249 lines
9.6 KiB
Python
249 lines
9.6 KiB
Python
# -*- encoding:utf-8 -*-
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"""
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手续费模块
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"""
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from __future__ import print_function
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from __future__ import absolute_import
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from __future__ import division
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import logging
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from contextlib import contextmanager
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import numpy as np
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import pandas as pd
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from ..MarketBu.ABuSymbolFutures import AbuFuturesCn
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from ..CoreBu.ABuFixes import partial
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from ..CoreBu import ABuEnv
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from ..CoreBu.ABuEnv import EMarketTargetType
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from .ABuOrder import OrderMarket
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from ..MarketBu import ABuMarket
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__author__ = '阿布'
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__weixin__ = 'abu_quant'
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# noinspection PyUnusedLocal
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def calc_commission_us(trade_cnt, price):
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"""
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美股计算交易费用：每股0.01，最低消费2.99
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:param trade_cnt: 交易的股数（int）
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:param price: 每股的价格（美元）（暂不使用，只是保持接口统一）
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:return: 计算结果手续费
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"""
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# 每股手续费0.01
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commission = trade_cnt * 0.01
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if commission < 2.99:
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# 最低消费2.99
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commission = 2.99
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return commission
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def calc_commission_cn(trade_cnt, price):
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"""
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a股计算交易费用：印花税＋佣金： 印花税万3，佣金万2.5
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:param trade_cnt: 交易的股数（int）
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:param price: 每股的价格（人民币）
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:return: 计算结果手续费
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"""
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cost = trade_cnt * price
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# 印花税万3，
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tax = cost * 0.0003
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# 佣金万2.5
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commission = cost * 0.00025
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# 佣金最低5
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commission = commission if commission > 5 else 5
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commission += tax
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return commission
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def calc_commission_hk(trade_cnt, price):
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"""
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h股计算交易费用：印花税＋佣金： 佣金千分之二，印花税千分之一
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:param trade_cnt: 交易的股数（int）
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:param price: 每股的价格（人民币）
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:return: 计算结果手续费
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"""
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cost = trade_cnt * price
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# 印花税千分之一
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tax = cost * 0.001
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# 佣金千分之二，
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commission = cost * 0.002
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commission += tax
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return commission
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def calc_commission_tc(trade_cnt, price):
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"""
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币类计算交易费用：只简单计算手续费，双向都使用流通币计算手续费，不涉及卖出使用币类的手续计算，
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如需要更精确计算，请使用自定义计算费率，即在AbuCommission初始化中自定义计算手续费的方法
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:param trade_cnt: 交易的币个数（int）
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:param price: 每币的价格（人民币）
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:return: 计算结果手续费
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"""
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cost = trade_cnt * price
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# 双向都使用流通币计算手续费，千分之2
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commission = cost * 0.002
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return commission
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# noinspection PyUnusedLocal
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def calc_commission_futures_cn(trade_cnt, price, symbol_name):
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"""
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期货计算交易费用：首先查询对应商品单位交易量（每手单位数量），以及每手手续费，再计算对应手续费
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:param trade_cnt: 交易的单位数量（int）
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:param price: 买入的价格（暂不使用，只是保持接口统一）
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:param symbol_name: 商品查询symbol
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:return: 计算结果手续费
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"""
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min_unit = 10
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commission_unit = 10
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# 查询商品期货的对应df
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q_df = AbuFuturesCn().query_symbol(symbol_name)
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if q_df is not None:
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# 每手单位数量
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min_unit = q_df.min_unit.values[0]
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# 每手交易手续费
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commission_unit = q_df.commission.values[0]
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commission = trade_cnt / min_unit * commission_unit
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return commission
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def calc_options_us(trade_cnt, price):
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"""
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美股期权：差别很大，最好外部自定义自己的计算方法，这里只简单按照0.0035计算
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:param trade_cnt: 交易的股数（int）
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:param price: 每股的价格（美元
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:return: 计算结果手续费
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"""
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cost = trade_cnt * price
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# 美股期权各个券商以及个人方式差别很大，最好外部自定义计算方法，这里只简单按照0.0035计算
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commission = cost * 0.0035
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return commission
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def calc_commission_futures_global(trade_cnt, price):
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"""
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国际期货：差别很大，最好外部自定义自己的计算方法，这里只简单按照0.002计算
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:param trade_cnt: 交易的股数（int）
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:param price: 每股的价格（美元）
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:return: 计算结果手续费
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"""
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cost = trade_cnt * price
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# 国际期货各个券商以及代理方式差别很大，最好外部自定义计算方法，这里只简单按照0.002计算
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commission = cost * 0.002
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return commission
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class AbuCommission(object):
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"""交易手续费计算，记录，分析类，在AbuCapital中实例化"""
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def __init__(self, commission_dict):
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"""
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:param commission_dict: 代表用户自定义手续费计算dict对象，
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key：buy_commission_func， 代表用户自定义买入计算费用方法
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key：sell_commission_func，代表用户自定义卖出计算费用方法
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"""
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self.commission_dict = commission_dict
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# 对象内部记录交易的pd.DataFrame对象，列设定
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self.df_columns = ['type', 'date', 'symbol', 'commission']
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# 构建手续费记录pd.DataFrame对象commission_df
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self.commission_df = pd.DataFrame(columns=self.df_columns)
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def __str__(self):
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"""打印对象显示：如果有手续费记录，打印记录df，否则打印commission_df.info"""
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if self.commission_df.shape[0] == 0:
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return str(self.commission_df.info())
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return str(self.commission_df)
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__repr__ = __str__
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# noinspection PyMethodMayBeStatic
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def _commission_enter(self, a_order):
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"""
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通过a_order对象进行交易对象市场类型转换，分配对应手续费计算方法
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:param a_order: 交易单对象AbuOrder实例
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:return:
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"""
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# 如果使用env中统一设置，即不需要通过OrderMarket对单子查询市场，提高运行效率，详ABuMarket
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market = ABuEnv.g_market_target if ABuMarket.g_use_env_market_set \
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else OrderMarket(a_order).symbol_market
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# 不同的市场不同的计算手续费方法
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if market == EMarketTargetType.E_MARKET_TARGET_US:
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# 美股
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calc_commission_func = calc_commission_us
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elif market == EMarketTargetType.E_MARKET_TARGET_CN:
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# a股
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calc_commission_func = calc_commission_cn
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elif market == EMarketTargetType.E_MARKET_TARGET_HK:
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# h股
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calc_commission_func = calc_commission_hk
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elif market == EMarketTargetType.E_MARKET_TARGET_TC:
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# 币类
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calc_commission_func = calc_commission_tc
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elif market == EMarketTargetType.E_MARKET_TARGET_FUTURES_CN:
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# 期货
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calc_commission_func = partial(calc_commission_futures_cn, symbol_name=a_order.buy_symbol)
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elif market == EMarketTargetType.E_MARKET_TARGET_OPTIONS_US:
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# 美股期权
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calc_commission_func = calc_options_us
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elif market == EMarketTargetType.E_MARKET_TARGET_FUTURES_GLOBAL:
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# 国际期货
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calc_commission_func = calc_commission_futures_global
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else:
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raise TypeError('buy_stock market error!!!')
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return calc_commission_func
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@contextmanager
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def buy_commission_func(self, a_order):
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"""
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外部用with as 返回的list中需要加入计算的最终结果，否则不进行内部交易费用记录
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:param a_order: 买单对象AbuOrder实例
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"""
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if self.commission_dict is not None and 'buy_commission_func' in self.commission_dict:
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# 如果有自定义计算交易费的方法使用自定义的
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buy_func = self.commission_dict['buy_commission_func']
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else:
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buy_func = self._commission_enter(a_order)
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# 使用list因为是可变类型，需要将外面的结果带回来
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commission_list = list()
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yield buy_func, commission_list
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# 如果有外部有append，说明需要记录手续费，且执行计算成功
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if len(commission_list) == 1:
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commission = commission_list[0]
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# 将买单对象AbuOrder实例中的数据转换成交易记录需要的np.array对象
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record = np.array(['buy', a_order.buy_date, a_order.buy_symbol, commission]).reshape(1, 4)
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record_df = pd.DataFrame(record, columns=self.df_columns)
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self.commission_df = self.commission_df.append(record_df)
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else:
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logging.info('buy_commission_func calc error')
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@contextmanager
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def sell_commission_func(self, a_order):
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"""
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外部用with as 返回的list中需要加入计算的最终结果，否则不进行内部交易费用记录
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:param a_order: 卖单对象AbuOrder实例
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"""
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if self.commission_dict is not None and 'sell_commission_func' in self.commission_dict:
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# 如果有自定义计算交易费的方法使用自定义的
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sell_func = self.commission_dict['sell_commission_func']
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else:
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sell_func = self._commission_enter(a_order)
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# 使用list因为是可变类型，需要将外面的结果带回来
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commission_list = list()
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yield sell_func, commission_list
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if len(commission_list) == 1:
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commission = commission_list[0]
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# 将卖单对象AbuOrder实例中的数据转换成交易记录需要的np.array对象
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record = np.array(['sell', a_order.sell_date, a_order.buy_symbol, commission]).reshape(1, 4)
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record_df = pd.DataFrame(record, columns=self.df_columns)
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self.commission_df = self.commission_df.append(record_df)
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else:
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logging.info('sell_commission_func calc error!!!')
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