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_auto_labeler-v2","ModuleParameters":[{"Name":"label_expr","Value":"# 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# 本代码由可视化策略环境自动生成 2020年4月11日 18:49
# 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。


# 回测引擎：初始化函数，只执行一次
def m13_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 = 5
    # 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.hold_days = 5

# 回测引擎：每日数据处理函数，每天执行一次
def m13_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')]

    # 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.hold_days # 是否在建仓期间（前 hold_days 天）
    cash_avg = context.portfolio.portfolio_value / context.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StockRanker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StockRanker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 m13_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 m13_before_trading_start_bigquant_run(context, data):
    pass


m1 = M.instruments.v2(
    start_date='2010-01-01',
    end_date='2014-12-31',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m8 = M.advanced_auto_labeler.v2(
    instruments=m1.data,
    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)
where(shift(close, -5) / shift(open, -1)>1,1,0)

# 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)
""",
    start_date='',
    end_date='',
    benchmark='000300.SHA',
    drop_na_label=True,
    cast_label_int=False,
    user_functions={}
)

m2 = M.input_features.v1(
    features="""
# #号开始的表示注释，注释需单独一行
# 多个特征，每行一个，可以包含基础特征和衍生特征，特征须为本平台特征
return_5
return_10
return_20
avg_amount_0/avg_amount_5
avg_amount_5/avg_amount_20
rank_avg_amount_0/rank_avg_amount_5
rank_avg_amount_5/rank_avg_amount_10
rank_return_0
rank_return_5
rank_return_10
rank_return_0/rank_return_5
rank_return_5/rank_return_10
pe_ttm_0
"""
)

m3 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m2.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m6 = M.derived_feature_extractor.v3(
    input_data=m3.data,
    features=m2.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions={}
)

m9 = M.join.v3(
    data1=m8.data,
    data2=m6.data,
    on='date,instrument',
    how='inner',
    sort=False
)

m10 = M.dropnan.v1(
    input_data=m9.data
)

m4 = M.instruments.v2(
    start_date='2015-01-01',
    end_date='2017-01-01',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m5 = M.general_feature_extractor.v7(
    instruments=m4.data,
    features=m2.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m7 = M.derived_feature_extractor.v3(
    input_data=m5.data,
    features=m2.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions={}
)

m11 = M.dropnan.v1(
    input_data=m7.data
)

m19 = M.logistic_regression.v1(
    training_ds=m10.data,
    features=m2.data,
    predict_ds=m11.data,
    penalty='l2',
    dual=False,
    fit_intercept=True,
    tol=0.0001,
    C=1,
    key_cols='date,instrument',
    workers=1,
    other_train_parameters={}
)

m14 = M.sort.v4(
    input_ds=m19.predictions,
    sort_by='pred_label',
    group_by='date',
    keep_columns='--',
    ascending=False
)

m13 = M.trade.v4(
    instruments=m4.data,
    options_data=m14.sorted_data,
    start_date='',
    end_date='',
    initialize=m13_initialize_bigquant_run,
    handle_data=m13_handle_data_bigquant_run,
    prepare=m13_prepare_bigquant_run,
    before_trading_start=m13_before_trading_start_bigquant_run,
    volume_limit=0.025,
    order_price_field_buy='open',
    order_price_field_sell='close',
    capital_base=1000000,
    auto_cancel_non_tradable_orders=True,
    data_frequency='daily',
    price_type='真实价格',
    product_type='股票',
    plot_charts=True,
    backtest_only=False,
    benchmark=''
)

[2020-04-11 18:47:05.771741] INFO: bigquant: instruments.v2 开始运行..

[2020-04-11 18:47:05.796348] INFO: bigquant: 命中缓存

[2020-04-11 18:47:05.797492] INFO: bigquant: instruments.v2 运行完成[0.025752s].

[2020-04-11 18:47:05.799251] INFO: bigquant: advanced_auto_labeler.v2 开始运行..

[2020-04-11 18:47:05.843703] INFO: bigquant: 命中缓存

[2020-04-11 18:47:05.845204] INFO: bigquant: advanced_auto_labeler.v2 运行完成[0.045934s].

[2020-04-11 18:47:05.846988] INFO: bigquant: input_features.v1 开始运行..

[2020-04-11 18:47:05.871551] INFO: bigquant: 命中缓存

[2020-04-11 18:47:05.873092] INFO: bigquant: input_features.v1 运行完成[0.026102s].

[2020-04-11 18:47:05.906783] INFO: bigquant: general_feature_extractor.v7 开始运行..

[2020-04-11 18:47:05.928628] INFO: bigquant: 命中缓存

[2020-04-11 18:47:05.930252] INFO: bigquant: general_feature_extractor.v7 运行完成[0.023472s].

[2020-04-11 18:47:05.932529] INFO: bigquant: derived_feature_extractor.v3 开始运行..

[2020-04-11 18:47:05.956090] INFO: bigquant: 命中缓存

[2020-04-11 18:47:05.957516] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.024989s].

[2020-04-11 18:47:05.959458] INFO: bigquant: join.v3 开始运行..

[2020-04-11 18:47:05.987707] INFO: bigquant: 命中缓存

[2020-04-11 18:47:05.989067] INFO: bigquant: join.v3 运行完成[0.029603s].

[2020-04-11 18:47:05.991192] INFO: bigquant: dropnan.v1 开始运行..

[2020-04-11 18:47:06.035751] INFO: bigquant: 命中缓存

[2020-04-11 18:47:06.037214] INFO: bigquant: dropnan.v1 运行完成[0.046007s].

[2020-04-11 18:47:06.039350] INFO: bigquant: instruments.v2 开始运行..

[2020-04-11 18:47:06.063633] INFO: bigquant: 命中缓存

[2020-04-11 18:47:06.064824] INFO: bigquant: instruments.v2 运行完成[0.02547s].

[2020-04-11 18:47:06.093899] INFO: bigquant: general_feature_extractor.v7 开始运行..

[2020-04-11 18:47:06.124361] INFO: bigquant: 命中缓存

[2020-04-11 18:47:06.125526] INFO: bigquant: general_feature_extractor.v7 运行完成[0.031631s].

[2020-04-11 18:47:06.127306] INFO: bigquant: derived_feature_extractor.v3 开始运行..

[2020-04-11 18:47:06.325842] INFO: bigquant: 命中缓存

[2020-04-11 18:47:06.327063] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.199753s].

[2020-04-11 18:47:06.328873] INFO: bigquant: dropnan.v1 开始运行..

[2020-04-11 18:47:06.349817] INFO: bigquant: 命中缓存

[2020-04-11 18:47:06.351191] INFO: bigquant: dropnan.v1 运行完成[0.022309s].

[2020-04-11 18:47:06.352982] INFO: bigquant: logistic_regression.v1 开始运行..

[2020-04-11 18:47:09.409486] INFO: bigquant: logistic_regression.v1 运行完成[3.056471s].

[2020-04-11 18:47:09.441148] INFO: bigquant: sort.v4 开始运行..

[2020-04-11 18:47:12.546898] INFO: bigquant: sort.v4 运行完成[3.105735s].

[2020-04-11 18:47:13.744572] INFO: bigquant: backtest.v8 开始运行..

[2020-04-11 18:47:13.769052] INFO: backtest: biglearning backtest:V8.3.3

[2020-04-11 18:47:13.770547] INFO: backtest: product_type:stock by specified

[2020-04-11 18:47:13.983418] INFO: bigquant: cached.v2 开始运行..

[2020-04-11 18:47:14.007261] INFO: bigquant: 命中缓存

[2020-04-11 18:47:14.008458] INFO: bigquant: cached.v2 运行完成[0.025047s].

[2020-04-11 18:47:15.565519] INFO: algo: TradingAlgorithm V1.6.7

[2020-04-11 18:47:16.845823] INFO: algo: trading transform...

[2020-04-11 18:47:18.554179] INFO: algo: handle_splits get splits [dt:2015-04-14 00:00:00+00:00] [asset:Equity(1261 [600832.SHA]), ratio:0.9963279962539673]

[2020-04-11 18:47:18.555505] INFO: Position: position stock handle split[sid:1261, orig_amount:5400, new_amount:5419.0, orig_cost:16.90999985362926, new_cost:16.85, ratio:0.9963279962539673, last_sale_price:16.279998779296875]

[2020-04-11 18:47:18.556987] INFO: Position: after split: PositionStock(asset:Equity(1261 [600832.SHA]), amount:5419.0, cost_basis:16.85, last_sale_price:16.34000015258789)

[2020-04-11 18:47:18.558391] INFO: Position: returning cash: 14.68

[2020-04-11 18:47:18.713000] INFO: algo: handle_splits get splits [dt:2015-04-21 00:00:00+00:00] [asset:Equity(2204 [002597.SZA]), ratio:0.4940304756164551]

[2020-04-11 18:47:18.714162] INFO: Position: position stock handle split[sid:2204, orig_amount:1600, new_amount:3238.0, orig_cost:24.900001582957895, new_cost:12.3, ratio:0.4940304756164551, last_sale_price:12.000000953674316]

[2020-04-11 18:47:18.715119] INFO: Position: after split: PositionStock(asset:Equity(2204 [002597.SZA]), amount:3238.0, cost_basis:12.3, last_sale_price:24.290000915527344)

[2020-04-11 18:47:18.716103] INFO: Position: returning cash: 8.0

[2020-04-11 18:47:18.854828] INFO: algo: handle_splits get splits [dt:2015-04-28 00:00:00+00:00] [asset:Equity(388 [300360.SZA]), ratio:0.9933488368988037]

[2020-04-11 18:47:18.856184] INFO: Position: position stock handle split[sid:388, orig_amount:1700, new_amount:1711.0, orig_cost:28.300001683548818, new_cost:28.11, ratio:0.9933488368988037, last_sale_price:29.869998931884766]

[2020-04-11 18:47:18.857677] INFO: Position: after split: PositionStock(asset:Equity(388 [300360.SZA]), amount:1711.0, cost_basis:28.11, last_sale_price:30.06999969482422)

[2020-04-11 18:47:18.859165] INFO: Position: returning cash: 11.43

[2020-04-11 18:47:19.250364] INFO: algo: handle_splits get splits [dt:2015-05-20 00:00:00+00:00] [asset:Equity(418 [600066.SHA]), ratio:0.64647376537323]

[2020-04-11 18:47:19.251528] INFO: Position: position stock handle split[sid:418, orig_amount:2700, new_amount:4176.0, orig_cost:30.809999513606275, new_cost:19.92, ratio:0.64647376537323, last_sale_price:21.44999885559082]

[2020-04-11 18:47:19.252442] INFO: Position: after split: PositionStock(asset:Equity(418 [600066.SHA]), amount:4176.0, cost_basis:19.92, last_sale_price:33.18000030517578)

[2020-04-11 18:47:19.253568] INFO: Position: returning cash: 10.8

[2020-04-11 18:47:19.388832] INFO: algo: handle_splits get splits [dt:2015-05-27 00:00:00+00:00] [asset:Equity(2847 [300259.SZA]), ratio:0.5865355134010315]

[2020-04-11 18:47:19.390080] INFO: Position: position stock handle split[sid:2847, orig_amount:2600, new_amount:4432.0, orig_cost:30.120001219924426, new_cost:17.67, ratio:0.5865355134010315, last_sale_price:19.080001831054688]

[2020-04-11 18:47:19.391105] INFO: Position: after split: PositionStock(asset:Equity(2847 [300259.SZA]), amount:4432.0, cost_basis:17.67, last_sale_price:32.53000259399414)

[2020-04-11 18:47:19.391894] INFO: Position: returning cash: 15.44

[2020-04-11 18:47:19.808888] INFO: algo: handle_splits get splits [dt:2015-06-23 00:00:00+00:00] [asset:Equity(777 [300077.SZA]), ratio:0.9998031258583069]

[2020-04-11 18:47:19.810070] INFO: Position: position stock handle split[sid:777, orig_amount:1500, new_amount:1500.0, orig_cost:63.499996360408005, new_cost:63.49, ratio:0.9998031258583069, last_sale_price:50.77000045776367]

[2020-04-11 18:47:19.810973] INFO: Position: after split: PositionStock(asset:Equity(777 [300077.SZA]), amount:1500.0, cost_basis:63.49, last_sale_price:50.779998779296875)

[2020-04-11 18:47:19.811717] INFO: Position: returning cash: 15.0

[2020-04-11 18:47:19.872267] INFO: algo: handle_splits get splits [dt:2015-06-26 00:00:00+00:00] [asset:Equity(1369 [600132.SHA]), ratio:0.992275059223175]

[2020-04-11 18:47:19.873428] INFO: Position: position stock handle split[sid:1369, orig_amount:3800, new_amount:3829.0, orig_cost:30.420000397153053, new_cost:30.19, ratio:0.992275059223175, last_sale_price:25.69000244140625]

[2020-04-11 18:47:19.874437] INFO: Position: after split: PositionStock(asset:Equity(1369 [600132.SHA]), amount:3829.0, cost_basis:30.19, last_sale_price:25.89000129699707)

[2020-04-11 18:47:19.875307] INFO: Position: returning cash: 14.99

[2020-04-11 18:47:19.995778] INFO: algo: handle_splits get splits [dt:2015-07-03 00:00:00+00:00] [asset:Equity(2212 [600190.SHA]), ratio:0.9956010580062866]

[2020-04-11 18:47:19.996926] INFO: Position: position stock handle split[sid:2212, orig_amount:9200, new_amount:9240.0, orig_cost:8.249999149996471, new_cost:8.21, ratio:0.9956010580062866, last_sale_price:6.789999485015869]

[2020-04-11 18:47:19.997922] INFO: Position: after split: PositionStock(asset:Equity(2212 [600190.SHA]), amount:9240.0, cost_basis:8.21, last_sale_price:6.820000171661377)

[2020-04-11 18:47:19.998714] INFO: Position: returning cash: 4.41

[2020-04-11 18:47:20.350975] INFO: algo: handle_splits get splits [dt:2015-07-21 00:00:00+00:00] [asset:Equity(1015 [600272.SHA]), ratio:0.9970971345901489]

[2020-04-11 18:47:20.352486] INFO: Position: position stock handle split[sid:1015, orig_amount:3700, new_amount:3710.0, orig_cost:9.640011195137689, new_cost:9.61, ratio:0.9970971345901489, last_sale_price:13.739997863769531]

[2020-04-11 18:47:20.353589] INFO: Position: after split: PositionStock(asset:Equity(1015 [600272.SHA]), amount:3710.0, cost_basis:9.61, last_sale_price:13.779999732971191)

[2020-04-11 18:47:20.354720] INFO: Position: returning cash: 10.61

[2020-04-11 18:47:20.398089] INFO: algo: handle_splits get splits [dt:2015-07-23 00:00:00+00:00] [asset:Equity(437 [600153.SHA]), ratio:0.9885780215263367]

[2020-04-11 18:47:20.399297] INFO: Position: position stock handle split[sid:437, orig_amount:3900, new_amount:3945.0, orig_cost:19.769998553690122, new_cost:19.54, ratio:0.9885780215263367, last_sale_price:17.310001373291016]

[2020-04-11 18:47:20.400203] INFO: Position: after split: PositionStock(asset:Equity(437 [600153.SHA]), amount:3945.0, cost_basis:19.54, last_sale_price:17.510000228881836)

[2020-04-11 18:47:20.400959] INFO: Position: returning cash: 1.05

[2020-04-11 18:47:24.491503] INFO: algo: handle_splits get splits [dt:2016-05-09 00:00:00+00:00] [asset:Equity(159 [002033.SZA]), ratio:0.9918698072433472]

[2020-04-11 18:47:24.492687] INFO: Position: position stock handle split[sid:159, orig_amount:6900, new_amount:6956.0, orig_cost:12.750000442268911, new_cost:12.65, ratio:0.9918698072433472, last_sale_price:12.19999885559082]

[2020-04-11 18:47:24.493567] INFO: Position: after split: PositionStock(asset:Equity(159 [002033.SZA]), amount:6956.0, cost_basis:12.65, last_sale_price:12.300000190734863)

[2020-04-11 18:47:24.494296] INFO: Position: returning cash: 6.81

[2020-04-11 18:47:24.780768] INFO: algo: handle_splits get splits [dt:2016-05-30 00:00:00+00:00] [asset:Equity(654 [600160.SHA]), ratio:0.9897854924201965]

[2020-04-11 18:47:24.782036] INFO: Position: position stock handle split[sid:654, orig_amount:6100, new_amount:6162.0, orig_cost:9.840000264560523, new_cost:9.74, ratio:0.9897854924201965, last_sale_price:9.6899995803833]

[2020-04-11 18:47:24.783219] INFO: Position: after split: PositionStock(asset:Equity(654 [600160.SHA]), amount:6162.0, cost_basis:9.74, last_sale_price:9.789999961853027)

[2020-04-11 18:47:24.784117] INFO: Position: returning cash: 9.22

[2020-04-11 18:47:24.802261] INFO: algo: handle_splits get splits [dt:2016-05-31 00:00:00+00:00] [asset:Equity(1016 [002755.SZA]), ratio:0.9990682601928711]

[2020-04-11 18:47:24.803269] INFO: Position: position stock handle split[sid:1016, orig_amount:2000, new_amount:2001.0, orig_cost:32.150008548186086, new_cost:32.12, ratio:0.9990682601928711, last_sale_price:32.16999816894531]

[2020-04-11 18:47:24.804093] INFO: Position: after split: PositionStock(asset:Equity(1016 [002755.SZA]), amount:2001.0, cost_basis:32.12, last_sale_price:32.20000076293945)

[2020-04-11 18:47:24.804868] INFO: Position: returning cash: 27.83

[2020-04-11 18:47:24.879267] INFO: algo: handle_splits get splits [dt:2016-06-06 00:00:00+00:00] [asset:Equity(1440 [600150.SHA]), ratio:0.9991180300712585]

[2020-04-11 18:47:24.967405] INFO: algo: handle_splits get splits [dt:2016-06-15 00:00:00+00:00] [asset:Equity(2212 [600190.SHA]), ratio:0.9949750900268555]

[2020-04-11 18:47:24.968507] INFO: algo: handle_splits get splits [dt:2016-06-15 00:00:00+00:00] [asset:Equity(547 [600191.SHA]), ratio:0.9921073913574219]

[2020-04-11 18:47:24.969434] INFO: algo: handle_splits get splits [dt:2016-06-15 00:00:00+00:00] [asset:Equity(814 [600172.SHA]), ratio:0.9970078468322754]

[2020-04-11 18:47:24.970353] INFO: Position: position stock handle split[sid:2212, orig_amount:24000, new_amount:24121.0, orig_cost:3.960004200519, new_cost:3.94, ratio:0.9949750900268555, last_sale_price:3.96000075340271]

[2020-04-11 18:47:24.971218] INFO: Position: after split: PositionStock(asset:Equity(2212 [600190.SHA]), amount:24121.0, cost_basis:3.94, last_sale_price:3.9799997806549072)

[2020-04-11 18:47:24.972026] INFO: Position: returning cash: 0.82

[2020-04-11 18:47:24.972882] INFO: Position: position stock handle split[sid:547, orig_amount:6800, new_amount:6854.0, orig_cost:12.090003022212766, new_cost:11.99, ratio:0.9921073913574219, last_sale_price:12.570000648498535]

[2020-04-11 18:47:24.973713] INFO: Position: after split: PositionStock(asset:Equity(547 [600191.SHA]), amount:6854.0, cost_basis:11.99, last_sale_price:12.670000076293945)

[2020-04-11 18:47:24.974520] INFO: Position: returning cash: 1.22

[2020-04-11 18:47:24.975360] INFO: Position: position stock handle split[sid:814, orig_amount:5600, new_amount:5616.0, orig_cost:17.17999844170723, new_cost:17.13, ratio:0.9970078468322754, last_sale_price:16.65999984741211]

[2020-04-11 18:47:24.976210] INFO: Position: after split: PositionStock(asset:Equity(814 [600172.SHA]), amount:5616.0, cost_basis:17.13, last_sale_price:16.709999084472656)

[2020-04-11 18:47:24.977008] INFO: Position: returning cash: 13.43

[2020-04-11 18:47:24.994202] INFO: algo: handle_splits get splits [dt:2016-06-16 00:00:00+00:00] [asset:Equity(2089 [000001.SZA]), ratio:0.820881187915802]

[2020-04-11 18:47:24.995322] INFO: Position: position stock handle split[sid:2089, orig_amount:37000, new_amount:45073.0, orig_cost:10.237595652401026, new_cost:8.4, ratio:0.820881187915802, last_sale_price:8.569999694824219]

[2020-04-11 18:47:24.996294] INFO: Position: after split: PositionStock(asset:Equity(2089 [000001.SZA]), amount:45073.0, cost_basis:8.4, last_sale_price:10.440000534057617)

[2020-04-11 18:47:25.016022] INFO: Position: returning cash: 4.41

[2020-04-11 18:47:25.035002] INFO: algo: handle_splits get splits [dt:2016-06-17 00:00:00+00:00] [asset:Equity(1190 [600180.SHA]), ratio:0.9970822930335999]

[2020-04-11 18:47:25.036105] INFO: algo: handle_splits get splits [dt:2016-06-17 00:00:00+00:00] [asset:Equity(437 [600153.SHA]), ratio:0.9920760989189148]

[2020-04-11 18:47:25.037113] INFO: Position: position stock handle split[sid:1190, orig_amount:8900, new_amount:8926.0, orig_cost:13.820006428753928, new_cost:13.78, ratio:0.9970822930335999, last_sale_price:13.669998168945312]

[2020-04-11 18:47:25.037992] INFO: Position: after split: PositionStock(asset:Equity(1190 [600180.SHA]), amount:8926.0, cost_basis:13.78, last_sale_price:13.710000038146973)

[2020-04-11 18:47:25.038793] INFO: Position: returning cash: 0.6

[2020-04-11 18:47:25.039644] INFO: Position: position stock handle split[sid:437, orig_amount:3945.0, new_amount:3976.0, orig_cost:19.54, new_cost:19.39, ratio:0.9920760989189148, last_sale_price:12.520000457763672]

[2020-04-11 18:47:25.040487] INFO: Position: after split: PositionStock(asset:Equity(437 [600153.SHA]), amount:3976.0, cost_basis:19.39, last_sale_price:12.619999885559082)

[2020-04-11 18:47:25.041298] INFO: Position: returning cash: 6.38

[2020-04-11 18:47:25.897762] INFO: algo: handle_splits get splits [dt:2016-08-19 00:00:00+00:00] [asset:Equity(1776 [600030.SHA]), ratio:0.9713796377182007]

[2020-04-11 18:47:25.898907] INFO: Position: position stock handle split[sid:1776, orig_amount:6300, new_amount:6485.0, orig_cost:16.539999009545717, new_cost:16.07, ratio:0.9713796377182007, last_sale_price:16.970001220703125]

[2020-04-11 18:47:25.899880] INFO: Position: after split: PositionStock(asset:Equity(1776 [600030.SHA]), amount:6485.0, cost_basis:16.07, last_sale_price:17.469999313354492)

[2020-04-11 18:47:25.900723] INFO: Position: returning cash: 10.54

[2020-04-11 18:47:25.958547] INFO: algo: handle_splits get splits [dt:2016-08-24 00:00:00+00:00] [asset:Equity(1982 [600031.SHA]), ratio:0.9981752038002014]

[2020-04-11 18:47:25.959698] INFO: Position: position stock handle split[sid:1982, orig_amount:17100, new_amount:17131.0, orig_cost:5.300000682494279, new_cost:5.29, ratio:0.9981752038002014, last_sale_price:5.470000267028809]

[2020-04-11 18:47:25.960673] INFO: Position: after split: PositionStock(asset:Equity(1982 [600031.SHA]), amount:17131.0, cost_basis:5.29, last_sale_price:5.480000019073486)

[2020-04-11 18:47:25.961523] INFO: Position: returning cash: 1.43

[2020-04-11 18:47:26.331592] INFO: algo: handle_splits get splits [dt:2016-09-26 00:00:00+00:00] [asset:Equity(2479 [300242.SZA]), ratio:0.5]

[2020-04-11 18:47:27.419155] INFO: Performance: Simulated 488 trading days out of 488.

[2020-04-11 18:47:27.420379] INFO: Performance: first open: 2015-01-05 09:30:00+00:00

[2020-04-11 18:47:27.421624] INFO: Performance: last close: 2016-12-30 15:00:00+00:00

[2020-04-11 18:47:34.405503] INFO: bigquant: backtest.v8 运行完成[20.660934s].

[2020-04-11 18:47:34.406870] INFO: bigquant: trade.v4 运行完成[21.843765s].

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