant import (
    TQZClosePositionsDetailColumnType,
    TQZFunctionModuleType,
    TQZHoldPositionsPeriodKey,
    TQZDefaultKey,
    TQZBuySellType
)


class TQZMergeAllClosePositionsHoldPositionsPeriodApi:

    __datas_part_fold = TQZFilePathOperator.current_file_grandfather_path(
        file=__file__
    ) + f'/source_datas_part'

    @classmethod
    def merge_history_closePositions_holdPositions_period_dataframe(cls, account_names):

        account_closeHoldPositionsPeriod_dictionary = {}

        for datas_part_file in os.listdir(path=cls.__datas_part_fold):  # one datas_part_file is one account

            account_name = re.search(r'^[a-zA-Z0-9]+', datas_part_file).group()
            if account_name not in account_names:
                continue

            current_account_trade_record_fold = f'{cls.__datas_part_fold}/{datas_part_file}/交易记录'
            all_merge_closePositions_holdPositions_period_dataframe = cls.__get_merge_all_closePositions_holdPositions_period_dataframe(
                current_account_trade_record_fold=current_account_trade_record_fold
            )

            account_closeHoldPositionsPeriod_dictionary[account_name] = all_merge_closePositions_holdPositions_period_dataframe

        return account_closeHoldPositionsPeriod_dictionary


    # --- private part ---
    @classmethod
    def __get_merge_all_closePositions_holdPositions_period_dataframe(cls, current_account_trade_record_fold):
        """
        Get value of merge all-close-positions-hold-positions-period-dataframe
        """

        yesterday_hold_positions_dataframe = pandas.DataFrame()
        all_merge_closePositions_holdPositions_period_dataframe = cls.__init_all_merge_closePositions_holdPositions_period_dataframe()
        for trade_record in os.listdir(path=current_account_trade_record_fold):
            trade_record_all_path = f'{current_account_trade_record_fold}/{trade_record}'

            print(f'---------------------trade_record: {trade_record}---------------------')
            today_open_positions_dataframe, today_hold_positions_dataframe, today_close_positions_dataframe, today_reverse_buySell_close_positions_dataframe = cls.__get_today_open_hold_close_reverseBuySellClose_positions_dataframes(
                trade_record_all_path=trade_record_all_path
            )

            if len(yesterday_hold_positions_dataframe) is 0:

                yesterday_hold_positions_dataframe = today_hold_positions_dataframe
                yesterday_hold_positions_dataframe[TQZFunctionModuleType.HOLD_POSITION_PERIOD.value] = 0
                today_reverse_buySell_close_positions_dataframe[TQZFunctionModuleType.HOLD_POSITION_PERIOD.value] = 0
                all_merge_closePositions_holdPositions_period_dataframe = all_merge_closePositions_holdPositions_period_dataframe.append(
                    today_reverse_buySell_close_positions_dataframe,
                    ignore_index=True
                )

            else:
                yesterday_hold_positions_dataframe[TQZFunctionModuleType.HOLD_POSITION_PERIOD.value] += 1

                # calculate todayClose hold positions period dataframe
                todayClose_holdPositions_period_format_dataframe = cls.__calculate_todayClose_hold_positions_period_dataframe(
                    today_close_positions_dataframe=today_close_positions_dataframe,
                    yesterday_hold_positions_dataframe=yesterday_hold_positions_dataframe
                )

                # add hold-positions-period column to today_reverse_buySell_close_positions_period_dataframe
                all_merge_closePositions_holdPositions_period_dataframe = cls.__update_all_merge_closePositions_holdPositions_period_dataframe(
                    todayClose_holdPositions_period_format_dataframe=todayClose_holdPositions_period_format_dataframe,
                    today_reverse_buySell_close_positions_dataframe=today_reverse_buySell_close_positions_dataframe,
                    source_all_merge_closePositions_holdPositions_period_dataframe=all_merge_closePositions_holdPositions_period_dataframe
                )

                # update yesterday hold positions dataframe
                yesterday_hold_positions_dataframe = cls.__update_yesterday_hold_positions_dataframe(
                    today_open_positions_dataframe=today_open_positions_dataframe,
                    today_hold_positions_dataframe=today_hold_positions_dataframe,
                    today_close_positions_dataframe=today_close_positions_dataframe,
                    yesterday_hold_positions_dataframe=yesterday_hold_positions_dataframe
                )

        return all_merge_closePositions_holdPositions_period_dataframe

    @classmethod
    def __update_all_merge_closePositions_holdPositions_period_dataframe(cls, todayClose_holdPositions_period_format_dataframe, today_reverse_buySell_close_positions_dataframe, source_all_merge_closePositions_holdPositions_period_dataframe):
        """
        update all_merge_closePositions_holdPositions_period_dataframe
        """

        todayClose_holdPositions_period_format_dataframe.set_index([
            TQZClosePositionsDetailColumnType.CONTRACT.value,
            TQZBuySellType.BUY_SELL.value
        ], inplace=True)
        today_reverse_buySell_close_positions_dataframe.set_index([
            TQZClosePositionsDetailColumnType.CONTRACT.value,
            TQZBuySellType.BUY_SELL.value
        ], inplace=True)
        today_reverse_buySell_close_positions_dataframe[
            TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ] = todayClose_holdPositions_period_format_dataframe[
            TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ]
        today_reverse_buySell_close_positions_dataframe.reset_index(inplace=True)

        all_merge_closePositions_holdPositions_period_dataframe = source_all_merge_closePositions_holdPositions_period_dataframe.append(
            today_reverse_buySell_close_positions_dataframe,
            ignore_index=True
        )

        return all_merge_closePositions_holdPositions_period_dataframe

    @classmethod
    def __calculate_todayClose_hold_positions_period_dataframe(cls, today_close_positions_dataframe, yesterday_hold_positions_dataframe):
        """
        Calculate today_close_hold_positions_period with today_close_positions_dataframe and yesterday_hold_positions_dataframe
        """

        today_close_yesterdayHold_positions_dataframe = pandas.merge(
            today_close_positions_dataframe,
            yesterday_hold_positions_dataframe,
            how=TQZDefaultKey.LEFT.value,
            on=[TQZClosePositionsDetailColumnType.CONTRACT.value, TQZClosePositionsDetailColumnType.BUY_SELL.value]
        )
        today_close_yesterdayHold_positions_dataframe.fillna(0, inplace=True)
        today_close_yesterdayHold_positions_dataframe[
            TQZHoldPositionsPeriodKey.LOT.value
        ] = today_close_yesterdayHold_positions_dataframe[
                TQZHoldPositionsPeriodKey.LOT_X.value
            ] - today_close_yesterdayHold_positions_dataframe[
                TQZHoldPositionsPeriodKey.LOT_Y.value
            ]
        today_close_yesterdayHold_positions_dataframe.rename(
            columns={
                TQZHoldPositionsPeriodKey.LOT_X.value: TQZHoldPositionsPeriodKey.TODAY_CLOSE.value,
                TQZHoldPositionsPeriodKey.LOT_Y.value: TQZHoldPositionsPeriodKey.YESTERDAY_HOLD.value,
                TQZHoldPositionsPeriodKey.LOT.value: TQZHoldPositionsPeriodKey.TODAY_CLOSE_SUB_YESTERDAY_HOLD.value
            },
            inplace=True
        )
        today_close_yesterdayHold_positions_dataframe.loc[
            today_close_yesterdayHold_positions_dataframe[
                TQZHoldPositionsPeriodKey.TODAY_CLOSE_SUB_YESTERDAY_HOLD.value
            ] <= 0,
            TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ] = yesterday_hold_positions_dataframe[
            TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ]
        today_close_yesterdayHold_positions_dataframe.loc[
            today_close_yesterdayHold_positions_dataframe[
                TQZHoldPositionsPeriodKey.TODAY_CLOSE_SUB_YESTERDAY_HOLD.value
            ] >= 0, TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ] = round(
            (today_close_yesterdayHold_positions_dataframe[
                 TQZHoldPositionsPeriodKey.YESTERDAY_HOLD.value
             ] / today_close_yesterdayHold_positions_dataframe[
                 TQZHoldPositionsPeriodKey.TODAY_CLOSE.value
             ]) * yesterday_hold_positions_dataframe[
                TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
            ],
            5
        )

        todayClose_holdPositions_period_format_dataframe = pandas.DataFrame()
        todayClose_holdPositions_period_format_dataframe[
            TQZClosePositionsDetailColumnType.CONTRACT.value
        ] = today_close_yesterdayHold_positions_dataframe[
            TQZClosePositionsDetailColumnType.CONTRACT.value
        ]
        todayClose_holdPositions_period_format_dataframe[
            TQZBuySellType.BUY_SELL.value
        ] = today_close_yesterdayHold_positions_dataframe[
            TQZBuySellType.BUY_SELL.value
        ]
        todayClose_holdPositions_period_format_dataframe[
            TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ] = today_close_yesterdayHold_positions_dataframe[
            TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ]
        todayClose_holdPositions_period_format_dataframe.fillna(0, inplace=True)

        todayClose_holdPositions_period_format_dataframe[
            TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ] = round(todayClose_holdPositions_period_format_dataframe[TQZFunctionModuleType.HOLD_POSITION_PERIOD.value])
        todayClose_holdPositions_period_format_dataframe[
            TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ] = todayClose_holdPositions_period_format_dataframe[TQZFunctionModuleType.HOLD_POSITION_PERIOD.value].astype(int)

        return todayClose_holdPositions_period_format_dataframe

    @classmethod
    def __update_yesterday_hold_positions_dataframe(cls, today_open_positions_dataframe, today_hold_positions_dataframe, today_close_positions_dataframe, yesterday_hold_positions_dataframe):
        """
        Update yesterday-hold-positions-dataframe.
        """

        yesterday_hold_positions_dataframe.set_index([
            TQZHoldPositionsPeriodKey.CONTRACT.value,
            TQZHoldPositionsPeriodKey.BUY_SELL.value
        ], inplace=True)
        yesterday_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.YESTERDAY_HOLD.value
        ] = yesterday_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.LOT.value
        ]
        del yesterday_hold_positions_dataframe[TQZHoldPositionsPeriodKey.LOT.value]

        today_hold_positions_dataframe.set_index([
            TQZHoldPositionsPeriodKey.CONTRACT.value,
            TQZHoldPositionsPeriodKey.BUY_SELL.value
        ], inplace=True)
        today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.TODAY_HOLD.value
        ] = today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.LOT.value
        ]
        del today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.LOT.value
        ]

        today_open_positions_dataframe.set_index([
            TQZHoldPositionsPeriodKey.CONTRACT.value,
            TQZHoldPositionsPeriodKey.BUY_SELL.value
        ], inplace=True)
        today_close_positions_dataframe.set_index([
            TQZHoldPositionsPeriodKey.CONTRACT.value,
            TQZHoldPositionsPeriodKey.BUY_SELL.value
        ], inplace=True)

        today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.TODAY_CLOSE.value
        ] = today_close_positions_dataframe[
            TQZHoldPositionsPeriodKey.LOT.value
        ]
        today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.TODAY_OPEN.value
        ] = today_open_positions_dataframe[
            TQZHoldPositionsPeriodKey.LOT.value
        ]
        today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.YESTERDAY_HOLD.value
        ] = yesterday_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.YESTERDAY_HOLD.value
        ]
        today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.TOTAL_HOLD_POSITION_PERIOD_YESTERDAY.value
        ] = yesterday_hold_positions_dataframe[
            TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ]
        today_hold_positions_dataframe.fillna(0, inplace=True)

        today_hold_positions_dataframe.loc[
            today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.TODAY_CLOSE.value
            ] >= today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.YESTERDAY_HOLD.value
            ],
            TQZHoldPositionsPeriodKey.YESTERDAY_POSITION.value
        ] = 0
        today_hold_positions_dataframe.loc[
            today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.TODAY_CLOSE.value
            ] >= today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.YESTERDAY_HOLD.value
            ],
            TQZHoldPositionsPeriodKey.TODAY_POSITION.value
        ] = today_hold_positions_dataframe[TQZHoldPositionsPeriodKey.TODAY_HOLD.value]
        today_hold_positions_dataframe.loc[
            today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.TODAY_CLOSE.value
            ] < today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.YESTERDAY_HOLD.value
            ],
            TQZHoldPositionsPeriodKey.YESTERDAY_POSITION.value
        ] = today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.YESTERDAY_HOLD.value
            ] - today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.TODAY_CLOSE.value
            ]
        today_hold_positions_dataframe.loc[
            today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.TODAY_CLOSE.value
            ] < today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.YESTERDAY_HOLD.value
            ],
            TQZHoldPositionsPeriodKey.TODAY_POSITION.value
        ] = today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.TODAY_HOLD.value
            ] - today_hold_positions_dataframe[
                TQZHoldPositionsPeriodKey.YESTERDAY_POSITION.value
            ]
        today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.TOTAL_HOLD_POSITION_PERIOD_TODAY.value
        ] = round(
            (today_hold_positions_dataframe[TQZHoldPositionsPeriodKey.YESTERDAY_POSITION.value] /
             today_hold_positions_dataframe[TQZHoldPositionsPeriodKey.TODAY_HOLD.value]) *
            today_hold_positions_dataframe[TQZHoldPositionsPeriodKey.TOTAL_HOLD_POSITION_PERIOD_YESTERDAY.value],
            5
        )
        today_hold_positions_dataframe.reset_index(inplace=True)

        today_hold_positions_format_dataframe = pandas.DataFrame()
        today_hold_positions_format_dataframe[
            TQZHoldPositionsPeriodKey.CONTRACT.value
        ] = today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.CONTRACT.value
        ]
        today_hold_positions_format_dataframe[
            TQZHoldPositionsPeriodKey.BUY_SELL.value
        ] = today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.BUY_SELL.value
        ]
        today_hold_positions_format_dataframe[
            TQZHoldPositionsPeriodKey.LOT.value
        ] = today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.TODAY_HOLD.value
        ]
        today_hold_positions_format_dataframe[
            TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
        ] = today_hold_positions_dataframe[
            TQZHoldPositionsPeriodKey.TOTAL_HOLD_POSITION_PERIOD_TODAY.value
        ]

        yesterday_hold_positions_dataframe = today_hold_positions_format_dataframe

        return yesterday_hold_positions_dataframe

    @classmethod
    def __get_today_open_hold_close_reverseBuySellClose_positions_dataframes(cls, trade_record_all_path):
        """
        Get
        today_open_positions_dataframe、
        today_hold_positions_dataframe、
        today_close_positions_dataframe、
        today_reverse_buySell_close_positions_dataframe with trade_record_all_path.
        """

        today_open_positions_dataframe = TQZSplitDataframeOperator.get_open_positions_detail_format_dataframe(
            trade_record_all_path=trade_record_all_path
        )
        today_hold_positions_dataframe = TQZSplitDataframeOperator.get_hold_positions_detail_format_dataframe(
            trade_record_all_path=trade_record_all_path
        )
        today_close_positions_dataframe = TQZSplitDataframeOperator.get_close_positions_detail_format_dataframe(
            trade_record_all_path=trade_record_all_path
        )
        today_reverse_buySell_close_positions_dataframe = TQZSplitDataframeOperator.get_reverse_buySell_source_close_positions_detail_dataframe(
            trade_record_all_path=trade_record_all_path
        )

        return today_open_positions_dataframe, today_hold_positions_dataframe, today_close_positions_dataframe, today_reverse_buySell_close_positions_dataframe

    @classmethod
    def __init_all_merge_closePositions_holdPositions_period_dataframe(cls):
        """
        Init all merge close positions hold positions period dataframe.
        """

        return pandas.DataFrame(
            columns=[
                TQZClosePositionsDetailColumnType.CONTRACT.value,
                TQZClosePositionsDetailColumnType.BUY_SELL.value,
                TQZClosePositionsDetailColumnType.DEAL_PRICE.value,
                TQZClosePositionsDetailColumnType.OPEN_POSITION_PRICE.value,
                TQZClosePositionsDetailColumnType.LOT.value,
                TQZClosePositionsDetailColumnType.YESTERDAY_SETTLEMENT_PRICE.value,
                TQZClosePositionsDetailColumnType.CLOSE_POSITION_PROFIT_LOSS.value,
                TQZClosePositionsDetailColumnType.EXCHANGE.value,
                TQZClosePositionsDetailColumnType.OPTION_PRICE_INCOME_AND_EXPENSES.value,
                TQZFunctionModuleType.HOLD_POSITION_PERIOD.value
            ]
        )


if __name__ == '__main__':
    content_dictionary = TQZMergeAllClosePositionsHoldPositionsPeriodApi.merge_history_closePositions_holdPositions_period_dataframe(account_names=["JHcy0125"])

    print("content_dictionary: " + str(content_dictionary))

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