{ "cells": [ { "cell_type": "markdown", "id": "2ad82a80", "metadata": {}, "source": [ "# 下單方法介紹(二)\n", "\n", "\n", "# Zipline order_value 和 order_target_value\n", "\n", "> ## Zipline有六種下單函數：\n", "\torder()：購買指定股數。\n", "\torder_value()：購買指定價值的股票。\n", "\torder_percent()：購買指定價值（整個投資組合價值（portfolio value）的一個特定比例）的股票。\n", "\torder_target()：交易直到該股票帳上總股數達到指定數量為止。\n", " order_target_value()：交易到帳上該股票價值達到指定價值為止。\n", " order_target_percent()：將股票在投資組合的比重調整到指定的比例。\n", ">\n", "> ## 本篇將會介紹`order_value()`以及`order_target_value()`的使用辦法。\n", "> 本文件包含以下兩個部份：\n", " > - [函數介紹](#函數介紹)\n", " > - [範例：order_value與order_target_value](#Order_value與Order_target_value)\n", ">\n", ">\n", "> ## 閱讀本篇之前請先閱讀：\n", ">\n", "> [Zipline Order (order & order_target).ipynb](https://github.com/tejtw/TQuant-Lab/blob/main/lecture/Zipline%20Order%20(order%20%26%20order_target).ipynb)\n", "> ## 閱讀本篇之後可以搭配閱讀：\n", "> \n", "> [Zipline Order（percent & target_percent）.ipynb](https://github.com/tejtw/TQuant-Lab/blob/main/lecture/Zipline%20Order%20(percent%20%26%20target_percent).ipynb)" ] }, { "cell_type": "markdown", "id": "d8683ce0", "metadata": {}, "source": [ "\n", "\n", "## 函數介紹：\n", "\n", "使用前記得先做 import：`from zipline.api import order_value, order_target_value`或`from zipline.api import *`。\n", "\n", "
\n", "\n", "*　order_value：買賣指定價值的股票。\n", "\n", "`zipline.api.order_value(asset, value, limit_price=None, stop_price=None, style=None)`\n", "\n", "**value**：*float*股票價值\n", "\n", "*　order_target_value：透過買／賣使手上股票在**下單當下**的市場價值達到指定目標。\n", "\n", "`zipline.api.order_target_value(asset, target, limit_price=None, stop_price=None, style=None)`\n", "\n", "**target**：*float*目標價值\n", "\n", "---\n", "\n", "### 交易機制：\n", "- 市價皆為**收盤價**。\n", "- 因zipline交易機制的關係，下單後會到next bar才成交（**也就是今天下單，下一交易日才成交**），所以`stop_price`及`limit_price`皆是和**下一個交易日的收盤價**做比較。\n", "- `order_value`與`order_target_value`運作邏輯類似，都是以**下單日的收盤價**做基準，將下單的價值**轉換為 amount**。實際交易時再用**當天的收盤價**，和**下單時算出的 amount 成交**，所以**下單時指定的價值不一定會與實際成交時價值一致**。\n", "- 與其他 order 系列函數相同，下單時算出的 amount 若有**小數點**，則會**取整數**後再進行下單。取整數的方法為：若股數和最近整數相差在 0.0001 以內，就取最接近整數，否則直接去掉小數（3.9999 -> 4.0　;　5.5 -> 5.0　;　-5.5 -> -5.0）。\n", "- 若遇到**股票分割、股票股利等股數變動**情形：\n", " - 在**除權日之前**下的單，`stop_price`及`limit_price`會在**除權日**進行調整。\n", " - 新的`stop_price`及`limit_price`都是**原本數值乘以 ratio（也就是僅除權的調整係數）** 並 round 到小數以下第二位。（**僅除權的調整係數**使用 TEJ API 的 TWN/APIPRCD（交易資料-股價資料）中的 adjfac_a 欄位進行計算）\n", " \n", "### 規則補充：\n", "- order 系列函數通常在`handle_data`階段使用且不得在`before_trading_start`階段使用。\n", "- 當使用 limit order、stop order、stop limit order 等**條件單（contingent order）**時，會產生額外的交易成本（**機會成本 opportunity cost**），因這些條件單的使用可能會影響潛在利潤。order 系列函數都提供相關功能可以模擬該成本。" ] }, { "cell_type": "markdown", "id": "fb6a8ba0", "metadata": {}, "source": [ "## 設定環境" ] }, { "cell_type": "code", "execution_count": 1, "id": "660e446d", "metadata": {}, "outputs": [], "source": [ "import pandas as pd\n", "import numpy as np\n", "import datetime\n", "import tejapi\n", "import time\n", "import os\n", "import warnings\n", "warnings.filterwarnings('ignore')\n", "\n", "# tej_key\n", "tej_key ='your key'\n", "tejapi.ApiConfig.api_key = tej_key\n", "os.environ['TEJAPI_BASE'] = \"https://api.tej.com.tw\"\n", "os.environ['TEJAPI_KEY'] = tej_key\n", "\n", "# date\n", "# set date\n", "start='2022-09-16'\n", "end='2022-10-16'\n", "\n", "os.environ['mdate'] = '20220916 20221016'\n", "\n", "tz = 'UTC'\n", "start_dt, end_dt = pd.Timestamp(start, tz = tz), pd.Timestamp(end, tz = tz)\n", "\n", "# calendar\n", "calendar_name='TEJ'\n", "\n", "# bundle_name\n", "bundle_name = 'tquant'\n", "\n", "os.environ['ticker'] = '2603 IR0001'" ] }, { "cell_type": "code", "execution_count": 2, "id": "0ed7119e", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "Merging daily equity files:\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[2023-11-30 07:51:09.233092] INFO: zipline.data.bundles.core: Ingesting tquant.\n" ] } ], "source": [ "!zipline ingest -b tquant" ] }, { "cell_type": "code", "execution_count": 3, "id": "64b924fa", "metadata": {}, "outputs": [], "source": [ "from zipline.api import *\n", "from zipline import run_algorithm\n", "from zipline.finance import commission, slippage\n", "from zipline.utils.calendar_utils import get_calendar\n", "\n", "from zipline.utils.run_algo import get_transaction_detail" ] }, { "cell_type": "markdown", "id": "01c5b164", "metadata": {}, "source": [ "\n", "## 範例：order_value與order_target_value\n", "\n", "[Return to Menu](#menu)" ] }, { "cell_type": "markdown", "id": "a296b050", "metadata": {}, "source": [ "### 交易策略\n", "\n", "#### def handle_data(context, data):\n", "\n", "在回測的第一個時間點（context.i 為 0，2022-09-16），購買`context.asset`中每檔股票，每檔價值皆為 40000 元。\n", "```python\n", "if context.i == 0:\n", " for asset in context.asset:\n", " order_value(asset, 40000)\n", "```\n", "\n", "在回測的第十一個時間點（context.i 為 10，2022-09-30），對投資組合中的每檔股票進行調整，使其帳上持有的價值達到 60000 元。\n", "```python\n", "if context.i == 10:\n", " for asset in context.asset:\n", " order_target_value(asset, 60000)\n", "```\n", "在回測的第十六個時間點（context.i 為 15，2022-10-07），對投資組合中的每檔股票進行調整，使其帳上持有的價值減少到 30000 元。\n", "```python\n", "if context.i == 15:\n", " for asset in context.asset:\n", " order_target_value(asset, 30000)\n", "```\n", "最後，使用 record 函數記錄每檔股票的收盤價。然後遞增 context.i 的值，表示回測已進入下一個時間點。 \n", "```python\n", "record(close=data.current(context.asset, 'close'))\n", "context.i += 1\n", "```\n", "記錄每檔股票的收盤價，並將 `context.i` 遞增 1，表示回測進入下一個時間點。" ] }, { "cell_type": "code", "execution_count": 4, "id": "8594bfe9", "metadata": {}, "outputs": [], "source": [ "def initialize(context):\n", " context.i = 0\n", " context.tickers = ['2603']\n", " context.asset = [symbol(ticker) for ticker in context.tickers] \n", " set_slippage(slippage.FixedSlippage(spread=0.00))\n", " set_commission(commission.PerDollar(cost=commission_cost))\n", " set_benchmark(symbol('IR0001'))\n", " \n", "def handle_data(context, data):\n", " \n", " if context.i == 0: # 2022-09-16\n", " for asset in context.asset:\n", " order_value(asset, 40000)\n", " \n", " if context.i == 10: # 2022-09-30\n", " for asset in context.asset:\n", " order_target_value(asset, 60000)\n", "\n", " if context.i == 15: # 2022-10-07\n", " for asset in context.asset:\n", " order_target_value(asset, 30000)\n", " \n", " record(close=data.current(context.asset, 'close'))\n", " context.i += 1\n", "\n", "commission_cost = 0.001425 + 0.003 / 2 # commission + tax \n", "capital_base = 1e6" ] }, { "cell_type": "code", "execution_count": 5, "id": "9531ef30", "metadata": { "scrolled": false }, "outputs": [], "source": [ "closing_price = tejapi.fastget('TWN/APIPRCD',\n", " coid=['2603'],\n", " opts={'columns':['mdate','coid','close_d']},\n", " mdate={'gte':start_dt,'lte':end_dt },\n", " paginate=True)\n", "\n", "performance = run_algorithm(start=start_dt,\n", " end=end_dt,\n", " initialize=initialize,\n", " handle_data=handle_data,\n", " capital_base=capital_base,\n", " trading_calendar=get_calendar(calendar_name),\n", " bundle=bundle_name)\n", "\n", "positions, transactions, orders = get_transaction_detail(performance)" ] }, { "cell_type": "markdown", "id": "3d650429", "metadata": {}, "source": [ "## 9/16\n", "- 在9/16時下單買進價值 40000 元的長榮（2603）股票，用9/16的收盤價計算出應買股數為 40000 / 80.8 $\\approx$ 495。\n", "- 下個交易日（9/19）遇到減資，ratio是 2.314356，所以下單量調整成 495 / 2.314356 $\\approx$ 213，並以當天收盤價 169 元成交。" ] }, { "cell_type": "code", "execution_count": 6, "id": "13ddf528", "metadata": { "scrolled": true }, "outputs": [ { "data": { "text/html": [ "
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mdatecoidclose_d
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sidsymboliddtreasoncreatedamountfilledcommissionstoplimitstop_reachedlimit_reachedassetstatus
2022-09-16 13:30:00+08:0002603df7703877ef749c9af6551dd24992a8b2022-09-16 13:30:00+08:00None2022-09-16 13:30:00+08:0049500.000000NoneNoneFalseFalseEquity(0 [2603])0
2022-09-19 13:30:00+08:0002603df7703877ef749c9af6551dd24992a8b2022-09-19 13:30:00+08:00None2022-09-16 13:30:00+08:00213213105.291225NoneNoneFalseFalseEquity(0 [2603])1
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" ], "text/plain": [ " sid symbol id \\\n", "2022-09-16 13:30:00+08:00 0 2603 df7703877ef749c9af6551dd24992a8b \n", "2022-09-19 13:30:00+08:00 0 2603 df7703877ef749c9af6551dd24992a8b \n", "\n", " dt reason \\\n", "2022-09-16 13:30:00+08:00 2022-09-16 13:30:00+08:00 None \n", "2022-09-19 13:30:00+08:00 2022-09-19 13:30:00+08:00 None \n", "\n", " created amount filled \\\n", "2022-09-16 13:30:00+08:00 2022-09-16 13:30:00+08:00 495 0 \n", "2022-09-19 13:30:00+08:00 2022-09-16 13:30:00+08:00 213 213 \n", "\n", " commission stop limit stop_reached \\\n", "2022-09-16 13:30:00+08:00 0.000000 None None False \n", "2022-09-19 13:30:00+08:00 105.291225 None None False \n", "\n", " limit_reached asset status \n", "2022-09-16 13:30:00+08:00 False Equity(0 [2603]) 0 \n", "2022-09-19 13:30:00+08:00 False Equity(0 [2603]) 1 " ] }, "execution_count": 7, "metadata": {}, "output_type": "execute_result" } ], "source": [ "orders.loc['2022-09-16':'2022-09-19']" ] }, { "cell_type": "markdown", "id": "3f0df68a", "metadata": {}, "source": [ "## 9/30\n", "- 9/30利用 order_target_value 下單，希望將 2603 的持股價值調整為 60000 元。\n", "- 首先計算9/30帳上長榮的市值 146（last_sale_price）* 213股 = 31098，所以還需要 ( 60000 - 31098 ) / 146 $\\approx$ 197股（無條件捨去）。" ] }, { "cell_type": "code", "execution_count": 8, "id": "8a4ce92a", "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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sidsymbolassetamountcost_basislast_sale_price
2022-09-30 13:30:00+08:0002603Equity(0 [2603])213169.494325146.0
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" ], "text/plain": [ " sid symbol asset amount cost_basis \\\n", "2022-09-30 13:30:00+08:00 0 2603 Equity(0 [2603]) 213 169.494325 \n", "\n", " last_sale_price \n", "2022-09-30 13:30:00+08:00 146.0 " ] }, "execution_count": 8, "metadata": {}, "output_type": "execute_result" } ], "source": [ "positions.loc['2022-09-30']" ] }, { "cell_type": "markdown", "id": "2fdfa0b3", "metadata": {}, "source": [ "下一個交易日（10/3）成交。" ] }, { "cell_type": "code", "execution_count": 9, "id": "b5b6cdd1", "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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sidsymboliddtreasoncreatedamountfilledcommissionstoplimitstop_reachedlimit_reachedassetstatus
2022-09-30 13:30:00+08:000260381259ca0671a45a9b447e597843195f62022-09-30 13:30:00+08:00None2022-09-30 13:30:00+08:0019700.000000NoneNoneFalseFalseEquity(0 [2603])0
2022-10-03 13:30:00+08:000260381259ca0671a45a9b447e597843195f62022-10-03 13:30:00+08:00None2022-09-30 13:30:00+08:0019719786.145637NoneNoneFalseFalseEquity(0 [2603])1
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" ], "text/plain": [ " sid symbol id \\\n", "2022-09-30 13:30:00+08:00 0 2603 81259ca0671a45a9b447e597843195f6 \n", "2022-10-03 13:30:00+08:00 0 2603 81259ca0671a45a9b447e597843195f6 \n", "\n", " dt reason \\\n", "2022-09-30 13:30:00+08:00 2022-09-30 13:30:00+08:00 None \n", "2022-10-03 13:30:00+08:00 2022-10-03 13:30:00+08:00 None \n", "\n", " created amount filled \\\n", "2022-09-30 13:30:00+08:00 2022-09-30 13:30:00+08:00 197 0 \n", "2022-10-03 13:30:00+08:00 2022-09-30 13:30:00+08:00 197 197 \n", "\n", " commission stop limit stop_reached \\\n", "2022-09-30 13:30:00+08:00 0.000000 None None False \n", "2022-10-03 13:30:00+08:00 86.145637 None None False \n", "\n", " limit_reached asset status \n", "2022-09-30 13:30:00+08:00 False Equity(0 [2603]) 0 \n", "2022-10-03 13:30:00+08:00 False Equity(0 [2603]) 1 " ] }, "execution_count": 9, "metadata": {}, "output_type": "execute_result" } ], "source": [ "orders.loc['2022-09-30':'2022-10-03']" ] }, { "cell_type": "markdown", "id": "eb573fc3", "metadata": {}, "source": [ "## 10/7\n", "- 在10/7利用order_target_value()下單，希望將 2603 的持股價值調整為 30000 元。因為帳上長榮股票市值超過 30000，需要賣掉一定數量來達到目標。\n", "- 用10/7的收盤價和帳上持有數量，計算出價值為 155.5（last_sale_price） * 410 = 63755，需要賣掉 ( 63755 - 30000 ) / 155.5 $\\approx$ 217股（無條件捨去）。" ] }, { "cell_type": "code", "execution_count": 10, "id": "33c3c5bf", "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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sidsymbolassetamountcost_basislast_sale_price
2022-10-07 13:30:00+08:0002603Equity(0 [2603])410160.097407155.5
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" ], "text/plain": [ " sid symbol asset amount cost_basis \\\n", "2022-10-07 13:30:00+08:00 0 2603 Equity(0 [2603]) 410 160.097407 \n", "\n", " last_sale_price \n", "2022-10-07 13:30:00+08:00 155.5 " ] }, "execution_count": 10, "metadata": {}, "output_type": "execute_result" } ], "source": [ "positions.loc['2022-10-07']" ] }, { "cell_type": "markdown", "id": "99d1ac05", "metadata": {}, "source": [ "- 在下個交易日（10/11），以當天收盤價 156 賣出" ] }, { "cell_type": "code", "execution_count": 11, "id": "775e7018", "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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" ], "text/plain": [ " sid symbol id \\\n", "2022-10-07 13:30:00+08:00 0 2603 4321592d8ad044e3948c70129676e278 \n", "2022-10-11 13:30:00+08:00 0 2603 4321592d8ad044e3948c70129676e278 \n", "\n", " dt reason \\\n", "2022-10-07 13:30:00+08:00 2022-10-07 13:30:00+08:00 None \n", "2022-10-11 13:30:00+08:00 2022-10-11 13:30:00+08:00 None \n", "\n", " created amount filled \\\n", "2022-10-07 13:30:00+08:00 2022-10-07 13:30:00+08:00 -217 0 \n", "2022-10-11 13:30:00+08:00 2022-10-07 13:30:00+08:00 -217 -217 \n", "\n", " commission stop limit stop_reached \\\n", "2022-10-07 13:30:00+08:00 0.0000 None None False \n", "2022-10-11 13:30:00+08:00 99.0171 None None False \n", "\n", " limit_reached asset status \n", "2022-10-07 13:30:00+08:00 False Equity(0 [2603]) 0 \n", "2022-10-11 13:30:00+08:00 False Equity(0 [2603]) 1 " ] }, "execution_count": 11, "metadata": {}, "output_type": "execute_result" } ], "source": [ "orders.query('created.dt.strftime(\"%Y-%m-%d\") == \"2022-10-07\"')" ] }, { "cell_type": "markdown", "id": "5f4d7e9b", "metadata": {}, "source": [ "### Exposure：\n", "- 在 performance （`run_algorithm` 產出的報表）中的 `long_exposure` （帳上股票長部位市值）可以看到，在10/3第一次調整，目標是 6 萬元，但因為10/3市價相對於下單日（9/30）提高了，然而還是會用9/30算出來的 amount 去買，因此 long_exposure 超出了目標。\n", "- 同理，在10/11第二次調整，目標是 3 萬，但因為10/11市價相對於下單日（10/7）提高了，然而還是會用10/7算出來的 amount 去買，因此 long_exposure 也超出了目標。" ] }, { "cell_type": "code", "execution_count": 12, "id": "0d38805b", "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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