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# 本代码由可视化策略环境自动生成 2022年8月8日 17:18
# 本代码单元只能在可视化模式下编辑。您也可以拷贝代码，粘贴到新建的代码单元或者策略，然后修改。


# Python 代码入口函数，input_1/2/3 对应三个输入端，data_1/2/3 对应三个输出端
def m6_run_bigquant_run(input_1, input_2, input_3):
    df = input_1.read_df()
    
    # 数据格式统一：float
    col_names = list(df.columns)
    col_names.remove('instrument')
    col_names.remove('date')
    df.loc[:,col_names] = df.loc[:,col_names].astype(float)
    
    # 处理数据：inf_
    import numpy as np
    df.loc[:,col_names] = df.loc[:,col_names].where(~np.isinf(df.loc[:,col_names].values),other=np.nan)
    data_1 = DataSource.write_df(df)
    return Outputs(data_1=data_1, data_2=None, data_3=None)

# 后处理函数，可选。输入是主函数的输出，可以在这里对数据做处理，或者返回更友好的outputs数据格式。此函数输出不会被缓存。
def m6_post_run_bigquant_run(outputs):
    return outputs

# Python 代码入口函数，input_1/2/3 对应三个输入端，data_1/2/3 对应三个输出端
def m8_run_bigquant_run(input_1, input_2, input_3):
    df = input_1.read_df()
    
    # 数据格式统一：float
    col_names = list(df.columns)
    col_names.remove('instrument')
    col_names.remove('date')
    df.loc[:,col_names] = df.loc[:,col_names].astype(float)
    
    # 处理数据：inf_
    import numpy as np
    df.loc[:,col_names] = df.loc[:,col_names].where(~np.isinf(df.loc[:,col_names].values),other=np.nan)
    data_1 = DataSource.write_df(df)
    return Outputs(data_1=data_1, data_2=None, data_3=None)

# 后处理函数，可选。输入是主函数的输出，可以在这里对数据做处理，或者返回更友好的outputs数据格式。此函数输出不会被缓存。
def m8_post_run_bigquant_run(outputs):
    return outputs

# 回测引擎：初始化函数，只执行一次
def m11_initialize_bigquant_run(context):
    # 加载预测数据
    context.ranker_prediction = context.options['data'].read_df()

    # 系统已经设置了默认的交易手续费和滑点，要修改手续费可使用如下函数
    context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))
    # 预测数据，通过options传入进来，使用 read_df 函数，加载到内存 (DataFrame)
    # 设置买入的股票数量，这里买入预测股票列表排名靠前的5只
    stock_count = 50
    # 每只的股票的权重，如下的权重分配会使得靠前的股票分配多一点的资金，[0.339160, 0.213986, 0.169580, ..]
    context.stock_weights = T.norm([1 / math.log(i + 2) for i in range(0, stock_count)])
    # 设置每只股票占用的最大资金比例
    context.max_cash_per_instrument = 0.2
    context.options['hold_days'] = 5

# 回测引擎：每日数据处理函数，每天执行一次
def m11_handle_data_bigquant_run(context, data):
    # 按日期过滤得到今日的预测数据
    ranker_prediction = context.ranker_prediction[
        context.ranker_prediction.date == data.current_dt.strftime('%Y-%m-%d')]
    
    ranker_prediction = ranker_prediction.sort_values('pred_label',ascending=False)
    
    # 1. 资金分配
    # 平均持仓时间是hold_days，每日都将买入股票，每日预期使用 1/hold_days 的资金
    # 实际操作中，会存在一定的买入误差，所以在前hold_days天，等量使用资金；之后，尽量使用剩余资金（这里设置最多用等量的1.5倍）
    is_staging = context.trading_day_index < context.options['hold_days'] # 是否在建仓期间（前 hold_days 天）
    cash_avg = context.portfolio.portfolio_value / context.options['hold_days']
    cash_for_buy = min(context.portfolio.cash, (1 if is_staging else 1.5) * cash_avg)
    cash_for_sell = cash_avg - (context.portfolio.cash - cash_for_buy)
    positions = {e.symbol: p.amount * p.last_sale_price
                 for e, p in context.perf_tracker.position_tracker.positions.items()}

    # 2. 生成卖出订单：hold_days天之后才开始卖出；对持仓的股票，按机器学习算法预测的排序末位淘汰
    if not is_staging and cash_for_sell > 0:
        equities = {e.symbol: e for e, p in context.perf_tracker.position_tracker.positions.items()}
        instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(
                lambda x: x in equities and not context.has_unfinished_sell_order(equities[x]))])))
        # print('rank order for sell %s' % instruments)
        for instrument in instruments:
            context.order_target(context.symbol(instrument), 0)
            cash_for_sell -= positions[instrument]
            if cash_for_sell <= 0:
                break

    # 3. 生成买入订单：按机器学习算法预测的排序，买入前面的stock_count只股票
    buy_cash_weights = context.stock_weights
    buy_instruments = list(ranker_prediction.instrument[:len(buy_cash_weights)])
    max_cash_per_instrument = context.portfolio.portfolio_value * context.max_cash_per_instrument
    for i, instrument in enumerate(buy_instruments):
        cash = cash_for_buy * buy_cash_weights[i]
        if cash > max_cash_per_instrument - positions.get(instrument, 0):
            # 确保股票持仓量不会超过每次股票最大的占用资金量
            cash = max_cash_per_instrument - positions.get(instrument, 0)
        if cash > 0:
            context.order_value(context.symbol(instrument), cash)

# 回测引擎：准备数据，只执行一次
def m11_prepare_bigquant_run(context):
    pass

# 回测引擎：每个单位时间开始前调用一次，即每日开盘前调用一次。
def m11_before_trading_start_bigquant_run(context, data):
    pass


g = T.Graph({

    'm1': 'M.instruments.v2',
    'm1.start_date': '2016-01-01',
    'm1.end_date': '2019-01-01',
    'm1.market': 'CN_STOCK_A',
    'm1.instrument_list': '',
    'm1.max_count': 0,

    'm2': 'M.advanced_auto_labeler.v2',
    'm2.instruments': T.Graph.OutputPort('m1.data'),
    'm2.label_expr': """# #号开始的表示注释
# 0. 每行一个，顺序执行，从第二个开始，可以使用label字段
# 1. 可用数据字段见 https://bigquant.com/docs/develop/datasource/deprecated/history_data.html
#   添加benchmark_前缀，可使用对应的benchmark数据
# 2. 可用操作符和函数见 `表达式引擎 <https://bigquant.com/docs/develop/bigexpr/usage.html>`_

# 计算收益：5日收盘价(作为卖出价格)除以明日开盘价(作为买入价格)
shift(close, -5) / shift(open, -1)

# 极值处理：用1%和99%分位的值做clip
clip(label, all_quantile(label, 0.01), all_quantile(label, 0.99))

# 将分数映射到分类，这里使用20个分类
#all_wbins(label, 20)

# 过滤掉一字涨停的情况 (设置label为NaN，在后续处理和训练中会忽略NaN的label)
where(shift(high, -1) == shift(low, -1), NaN, label)
""",
    'm2.start_date': '',
    'm2.end_date': '',
    'm2.benchmark': '000300.SHA',
    'm2.drop_na_label': True,
    'm2.cast_label_int': False,

    'm4': 'M.standardlize.v9',
    'm4.input_1': T.Graph.OutputPort('m2.data'),
    'm4.standard_func': 'ZScoreNorm',
    'm4.columns_input': 'label',

    'm3': 'M.input_features.v1',
    'm3.features': """close_0
open_0
ts_rank(close_0, 5)
decay_linear(return_0, 5)
correlation(volume_0, turn_0, 5)
  
""",

    'm15': 'M.general_feature_extractor.v7',
    'm15.instruments': T.Graph.OutputPort('m1.data'),
    'm15.features': T.Graph.OutputPort('m3.data'),
    'm15.start_date': '',
    'm15.end_date': '',
    'm15.before_start_days': 90,

    'm16': 'M.derived_feature_extractor.v3',
    'm16.input_data': T.Graph.OutputPort('m15.data'),
    'm16.features': T.Graph.OutputPort('m3.data'),
    'm16.date_col': 'date',
    'm16.instrument_col': 'instrument',
    'm16.drop_na': False,
    'm16.remove_extra_columns': False,

    'm7': 'M.join.v3',
    'm7.data1': T.Graph.OutputPort('m4.data'),
    'm7.data2': T.Graph.OutputPort('m16.data'),
    'm7.on': 'date,instrument',
    'm7.how': 'inner',
    'm7.sort': True,

    'm6': 'M.cached.v3',
    'm6.input_1': T.Graph.OutputPort('m7.data'),
    'm6.run': m6_run_bigquant_run,
    'm6.post_run': m6_post_run_bigquant_run,
    'm6.input_ports': '',
    'm6.params': '{}',
    'm6.output_ports': '',

    'm13': 'M.dropnan.v1',
    'm13.input_data': T.Graph.OutputPort('m6.data_1'),

    'm9': 'M.instruments.v2',
    'm9.start_date': T.live_run_param('trading_date', '2019-01-01'),
    'm9.end_date': T.live_run_param('trading_date', '2022-01-01'),
    'm9.market': 'CN_STOCK_A',
    'm9.instrument_list': '',
    'm9.max_count': 0,

    'm17': 'M.general_feature_extractor.v7',
    'm17.instruments': T.Graph.OutputPort('m9.data'),
    'm17.features': T.Graph.OutputPort('m3.data'),
    'm17.start_date': '',
    'm17.end_date': '',
    'm17.before_start_days': 90,

    'm18': 'M.derived_feature_extractor.v3',
    'm18.input_data': T.Graph.OutputPort('m17.data'),
    'm18.features': T.Graph.OutputPort('m3.data'),
    'm18.date_col': 'date',
    'm18.instrument_col': 'instrument',
    'm18.drop_na': False,
    'm18.remove_extra_columns': False,

    'm5': 'M.advanced_auto_labeler.v2',
    'm5.instruments': T.Graph.OutputPort('m9.data'),
    'm5.label_expr': """# #号开始的表示注释
# 0. 每行一个，顺序执行，从第二个开始，可以使用label字段
# 1. 可用数据字段见 https://bigquant.com/docs/develop/datasource/deprecated/history_data.html
#   添加benchmark_前缀，可使用对应的benchmark数据
# 2. 可用操作符和函数见 `表达式引擎 <https://bigquant.com/docs/develop/bigexpr/usage.html>`_

# 计算收益：5日收盘价(作为卖出价格)除以明日开盘价(作为买入价格)
shift(close, -5) / shift(open, -1)

# 极值处理：用1%和99%分位的值做clip
clip(label, all_quantile(label, 0.01), all_quantile(label, 0.99))

# 将分数映射到分类，这里使用20个分类
#all_wbins(label, 20)

# 过滤掉一字涨停的情况 (设置label为NaN，在后续处理和训练中会忽略NaN的label)
where(shift(high, -1) == shift(low, -1), NaN, label)
""",
    'm5.start_date': '',
    'm5.end_date': '',
    'm5.benchmark': '000300.SHA',
    'm5.drop_na_label': True,
    'm5.cast_label_int': False,

    'm19': 'M.standardlize.v9',
    'm19.input_1': T.Graph.OutputPort('m5.data'),
    'm19.standard_func': 'ZScoreNorm',
    'm19.columns_input': 'label',

    'm20': 'M.join.v3',
    'm20.data1': T.Graph.OutputPort('m19.data'),
    'm20.data2': T.Graph.OutputPort('m18.data'),
    'm20.on': 'date,instrument',
    'm20.how': 'inner',
    'm20.sort': True,

    'm8': 'M.cached.v3',
    'm8.input_1': T.Graph.OutputPort('m20.data'),
    'm8.run': m8_run_bigquant_run,
    'm8.post_run': m8_post_run_bigquant_run,
    'm8.input_ports': '',
    'm8.params': '{}',
    'm8.output_ports': '',

    'm14': 'M.dropnan.v1',
    'm14.input_data': T.Graph.OutputPort('m8.data_1'),

    'm10': 'M.random_forest_regressor.v1',
    'm10.training_ds': T.Graph.OutputPort('m13.data'),
    'm10.features': T.Graph.OutputPort('m3.data'),
    'm10.predict_ds': T.Graph.OutputPort('m14.data'),
    'm10.iterations': 20,
    'm10.feature_fraction': 0.7,
    'm10.max_depth': 30,
    'm10.min_samples_per_leaf': 200,
    'm10.key_cols': 'date,instrument',
    'm10.workers': 4,
    'm10.random_state': 0,
    'm10.other_train_parameters': {
    'criterion':'mse',
},

    'm11': 'M.trade.v4',
    'm11.instruments': T.Graph.OutputPort('m9.data'),
    'm11.options_data': T.Graph.OutputPort('m10.predictions'),
    'm11.start_date': '',
    'm11.end_date': '',
    'm11.initialize': m11_initialize_bigquant_run,
    'm11.handle_data': m11_handle_data_bigquant_run,
    'm11.prepare': m11_prepare_bigquant_run,
    'm11.before_trading_start': m11_before_trading_start_bigquant_run,
    'm11.volume_limit': 0.025,
    'm11.order_price_field_buy': 'open',
    'm11.order_price_field_sell': 'close',
    'm11.capital_base': 1000000,
    'm11.auto_cancel_non_tradable_orders': True,
    'm11.data_frequency': 'daily',
    'm11.price_type': '真实价格',
    'm11.product_type': '股票',
    'm11.plot_charts': True,
    'm11.backtest_only': False,
    'm11.benchmark': '000300.HIX',
})

# g.run({})


def m12_run_bigquant_run(
    bq_graph,
    inputs,
    trading_days_market='CN', # 使用那个市场的交易日历, TODO
    train_instruments_mid='m1', # 训练数据 证券代码列表 模块id
    test_instruments_mid='m9', # 测试数据 证券代码列表 模块id
    predict_mid='m10', # 预测 模块id
    trade_mid='m11', # 回测 模块id
    start_date='2019-01-04', # 数据开始日期
    end_date=T.live_run_param('trading_date', '2022-01-01'), # 数据结束日期
    train_update_days=250, # 更新周期，按交易日计算，每多少天更新一次
    train_update_days_for_live=None, #模拟实盘模式下的更新周期，按交易日计算，每多少天更新一次。如果需要在模拟实盘阶段使用不同的模型更新周期，可以设置这个参数
    train_data_min_days=230, # 最小数据天数，按交易日计算，所以第一个滚动的结束日期是 从开始日期到开始日期+最小数据天数
    train_data_max_days=250, # 最大数据天数，按交易日计算，0，表示没有限制，否则每一个滚动的开始日期=max(此滚动的结束日期-最大数据天数, 开始日期
    rolling_count_for_live=1, #实盘模式下滚动次数，模拟实盘模式下，取最后多少次滚动。一般在模拟实盘模式下，只用到最后一次滚动训练的模型，这里可以设置为1；如果你的滚动训练数据时间段很短，以至于期间可能没有训练数据，这里可以设置大一点。0表示没有限制
):
    def merge_datasources(input_1):
        df_list = [ds[0].read_df().set_index('date').loc[ds[1]:].reset_index() for ds in input_1]
        df = pd.concat(df_list)
        instrument_data = {
            'start_date': df['date'].min().strftime('%Y-%m-%d'),
            'end_date': df['date'].max().strftime('%Y-%m-%d'),
            'instruments': list(set(df['instrument'])),
        }
        return Outputs(data=DataSource.write_df(df), instrument_data=DataSource.write_pickle(instrument_data))

    def gen_rolling_dates(trading_days_market, start_date, end_date, train_update_days, train_update_days_for_live, train_data_min_days, train_data_max_days, rolling_count_for_live):
        # 是否实盘模式
        tdays = list(D.trading_days(market=trading_days_market, start_date=start_date, end_date=end_date)['date'])
        is_live_run = T.live_run_param('trading_date', None) is not None

        if is_live_run and train_update_days_for_live:
            train_update_days = train_update_days_for_live

        rollings = []
        train_end_date = train_data_min_days
        while train_end_date < len(tdays):
            if train_data_max_days is not None and train_data_max_days > 0:
                train_start_date = max(train_end_date - train_data_max_days, 0)
            else:
                train_start_date = 0
            rollings.append({
                'train_start_date': tdays[train_start_date].strftime('%Y-%m-%d'),
                'train_end_date': tdays[train_end_date - 1].strftime('%Y-%m-%d'),
                'test_start_date': tdays[train_end_date].strftime('%Y-%m-%d'),
                'test_end_date': tdays[min(train_end_date + train_update_days, len(tdays)) - 1].strftime('%Y-%m-%d'),
            })
            train_end_date += train_update_days

        if not rollings:
            raise Exception('没有滚动需要执行，请检查配置')

        if is_live_run and rolling_count_for_live:
            rollings = rollings[-rolling_count_for_live:]

        return rollings

    g = bq_graph

    rolling_dates = gen_rolling_dates(
        trading_days_market, start_date, end_date, train_update_days, train_update_days_for_live, train_data_min_days, train_data_max_days, rolling_count_for_live)

    # 训练和预测
    results = []
    for rolling in rolling_dates:
        parameters = {}
        # 先禁用回测
        parameters[trade_mid + '.__enabled__'] = False
        parameters[train_instruments_mid + '.start_date'] = rolling['train_start_date']
        parameters[train_instruments_mid + '.end_date'] = rolling['train_end_date']
        parameters[test_instruments_mid + '.start_date'] = rolling['test_start_date']
        parameters[test_instruments_mid + '.end_date'] = rolling['test_end_date']
        # print('------ rolling_train:', parameters)
        results.append(g.run(parameters))

    # 合并预测结果并回测
    mx = M.cached.v3(run=merge_datasources, input_1=[[result[predict_mid].predictions, result[test_instruments_mid].data.read_pickle()['start_date']] for result in results])
    parameters = {}
    parameters['*.__enabled__'] = False
    parameters[trade_mid + '.__enabled__'] = True
    parameters[trade_mid + '.instruments'] = mx.instrument_data
    parameters[trade_mid + '.options_data'] = mx.data

    trade = g.run(parameters)

    return {'rollings': results, 'trade': trade}


m12 = M.hyper_rolling_train.v1(
    run=m12_run_bigquant_run,
    run_now=True,
    bq_graph=g
)

[2022-08-08 17:12:05.576202] INFO: moduleinvoker: instruments.v2 开始运行..

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[2022-08-08 17:12:05.762459] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:05.764586] INFO: moduleinvoker: standardlize.v9 运行完成[0.015955s].

[2022-08-08 17:12:05.783729] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-08-08 17:12:05.790992] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:05.792661] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.008935s].

[2022-08-08 17:12:05.802913] INFO: moduleinvoker: join.v3 开始运行..

[2022-08-08 17:12:05.809888] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:05.813001] INFO: moduleinvoker: join.v3 运行完成[0.01007s].

[2022-08-08 17:12:05.825748] INFO: moduleinvoker: join.v3 开始运行..

[2022-08-08 17:12:05.834133] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:05.836661] INFO: moduleinvoker: join.v3 运行完成[0.010924s].

[2022-08-08 17:12:05.852872] INFO: moduleinvoker: cached.v3 开始运行..

[2022-08-08 17:12:09.459851] INFO: moduleinvoker: cached.v3 运行完成[3.606985s].

[2022-08-08 17:12:09.486215] INFO: moduleinvoker: cached.v3 开始运行..

[2022-08-08 17:12:12.657087] INFO: moduleinvoker: cached.v3 运行完成[3.17088s].

[2022-08-08 17:12:12.678128] INFO: moduleinvoker: dropnan.v1 开始运行..

[2022-08-08 17:12:15.375092] INFO: dropnan: /data, 810481/810901

[2022-08-08 17:12:15.419319] INFO: dropnan: 行数: 810481/810901

[2022-08-08 17:12:15.431626] INFO: moduleinvoker: dropnan.v1 运行完成[2.753485s].

[2022-08-08 17:12:15.442408] INFO: moduleinvoker: dropnan.v1 开始运行..

[2022-08-08 17:12:18.343107] INFO: dropnan: /data, 942336/943598

[2022-08-08 17:12:18.389570] INFO: dropnan: 行数: 942336/943598

[2022-08-08 17:12:18.398327] INFO: moduleinvoker: dropnan.v1 运行完成[2.955923s].

[2022-08-08 17:12:18.543224] INFO: moduleinvoker: random_forest_regressor.v1 开始运行..

[2022-08-08 17:12:47.348166] INFO: moduleinvoker: random_forest_regressor.v1 运行完成[28.80495s].

[2022-08-08 17:12:47.354880] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-08-08 17:12:47.361403] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:47.362746] INFO: moduleinvoker: instruments.v2 运行完成[0.007862s].

[2022-08-08 17:12:47.370285] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-08-08 17:12:47.377081] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:47.378697] INFO: moduleinvoker: input_features.v1 运行完成[0.008412s].

[2022-08-08 17:12:47.384134] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-08-08 17:12:47.395885] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:47.397086] INFO: moduleinvoker: instruments.v2 运行完成[0.012952s].

[2022-08-08 17:12:47.404879] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-08-08 17:12:47.411490] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:47.414110] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.009219s].

[2022-08-08 17:12:47.435122] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-08-08 17:12:47.441790] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:47.443506] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.008399s].

[2022-08-08 17:12:47.493983] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-08-08 17:12:47.509128] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:47.511025] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.017043s].

[2022-08-08 17:12:47.529157] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-08-08 17:12:51.692527] INFO: 基础特征抽取: 年份 2020, 特征行数=255775

[2022-08-08 17:12:54.275668] INFO: 基础特征抽取: 年份 2021, 特征行数=1061527

[2022-08-08 17:12:54.339130] INFO: 基础特征抽取: 总行数: 1317302

[2022-08-08 17:12:54.347375] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[6.818249s].

[2022-08-08 17:12:54.352133] INFO: moduleinvoker: standardlize.v9 开始运行..

[2022-08-08 17:12:54.357277] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:54.358618] INFO: moduleinvoker: standardlize.v9 运行完成[0.006484s].

[2022-08-08 17:12:54.374031] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-08-08 17:12:54.380592] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:54.381816] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.007783s].

[2022-08-08 17:12:54.386142] INFO: moduleinvoker: standardlize.v9 开始运行..

[2022-08-08 17:12:54.394463] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:12:54.395641] INFO: moduleinvoker: standardlize.v9 运行完成[0.009498s].

[2022-08-08 17:12:54.401437] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-08-08 17:13:00.719673] INFO: derived_feature_extractor: 提取完成 ts_rank(close_0, 5), 4.144s

[2022-08-08 17:13:03.441406] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0, 5), 2.720s

[2022-08-08 17:13:36.629386] INFO: derived_feature_extractor: 提取完成 correlation(volume_0, turn_0, 5), 33.186s

[2022-08-08 17:13:37.188341] INFO: derived_feature_extractor: /y_2020, 255775

[2022-08-08 17:13:38.883978] INFO: derived_feature_extractor: /y_2021, 1061527

[2022-08-08 17:13:39.406411] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[45.00495s].

[2022-08-08 17:13:39.420827] INFO: moduleinvoker: join.v3 开始运行..

[2022-08-08 17:13:39.428604] INFO: moduleinvoker: 命中缓存

[2022-08-08 17:13:39.431062] INFO: moduleinvoker: join.v3 运行完成[0.0102s].

[2022-08-08 17:13:39.442669] INFO: moduleinvoker: join.v3 开始运行..

[2022-08-08 17:13:42.394671] INFO: join: /y_2020, 行数=20490/255775, 耗时=0.876151s

[2022-08-08 17:13:47.219477] INFO: join: /y_2021, 行数=1035254/1061527, 耗时=4.822468s

[2022-08-08 17:13:47.608127] INFO: join: 最终行数: 1055744

[2022-08-08 17:13:47.618854] INFO: moduleinvoker: join.v3 运行完成[8.176185s].

[2022-08-08 17:13:47.636165] INFO: moduleinvoker: cached.v3 开始运行..

[2022-08-08 17:13:50.712653] INFO: moduleinvoker: cached.v3 运行完成[3.076521s].

[2022-08-08 17:13:50.729342] INFO: moduleinvoker: cached.v3 开始运行..

[2022-08-08 17:13:54.562310] INFO: moduleinvoker: cached.v3 运行完成[3.832973s].

[2022-08-08 17:13:54.583720] INFO: moduleinvoker: dropnan.v1 开始运行..

[2022-08-08 17:13:57.291594] INFO: dropnan: /data, 942336/943598

[2022-08-08 17:13:57.338971] INFO: dropnan: 行数: 942336/943598

[2022-08-08 17:13:57.349766] INFO: moduleinvoker: dropnan.v1 运行完成[2.766027s].

[2022-08-08 17:13:57.358506] INFO: moduleinvoker: dropnan.v1 开始运行..

[2022-08-08 17:14:02.097995] INFO: dropnan: /data, 1053270/1055744

[2022-08-08 17:14:02.305043] INFO: dropnan: 行数: 1053270/1055744

[2022-08-08 17:14:02.316420] INFO: moduleinvoker: dropnan.v1 运行完成[4.95788s].

[2022-08-08 17:14:02.329149] INFO: moduleinvoker: random_forest_regressor.v1 开始运行..

[2022-08-08 17:14:37.870949] INFO: moduleinvoker: random_forest_regressor.v1 运行完成[35.541791s].

[2022-08-08 17:14:37.908320] INFO: moduleinvoker: cached.v3 开始运行..

[2022-08-08 17:14:41.983145] INFO: moduleinvoker: cached.v3 运行完成[4.074815s].

[2022-08-08 17:14:45.373651] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-08-08 17:14:45.379657] INFO: backtest: biglearning backtest:V8.6.2

[2022-08-08 17:14:45.381054] INFO: backtest: product_type:stock by specified

[2022-08-08 17:14:45.585949] INFO: moduleinvoker: cached.v2 开始运行..

[2022-08-08 17:14:53.865947] INFO: backtest: 读取股票行情完成:3279399

[2022-08-08 17:14:56.416973] INFO: moduleinvoker: cached.v2 运行完成[10.831012s].

[2022-08-08 17:15:11.546271] INFO: algo: TradingAlgorithm V1.8.8

[2022-08-08 17:15:15.547722] INFO: algo: trading transform...

[2022-08-08 17:15:29.324364] INFO: algo: handle_splits get splits [dt:2020-04-16 00:00:00+00:00] [asset:Equity(4203 [002597.SZA]), ratio:0.9732542037963867]

[2022-08-08 17:15:29.327284] INFO: algo: handle_splits get splits [dt:2020-04-16 00:00:00+00:00] [asset:Equity(1817 [603187.SHA]), ratio:0.7021034359931946]

[2022-08-08 17:15:29.330049] INFO: Position: position stock handle split[sid:4203, orig_amount:200, new_amount:205.0, orig_cost:20.139999393765084, new_cost:19.6013, ratio:0.9732542037963867, last_sale_price:19.65000343322754]

[2022-08-08 17:15:29.332045] INFO: Position: after split: PositionStock(asset:Equity(4203 [002597.SZA]), amount:205.0, cost_basis:19.6013, last_sale_price:20.190000534057617)

[2022-08-08 17:15:29.333990] INFO: Position: returning cash: 9.7495

[2022-08-08 17:15:29.336188] INFO: Position: position stock handle split[sid:1817, orig_amount:100, new_amount:142.0, orig_cost:36.03999710448522, new_cost:25.3038, ratio:0.7021034359931946, last_sale_price:24.699996948242188]

[2022-08-08 17:15:29.338191] INFO: Position: after split: PositionStock(asset:Equity(1817 [603187.SHA]), amount:142.0, cost_basis:25.3038, last_sale_price:35.179996490478516)

[2022-08-08 17:15:29.340183] INFO: Position: returning cash: 10.6002

[2022-08-08 17:15:30.159153] INFO: algo: handle_splits get splits [dt:2020-04-24 00:00:00+00:00] [asset:Equity(3347 [300285.SZA]), ratio:0.997303307056427]

[2022-08-08 17:15:30.160849] INFO: algo: handle_splits get splits [dt:2020-04-24 00:00:00+00:00] [asset:Equity(4406 [002572.SZA]), ratio:0.9714284539222717]

[2022-08-08 17:15:30.162353] INFO: Position: position stock handle split[sid:4406, orig_amount:200, new_amount:205.0, orig_cost:19.450000764637167, new_cost:18.8943, ratio:0.9714284539222717, last_sale_price:18.69999885559082]

[2022-08-08 17:15:30.163533] INFO: Position: after split: PositionStock(asset:Equity(4406 [002572.SZA]), amount:205.0, cost_basis:18.8943, last_sale_price:19.250001907348633)

[2022-08-08 17:15:30.164653] INFO: Position: returning cash: 16.5005

[2022-08-08 17:15:30.755193] INFO: algo: handle_splits get splits [dt:2020-04-30 00:00:00+00:00] [asset:Equity(1592 [300451.SZA]), ratio:0.6653333306312561]

[2022-08-08 17:15:30.756938] INFO: Position: position stock handle split[sid:1592, orig_amount:400, new_amount:601.0, orig_cost:23.410000802202795, new_cost:15.5755, ratio:0.6653333306312561, last_sale_price:14.970000267028809]

[2022-08-08 17:15:30.758280] INFO: Position: after split: PositionStock(asset:Equity(1592 [300451.SZA]), amount:601.0, cost_basis:15.5755, last_sale_price:22.5)

[2022-08-08 17:15:30.759420] INFO: Position: returning cash: 3.03

[2022-08-08 17:15:31.640144] INFO: algo: handle_splits get splits [dt:2020-05-13 00:00:00+00:00] [asset:Equity(2307 [300129.SZA]), ratio:0.975845456123352]

[2022-08-08 17:15:31.642245] INFO: algo: handle_splits get splits [dt:2020-05-13 00:00:00+00:00] [asset:Equity(1483 [300480.SZA]), ratio:0.7668538689613342]

[2022-08-08 17:15:31.643594] INFO: Position: position stock handle split[sid:2307, orig_amount:800, new_amount:819.0, orig_cost:4.160000339714391, new_cost:4.0595, ratio:0.975845456123352, last_sale_price:4.039999961853027]

[2022-08-08 17:15:31.644802] INFO: Position: after split: PositionStock(asset:Equity(2307 [300129.SZA]), amount:819.0, cost_basis:4.0595, last_sale_price:4.139999866485596)

[2022-08-08 17:15:31.645957] INFO: Position: returning cash: 3.2398

[2022-08-08 17:15:31.647409] INFO: Position: position stock handle split[sid:1483, orig_amount:200, new_amount:260.0, orig_cost:17.510002140449497, new_cost:13.4276, ratio:0.7668538689613342, last_sale_price:13.649998664855957]

[2022-08-08 17:15:31.648645] INFO: Position: after split: PositionStock(asset:Equity(1483 [300480.SZA]), amount:260.0, cost_basis:13.4276, last_sale_price:17.799999237060547)

[2022-08-08 17:15:31.649789] INFO: Position: returning cash: 11.0003

[2022-08-08 17:15:31.793070] INFO: algo: handle_splits get splits [dt:2020-05-14 00:00:00+00:00] [asset:Equity(5019 [600605.SHA]), ratio:0.9952830076217651]

[2022-08-08 17:15:31.794807] INFO: Position: position stock handle split[sid:5019, orig_amount:2400, new_amount:2411.0, orig_cost:10.585833646472512, new_cost:10.5359, ratio:0.9952830076217651, last_sale_price:10.549999237060547]

[2022-08-08 17:15:31.796133] INFO: Position: after split: PositionStock(asset:Equity(5019 [600605.SHA]), amount:2411.0, cost_basis:10.5359, last_sale_price:10.59999942779541)

[2022-08-08 17:15:31.797338] INFO: Position: returning cash: 3.9503

[2022-08-08 17:15:32.082627] INFO: algo: handle_splits get splits [dt:2020-05-18 00:00:00+00:00] [asset:Equity(1118 [300031.SZA]), ratio:0.9858673810958862]

[2022-08-08 17:15:32.084463] INFO: Position: position stock handle split[sid:1118, orig_amount:300, new_amount:304.0, orig_cost:20.78999964607654, new_cost:20.4962, ratio:0.9858673810958862, last_sale_price:20.229999542236328]

[2022-08-08 17:15:32.085868] INFO: Position: after split: PositionStock(asset:Equity(1118 [300031.SZA]), amount:304.0, cost_basis:20.4962, last_sale_price:20.520000457763672)

[2022-08-08 17:15:32.087098] INFO: Position: returning cash: 6.0804

[2022-08-08 17:15:32.268845] INFO: algo: handle_splits get splits [dt:2020-05-19 00:00:00+00:00] [asset:Equity(1669 [300271.SZA]), ratio:0.9973281621932983]

[2022-08-08 17:15:32.270738] INFO: algo: handle_splits get splits [dt:2020-05-19 00:00:00+00:00] [asset:Equity(743 [002241.SZA]), ratio:0.99481600522995]

[2022-08-08 17:15:32.272153] INFO: algo: handle_splits get splits [dt:2020-05-19 00:00:00+00:00] [asset:Equity(2325 [000739.SZA]), ratio:0.9910764694213867]

[2022-08-08 17:15:32.273321] INFO: algo: handle_splits get splits [dt:2020-05-19 00:00:00+00:00] [asset:Equity(4979 [300383.SZA]), ratio:0.9992598295211792]

[2022-08-08 17:15:32.274562] INFO: Position: position stock handle split[sid:1669, orig_amount:900, new_amount:902.0, orig_cost:26.00888846021668, new_cost:25.9394, ratio:0.9973281621932983, last_sale_price:26.12999725341797]

[2022-08-08 17:15:32.275784] INFO: Position: after split: PositionStock(asset:Equity(1669 [300271.SZA]), amount:902.0, cost_basis:25.9394, last_sale_price:26.19999885559082)

[2022-08-08 17:15:32.276949] INFO: Position: returning cash: 10.7419

[2022-08-08 17:15:32.278145] INFO: Position: position stock handle split[sid:743, orig_amount:700, new_amount:703.0, orig_cost:20.845713751673554, new_cost:20.7376, ratio:0.99481600522995, last_sale_price:19.190000534057617]

[2022-08-08 17:15:32.279890] INFO: Position: after split: PositionStock(asset:Equity(743 [002241.SZA]), amount:703.0, cost_basis:20.7376, last_sale_price:19.28999900817871)

[2022-08-08 17:15:32.281665] INFO: Position: returning cash: 12.4295

[2022-08-08 17:15:32.283418] INFO: Position: position stock handle split[sid:2325, orig_amount:500, new_amount:504.0, orig_cost:17.7619998938917, new_cost:17.6035, ratio:0.9910764694213867, last_sale_price:17.770000457763672]

[2022-08-08 17:15:32.284827] INFO: Position: after split: PositionStock(asset:Equity(2325 [000739.SZA]), amount:504.0, cost_basis:17.6035, last_sale_price:17.93000030517578)

[2022-08-08 17:15:32.286610] INFO: Position: returning cash: 8.9194

[2022-08-08 17:15:32.971824] INFO: algo: handle_splits get splits [dt:2020-05-26 00:00:00+00:00] [asset:Equity(3259 [603823.SHA]), ratio:0.705511748790741]

[2022-08-08 17:15:33.111797] INFO: algo: handle_splits get splits [dt:2020-05-27 00:00:00+00:00] [asset:Equity(213 [603886.SHA]), ratio:0.9335178136825562]

[2022-08-08 17:15:33.285983] INFO: algo: handle_splits get splits [dt:2020-05-28 00:00:00+00:00] [asset:Equity(3163 [002422.SZA]), ratio:0.9799904227256775]

[2022-08-08 17:15:33.287746] INFO: algo: handle_splits get splits [dt:2020-05-28 00:00:00+00:00] [asset:Equity(253 [300452.SZA]), ratio:0.7644731402397156]

[2022-08-08 17:15:33.289298] INFO: algo: handle_splits get splits [dt:2020-05-28 00:00:00+00:00] [asset:Equity(3915 [300348.SZA]), ratio:0.66639244556427]

[2022-08-08 17:15:33.290799] INFO: Position: position stock handle split[sid:3163, orig_amount:200, new_amount:204.0, orig_cost:20.729999543104803, new_cost:20.3152, ratio:0.9799904227256775, last_sale_price:20.56999969482422]

[2022-08-08 17:15:33.292115] INFO: Position: after split: PositionStock(asset:Equity(3163 [002422.SZA]), amount:204.0, cost_basis:20.3152, last_sale_price:20.990001678466797)

[2022-08-08 17:15:33.293342] INFO: Position: returning cash: 1.7202

[2022-08-08 17:15:33.294614] INFO: Position: position stock handle split[sid:253, orig_amount:100, new_amount:130.0, orig_cost:27.450000764248813, new_cost:20.9848, ratio:0.7644731402397156, last_sale_price:21.259998321533203]

[2022-08-08 17:15:33.295891] INFO: Position: after split: PositionStock(asset:Equity(253 [300452.SZA]), amount:130.0, cost_basis:20.9848, last_sale_price:27.809999465942383)

[2022-08-08 17:15:33.297108] INFO: Position: returning cash: 17.2003

[2022-08-08 17:15:33.437766] INFO: algo: handle_splits get splits [dt:2020-05-29 00:00:00+00:00] [asset:Equity(3837 [603536.SHA]), ratio:0.9986443519592285]

[2022-08-08 17:15:33.440783] INFO: Position: position stock handle split[sid:3837, orig_amount:200, new_amount:200.0, orig_cost:15.399999619116283, new_cost:15.3791, ratio:0.9986443519592285, last_sale_price:14.73000431060791]

[2022-08-08 17:15:33.442481] INFO: Position: after split: PositionStock(asset:Equity(3837 [603536.SHA]), amount:200.0, cost_basis:15.3791, last_sale_price:14.75)

[2022-08-08 17:15:33.444470] INFO: Position: returning cash: 3.9992

[2022-08-08 17:15:33.745042] INFO: algo: handle_splits get splits [dt:2020-06-02 00:00:00+00:00] [asset:Equity(2950 [603801.SHA]), ratio:0.9791932702064514]

[2022-08-08 17:15:33.746775] INFO: Position: position stock handle split[sid:2950, orig_amount:100, new_amount:102.0, orig_cost:31.079999924880997, new_cost:30.4333, ratio:0.9791932702064514, last_sale_price:31.060007095336914]

[2022-08-08 17:15:33.748132] INFO: Position: after split: PositionStock(asset:Equity(2950 [603801.SHA]), amount:102.0, cost_basis:30.4333, last_sale_price:31.71999740600586)

[2022-08-08 17:15:33.749272] INFO: Position: returning cash: 3.8789

[2022-08-08 17:15:33.876519] WARNING: Performance: maybe_close_position no price for asset:Equity(3377 [600074.SHA]), field:price, dt:2020-06-02 15:00:00+00:00

[2022-08-08 17:15:34.160508] INFO: algo: handle_splits get splits [dt:2020-06-05 00:00:00+00:00] [asset:Equity(656 [603316.SHA]), ratio:0.9964953660964966]

[2022-08-08 17:15:34.162277] INFO: Position: position stock handle split[sid:656, orig_amount:3700, new_amount:3713.0, orig_cost:8.649999650678943, new_cost:8.6197, ratio:0.9964953660964966, last_sale_price:8.529999732971191]

[2022-08-08 17:15:34.163600] INFO: Position: after split: PositionStock(asset:Equity(656 [603316.SHA]), amount:3713.0, cost_basis:8.6197, last_sale_price:8.559999465942383)

[2022-08-08 17:15:34.164772] INFO: Position: returning cash: 0.1088

[2022-08-08 17:15:34.293466] INFO: algo: handle_splits get splits [dt:2020-06-08 00:00:00+00:00] [asset:Equity(4598 [300005.SZA]), ratio:0.9864864945411682]

[2022-08-08 17:15:34.442268] INFO: algo: handle_splits get splits [dt:2020-06-09 00:00:00+00:00] [asset:Equity(276 [002028.SZA]), ratio:0.9945265650749207]

[2022-08-08 17:15:34.444094] INFO: Position: position stock handle split[sid:276, orig_amount:600, new_amount:603.0, orig_cost:18.539999644274413, new_cost:18.4385, ratio:0.9945265650749207, last_sale_price:18.170000076293945]

[2022-08-08 17:15:34.445447] INFO: Position: after split: PositionStock(asset:Equity(276 [002028.SZA]), amount:603.0, cost_basis:18.4385, last_sale_price:18.270000457763672)

[2022-08-08 17:15:34.446721] INFO: Position: returning cash: 5.4898

[2022-08-08 17:15:34.573310] INFO: algo: handle_splits get splits [dt:2020-06-10 00:00:00+00:00] [asset:Equity(2659 [000895.SZA]), ratio:0.9749310612678528]

[2022-08-08 17:15:34.575119] INFO: Position: position stock handle split[sid:2659, orig_amount:500, new_amount:512.0, orig_cost:39.34200134468112, new_cost:38.3557, ratio:0.9749310612678528, last_sale_price:38.8900032043457]

[2022-08-08 17:15:34.576458] INFO: Position: after split: PositionStock(asset:Equity(2659 [000895.SZA]), amount:512.0, cost_basis:38.3557, last_sale_price:39.8900032043457)

[2022-08-08 17:15:34.577683] INFO: Position: returning cash: 33.32

[2022-08-08 17:15:34.708063] INFO: algo: handle_splits get splits [dt:2020-06-11 00:00:00+00:00] [asset:Equity(2513 [000651.SZA]), ratio:0.9804337024688721]

[2022-08-08 17:15:34.837190] INFO: algo: handle_splits get splits [dt:2020-06-12 00:00:00+00:00] [asset:Equity(1306 [600201.SHA]), ratio:0.9975659251213074]

[2022-08-08 17:15:34.839067] INFO: Position: position stock handle split[sid:1306, orig_amount:700, new_amount:701.0, orig_cost:24.42285701281617, new_cost:24.3634, ratio:0.9975659251213074, last_sale_price:24.590002059936523]

[2022-08-08 17:15:34.840434] INFO: Position: after split: PositionStock(asset:Equity(1306 [600201.SHA]), amount:701.0, cost_basis:24.3634, last_sale_price:24.650001525878906)

[2022-08-08 17:15:34.841607] INFO: Position: returning cash: 17.41

[2022-08-08 17:15:35.077971] INFO: algo: handle_splits get splits [dt:2020-06-16 00:00:00+00:00] [asset:Equity(3626 [300549.SZA]), ratio:0.992857038974762]

[2022-08-08 17:15:35.210970] INFO: algo: handle_splits get splits [dt:2020-06-17 00:00:00+00:00] [asset:Equity(2225 [002001.SZA]), ratio:0.9819298982620239]

[2022-08-08 17:15:35.212909] INFO: algo: handle_splits get splits [dt:2020-06-17 00:00:00+00:00] [asset:Equity(4276 [002475.SZA]), ratio:0.7675049304962158]

[2022-08-08 17:15:35.215060] INFO: algo: handle_splits get splits [dt:2020-06-17 00:00:00+00:00] [asset:Equity(4077 [300538.SZA]), ratio:0.996574342250824]

[2022-08-08 17:15:35.217410] INFO: Position: position stock handle split[sid:2225, orig_amount:1300, new_amount:1323.0, orig_cost:27.218461551586817, new_cost:26.7266, ratio:0.9819298982620239, last_sale_price:27.170001983642578]

[2022-08-08 17:15:35.219424] INFO: Position: after split: PositionStock(asset:Equity(2225 [002001.SZA]), amount:1323.0, cost_basis:26.7266, last_sale_price:27.670001983642578)

[2022-08-08 17:15:35.221967] INFO: Position: returning cash: 25.0896

[2022-08-08 17:15:35.223468] INFO: Position: position stock handle split[sid:4276, orig_amount:100, new_amount:130.0, orig_cost:53.97999954225802, new_cost:41.4299, ratio:0.7675049304962158, last_sale_price:42.41999816894531]

[2022-08-08 17:15:35.225602] INFO: Position: after split: PositionStock(asset:Equity(4276 [002475.SZA]), amount:130.0, cost_basis:41.4299, last_sale_price:55.27000045776367)

[2022-08-08 17:15:35.227493] INFO: Position: returning cash: 12.4003

[2022-08-08 17:15:35.229279] INFO: Position: position stock handle split[sid:4077, orig_amount:100, new_amount:100.0, orig_cost:29.150001526251252, new_cost:29.0501, ratio:0.996574342250824, last_sale_price:29.090003967285156]

[2022-08-08 17:15:35.230805] INFO: Position: after split: PositionStock(asset:Equity(4077 [300538.SZA]), amount:100.0, cost_basis:29.0501, last_sale_price:29.189998626708984)

[2022-08-08 17:15:35.232925] INFO: Position: returning cash: 9.9995

[2022-08-08 17:15:35.369367] INFO: algo: handle_splits get splits [dt:2020-06-18 00:00:00+00:00] [asset:Equity(3103 [600346.SHA]), ratio:0.9711816310882568]

[2022-08-08 17:15:35.371018] INFO: algo: handle_splits get splits [dt:2020-06-18 00:00:00+00:00] [asset:Equity(4481 [002230.SZA]), ratio:0.9971509575843811]

[2022-08-08 17:15:35.372382] INFO: Position: position stock handle split[sid:3103, orig_amount:300, new_amount:308.0, orig_cost:13.889999389969583, new_cost:13.4897, ratio:0.9711816310882568, last_sale_price:13.480000495910645]

[2022-08-08 17:15:35.373713] INFO: Position: after split: PositionStock(asset:Equity(3103 [600346.SHA]), amount:308.0, cost_basis:13.4897, last_sale_price:13.879999160766602)

[2022-08-08 17:15:35.374879] INFO: Position: returning cash: 12.1597

[2022-08-08 17:15:35.376060] INFO: Position: position stock handle split[sid:4481, orig_amount:100, new_amount:100.0, orig_cost:34.5000000000293, new_cost:34.4017, ratio:0.9971509575843811, last_sale_price:34.999996185302734]

[2022-08-08 17:15:35.377220] INFO: Position: after split: PositionStock(asset:Equity(4481 [002230.SZA]), amount:100.0, cost_basis:34.4017, last_sale_price:35.099998474121094)

[2022-08-08 17:15:35.378344] INFO: Position: returning cash: 10.0001

[2022-08-08 17:15:35.653775] INFO: algo: handle_splits get splits [dt:2020-06-22 00:00:00+00:00] [asset:Equity(568 [002262.SZA]), ratio:0.993773341178894]

[2022-08-08 17:15:35.796862] INFO: algo: handle_splits get splits [dt:2020-06-23 00:00:00+00:00] [asset:Equity(1195 [000951.SZA]), ratio:0.9811707139015198]

[2022-08-08 17:15:35.798633] INFO: Position: position stock handle split[sid:1195, orig_amount:100, new_amount:101.0, orig_cost:30.28999900844941, new_cost:29.7197, ratio:0.9811707139015198, last_sale_price:28.659997940063477]

[2022-08-08 17:15:35.799954] INFO: Position: after split: PositionStock(asset:Equity(1195 [000951.SZA]), amount:101.0, cost_basis:29.7197, last_sale_price:29.21000099182129)

[2022-08-08 17:15:35.801105] INFO: Position: returning cash: 26.3403

[2022-08-08 17:15:35.953200] INFO: algo: handle_splits get splits [dt:2020-06-24 00:00:00+00:00] [asset:Equity(5804 [002185.SZA]), ratio:0.9992679357528687]

[2022-08-08 17:15:35.954857] INFO: algo: handle_splits get splits [dt:2020-06-24 00:00:00+00:00] [asset:Equity(2769 [000039.SZA]), ratio:0.9838274717330933]

[2022-08-08 17:15:35.956212] INFO: Position: position stock handle split[sid:5804, orig_amount:300, new_amount:300.0, orig_cost:13.550000190737464, new_cost:13.5401, ratio:0.9992679357528687, last_sale_price:13.649999618530273]

[2022-08-08 17:15:35.957407] INFO: Position: after split: PositionStock(asset:Equity(5804 [002185.SZA]), amount:300.0, cost_basis:13.5401, last_sale_price:13.65999984741211)

[2022-08-08 17:15:35.958525] INFO: Position: returning cash: 3.0

[2022-08-08 17:15:36.095862] INFO: algo: handle_splits get splits [dt:2020-06-29 00:00:00+00:00] [asset:Equity(5445 [600153.SHA]), ratio:0.9437569975852966]

[2022-08-08 17:15:37.067585] INFO: algo: handle_splits get splits [dt:2020-07-08 00:00:00+00:00] [asset:Equity(4887 [300267.SZA]), ratio:0.9976580739021301]

[2022-08-08 17:15:37.069412] INFO: algo: handle_splits get splits [dt:2020-07-08 00:00:00+00:00] [asset:Equity(5119 [600279.SHA]), ratio:0.9870802760124207]

[2022-08-08 17:15:37.070897] INFO: Position: position stock handle split[sid:4887, orig_amount:2000, new_amount:2004.0, orig_cost:4.2800002112402655, new_cost:4.27, ratio:0.9976580739021301, last_sale_price:4.259999752044678]

[2022-08-08 17:15:37.072171] INFO: Position: after split: PositionStock(asset:Equity(4887 [300267.SZA]), amount:2004.0, cost_basis:4.27, last_sale_price:4.269999980926514)

[2022-08-08 17:15:37.073327] INFO: Position: returning cash: 2.96

[2022-08-08 17:15:37.074526] INFO: Position: position stock handle split[sid:5119, orig_amount:2600, new_amount:2634.0, orig_cost:3.8292308105481325, new_cost:3.7798, ratio:0.9870802760124207, last_sale_price:3.820000648498535]

[2022-08-08 17:15:37.075742] INFO: Position: after split: PositionStock(asset:Equity(5119 [600279.SHA]), amount:2634.0, cost_basis:3.7798, last_sale_price:3.869999885559082)

[2022-08-08 17:15:37.076954] INFO: Position: returning cash: 0.1182

[2022-08-08 17:15:37.394723] INFO: algo: handle_splits get splits [dt:2020-07-10 00:00:00+00:00] [asset:Equity(3751 [600590.SHA]), ratio:0.9918032288551331]

[2022-08-08 17:15:37.396383] INFO: algo: handle_splits get splits [dt:2020-07-10 00:00:00+00:00] [asset:Equity(195 [600036.SHA]), ratio:0.9699323773384094]

[2022-08-08 17:15:37.397638] INFO: algo: handle_splits get splits [dt:2020-07-10 00:00:00+00:00] [asset:Equity(3824 [601225.SHA]), ratio:0.9593021869659424]

[2022-08-08 17:15:37.398800] INFO: algo: handle_splits get splits [dt:2020-07-10 00:00:00+00:00] [asset:Equity(312 [600621.SHA]), ratio:0.9991406202316284]

[2022-08-08 17:15:37.399924] INFO: algo: handle_splits get splits [dt:2020-07-10 00:00:00+00:00] [asset:Equity(894 [002691.SZA]), ratio:0.9981619715690613]

[2022-08-08 17:15:37.401064] INFO: algo: handle_splits get splits [dt:2020-07-10 00:00:00+00:00] [asset:Equity(4041 [300402.SZA]), ratio:0.9968810081481934]

[2022-08-08 17:15:37.402311] INFO: Position: position stock handle split[sid:894, orig_amount:3600, new_amount:3606.0, orig_cost:5.314444674637079, new_cost:5.3047, ratio:0.9981619715690613, last_sale_price:5.430001735687256]

[2022-08-08 17:15:37.403483] INFO: Position: after split: PositionStock(asset:Equity(894 [002691.SZA]), amount:3606.0, cost_basis:5.3047, last_sale_price:5.440000534057617)

[2022-08-08 17:15:37.404587] INFO: Position: returning cash: 3.4159

[2022-08-08 17:15:37.405744] INFO: Position: position stock handle split[sid:4041, orig_amount:400, new_amount:401.0, orig_cost:9.319999704223951, new_cost:9.2909, ratio:0.9968810081481934, last_sale_price:9.589996337890625]

[2022-08-08 17:15:37.406958] INFO: Position: after split: PositionStock(asset:Equity(4041 [300402.SZA]), amount:401.0, cost_basis:9.2909, last_sale_price:9.620000839233398)

[2022-08-08 17:15:37.408149] INFO: Position: returning cash: 2.4119

[2022-08-08 17:15:37.565690] INFO: algo: handle_splits get splits [dt:2020-07-13 00:00:00+00:00] [asset:Equity(1683 [600446.SHA]), ratio:0.9986696243286133]

[2022-08-08 17:15:38.015467] INFO: algo: handle_splits get splits [dt:2020-07-16 00:00:00+00:00] [asset:Equity(4768 [002544.SZA]), ratio:0.9980079531669617]

[2022-08-08 17:15:38.017096] INFO: algo: handle_splits get splits [dt:2020-07-16 00:00:00+00:00] [asset:Equity(1380 [600674.SHA]), ratio:0.9658634066581726]

[2022-08-08 17:15:38.018397] INFO: algo: handle_splits get splits [dt:2020-07-16 00:00:00+00:00] [asset:Equity(2024 [300641.SZA]), ratio:0.996062695980072]

[2022-08-08 17:15:38.019574] INFO: Position: position stock handle split[sid:2024, orig_amount:2300, new_amount:2309.0, orig_cost:5.1600004518943265, new_cost:5.1397, ratio:0.996062695980072, last_sale_price:5.059998512268066]

[2022-08-08 17:15:38.020750] INFO: Position: after split: PositionStock(asset:Equity(2024 [300641.SZA]), amount:2309.0, cost_basis:5.1397, last_sale_price:5.079999923706055)

[2022-08-08 17:15:38.021858] INFO: Position: returning cash: 0.4635

[2022-08-08 17:15:38.196198] INFO: algo: handle_splits get splits [dt:2020-07-17 00:00:00+00:00] [asset:Equity(2309 [600741.SHA]), ratio:0.9619346261024475]

[2022-08-08 17:15:38.197956] INFO: Position: position stock handle split[sid:2309, orig_amount:600, new_amount:623.0, orig_cost:23.24166647604272, new_cost:22.357, ratio:0.9619346261024475, last_sale_price:21.479999542236328]

[2022-08-08 17:15:38.199410] INFO: Position: after split: PositionStock(asset:Equity(2309 [600741.SHA]), amount:623.0, cost_basis:22.357, last_sale_price:22.329999923706055)

[2022-08-08 17:15:38.200770] INFO: Position: returning cash: 15.9599

[2022-08-08 17:15:38.357089] INFO: algo: handle_splits get splits [dt:2020-07-20 00:00:00+00:00] [asset:Equity(5850 [600271.SHA]), ratio:0.9871364831924438]

[2022-08-08 17:15:38.358884] INFO: Position: position stock handle split[sid:5850, orig_amount:900, new_amount:911.0, orig_cost:19.16000048420358, new_cost:18.9135, ratio:0.9871364831924438, last_sale_price:17.650001525878906]

[2022-08-08 17:15:38.360508] INFO: Position: after split: PositionStock(asset:Equity(5850 [600271.SHA]), amount:911.0, cost_basis:18.9135, last_sale_price:17.880001068115234)

[2022-08-08 17:15:38.361745] INFO: Position: returning cash: 12.8497

[2022-08-08 17:15:38.507747] INFO: algo: handle_splits get splits [dt:2020-07-21 00:00:00+00:00] [asset:Equity(1898 [002425.SZA]), ratio:0.9972144961357117]

[2022-08-08 17:15:38.509468] INFO: Position: position stock handle split[sid:1898, orig_amount:300, new_amount:300.0, orig_cost:14.299999237070255, new_cost:14.2602, ratio:0.9972144961357117, last_sale_price:14.319999694824219]

[2022-08-08 17:15:38.510821] INFO: Position: after split: PositionStock(asset:Equity(1898 [002425.SZA]), amount:300.0, cost_basis:14.2602, last_sale_price:14.359999656677246)

[2022-08-08 17:15:38.512060] INFO: Position: returning cash: 12.0

[2022-08-08 17:15:39.178336] INFO: algo: handle_splits get splits [dt:2020-07-28 00:00:00+00:00] [asset:Equity(514 [603757.SHA]), ratio:0.971846878528595]

[2022-08-08 17:15:39.180015] INFO: Position: position stock handle split[sid:514, orig_amount:200, new_amount:205.0, orig_cost:17.110000622620934, new_cost:16.6283, ratio:0.971846878528595, last_sale_price:17.260000228881836]

[2022-08-08 17:15:39.181371] INFO: Position: after split: PositionStock(asset:Equity(514 [603757.SHA]), amount:205.0, cost_basis:16.6283, last_sale_price:17.760000228881836)

[2022-08-08 17:15:39.183032] INFO: Position: returning cash: 13.6999

[2022-08-08 17:15:39.421247] INFO: algo: handle_splits get splits [dt:2020-07-30 00:00:00+00:00] [asset:Equity(1469 [600993.SHA]), ratio:0.9889031648635864]

[2022-08-08 17:15:39.423710] INFO: Position: position stock handle split[sid:1469, orig_amount:200, new_amount:202.0, orig_cost:22.799999237612393, new_cost:22.547, ratio:0.9889031648635864, last_sale_price:23.170001983642578]

[2022-08-08 17:15:39.426287] INFO: Position: after split: PositionStock(asset:Equity(1469 [600993.SHA]), amount:202.0, cost_basis:22.547, last_sale_price:23.43000030517578)

[2022-08-08 17:15:39.428643] INFO: Position: returning cash: 5.6598

[2022-08-08 17:15:39.695359] INFO: algo: handle_splits get splits [dt:2020-08-03 00:00:00+00:00] [asset:Equity(2033 [600612.SHA]), ratio:0.9812397956848145]

[2022-08-08 17:15:39.697033] INFO: Position: position stock handle split[sid:2033, orig_amount:200, new_amount:203.0, orig_cost:60.9799995508252, new_cost:59.836, ratio:0.9812397956848145, last_sale_price:60.14999771118164]

[2022-08-08 17:15:39.698345] INFO: Position: after split: PositionStock(asset:Equity(2033 [600612.SHA]), amount:203.0, cost_basis:59.836, last_sale_price:61.29999923706055)

[2022-08-08 17:15:39.699434] INFO: Position: returning cash: 49.5501

[2022-08-08 17:15:39.974946] INFO: algo: handle_splits get splits [dt:2020-08-05 00:00:00+00:00] [asset:Equity(5054 [601298.SHA]), ratio:0.9706316590309143]

[2022-08-08 17:15:39.976676] INFO: Position: position stock handle split[sid:5054, orig_amount:700, new_amount:721.0, orig_cost:6.79999971438036, new_cost:6.6003, ratio:0.9706316590309143, last_sale_price:6.610001564025879]

[2022-08-08 17:15:39.977896] INFO: Position: after split: PositionStock(asset:Equity(5054 [601298.SHA]), amount:721.0, cost_basis:6.6003, last_sale_price:6.809999942779541)

[2022-08-08 17:15:39.978948] INFO: Position: returning cash: 1.1888

[2022-08-08 17:15:41.462332] INFO: algo: handle_splits get splits [dt:2020-08-21 00:00:00+00:00] [asset:Equity(1909 [600628.SHA]), ratio:0.9973189830780029]

[2022-08-08 17:15:41.464166] INFO: Position: position stock handle split[sid:1909, orig_amount:3200, new_amount:3208.0, orig_cost:11.417500446871712, new_cost:11.3869, ratio:0.9973189830780029, last_sale_price:11.15999984741211]

[2022-08-08 17:15:41.465534] INFO: Position: after split: PositionStock(asset:Equity(1909 [600628.SHA]), amount:3208.0, cost_basis:11.3869, last_sale_price:11.190000534057617)

[2022-08-08 17:15:41.466657] INFO: Position: returning cash: 6.7219

[2022-08-08 17:15:46.587673] INFO: algo: handle_splits get splits [dt:2020-10-22 00:00:00+00:00] [asset:Equity(5544 [002271.SZA]), ratio:0.6666666269302368]

[2022-08-08 17:15:46.589838] INFO: Position: position stock handle split[sid:5544, orig_amount:100, new_amount:150.0, orig_cost:56.56000137341178, new_cost:37.7067, ratio:0.6666666269302368, last_sale_price:34.999996185302734]

[2022-08-08 17:15:46.591120] INFO: Position: after split: PositionStock(asset:Equity(5544 [002271.SZA]), amount:150.0, cost_basis:37.7067, last_sale_price:52.5)

[2022-08-08 17:15:46.592205] INFO: Position: returning cash: 0.0003

[2022-08-08 17:15:48.400011] INFO: algo: handle_splits get splits [dt:2020-11-12 00:00:00+00:00] [asset:Equity(2513 [000651.SZA]), ratio:0.9851087331771851]

[2022-08-08 17:15:49.456199] INFO: algo: handle_splits get splits [dt:2020-11-25 00:00:00+00:00] [asset:Equity(2659 [000895.SZA]), ratio:0.9872230291366577]

[2022-08-08 17:15:49.457896] INFO: Position: position stock handle split[sid:2659, orig_amount:100, new_amount:101.0, orig_cost:51.330001831245056, new_cost:50.6742, ratio:0.9872230291366577, last_sale_price:49.45000076293945]

[2022-08-08 17:15:49.459190] INFO: Position: after split: PositionStock(asset:Equity(2659 [000895.SZA]), amount:101.0, cost_basis:50.6742, last_sale_price:50.09000015258789)

[2022-08-08 17:15:49.460293] INFO: Position: returning cash: 14.5498

[2022-08-08 17:15:50.104245] INFO: algo: handle_splits get splits [dt:2020-12-03 00:00:00+00:00] [asset:Equity(728 [600853.SHA]), ratio:0.8299121260643005]

[2022-08-08 17:15:50.105897] INFO: Position: position stock handle split[sid:728, orig_amount:1900, new_amount:2289.0, orig_cost:3.4300000885534834, new_cost:2.8466, ratio:0.8299121260643005, last_sale_price:2.830000162124634]

[2022-08-08 17:15:50.107224] INFO: Position: after split: PositionStock(asset:Equity(728 [600853.SHA]), amount:2289.0, cost_basis:2.8466, last_sale_price:3.4099998474121094)

[2022-08-08 17:15:50.108561] INFO: Position: returning cash: 1.1292

[2022-08-08 17:16:01.323918] INFO: algo: handle_splits get splits [dt:2021-05-12 00:00:00+00:00] [asset:Equity(4361 [600143.SHA]), ratio:0.9727768301963806]

[2022-08-08 17:16:01.326674] INFO: Position: position stock handle split[sid:4361, orig_amount:100, new_amount:102.0, orig_cost:22.479999542244094, new_cost:21.868, ratio:0.9727768301963806, last_sale_price:21.440000534057617]

[2022-08-08 17:16:01.330176] INFO: Position: after split: PositionStock(asset:Equity(4361 [600143.SHA]), amount:102.0, cost_basis:21.868, last_sale_price:22.03999900817871)

[2022-08-08 17:16:01.332660] INFO: Position: returning cash: 17.1199

[2022-08-08 17:16:01.559867] INFO: algo: handle_splits get splits [dt:2021-05-14 00:00:00+00:00] [asset:Equity(785 [601677.SHA]), ratio:0.9888015389442444]

[2022-08-08 17:16:01.561587] INFO: Position: position stock handle split[sid:785, orig_amount:100, new_amount:101.0, orig_cost:19.500000000047056, new_cost:19.2816, ratio:0.9888015389442444, last_sale_price:17.65999412536621]

[2022-08-08 17:16:01.562799] INFO: Position: after split: PositionStock(asset:Equity(785 [601677.SHA]), amount:101.0, cost_basis:19.2816, last_sale_price:17.85999870300293)

[2022-08-08 17:16:01.563854] INFO: Position: returning cash: 2.3405

[2022-08-08 17:16:02.097123] INFO: algo: handle_splits get splits [dt:2021-05-17 00:00:00+00:00] [asset:Equity(1772 [600588.SHA]), ratio:0.993720531463623]

[2022-08-08 17:16:02.098766] INFO: Position: position stock handle split[sid:1772, orig_amount:200, new_amount:201.0, orig_cost:32.31999969497681, new_cost:32.117, ratio:0.993720531463623, last_sale_price:31.649999618530273]

[2022-08-08 17:16:02.100027] INFO: Position: after split: PositionStock(asset:Equity(1772 [600588.SHA]), amount:201.0, cost_basis:32.117, last_sale_price:31.850000381469727)

[2022-08-08 17:16:02.101069] INFO: Position: returning cash: 8.3502

[2022-08-08 17:16:02.342677] INFO: algo: handle_splits get splits [dt:2021-05-19 00:00:00+00:00] [asset:Equity(2225 [002001.SZA]), ratio:0.8188387155532837]

[2022-08-08 17:16:02.344268] INFO: algo: handle_splits get splits [dt:2021-05-19 00:00:00+00:00] [asset:Equity(1232 [002030.SZA]), ratio:0.6152112483978271]

[2022-08-08 17:16:02.559606] INFO: algo: handle_splits get splits [dt:2021-05-21 00:00:00+00:00] [asset:Equity(2659 [000895.SZA]), ratio:0.9557428956031799]

[2022-08-08 17:16:02.561159] INFO: algo: handle_splits get splits [dt:2021-05-21 00:00:00+00:00] [asset:Equity(5407 [002254.SZA]), ratio:0.959723711013794]

[2022-08-08 17:16:02.562340] INFO: algo: handle_splits get splits [dt:2021-05-21 00:00:00+00:00] [asset:Equity(3877 [600985.SHA]), ratio:0.944444477558136]

[2022-08-08 17:16:02.563482] INFO: Position: position stock handle split[sid:2659, orig_amount:100, new_amount:104.0, orig_cost:37.810001373726315, new_cost:36.1366, ratio:0.9557428956031799, last_sale_price:36.279998779296875]

[2022-08-08 17:16:02.564644] INFO: Position: after split: PositionStock(asset:Equity(2659 [000895.SZA]), amount:104.0, cost_basis:36.1366, last_sale_price:37.959999084472656)

[2022-08-08 17:16:02.565718] INFO: Position: returning cash: 22.88

[2022-08-08 17:16:02.566840] INFO: Position: position stock handle split[sid:5407, orig_amount:4800, new_amount:5001.0, orig_cost:17.94041637392999, new_cost:17.2178, ratio:0.959723711013794, last_sale_price:16.67999839782715]

[2022-08-08 17:16:02.567937] INFO: Position: after split: PositionStock(asset:Equity(5407 [002254.SZA]), amount:5001.0, cost_basis:17.2178, last_sale_price:17.380001068115234)

[2022-08-08 17:16:02.569014] INFO: Position: returning cash: 7.3295

[2022-08-08 17:16:02.678065] INFO: algo: handle_splits get splits [dt:2021-05-24 00:00:00+00:00] [asset:Equity(4406 [002572.SZA]), ratio:0.9784405827522278]

[2022-08-08 17:16:02.679896] INFO: Position: position stock handle split[sid:4406, orig_amount:300, new_amount:306.0, orig_cost:28.139999389997143, new_cost:27.5333, ratio:0.9784405827522278, last_sale_price:27.23000144958496]

[2022-08-08 17:16:02.681178] INFO: Position: after split: PositionStock(asset:Equity(4406 [002572.SZA]), amount:306.0, cost_basis:27.5333, last_sale_price:27.829999923706055)

[2022-08-08 17:16:02.682484] INFO: Position: returning cash: 16.6196

[2022-08-08 17:16:02.897659] INFO: algo: handle_splits get splits [dt:2021-05-26 00:00:00+00:00] [asset:Equity(3924 [002962.SZA]), ratio:0.8233848214149475]

[2022-08-08 17:16:02.899281] INFO: Position: position stock handle split[sid:3924, orig_amount:600, new_amount:728.0, orig_cost:16.30666734303213, new_cost:13.4267, ratio:0.8233848214149475, last_sale_price:13.380002975463867]

[2022-08-08 17:16:02.900500] INFO: Position: after split: PositionStock(asset:Equity(3924 [002962.SZA]), amount:728.0, cost_basis:13.4267, last_sale_price:16.25)

[2022-08-08 17:16:02.901554] INFO: Position: returning cash: 9.3576

[2022-08-08 17:16:03.002228] INFO: algo: handle_splits get splits [dt:2021-05-27 00:00:00+00:00] [asset:Equity(3892 [300059.SZA]), ratio:0.8320042490959167]

[2022-08-08 17:16:03.114802] INFO: algo: handle_splits get splits [dt:2021-05-28 00:00:00+00:00] [asset:Equity(4573 [002415.SZA]), ratio:0.9875699281692505]

[2022-08-08 17:16:03.116990] INFO: algo: handle_splits get splits [dt:2021-05-28 00:00:00+00:00] [asset:Equity(4340 [002324.SZA]), ratio:0.8305911421775818]

[2022-08-08 17:16:03.118996] INFO: Position: position stock handle split[sid:4573, orig_amount:700, new_amount:708.0, orig_cost:64.13428715305781, new_cost:63.3371, ratio:0.9875699281692505, last_sale_price:63.560001373291016]

[2022-08-08 17:16:03.121152] INFO: Position: after split: PositionStock(asset:Equity(4573 [002415.SZA]), amount:708.0, cost_basis:63.3371, last_sale_price:64.36000061035156)

[2022-08-08 17:16:03.122800] INFO: Position: returning cash: 51.5196

[2022-08-08 17:16:03.124226] INFO: Position: position stock handle split[sid:4340, orig_amount:5200, new_amount:6260.0, orig_cost:16.302499824610322, new_cost:13.5407, ratio:0.8305911421775818, last_sale_price:13.630000114440918]

[2022-08-08 17:16:03.126347] INFO: Position: after split: PositionStock(asset:Equity(4340 [002324.SZA]), amount:6260.0, cost_basis:13.5407, last_sale_price:16.40999984741211)

[2022-08-08 17:16:03.128632] INFO: Position: returning cash: 8.196

[2022-08-08 17:16:03.229160] INFO: algo: handle_splits get splits [dt:2021-05-31 00:00:00+00:00] [asset:Equity(4671 [600867.SHA]), ratio:0.9832802414894104]

[2022-08-08 17:16:03.231338] INFO: Position: position stock handle split[sid:4671, orig_amount:400, new_amount:406.0, orig_cost:12.79999923759469, new_cost:12.586, ratio:0.9832802414894104, last_sale_price:12.34999942779541]

[2022-08-08 17:16:03.233301] INFO: Position: after split: PositionStock(asset:Equity(4671 [600867.SHA]), amount:406.0, cost_basis:12.586, last_sale_price:12.559999465942383)

[2022-08-08 17:16:03.235527] INFO: Position: returning cash: 9.9001

[2022-08-08 17:16:03.549433] INFO: algo: handle_splits get splits [dt:2021-06-03 00:00:00+00:00] [asset:Equity(3328 [002714.SZA]), ratio:0.7030393481254578]

[2022-08-08 17:16:03.755290] INFO: algo: handle_splits get splits [dt:2021-06-07 00:00:00+00:00] [asset:Equity(1631 [600619.SHA]), ratio:0.9823321104049683]

[2022-08-08 17:16:03.864481] INFO: algo: handle_splits get splits [dt:2021-06-08 00:00:00+00:00] [asset:Equity(2990 [300917.SZA]), ratio:0.7622700333595276]

[2022-08-08 17:16:03.866176] INFO: Position: position stock handle split[sid:2990, orig_amount:300, new_amount:393.0, orig_cost:39.02000058504118, new_cost:29.7438, ratio:0.7622700333595276, last_sale_price:29.820003509521484]

[2022-08-08 17:16:03.867588] INFO: Position: after split: PositionStock(asset:Equity(2990 [300917.SZA]), amount:393.0, cost_basis:29.7438, last_sale_price:39.119998931884766)

[2022-08-08 17:16:03.868813] INFO: Position: returning cash: 16.7385

[2022-08-08 17:16:03.982582] INFO: algo: handle_splits get splits [dt:2021-06-09 00:00:00+00:00] [asset:Equity(1683 [600446.SHA]), ratio:0.9946019053459167]

[2022-08-08 17:16:03.984174] INFO: Position: position stock handle split[sid:1683, orig_amount:300, new_amount:301.0, orig_cost:14.649999619408566, new_cost:14.5709, ratio:0.9946019053459167, last_sale_price:14.739999771118164]

[2022-08-08 17:16:03.985416] INFO: Position: after split: PositionStock(asset:Equity(1683 [600446.SHA]), amount:301.0, cost_basis:14.5709, last_sale_price:14.819999694824219)

[2022-08-08 17:16:03.986683] INFO: Position: returning cash: 9.2599

[2022-08-08 17:16:04.406111] INFO: algo: handle_splits get splits [dt:2021-06-16 00:00:00+00:00] [asset:Equity(2486 [300001.SZA]), ratio:0.9981195330619812]

[2022-08-08 17:16:04.407765] INFO: algo: handle_splits get splits [dt:2021-06-16 00:00:00+00:00] [asset:Equity(2772 [002184.SZA]), ratio:0.676715075969696]

[2022-08-08 17:16:04.409026] INFO: Position: position stock handle split[sid:2486, orig_amount:200, new_amount:200.0, orig_cost:28.25500106816843, new_cost:28.2019, ratio:0.9981195330619812, last_sale_price:26.53999900817871]

[2022-08-08 17:16:04.410463] INFO: Position: after split: PositionStock(asset:Equity(2486 [300001.SZA]), amount:200.0, cost_basis:28.2019, last_sale_price:26.59000015258789)

[2022-08-08 17:16:04.412271] INFO: Position: returning cash: 10.0003

[2022-08-08 17:16:04.415039] INFO: Position: position stock handle split[sid:2772, orig_amount:200, new_amount:295.0, orig_cost:18.590000152930664, new_cost:12.5801, ratio:0.676715075969696, last_sale_price:13.019999504089355]

[2022-08-08 17:16:04.416931] INFO: Position: after split: PositionStock(asset:Equity(2772 [002184.SZA]), amount:295.0, cost_basis:12.5801, last_sale_price:19.240001678466797)

[2022-08-08 17:16:04.419234] INFO: Position: returning cash: 7.1006

[2022-08-08 17:16:04.543730] INFO: algo: handle_splits get splits [dt:2021-06-17 00:00:00+00:00] [asset:Equity(3005 [002285.SZA]), ratio:0.9919224381446838]

[2022-08-08 17:16:04.545642] INFO: algo: handle_splits get splits [dt:2021-06-17 00:00:00+00:00] [asset:Equity(4937 [002266.SZA]), ratio:0.9919840097427368]

[2022-08-08 17:16:04.547075] INFO: algo: handle_splits get splits [dt:2021-06-17 00:00:00+00:00] [asset:Equity(851 [300486.SZA]), ratio:0.6653317213058472]

[2022-08-08 17:16:04.548285] INFO: Position: position stock handle split[sid:3005, orig_amount:800, new_amount:806.0, orig_cost:6.360000133880584, new_cost:6.3086, ratio:0.9919224381446838, last_sale_price:6.139999866485596]

[2022-08-08 17:16:04.549407] INFO: Position: after split: PositionStock(asset:Equity(3005 [002285.SZA]), amount:806.0, cost_basis:6.3086, last_sale_price:6.190000057220459)

[2022-08-08 17:16:04.550550] INFO: Position: returning cash: 3.1601

[2022-08-08 17:16:04.551781] INFO: Position: position stock handle split[sid:4937, orig_amount:700, new_amount:705.0, orig_cost:5.009999754145622, new_cost:4.9698, ratio:0.9919840097427368, last_sale_price:4.949999809265137]

[2022-08-08 17:16:04.553203] INFO: Position: after split: PositionStock(asset:Equity(4937 [002266.SZA]), amount:705.0, cost_basis:4.9698, last_sale_price:4.989999771118164)

[2022-08-08 17:16:04.554388] INFO: Position: returning cash: 3.2499

[2022-08-08 17:16:04.555549] INFO: Position: position stock handle split[sid:851, orig_amount:400, new_amount:601.0, orig_cost:16.34999943919514, new_cost:10.8782, ratio:0.6653317213058472, last_sale_price:11.629998207092285]

[2022-08-08 17:16:04.556622] INFO: Position: after split: PositionStock(asset:Equity(851 [300486.SZA]), amount:601.0, cost_basis:10.8782, last_sale_price:17.479999542236328)

[2022-08-08 17:16:04.557669] INFO: Position: returning cash: 2.3709

[2022-08-08 17:16:04.670291] INFO: algo: handle_splits get splits [dt:2021-06-18 00:00:00+00:00] [asset:Equity(2980 [300188.SZA]), ratio:0.9928805828094482]

[2022-08-08 17:16:04.785223] INFO: algo: handle_splits get splits [dt:2021-06-21 00:00:00+00:00] [asset:Equity(5155 [000933.SZA]), ratio:0.9905749559402466]

[2022-08-08 17:16:04.891117] INFO: algo: handle_splits get splits [dt:2021-06-22 00:00:00+00:00] [asset:Equity(2675 [688136.SHA]), ratio:0.9978834986686707]

[2022-08-08 17:16:04.892642] INFO: algo: handle_splits get splits [dt:2021-06-22 00:00:00+00:00] [asset:Equity(2175 [002986.SZA]), ratio:0.7119463682174683]

[2022-08-08 17:16:04.893930] INFO: Position: position stock handle split[sid:2675, orig_amount:200, new_amount:200.0, orig_cost:36.88000109685394, new_cost:36.8019, ratio:0.9978834986686707, last_sale_price:37.719993591308594]

[2022-08-08 17:16:04.895023] INFO: Position: after split: PositionStock(asset:Equity(2675 [688136.SHA]), amount:200.0, cost_basis:36.8019, last_sale_price:37.79999923706055)

[2022-08-08 17:16:04.896062] INFO: Position: returning cash: 16.0007

[2022-08-08 17:16:05.000219] INFO: algo: handle_splits get splits [dt:2021-06-23 00:00:00+00:00] [asset:Equity(2988 [300420.SZA]), ratio:0.7653429508209229]

[2022-08-08 17:16:05.001847] INFO: Position: position stock handle split[sid:2988, orig_amount:1400, new_amount:1829.0, orig_cost:5.470000267414519, new_cost:4.1864, ratio:0.7653429508209229, last_sale_price:4.239999771118164]

[2022-08-08 17:16:05.003150] INFO: Position: after split: PositionStock(asset:Equity(2988 [300420.SZA]), amount:1829.0, cost_basis:4.1864, last_sale_price:5.539999961853027)

[2022-08-08 17:16:05.004316] INFO: Position: returning cash: 1.0401

[2022-08-08 17:16:05.548715] INFO: algo: handle_splits get splits [dt:2021-06-30 00:00:00+00:00] [asset:Equity(5167 [601018.SHA]), ratio:0.9800992012023926]

[2022-08-08 17:16:05.550379] INFO: Position: position stock handle split[sid:5167, orig_amount:900, new_amount:918.0, orig_cost:4.059999943535825, new_cost:3.9792, ratio:0.9800992012023926, last_sale_price:3.9399988651275635]

[2022-08-08 17:16:05.551904] INFO: Position: after split: PositionStock(asset:Equity(5167 [601018.SHA]), amount:918.0, cost_basis:3.9792, last_sale_price:4.019999980926514)

[2022-08-08 17:16:05.553151] INFO: Position: returning cash: 1.0811

[2022-08-08 17:16:05.951261] INFO: algo: handle_splits get splits [dt:2021-07-06 00:00:00+00:00] [asset:Equity(5833 [300607.SZA]), ratio:0.6185294389724731]

[2022-08-08 17:16:05.952935] INFO: Position: position stock handle split[sid:5833, orig_amount:1600, new_amount:2586.0, orig_cost:34.38249838814744, new_cost:21.2666, ratio:0.6185294389724731, last_sale_price:21.030000686645508]

[2022-08-08 17:16:05.954211] INFO: Position: after split: PositionStock(asset:Equity(5833 [300607.SZA]), amount:2586.0, cost_basis:21.2666, last_sale_price:34.0)

[2022-08-08 17:16:05.955262] INFO: Position: returning cash: 16.4176

[2022-08-08 17:16:06.063989] INFO: algo: handle_splits get splits [dt:2021-07-07 00:00:00+00:00] [asset:Equity(3721 [002832.SZA]), ratio:0.9881423711776733]

[2022-08-08 17:16:06.675056] INFO: algo: handle_splits get splits [dt:2021-07-15 00:00:00+00:00] [asset:Equity(1968 [300663.SZA]), ratio:0.6661835312843323]

[2022-08-08 17:16:06.676658] INFO: algo: handle_splits get splits [dt:2021-07-15 00:00:00+00:00] [asset:Equity(5608 [002928.SZA]), ratio:0.9949109554290771]

[2022-08-08 17:16:06.677983] INFO: algo: handle_splits get splits [dt:2021-07-15 00:00:00+00:00] [asset:Equity(1388 [000700.SZA]), ratio:0.9617390632629395]

[2022-08-08 17:16:06.679196] INFO: Position: position stock handle split[sid:1968, orig_amount:500, new_amount:750.0, orig_cost:38.589998626768384, new_cost:25.708, ratio:0.6661835312843323, last_sale_price:27.57999610900879]

[2022-08-08 17:16:06.680306] INFO: Position: after split: PositionStock(asset:Equity(1968 [300663.SZA]), amount:750.0, cost_basis:25.708, last_sale_price:41.39999771118164)

[2022-08-08 17:16:06.681351] INFO: Position: returning cash: 15.0014

[2022-08-08 17:16:06.682473] INFO: Position: position stock handle split[sid:5608, orig_amount:300, new_amount:301.0, orig_cost:11.600000381732082, new_cost:11.541, ratio:0.9949109554290771, last_sale_price:11.730000495910645]

[2022-08-08 17:16:06.683706] INFO: Position: after split: PositionStock(asset:Equity(5608 [002928.SZA]), amount:301.0, cost_basis:11.541, last_sale_price:11.789999961853027)

[2022-08-08 17:16:06.685049] INFO: Position: returning cash: 6.27

[2022-08-08 17:16:06.686164] INFO: Position: position stock handle split[sid:1388, orig_amount:1400, new_amount:1455.0, orig_cost:5.855000019929394, new_cost:5.631, ratio:0.9617390632629395, last_sale_price:5.529999732971191]

[2022-08-08 17:16:06.687252] INFO: Position: after split: PositionStock(asset:Equity(1388 [000700.SZA]), amount:1455.0, cost_basis:5.631, last_sale_price:5.75)

[2022-08-08 17:16:06.688306] INFO: Position: returning cash: 3.8506

[2022-08-08 17:16:06.963012] INFO: algo: handle_splits get splits [dt:2021-07-20 00:00:00+00:00] [asset:Equity(3765 [600606.SHA]), ratio:0.9079189300537109]

[2022-08-08 17:16:06.964625] INFO: Position: position stock handle split[sid:3765, orig_amount:2600, new_amount:2863.0, orig_cost:5.431923005241466, new_cost:4.9317, ratio:0.9079189300537109, last_sale_price:4.929999828338623]

[2022-08-08 17:16:06.965862] INFO: Position: after split: PositionStock(asset:Equity(3765 [600606.SHA]), amount:2863.0, cost_basis:4.9317, last_sale_price:5.429999828338623)

[2022-08-08 17:16:06.966903] INFO: Position: returning cash: 3.4106

[2022-08-08 17:16:07.067428] INFO: algo: handle_splits get splits [dt:2021-07-21 00:00:00+00:00] [asset:Equity(1587 [000591.SZA]), ratio:0.9823788404464722]

[2022-08-08 17:16:07.069022] INFO: Position: position stock handle split[sid:1587, orig_amount:600, new_amount:610.0, orig_cost:6.6399998665069155, new_cost:6.523, ratio:0.9823788404464722, last_sale_price:6.690000057220459]

[2022-08-08 17:16:07.070238] INFO: Position: after split: PositionStock(asset:Equity(1587 [000591.SZA]), amount:610.0, cost_basis:6.523, last_sale_price:6.809999942779541)

[2022-08-08 17:16:07.071277] INFO: Position: returning cash: 5.1001

[2022-08-08 17:16:07.254023] INFO: algo: handle_splits get splits [dt:2021-07-23 00:00:00+00:00] [asset:Equity(829 [600118.SHA]), ratio:0.9962908625602722]

[2022-08-08 17:16:07.255650] INFO: Position: position stock handle split[sid:829, orig_amount:200, new_amount:200.0, orig_cost:27.064998627259165, new_cost:26.9646, ratio:0.9962908625602722, last_sale_price:26.860000610351562]

[2022-08-08 17:16:07.256915] INFO: Position: after split: PositionStock(asset:Equity(829 [600118.SHA]), amount:200.0, cost_basis:26.9646, last_sale_price:26.959999084472656)

[2022-08-08 17:16:07.258141] INFO: Position: returning cash: 19.9997

[2022-08-08 17:16:07.549227] INFO: algo: handle_splits get splits [dt:2021-07-28 00:00:00+00:00] [asset:Equity(4323 [600587.SHA]), ratio:0.9950248599052429]

[2022-08-08 17:16:07.550840] INFO: Position: position stock handle split[sid:4323, orig_amount:200, new_amount:201.0, orig_cost:24.35999870408906, new_cost:24.2388, ratio:0.9950248599052429, last_sale_price:19.999998092651367]

[2022-08-08 17:16:07.552068] INFO: Position: after split: PositionStock(asset:Equity(4323 [600587.SHA]), amount:201.0, cost_basis:24.2388, last_sale_price:20.099998474121094)

[2022-08-08 17:16:07.553139] INFO: Position: returning cash: 0.0001

[2022-08-08 17:16:08.112291] INFO: algo: handle_splits get splits [dt:2021-08-04 00:00:00+00:00] [asset:Equity(4977 [601236.SHA]), ratio:0.895957887172699]

[2022-08-08 17:16:08.114479] INFO: Position: position stock handle split[sid:4977, orig_amount:200, new_amount:223.0, orig_cost:14.029999732987896, new_cost:12.5703, ratio:0.895957887172699, last_sale_price:11.96999740600586]

[2022-08-08 17:16:08.115846] INFO: Position: after split: PositionStock(asset:Equity(4977 [601236.SHA]), amount:223.0, cost_basis:12.5703, last_sale_price:13.359999656677246)

[2022-08-08 17:16:08.117591] INFO: Position: returning cash: 2.6906

[2022-08-08 17:16:08.238924] INFO: algo: handle_splits get splits [dt:2021-08-05 00:00:00+00:00] [asset:Equity(4506 [600705.SHA]), ratio:0.9727047085762024]

[2022-08-08 17:16:08.240768] INFO: Position: position stock handle split[sid:4506, orig_amount:1000, new_amount:1028.0, orig_cost:4.050000191044136, new_cost:3.9395, ratio:0.9727047085762024, last_sale_price:3.9200000762939453]

[2022-08-08 17:16:08.242399] INFO: Position: after split: PositionStock(asset:Equity(4506 [600705.SHA]), amount:1028.0, cost_basis:3.9395, last_sale_price:4.03000020980835)

[2022-08-08 17:16:08.243519] INFO: Position: returning cash: 0.24

[2022-08-08 17:16:08.751168] INFO: algo: handle_splits get splits [dt:2021-08-12 00:00:00+00:00] [asset:Equity(2352 [600085.SHA]), ratio:0.9921807050704956]

[2022-08-08 17:16:08.752771] INFO: Position: position stock handle split[sid:2352, orig_amount:100, new_amount:100.0, orig_cost:35.02999877945951, new_cost:34.7561, ratio:0.9921807050704956, last_sale_price:34.2599983215332]

[2022-08-08 17:16:08.754008] INFO: Position: after split: PositionStock(asset:Equity(2352 [600085.SHA]), amount:100.0, cost_basis:34.7561, last_sale_price:34.529998779296875)

[2022-08-08 17:16:08.755130] INFO: Position: returning cash: 27.0

[2022-08-08 17:16:09.162101] INFO: algo: handle_splits get splits [dt:2021-08-18 00:00:00+00:00] [asset:Equity(5491 [600886.SHA]), ratio:0.9689234495162964]

[2022-08-08 17:16:09.163689] INFO: Position: position stock handle split[sid:5491, orig_amount:900, new_amount:928.0, orig_cost:9.133332995700583, new_cost:8.8495, ratio:0.9689234495162964, last_sale_price:8.730000495910645]

[2022-08-08 17:16:09.165156] INFO: Position: after split: PositionStock(asset:Equity(5491 [600886.SHA]), amount:928.0, cost_basis:8.8495, last_sale_price:9.010000228881836)

[2022-08-08 17:16:09.166616] INFO: Position: returning cash: 7.5597

[2022-08-08 17:16:09.286411] INFO: algo: handle_splits get splits [dt:2021-08-19 00:00:00+00:00] [asset:Equity(3423 [600764.SHA]), ratio:0.9889996647834778]

[2022-08-08 17:16:09.288094] INFO: Position: position stock handle split[sid:3423, orig_amount:100, new_amount:101.0, orig_cost:29.100000382792327, new_cost:28.7799, ratio:0.9889996647834778, last_sale_price:28.770000457763672]

[2022-08-08 17:16:09.289427] INFO: Position: after split: PositionStock(asset:Equity(3423 [600764.SHA]), amount:101.0, cost_basis:28.7799, last_sale_price:29.09000015258789)

[2022-08-08 17:16:09.290543] INFO: Position: returning cash: 3.23

[2022-08-08 17:16:11.175244] INFO: algo: handle_splits get splits [dt:2021-09-13 00:00:00+00:00] [asset:Equity(1022 [300158.SZA]), ratio:0.9870968461036682]

[2022-08-08 17:16:11.176990] INFO: Position: position stock handle split[sid:1022, orig_amount:500, new_amount:506.0, orig_cost:7.779999256398849, new_cost:7.6796, ratio:0.9870968461036682, last_sale_price:7.65000057220459]

[2022-08-08 17:16:11.178472] INFO: Position: after split: PositionStock(asset:Equity(1022 [300158.SZA]), amount:506.0, cost_basis:7.6796, last_sale_price:7.75)

[2022-08-08 17:16:11.179689] INFO: Position: returning cash: 4.0997

[2022-08-08 17:16:11.475136] INFO: algo: handle_splits get splits [dt:2021-09-16 00:00:00+00:00] [asset:Equity(589 [300642.SZA]), ratio:0.5554848313331604]

[2022-08-08 17:16:11.476870] INFO: Position: position stock handle split[sid:589, orig_amount:500, new_amount:900.0, orig_cost:63.839997919717845, new_cost:35.4622, ratio:0.5554848313331604, last_sale_price:34.8900032043457]

[2022-08-08 17:16:11.478258] INFO: Position: after split: PositionStock(asset:Equity(589 [300642.SZA]), amount:900.0, cost_basis:35.4622, last_sale_price:62.810001373291016)

[2022-08-08 17:16:11.479430] INFO: Position: returning cash: 3.998

[2022-08-08 17:16:12.200153] INFO: algo: handle_splits get splits [dt:2021-09-29 00:00:00+00:00] [asset:Equity(2487 [300708.SZA]), ratio:0.5552012920379639]

[2022-08-08 17:16:12.201852] INFO: Position: position stock handle split[sid:2487, orig_amount:500, new_amount:900.0, orig_cost:36.81200409077702, new_cost:20.4381, ratio:0.5552012920379639, last_sale_price:19.159997940063477]

[2022-08-08 17:16:12.203114] INFO: Position: after split: PositionStock(asset:Equity(2487 [300708.SZA]), amount:900.0, cost_basis:20.4381, last_sale_price:34.51000213623047)

[2022-08-08 17:16:12.204298] INFO: Position: returning cash: 11.0031

[2022-08-08 17:16:13.361153] INFO: algo: handle_splits get splits [dt:2021-10-21 00:00:00+00:00] [asset:Equity(2563 [601633.SHA]), ratio:0.9952681660652161]

[2022-08-08 17:16:16.701943] INFO: algo: handle_splits get splits [dt:2021-12-06 00:00:00+00:00] [asset:Equity(4516 [836720.BJA]), ratio:0.5714283585548401]

[2022-08-08 17:16:17.375945] INFO: algo: handle_splits get splits [dt:2021-12-15 00:00:00+00:00] [asset:Equity(2555 [600518.SHA]), ratio:0.9388646483421326]

[2022-08-08 17:16:17.377714] INFO: Position: position stock handle split[sid:2555, orig_amount:1000, new_amount:1065.0, orig_cost:4.619999885591949, new_cost:4.3376, ratio:0.9388646483421326, last_sale_price:4.299999713897705]

[2022-08-08 17:16:17.379141] INFO: Position: after split: PositionStock(asset:Equity(2555 [600518.SHA]), amount:1065.0, cost_basis:4.3376, last_sale_price:4.5799994468688965)

[2022-08-08 17:16:17.380348] INFO: Position: returning cash: 0.4999

[2022-08-08 17:16:18.175922] INFO: Performance: Simulated 493 trading days out of 493.

[2022-08-08 17:16:18.177651] INFO: Performance: first open: 2019-12-16 09:30:00+00:00

[2022-08-08 17:16:18.178933] INFO: Performance: last close: 2021-12-24 15:00:00+00:00

[2022-08-08 17:16:34.778730] INFO: moduleinvoker: backtest.v8 运行完成[109.405074s].

[2022-08-08 17:16:34.780559] INFO: moduleinvoker: trade.v4 运行完成[112.78131s].

[2022-08-08 17:16:34.782019] INFO: moduleinvoker: hyper_rolling_train.v1 运行完成[269.255286s].

收益率0.88%
年化收益率0.45%
基准收益率24.02%
阿尔法-0.07
贝塔0.66
夏普比率-0.04
胜率0.51
盈亏比1.02
收益波动率18.44%
信息比率-0.05
最大回撤23.56%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-001f292bcca542ccba81b1547aabc096"}/bigcharts-data-end

In [6]:

# 第一次训练的训练集
print(m12.result['rollings'][0]['m1'].data.read_pickle()['start_date'])
print(m12.result['rollings'][0]['m1'].data.read_pickle()['end_date'])
# 第一次训练的模型的特征得分
# m12.result['rollings'][0]['m6'].feature_gains.read_df()
# 第一次训练的预测集
print(m12.result['rollings'][0]['m9'].data.read_pickle()['start_date'])
print(m12.result['rollings'][0]['m9'].data.read_pickle()['end_date'])
# 训练的第一个模型的预测结果
# m12.result['rollings'][0]['m8'].predictions.read_df().set_index('date').ix['2017-02-14'].head()
# 第二次训练的训练集
print(m12.result['rollings'][1]['m1'].data.read_pickle()['start_date'])
print(m12.result['rollings'][1]['m1'].data.read_pickle()['end_date'])

In [7]:

m12.result['rollings'][0]['m10'].feature_gains()

Out[7]:

	feature	gain
3	decay_linear(return_0, 5)	0.478644
0	close_0	0.244395
1	open_0	0.239912
2	ts_rank(close_0, 5)	0.032198
4	correlation(volume_0, turn_0, 5)	0.004851

In [8]:

len(m12.result['rollings'])

Out[8]:

In [ ]: