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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）\n is_staging = context.trading_day_index < context.options['hold_days'] # 是否在建仓期间（前 hold_days 天）\n cash_avg = context.portfolio.portfolio_value / context.options['hold_days']\n cash_for_buy = min(context.portfolio.cash, (1 if is_staging else 1.5) * cash_avg)\n cash_for_sell = cash_avg - (context.portfolio.cash - cash_for_buy)\n positions = {e.symbol: p.amount * p.last_sale_price\n for e, p in context.portfolio.positions.items()}\n\n # 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\n if not is_staging and cash_for_sell > 0:\n equities = {e.symbol: e for e, p in context.portfolio.positions.items()}\n instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(\n lambda x: x in equities)])))\n\n for instrument in instruments:\n context.order_target(context.symbol(instrument), 0)\n cash_for_sell -= positions[instrument]\n if cash_for_sell <= 0:\n break\n\n # 3. 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# 本代码由可视化策略环境自动生成 2021年10月29日 15:12
# 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 m10_run_bigquant_run(input_1, input_2, input_3):
    # 分别读取三个模型
    sr = input_1.read_df()
    rf = input_2.read_df()
    lgb = input_2.read_df()
    
    # stacking
    df = pd.DataFrame()
    df["date"] = sr["date"]
    df["instrument"] = sr["instrument"]
    df["pred_label"] = 1/3 * (sr["score"] + rf["pred_label"] + lgb["pred_label"])
    df.sort_values(['date','pred_label'],inplace=True, ascending=[True,False])
    return Outputs(data_1=DataSource.write_df(df), 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 m10_post_run_bigquant_run(outputs):
    return outputs

# 回测引擎：初始化函数，只执行一次
def m19_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.options['hold_days'] = 5

# 回测引擎：每日数据处理函数，每天执行一次
def m19_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.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.portfolio.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.portfolio.positions.items()}
        instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(
                lambda x: x in equities)])))

        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 m19_prepare_bigquant_run(context):
    pass


m1 = M.instruments.v2(
    start_date='2010-01-01',
    end_date='2015-01-01',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m2 = 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)
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)
""",
    start_date='',
    end_date='',
    benchmark='000300.SHA',
    drop_na_label=True,
    cast_label_int=True
)

m3 = M.input_features.v1(
    features="""# #号开始的表示注释
# 多个特征，每行一个，可以包含基础特征和衍生特征
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
"""
)

m15 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m16 = M.derived_feature_extractor.v3(
    input_data=m15.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False
)

m7 = M.join.v3(
    data1=m2.data,
    data2=m16.data,
    on='date,instrument',
    how='inner',
    sort=False
)

m13 = M.dropnan.v1(
    input_data=m7.data
)

m6 = M.stock_ranker_train.v5(
    training_ds=m13.data,
    features=m3.data,
    learning_algorithm='排序',
    number_of_leaves=30,
    minimum_docs_per_leaf=1000,
    number_of_trees=20,
    learning_rate=0.1,
    max_bins=1023,
    feature_fraction=1,
    m_lazy_run=False
)

m9 = M.instruments.v2(
    start_date=T.live_run_param('trading_date', '2015-01-01'),
    end_date=T.live_run_param('trading_date', '2017-01-01'),
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m17 = M.general_feature_extractor.v7(
    instruments=m9.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m18 = M.derived_feature_extractor.v3(
    input_data=m17.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False
)

m14 = M.dropnan.v1(
    input_data=m18.data
)

m8 = M.stock_ranker_predict.v5(
    model=m6.model,
    data=m14.data,
    m_lazy_run=False
)

m4 = M.lightgbm.v2(
    training_ds=m13.data,
    features=m3.data,
    predict_ds=m14.data,
    num_boost_round=30,
    objective='回归',
    num_class=1,
    num_leaves=30,
    learning_rate=0.1,
    min_data_in_leaf=200,
    max_bin=255,
    key_cols='date,instrument',
    group_col='date',
    random_seed=101,
    other_train_parameters={}
)

m5 = M.random_forest_regressor.v1(
    training_ds=m13.data,
    features=m3.data,
    predict_ds=m14.data,
    iterations=10,
    feature_fraction=1,
    max_depth=30,
    min_samples_per_leaf=200,
    key_cols='date,instrument',
    workers=1,
    random_state=0,
    other_train_parameters={}
)

m10 = M.cached.v3(
    input_1=m8.predictions,
    input_2=m5.predictions,
    input_3=m4.predictions,
    run=m10_run_bigquant_run,
    post_run=m10_post_run_bigquant_run,
    input_ports='',
    params='{}',
    output_ports=''
)

m19 = M.trade.v4(
    instruments=m9.data,
    options_data=m10.data_1,
    start_date='',
    end_date='',
    initialize=m19_initialize_bigquant_run,
    handle_data=m19_handle_data_bigquant_run,
    prepare=m19_prepare_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='000300.SHA'
)

[2021-10-29 14:55:47.695660] INFO: moduleinvoker: instruments.v2 开始运行..

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[2021-10-29 14:55:51.109294] INFO: moduleinvoker: backtest.v8 开始运行..

[2021-10-29 14:55:51.114537] INFO: backtest: biglearning backtest:V8.5.0

[2021-10-29 14:55:51.115889] INFO: backtest: product_type:stock by specified

[2021-10-29 14:55:51.260787] INFO: moduleinvoker: cached.v2 开始运行..

[2021-10-29 14:55:51.273376] INFO: moduleinvoker: 命中缓存

[2021-10-29 14:55:51.275279] INFO: moduleinvoker: cached.v2 运行完成[0.014514s].

[2021-10-29 14:55:53.310261] INFO: algo: TradingAlgorithm V1.8.5

[2021-10-29 14:55:54.193386] INFO: algo: trading transform...

[2021-10-29 14:55:57.411562] INFO: algo: handle_splits get splits [dt:2015-04-30 00:00:00+00:00] [asset:Equity(620 [300338.SZA]), ratio:0.49898988008499146]

[2021-10-29 14:55:57.413180] INFO: Position: position stock handle split[sid:620, orig_amount:900, new_amount:1803.0, orig_cost:42.500000311255064, new_cost:21.2071, ratio:0.49898988008499146, last_sale_price:22.229999542236328]

[2021-10-29 14:55:57.414338] INFO: Position: after split: PositionStock(asset:Equity(620 [300338.SZA]), amount:1803.0, cost_basis:21.2071, last_sale_price:44.54999923706055)

[2021-10-29 14:55:57.415371] INFO: Position: returning cash: 14.3115

[2021-10-29 14:55:57.576031] INFO: algo: handle_splits get splits [dt:2015-05-06 00:00:00+00:00] [asset:Equity(2444 [002708.SZA]), ratio:0.9940407276153564]

[2021-10-29 14:55:57.579106] INFO: Position: position stock handle split[sid:2444, orig_amount:1800, new_amount:1810.0, orig_cost:24.00999896250981, new_cost:23.8669, ratio:0.9940407276153564, last_sale_price:25.020004272460938]

[2021-10-29 14:55:57.581171] INFO: Position: after split: PositionStock(asset:Equity(2444 [002708.SZA]), amount:1810.0, cost_basis:23.8669, last_sale_price:25.170000076293945)

[2021-10-29 14:55:57.583231] INFO: Position: returning cash: 19.7907

[2021-10-29 14:55:57.661050] INFO: algo: handle_splits get splits [dt:2015-05-07 00:00:00+00:00] [asset:Equity(1314 [600736.SHA]), ratio:0.9940688610076904]

[2021-10-29 14:55:58.053373] INFO: algo: handle_splits get splits [dt:2015-05-15 00:00:00+00:00] [asset:Equity(2110 [002214.SZA]), ratio:0.4993883967399597]

[2021-10-29 14:55:58.055901] INFO: Position: position stock handle split[sid:2110, orig_amount:2100, new_amount:4205.0, orig_cost:31.899997768340523, new_cost:15.9305, ratio:0.4993883967399597, last_sale_price:16.329999923706055]

[2021-10-29 14:55:58.058539] INFO: Position: after split: PositionStock(asset:Equity(2110 [002214.SZA]), amount:4205.0, cost_basis:15.9305, last_sale_price:32.69999694824219)

[2021-10-29 14:55:58.060219] INFO: Position: returning cash: 2.3476

[2021-10-29 14:55:58.323134] INFO: algo: handle_splits get splits [dt:2015-05-21 00:00:00+00:00] [asset:Equity(2735 [600535.SHA]), ratio:0.9919002652168274]

[2021-10-29 14:55:58.326161] INFO: Position: position stock handle split[sid:2735, orig_amount:1400, new_amount:1411.0, orig_cost:48.079998047251806, new_cost:47.6906, ratio:0.9919002652168274, last_sale_price:47.7599983215332]

[2021-10-29 14:55:58.328473] INFO: Position: after split: PositionStock(asset:Equity(2735 [600535.SHA]), amount:1411.0, cost_basis:47.6906, last_sale_price:48.150001525878906)

[2021-10-29 14:55:58.330883] INFO: Position: returning cash: 20.6431

[2021-10-29 14:55:58.395175] INFO: algo: handle_splits get splits [dt:2015-05-22 00:00:00+00:00] [asset:Equity(498 [000402.SZA]), ratio:0.9812452793121338]

[2021-10-29 14:55:58.397369] INFO: Position: position stock handle split[sid:498, orig_amount:7700, new_amount:7847.0, orig_cost:12.380000130555366, new_cost:12.1478, ratio:0.9812452793121338, last_sale_price:13.079999923706055]

[2021-10-29 14:55:58.398675] INFO: Position: after split: PositionStock(asset:Equity(498 [000402.SZA]), amount:7847.0, cost_basis:12.1478, last_sale_price:13.329999923706055)

[2021-10-29 14:55:58.399637] INFO: Position: returning cash: 2.2433

[2021-10-29 14:55:58.686579] INFO: algo: handle_splits get splits [dt:2015-06-05 00:00:00+00:00] [asset:Equity(484 [000906.SZA]), ratio:0.9973509907722473]

[2021-10-29 14:55:58.688100] INFO: Position: position stock handle split[sid:484, orig_amount:2700, new_amount:2707.0, orig_cost:31.989999957329676, new_cost:31.9053, ratio:0.9973509907722473, last_sale_price:30.119998931884766]

[2021-10-29 14:55:58.689198] INFO: Position: after split: PositionStock(asset:Equity(484 [000906.SZA]), amount:2707.0, cost_basis:31.9053, last_sale_price:30.19999885559082)

[2021-10-29 14:55:58.690145] INFO: Position: returning cash: 5.1602

[2021-10-29 14:55:59.045260] INFO: algo: handle_splits get splits [dt:2015-06-24 00:00:00+00:00] [asset:Equity(2235 [002167.SZA]), ratio:0.6666666865348816]

[2021-10-29 14:55:59.046759] INFO: Position: position stock handle split[sid:2235, orig_amount:4400, new_amount:6599.0, orig_cost:26.749998167522616, new_cost:17.8333, ratio:0.6666666865348816, last_sale_price:15.299999237060547]

[2021-10-29 14:55:59.047886] INFO: Position: after split: PositionStock(asset:Equity(2235 [002167.SZA]), amount:6599.0, cost_basis:17.8333, last_sale_price:22.94999885559082)

[2021-10-29 14:55:59.048857] INFO: Position: returning cash: 15.297

[2021-10-29 14:55:59.173455] INFO: algo: handle_splits get splits [dt:2015-06-30 00:00:00+00:00] [asset:Equity(1358 [600215.SHA]), ratio:0.9990670084953308]

[2021-10-29 14:55:59.175020] INFO: Position: position stock handle split[sid:1358, orig_amount:8900, new_amount:8908.0, orig_cost:12.899999917316329, new_cost:12.888, ratio:0.9990670084953308, last_sale_price:10.70999813079834]

[2021-10-29 14:55:59.176130] INFO: Position: after split: PositionStock(asset:Equity(1358 [600215.SHA]), amount:8908.0, cost_basis:12.888, last_sale_price:10.720000267028809)

[2021-10-29 14:55:59.177130] INFO: Position: returning cash: 3.3349

[2021-10-29 14:55:59.309867] INFO: algo: handle_splits get splits [dt:2015-07-06 00:00:00+00:00] [asset:Equity(2570 [002401.SZA]), ratio:0.9971925616264343]

[2021-10-29 14:55:59.311914] INFO: Position: position stock handle split[sid:2570, orig_amount:6200, new_amount:6217.0, orig_cost:23.990001382611805, new_cost:23.9227, ratio:0.9971925616264343, last_sale_price:17.759998321533203]

[2021-10-29 14:55:59.313423] INFO: Position: after split: PositionStock(asset:Equity(2570 [002401.SZA]), amount:6217.0, cost_basis:23.9227, last_sale_price:17.809999465942383)

[2021-10-29 14:55:59.314807] INFO: Position: returning cash: 8.083

[2021-10-29 14:55:59.425791] INFO: algo: handle_splits get splits [dt:2015-07-09 00:00:00+00:00] [asset:Equity(828 [600270.SHA]), ratio:0.9768115878105164]

[2021-10-29 14:55:59.427732] INFO: Position: position stock handle split[sid:828, orig_amount:4500, new_amount:4606.0, orig_cost:35.59999866239547, new_cost:34.7745, ratio:0.9768115878105164, last_sale_price:16.850000381469727]

[2021-10-29 14:55:59.428829] INFO: Position: after split: PositionStock(asset:Equity(828 [600270.SHA]), amount:4606.0, cost_basis:34.7745, last_sale_price:17.25)

[2021-10-29 14:55:59.429771] INFO: Position: returning cash: 13.9005

[2021-10-29 14:55:59.589340] INFO: algo: handle_splits get splits [dt:2015-07-16 00:00:00+00:00] [asset:Equity(2633 [600428.SHA]), ratio:0.99802565574646]

[2021-10-29 14:55:59.787817] INFO: algo: handle_splits get splits [dt:2015-07-24 00:00:00+00:00] [asset:Equity(1558 [600802.SHA]), ratio:0.995428740978241]

[2021-10-29 14:55:59.789674] INFO: algo: handle_splits get splits [dt:2015-07-24 00:00:00+00:00] [asset:Equity(2248 [300158.SZA]), ratio:0.9947090148925781]

[2021-10-29 14:55:59.791101] INFO: Position: position stock handle split[sid:1558, orig_amount:6000, new_amount:6027.0, orig_cost:7.190000125054027, new_cost:7.1571, ratio:0.995428740978241, last_sale_price:8.710001945495605]

[2021-10-29 14:55:59.792594] INFO: Position: after split: PositionStock(asset:Equity(1558 [600802.SHA]), amount:6027.0, cost_basis:7.1571, last_sale_price:8.75)

[2021-10-29 14:55:59.794060] INFO: Position: returning cash: 4.8211

[2021-10-29 14:55:59.795556] INFO: Position: position stock handle split[sid:2248, orig_amount:7000, new_amount:7037.0, orig_cost:18.440003554012467, new_cost:18.3424, ratio:0.9947090148925781, last_sale_price:18.799999237060547]

[2021-10-29 14:55:59.797059] INFO: Position: after split: PositionStock(asset:Equity(2248 [300158.SZA]), amount:7037.0, cost_basis:18.3424, last_sale_price:18.899999618530273)

[2021-10-29 14:55:59.798469] INFO: Position: returning cash: 4.3973

[2021-10-29 14:56:00.699015] INFO: algo: handle_splits get splits [dt:2015-09-07 00:00:00+00:00] [asset:Equity(2061 [300459.SZA]), ratio:0.40005970001220703]

[2021-10-29 14:56:04.935587] INFO: algo: handle_splits get splits [dt:2016-04-01 00:00:00+00:00] [asset:Equity(3130 [300095.SZA]), ratio:0.9952244162559509]

[2021-10-29 14:56:05.447194] INFO: algo: handle_splits get splits [dt:2016-04-29 00:00:00+00:00] [asset:Equity(910 [300256.SZA]), ratio:0.5002283453941345]

[2021-10-29 14:56:05.448871] INFO: Position: position stock handle split[sid:910, orig_amount:5800, new_amount:11594.0, orig_cost:21.32000176462661, new_cost:10.6649, ratio:0.5002283453941345, last_sale_price:10.949997901916504]

[2021-10-29 14:56:05.450083] INFO: Position: after split: PositionStock(asset:Equity(910 [300256.SZA]), amount:11594.0, cost_basis:10.6649, last_sale_price:21.889999389648438)

[2021-10-29 14:56:05.451128] INFO: Position: returning cash: 7.7176

[2021-10-29 14:56:05.562455] INFO: algo: handle_splits get splits [dt:2016-05-06 00:00:00+00:00] [asset:Equity(1296 [002718.SZA]), ratio:0.9910967946052551]

[2021-10-29 14:56:05.861231] INFO: algo: handle_splits get splits [dt:2016-05-23 00:00:00+00:00] [asset:Equity(57 [300202.SZA]), ratio:0.995764970779419]

[2021-10-29 14:56:05.862789] INFO: Position: position stock handle split[sid:57, orig_amount:2900, new_amount:2912.0, orig_cost:18.350000631871584, new_cost:18.2723, ratio:0.995764970779419, last_sale_price:18.809999465942383]

[2021-10-29 14:56:05.863935] INFO: Position: after split: PositionStock(asset:Equity(57 [300202.SZA]), amount:2912.0, cost_basis:18.2723, last_sale_price:18.889999389648438)

[2021-10-29 14:56:05.864955] INFO: Position: returning cash: 6.2791

[2021-10-29 14:56:06.026327] INFO: algo: handle_splits get splits [dt:2016-05-31 00:00:00+00:00] [asset:Equity(1747 [002421.SZA]), ratio:0.9966124892234802]

[2021-10-29 14:56:06.086124] INFO: algo: handle_splits get splits [dt:2016-06-02 00:00:00+00:00] [asset:Equity(1853 [600867.SHA]), ratio:0.8268000483512878]

[2021-10-29 14:56:06.087842] INFO: Position: position stock handle split[sid:1853, orig_amount:2300, new_amount:2781.0, orig_cost:24.919999307650343, new_cost:20.6039, ratio:0.8268000483512878, last_sale_price:20.670000076293945]

[2021-10-29 14:56:06.089165] INFO: Position: after split: PositionStock(asset:Equity(1853 [600867.SHA]), amount:2781.0, cost_basis:20.6039, last_sale_price:24.999998092651367)

[2021-10-29 14:56:06.090317] INFO: Position: returning cash: 16.7266

[2021-10-29 14:56:06.178122] INFO: algo: handle_splits get splits [dt:2016-06-07 00:00:00+00:00] [asset:Equity(2945 [300404.SZA]), ratio:0.9987005591392517]

[2021-10-29 14:56:06.209442] INFO: algo: handle_splits get splits [dt:2016-06-08 00:00:00+00:00] [asset:Equity(3076 [600481.SHA]), ratio:0.9830508828163147]

[2021-10-29 14:56:06.271808] INFO: algo: handle_splits get splits [dt:2016-06-14 00:00:00+00:00] [asset:Equity(2388 [000988.SZA]), ratio:0.9983416199684143]

[2021-10-29 14:56:06.273755] INFO: Position: position stock handle split[sid:2388, orig_amount:3900, new_amount:3906.0, orig_cost:17.79999924195199, new_cost:17.7705, ratio:0.9983416199684143, last_sale_price:18.059999465942383]

[2021-10-29 14:56:06.275049] INFO: Position: after split: PositionStock(asset:Equity(2388 [000988.SZA]), amount:3906.0, cost_basis:17.7705, last_sale_price:18.09000015258789)

[2021-10-29 14:56:06.276203] INFO: Position: returning cash: 8.6404

[2021-10-29 14:56:06.334963] INFO: algo: handle_splits get splits [dt:2016-06-16 00:00:00+00:00] [asset:Equity(2014 [300168.SZA]), ratio:0.9972993731498718]

[2021-10-29 14:56:06.336577] INFO: Position: position stock handle split[sid:2014, orig_amount:2600, new_amount:2607.0, orig_cost:24.45000077868069, new_cost:24.384, ratio:0.9972993731498718, last_sale_price:25.85000228881836]

[2021-10-29 14:56:06.337816] INFO: Position: after split: PositionStock(asset:Equity(2014 [300168.SZA]), amount:2607.0, cost_basis:24.384, last_sale_price:25.920001983642578)

[2021-10-29 14:56:06.338847] INFO: Position: returning cash: 1.0506

[2021-10-29 14:56:06.427398] INFO: algo: handle_splits get splits [dt:2016-06-21 00:00:00+00:00] [asset:Equity(412 [600605.SHA]), ratio:0.9989201426506042]

[2021-10-29 14:56:06.429013] INFO: Position: position stock handle split[sid:412, orig_amount:6300, new_amount:6306.0, orig_cost:18.643812090003134, new_cost:18.6237, ratio:0.9989201426506042, last_sale_price:18.5]

[2021-10-29 14:56:06.430248] INFO: Position: after split: PositionStock(asset:Equity(412 [600605.SHA]), amount:6306.0, cost_basis:18.6237, last_sale_price:18.51999855041504)

[2021-10-29 14:56:06.431562] INFO: Position: returning cash: 14.9934

[2021-10-29 14:56:06.510856] INFO: algo: handle_splits get splits [dt:2016-06-24 00:00:00+00:00] [asset:Equity(755 [603066.SHA]), ratio:0.9968847632408142]

[2021-10-29 14:56:06.512452] INFO: Position: position stock handle split[sid:755, orig_amount:3300, new_amount:3310.0, orig_cost:44.89001562675476, new_cost:44.7502, ratio:0.9968847632408142, last_sale_price:44.80000305175781]

[2021-10-29 14:56:06.513643] INFO: Position: after split: PositionStock(asset:Equity(755 [603066.SHA]), amount:3310.0, cost_basis:44.7502, last_sale_price:44.94000244140625)

[2021-10-29 14:56:06.514695] INFO: Position: returning cash: 13.9958

[2021-10-29 14:56:06.574189] INFO: algo: handle_splits get splits [dt:2016-06-28 00:00:00+00:00] [asset:Equity(2696 [600614.SHA]), ratio:0.9987730383872986]

[2021-10-29 14:56:06.575792] INFO: Position: position stock handle split[sid:2696, orig_amount:23200, new_amount:23228.0, orig_cost:7.969784747532667, new_cost:7.96, ratio:0.9987730383872986, last_sale_price:8.140000343322754]

[2021-10-29 14:56:06.577026] INFO: Position: after split: PositionStock(asset:Equity(2696 [600614.SHA]), amount:23228.0, cost_basis:7.96, last_sale_price:8.149999618530273)

[2021-10-29 14:56:06.578134] INFO: Position: returning cash: 4.0739

[2021-10-29 14:56:06.780758] INFO: algo: handle_splits get splits [dt:2016-07-07 00:00:00+00:00] [asset:Equity(748 [002775.SZA]), ratio:0.4979226887226105]

[2021-10-29 14:56:06.782411] INFO: Position: position stock handle split[sid:748, orig_amount:1100, new_amount:2209.0, orig_cost:46.799999773268745, new_cost:23.3028, ratio:0.4979226887226105, last_sale_price:23.96999740600586]

[2021-10-29 14:56:06.783684] INFO: Position: after split: PositionStock(asset:Equity(748 [002775.SZA]), amount:2209.0, cost_basis:23.3028, last_sale_price:48.13999938964844)

[2021-10-29 14:56:06.784777] INFO: Position: returning cash: 4.2739

[2021-10-29 14:56:06.843142] INFO: algo: handle_splits get splits [dt:2016-07-11 00:00:00+00:00] [asset:Equity(658 [601169.SHA]), ratio:0.8136234283447266]

[2021-10-29 14:56:06.844729] INFO: Position: position stock handle split[sid:658, orig_amount:5200, new_amount:6391.0, orig_cost:10.67000012265452, new_cost:8.6814, ratio:0.8136234283447266, last_sale_price:8.600000381469727]

[2021-10-29 14:56:06.845920] INFO: Position: after split: PositionStock(asset:Equity(658 [601169.SHA]), amount:6391.0, cost_basis:8.6814, last_sale_price:10.570000648498535)

[2021-10-29 14:56:06.846980] INFO: Position: returning cash: 1.4023

[2021-10-29 14:56:07.236599] INFO: algo: handle_splits get splits [dt:2016-07-29 00:00:00+00:00] [asset:Equity(3226 [000031.SZA]), ratio:0.9960317611694336]

[2021-10-29 14:56:07.238364] INFO: Position: position stock handle split[sid:3226, orig_amount:13500, new_amount:13553.0, orig_cost:10.459999162380491, new_cost:10.4185, ratio:0.9960317611694336, last_sale_price:10.039999961853027]

[2021-10-29 14:56:07.239732] INFO: Position: after split: PositionStock(asset:Equity(3226 [000031.SZA]), amount:13553.0, cost_basis:10.4185, last_sale_price:10.079999923706055)

[2021-10-29 14:56:07.240854] INFO: Position: returning cash: 7.8779

[2021-10-29 14:56:10.084703] INFO: Performance: Simulated 488 trading days out of 488.

[2021-10-29 14:56:10.086262] INFO: Performance: first open: 2015-01-05 09:30:00+00:00

[2021-10-29 14:56:10.087384] INFO: Performance: last close: 2016-12-30 15:00:00+00:00

[2021-10-29 14:56:15.410310] INFO: moduleinvoker: backtest.v8 运行完成[24.301001s].

[2021-10-29 14:56:15.412350] INFO: moduleinvoker: trade.v4 运行完成[24.369586s].

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bigcharts-data-start/{"__type":"tabs","__id":"bigchart-c6c05aef32fd4499ae81800732bc73ff"}/bigcharts-data-end