105 lines
3.5 KiB
Python
105 lines
3.5 KiB
Python
"""PaperBroker —— 回测中的虚拟撮合 / 账户。
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建模 A 股规则：
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- 100 股整数手（1手=100股）
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- T+1：当日买入次日才可卖（fast_mode 关闭此约束）
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- 印花税（卖出）、过户费（双边）、佣金（万1 最低5元）、滑点
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- 撮合价：以当根 bar 收盘价近似（阶段1 接 VWAP / 限价单）
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"""
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from __future__ import annotations
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from dataclasses import dataclass, field
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from ..commission import CostSchedule, DEFAULT, buy_cost, sell_cost
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from ..domain import Fill, Side
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LOT = 100 # A股 1 手 = 100 股
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@dataclass
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class PaperBroker:
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initial_cash: float = 100000.0
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schedule: CostSchedule = field(default_factory=lambda: DEFAULT)
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enable_costs: bool = True
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enable_t_plus_1: bool = True
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cash: float = field(init=False)
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holdings: float = 0.0 # 可卖数量
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locked: float = 0.0 # 当日买入（T+1 锁定）
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avg_price: float = 0.0
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fills: list[Fill] = field(default_factory=list)
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def __post_init__(self) -> None:
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self.cash = self.initial_cash
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@property
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def position(self) -> float:
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return self.holdings + self.locked
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def equity(self, price: float) -> float:
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return self.cash + self.position * price
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@staticmethod
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def _to_lots(qty: float) -> int:
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return int(qty // LOT) * LOT
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def buy_max(self, ts, price: float) -> Fill | None:
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"""用当前现金买尽可能多的整手。"""
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if price <= 0:
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return None
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rate = (
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self.schedule.commission_rate
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+ self.schedule.transfer_fee_rate
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+ self.schedule.slippage_rate
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) if self.enable_costs else 0.0
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affordable_qty = self.cash / (price * (1 + rate))
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qty = self._to_lots(affordable_qty)
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if qty <= 0:
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return None
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return self._execute_buy(ts, price, qty)
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def sell_all(self, ts, price: float) -> Fill | None:
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"""卖出全部可卖持仓（整手）。"""
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qty = self._to_lots(self.holdings)
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if qty <= 0:
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return None
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return self._execute_sell(ts, price, qty)
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def _execute_buy(self, ts, price: float, qty: int) -> Fill:
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if self.enable_costs:
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fp, comm, tf = buy_cost(price, qty, self.schedule)
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else:
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fp, comm, tf = price, 0.0, 0.0
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cost = fp * qty + comm + tf
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prev_pos = self.position
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new_pos = prev_pos + qty
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self.avg_price = (self.avg_price * prev_pos + fp * qty) / new_pos if new_pos else 0.0
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if self.enable_t_plus_1:
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self.locked += qty
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else:
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self.holdings += qty
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self.cash -= cost
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f = Fill(ts=ts, side=Side.BUY, price=fp, qty=qty, commission=comm, transfer_fee=tf)
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self.fills.append(f)
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return f
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def _execute_sell(self, ts, price: float, qty: int) -> Fill:
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if self.enable_costs:
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fp, comm, tf, sd = sell_cost(price, qty, self.schedule)
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else:
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fp, comm, tf, sd = price, 0.0, 0.0, 0.0
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proceeds = fp * qty - comm - tf - sd
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self.holdings -= qty
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self.cash += proceeds
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if self.position == 0:
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self.avg_price = 0.0
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f = Fill(ts=ts, side=Side.SELL, price=fp, qty=qty, commission=comm, stamp_duty=sd, transfer_fee=tf)
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self.fills.append(f)
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return f
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def release_t_plus_1(self) -> None:
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"""每根 bar 结束时调用：当日锁定转为次日可卖。"""
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if self.enable_t_plus_1:
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self.holdings += self.locked
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self.locked = 0.0
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