0.8.13 多头持仓对象新增最小持仓间隔控制 (waditu#65)

czsc/objects.py

@@ -361,6 +361,7 @@ def __init__(self, symbol: str,
                  hold_long_a: float = 0.5,
                  hold_long_b: float = 0.8,
                  hold_long_c: float = 1.0,
+                 long_min_interval: int = None,
                  cost: float = 0.003,
                  T0: bool = False):
         """多头持仓对象
@@ -369,13 +370,15 @@ def __init__(self, symbol: str,
         :param hold_long_a: 首次开多仓后的仓位
         :param hold_long_b: 第一次加多后的仓位
         :param hold_long_c: 第二次加多后的仓位
+        :param long_min_interval: 两次开多仓之间的最小时间间隔，单位：秒
         :param cost: 双边交易成本，默认为千分之三
         :param T0: 是否允许T0交易，默认为 False 表示不允许T0交易
         """
         assert 0 <= hold_long_a <= hold_long_b <= hold_long_c <= 1.0
 
         self.pos_changed = False
         self.symbol = symbol
+        self.long_min_interval = long_min_interval
         self.cost = cost
         self.T0 = T0
         self.pos_map = {
@@ -500,6 +503,12 @@ def update(self, dt: datetime, op: Operate, price: float, bid: int, op_desc: str
         old_pos = self.pos
 
         if state == 'hold_money' and op == Operate.LO:
+            if self.long_min_interval and self.operates:
+                assert self.operates[-1]['op'] == Operate.LE
+                # 当前和上次平多仓时间的间隔（秒）小于 long_min_interval，不允许开仓
+                if (dt - self.operates[-1]['dt']).total_seconds() < self.long_min_interval:
+                    return
+
             self.long_open()
             pos_changed = True
             self.today_pos = self.pos

test/test_objects.py

@@ -1,7 +1,7 @@
 # coding: utf-8
 from collections import OrderedDict
 import pandas as pd
-from czsc.objects import Signal, Factor, Event, Freq, Operate, PositionLong
+from czsc.objects import Signal, Factor, Event, Freq, Operate, PositionLong, PositionShort
 
 
 def test_signal():
@@ -213,3 +213,55 @@ def test_position_long_t0():
     assert len(pos_long.pairs) == 1
     pos_long.evaluate_operates()
 
+
+def test_position_long_min_interval():
+    """测试T0逻辑"""
+    pos_long = PositionLong(symbol="000001.XSHG", T0=False, long_min_interval=3600*72)
+
+    pos_long.update(dt=pd.to_datetime('2021-01-01'), op=Operate.HO, price=100, bid=0)
+    assert not pos_long.pos_changed and pos_long.pos == 0
+
+    pos_long.update(dt=pd.to_datetime('2021-01-02'), op=Operate.LO, price=100, bid=1, op_desc="首次开仓测试")
+    assert pos_long.pos_changed and pos_long.pos == 0.5
+
+    pos_long.update(dt=pd.to_datetime('2021-01-02'), op=Operate.LA1, price=100, bid=3)
+    assert pos_long.pos_changed and pos_long.pos == 0.8
+
+    pos_long.update(dt=pd.to_datetime('2021-01-02'), op=Operate.LA2, price=100, bid=5)
+    assert pos_long.pos_changed and pos_long.pos == 1
+
+    # T0 平仓信号不生效
+    pos_long.update(dt=pd.to_datetime('2021-01-02'), op=Operate.LE, price=100, bid=8)
+    assert not pos_long.pos_changed and pos_long.pos == 1
+
+    pos_long.update(dt=pd.to_datetime('2021-01-03'), op=Operate.LE, price=100, bid=10)
+    assert pos_long.pos_changed and pos_long.pos == 0
+
+    assert len(pos_long.pairs) == 1
+
+    pos_long.update(dt=pd.to_datetime('2021-01-04'), op=Operate.LE, price=100, bid=11)
+    assert not pos_long.pos_changed and pos_long.pos == 0
+
+    # 测试最小开仓间隔
+    pos_long.update(dt=pd.to_datetime('2021-01-04'), op=Operate.LO, price=100, bid=12, op_desc="第二次开仓测试")
+    assert not pos_long.pos_changed and pos_long.pos == 0
+
+    pos_long.update(dt=pd.to_datetime('2021-01-05'), op=Operate.LO, price=100, bid=13, op_desc="第二次开仓测试")
+    assert not pos_long.pos_changed and pos_long.pos == 0
+
+    pos_long.update(dt=pd.to_datetime('2021-01-06'), op=Operate.LO, price=100, bid=14, op_desc="第二次开仓测试")
+    assert pos_long.pos_changed and pos_long.pos == 0.5
+
+    pos_long.update(dt=pd.to_datetime('2021-01-09'), op=Operate.LA1, price=100, bid=15)
+    assert pos_long.pos_changed and pos_long.pos == 0.8
+
+    pos_long.update(dt=pd.to_datetime('2021-01-10'), op=Operate.LA2, price=100, bid=16)
+    assert pos_long.pos_changed and pos_long.pos == 1
+
+    assert len(pos_long.pairs) == 1
+
+    print(pos_long.evaluate_operates())
+
+
+# TODO: 编写空头持仓对象的单元测试
+