{
 "cells": [
  {
   "cell_type": "markdown",
   "id": "1cd4cd21",
   "metadata": {},
   "source": [
    "<span id=\"top\"></span>\n",
    "# <font color=#57a892>滑價模型（Slippage Models）</font>"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "85c4b736-b718-41df-9af3-f8b92a0b75d7",
   "metadata": {},
   "source": [
    "- 交易成本（transaction costs）被廣泛認為是影響投資績效的重要因素。它們不僅影響投資績效，還影響了將資產轉換成現金的難易度。\n",
    "\n",
    "- 在真實世界的交易中存在許多種類的交易成本，其中一種是**間接成本（indirect cost）**，間接成本包含了**滑價（slippage）**、**流動性（liquidity）**等。因為股價隨時都在變動，下單時的些微時間差也可能造成**預期的價格與成交價有落差**，而這個價差就是**滑價**。**流動性**則會影響交易的難易度，我們通常可以用**交易量**來間接評估流動性。若股票平均來說交易量高，則通常代表該股票流動性高、可以迅速進行交易，同時滑價的影響也會降低。\n",
    "\n",
    "- 若沒有考慮滑價及流動性可能會**高估投資策略的獲利**，特別是在投資組合中有**成交量較低（流動性差）**的股票、**資金量（capital base）大**或過度**集中交易單一個股**時，影響會更為明顯。這也是回測（backtesting）的一大目的，考量投資策略在真實世界運行的可能性。"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "6071a4b0-5979-4692-9b9a-4ab5437f727e",
   "metadata": {},
   "source": [
    "## zipline.api.<font color=#57a892>set_slippage</font>(self, equities=None, futures=None)\n",
    "\n",
    "設定回測時所使用的滑價模型。\n",
    "\n",
    "> ### Parameters：\n",
    "> - equities *(EquitySlippageModel, optional)* －用於交易股票的滑價模型。\n",
    ">   - EquitySlippageModel：`zipline.finance.slippage`\n",
    "> - futures *(FutureSlippageModel, optional)* －用於交易期貨的滑價模型。（目前不支援）\n",
    ">   - FutureSlippageModel：`zipline.finance.slippage`\n",
    ">  \n",
    "> ### Raises：\n",
    "> **SetSlippagePostInit**－`set_slippage` **只能**在 `initialize` 階段使用。\n",
    ">\n",
    "> ### Notes：\n",
    "> - `set_slippage` 只能一次用**一種**方法。\n",
    ">\n",
    "> ### See also：\n",
    "> - `zipline.finance.slippage.FixedSlippage`\n",
    "> - `zipline.finance.slippage.VolumeShareSlippage`\n",
    "> - `zipline.finance.slippage.FixedBasisPointsSlippage`\n",
    ">\n",
    "> ### Examples：\n",
    "> ```python\n",
    "> from zipline.api import set_slippage\n",
    "> from zipline.finance import slippage\n",
    "> \n",
    "> def initialize(context):\n",
    ">     set_slippage(slippage.<其中一種 slippage models>)\n",
    "> ```"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "1cc7d710-b2f3-4247-b36a-87efcbdcd24c",
   "metadata": {},
   "source": [
    "## class zipline.finance.slippage.<font color=#57a892>SlippageModel</font>\n",
    "> 滑價模型的抽象基類（Abstract Base Class）。\n",
    ">\n",
    "> 滑價模型可用來估計交易成交價與設定交易量限制。Zipline 目前有四種模型：\n",
    "> 1. `FixedSlippage`：設定固定 spread 的滑價，**不能**設定成交量限制。\n",
    "> 2. `VolumeShareSlippage`：根據該筆交易佔總交易量百分比來計算滑價，並可設定成交量限制。\n",
    "> 3. `FixedBasisPointsSlippage`：設定固定基點的滑價，並可設定成交量限制。\n",
    "> 4. `NoSlippage`：不設置滑價。\n",
    "\n",
    "## class zipline.finance.slippage.<font color=#57a892>FixedSlippage</font>(spread=0.0)\n",
    "> - 設定固定 spread 的滑價，**不能**設定成交量限制。\n",
    "> - 在每筆交易的成交價格額外加入 $\\pm \\frac{spread}{2}$。\n",
    "> - 如果是買入，則成交價格 =  $ price + \\frac{spread}{2}$ ；若是賣出，則成交價格 =   $ price - \\frac{spread}{2}$。$ price = 當日收盤價$。\n",
    ">\n",
    "> ### Parameters:\n",
    "> - spread *(float, optional)* - 用來估計成交價與當日收盤價的價差。\n",
    "\n",
    "## class zipline.finance.slippage.<font color=#57a892>VolumeShareSlippage</font>(volume_limit=0.025, price_impact=0.1)\n",
    "> 利用**該筆交易佔當天總交易量的百分比**（volume share）來計算滑價，考慮滑價後的成交價計算方法如下（買入的話，符號為`+`；賣出的話，符號為`-`）:\n",
    "> \n",
    "> $$ price \\times [1 \\pm ({price\\_impact}) \\times ({volume\\_share}^2)], $$  \n",
    "> \n",
    "> *$ price = $ 當日收盤價,*     \n",
    "> *$ volume\\_share = $ 此單交易量佔總交易量百分比數，最高為 $ volume\\_limit $。*\n",
    "> \n",
    "> 設定當日**交易量限制**：  \n",
    "> $$ historical\\_volume \\times volume\\_limit, $$\n",
    "> *$ historical\\_volume = $ 當日成交量。*\n",
    ">\n",
    "> ### Parameters:\n",
    "> - volume_limit *(float, optional)* - \n",
    ">   - 限制買賣量佔總交易量的最大百分比，預設 = 2.5 %。\n",
    ">   - 此限制考慮如果買賣大量股票，會對股價造成過大影響，導致偏離歷史的價格，若利用當天收盤價進行模擬交易就會高估獲利。\n",
    "> - price_impact *(float, optional)* - 滑價影響程度，其值越大時，滑價影響程度越大，預設 = 0.1。\n",
    "\n",
    "## class zipline.finance.slippage.<font color=#57a892>FixedBasisPointsSlippage</font>(basis_points=5.0, volume_limit=0.1)\n",
    "> **為 zipline 預設模型**，設定**固定基點**的滑價，其計算方法為（買入的話，符號為`+`；賣出的話，符號為`-`）:\n",
    "> $$ price \\times [(1 \\pm basis\\_points \\times 0.0001)] $$\n",
    ">\n",
    "> 設定當日**交易量限制**：\n",
    "> $$ historical\\_volume \\times volume\\_limit, $$\n",
    "> *$ historical\\_volume = $ 當日成交量。*\n",
    ">\n",
    "> ### Parameters:\n",
    "> - basis_point *(float, optional)* - 設置滑價基點，基點越大，滑價程度越大，預設 = 5.0。\n",
    "> - volume_limit *(float, optional)* - \n",
    ">   - 買賣量佔總交易量的最高百分比，預設 = 0.1。\n",
    ">   - 此限制考慮如果買賣大量股票，會對股價造成過大影響，導致偏離歷史的價格，若利用當天收盤價進行模擬交易就會高估獲利。\n",
    "\n",
    "## class zipline.finance.slippage.<font color=#57a892>NoSlippage</font>\n",
    "> 不設置滑價。\n"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "fdcf6ed3-fd10-4b8c-9411-5f2dbc2fb715",
   "metadata": {},
   "source": [
    "### Notes：\n",
    "- 滑價計算時，**價格以成交日收盤價為準，數量也以成交時為準**。也就是說，如果因為股數變動造成 amount 有任何變化，計算上都是用成交時新的 amount。\n",
    "- 如果 `initialize(context)`: 裡面沒有設定`set_slippage()`，系統預設使用 `FixedBasisPointsSlippage(basis_points = 5.0, volume_limit = 0.1)`。\n",
    "- 如果希望完全不考慮交易量及滑價限制，則使用 `set_slippage(slippage.NoSlippage())`。\n",
    "\n",
    "[Go Top](#top)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "490f2471-4180-4018-8023-24288ff31ba9",
   "metadata": {},
   "source": [
    "### Examples－SlippageModel\n",
    "以下範例比較各種模型計算方法。"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "6c4c4e15-d5d7-4018-a2e7-b501ff81ee23",
   "metadata": {},
   "source": [
    "#### Import settings"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "id": "66281888",
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd \n",
    "import numpy as np\n",
    "import tejapi\n",
    "import os\n",
    "\n",
    "# tej_key\n",
    "os.environ['TEJAPI_BASE'] = 'https://api.tej.com.tw'\n",
    "os.environ['TEJAPI_KEY'] = 'your key'\n",
    "\n",
    "# set date\n",
    "os.environ['mdate'] = \"20221201 20221231\"\n",
    "\n",
    "# ticker\n",
    "os.environ['ticker'] = \"IR0001 1216 5844\""
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "84b5728c",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Merging daily equity files:\n",
      "Currently used TEJ API key call quota 82/100000 (0.08%)\n",
      "Currently used TEJ API key data quota 173625/10000000 (1.74%)\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "[2024-03-01 09:16:44.522971] INFO: zipline.data.bundles.core: Ingesting tquant.\n",
      "[2024-03-01 09:16:45.031562] INFO: zipline.data.bundles.core: Ingest tquant successfully.\n"
     ]
    }
   ],
   "source": [
    "# ingest\n",
    "!zipline ingest -b tquant"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "d02b9f9f",
   "metadata": {},
   "outputs": [],
   "source": [
    "from zipline.finance import commission, slippage\n",
    "from zipline.api import *\n",
    "\n",
    "from zipline import run_algorithm  \n",
    "from zipline.utils.run_algo import  get_transaction_detail"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "69f71749-a5d0-4661-90da-de07ac793f2a",
   "metadata": {},
   "source": [
    "#### ***FixedSlippage***\n",
    "\n",
    "[Go Top](#top)\n",
    "\n",
    "設置交易策略\n",
    ">**成本設定**\n",
    "> ```python\n",
    "> def initialize(context):\n",
    ">   \n",
    ">     ...\n",
    ">     set_slippage(slippage.FixedSlippage(spread = 0.2))\n",
    ">   \n",
    ">     set_commission(commission.PerDollar(cost = commission_cost))\n",
    ">     ...  \n",
    "> ```\n",
    "\n",
    ">**下單設定**\n",
    "> - 在回測的第一個交易時間點（i 等於 0，2022-12-01）時：\n",
    "> ```python\n",
    "> def handle_data(context, data):\n",
    ">    \n",
    ">     if context.i == 0:  # 2022-12-01\n",
    ">         for asset in context.asset:\n",
    ">             order(asset, 5000)\n",
    ">     ...\n",
    "> ```\n",
    "> \n",
    "> - 在回測的第八個交易時間點（i 等於 7，2022-12-12）時\n",
    "> ```python\n",
    ">     ...\n",
    ">     if context.i == 7:  # 2022-12-12\n",
    ">         for asset in context.asset:\n",
    ">             order(asset, -2000)   \n",
    "> ```"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "a3bf786b",
   "metadata": {},
   "outputs": [],
   "source": [
    "start_dt = pd.Timestamp('2022-12-01', tz='UTC')\n",
    "end_dt = pd.Timestamp('2022-12-31', tz='UTC')\n",
    "\n",
    "def initialize(context):\n",
    "    context.i = 0\n",
    "    context.tickers = ['1216']\n",
    "    context.asset = [symbol(ticker) for ticker in context.tickers] \n",
    "    \n",
    "    # 設定滑價模型來進行模擬                \n",
    "    # set_slippage()只接收一個spread參數\n",
    "    set_slippage(slippage.FixedSlippage(spread = 0.2))\n",
    "    \n",
    "    # 這裡在接收commission.PerDollar()回傳結果後輸入參數\n",
    "    set_commission(commission.PerDollar(cost = commission_cost))\n",
    "    \n",
    "    # 設定benchmark\n",
    "    set_benchmark(symbol('IR0001'))\n",
    "    \n",
    "def handle_data(context, data):\n",
    "    \n",
    "    if context.i == 0:  # 2022-12-01\n",
    "        for asset in context.asset:\n",
    "            order(asset, 5000)\n",
    "\n",
    "    if context.i == 7:  # 2022-12-12\n",
    "        for asset in context.asset:\n",
    "            order(asset, -2000)\n",
    "\n",
    "    context.i += 1\n",
    "\n",
    "commission_cost = 0.001425 + 0.003 / 2\n",
    "capital_base = 1e6"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "10a55a66",
   "metadata": {},
   "outputs": [],
   "source": [
    "# 評估結果\n",
    "closing_price = tejapi.fastget('TWN/APIPRCD',\n",
    "                               coid=['1216'],\n",
    "                               opts={'columns':['mdate','coid','close_d','vol']},\n",
    "                               mdate={'gte':start_dt,'lte':end_dt },\n",
    "                               paginate=True)\n",
    "\n",
    "closing_price['vol'] = closing_price['vol'] * 1000\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",
    "                            bundle='tquant')\n",
    "\n",
    "positions, transactions, orders = get_transaction_detail(performance)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "6716e08d",
   "metadata": {},
   "source": [
    "***FixedSlippage - 情況 1: 買入時計算滑價***\n",
    "\n",
    "- 12/1時下單買 5 張統一（1216）股票，12/2成交。\n",
    "- 收盤價是 65.0，但因為我們設定 spread = 0.2，所以成交價（transactions.price）是 65 + 0.2 / 2 = 65.1，手續費（'commission'）是 65.1 * 5000 * 0.002925 = 952.0875（手續費是預先設定好的，這次用 PerDollar）。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "64dd5ecf",
   "metadata": {},
   "outputs": [
    {
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       "       mdate  coid  close_d         vol\n",
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    "closing_price.query('(mdate == \"2022-12-02\")')"
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       "                           sid symbol                                id  \\\n",
       "2022-12-01 13:30:00+08:00    0   1216  90e99aef673d495c9c97c724ac70cb84   \n",
       "2022-12-02 13:30:00+08:00    0   1216  90e99aef673d495c9c97c724ac70cb84   \n",
       "\n",
       "                                                 dt reason  \\\n",
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       "                                            created  amount  filled  \\\n",
       "2022-12-01 13:30:00+08:00 2022-12-01 13:30:00+08:00    5000       0   \n",
       "2022-12-02 13:30:00+08:00 2022-12-01 13:30:00+08:00    5000    5000   \n",
       "\n",
       "                           commission  stop limit  stop_reached  \\\n",
       "2022-12-01 13:30:00+08:00      0.0000  None  None         False   \n",
       "2022-12-02 13:30:00+08:00    952.0875  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-12-01 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-02 13:30:00+08:00          False  Equity(0 [1216])       1  "
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.query('(created.dt.strftime(\"%Y-%m-%d\") == \"2022-12-01\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "id": "8c1276fb",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "    .dataframe tbody tr th:only-of-type {\n",
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       "\n",
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>amount</th>\n",
       "      <th>dt</th>\n",
       "      <th>price</th>\n",
       "      <th>order_id</th>\n",
       "      <th>asset</th>\n",
       "      <th>commission</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2022-12-02 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1216</td>\n",
       "      <td>5000</td>\n",
       "      <td>2022-12-02 13:30:00+08:00</td>\n",
       "      <td>65.1</td>\n",
       "      <td>90e99aef673d495c9c97c724ac70cb84</td>\n",
       "      <td>Equity(0 [1216])</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol  amount                        dt  \\\n",
       "2022-12-02 13:30:00+08:00    0   1216    5000 2022-12-02 13:30:00+08:00   \n",
       "\n",
       "                           price                          order_id  \\\n",
       "2022-12-02 13:30:00+08:00   65.1  90e99aef673d495c9c97c724ac70cb84   \n",
       "\n",
       "                                      asset commission  \n",
       "2022-12-02 13:30:00+08:00  Equity(0 [1216])       None  "
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "transactions.loc['2022-12-02']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "7bae2849",
   "metadata": {},
   "source": [
    "***FixedSlippage - 情況 2: 賣出時計算滑價***\n",
    "\n",
    "- 在12/12賣出 2 張統一（1216）股票，12/13成交。\n",
    "- 12/13收盤價 65.4，由於是賣單，所以成交價是 65.4 - 0.2 / 2 = 65.3，手續費計算方法一樣。 "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "id": "3c806f72",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "\n",
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       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>mdate</th>\n",
       "      <th>coid</th>\n",
       "      <th>close_d</th>\n",
       "      <th>vol</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>2022-12-13</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.4</td>\n",
       "      <td>9677000.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "       mdate  coid  close_d        vol\n",
       "8 2022-12-13  1216     65.4  9677000.0"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "closing_price.query('(mdate == \"2022-12-13\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "id": "4fa094e4",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>id</th>\n",
       "      <th>dt</th>\n",
       "      <th>reason</th>\n",
       "      <th>created</th>\n",
       "      <th>amount</th>\n",
       "      <th>filled</th>\n",
       "      <th>commission</th>\n",
       "      <th>stop</th>\n",
       "      <th>limit</th>\n",
       "      <th>stop_reached</th>\n",
       "      <th>limit_reached</th>\n",
       "      <th>asset</th>\n",
       "      <th>status</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2022-12-12 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1216</td>\n",
       "      <td>f2ad3408822b423da627ec1fc30abd9c</td>\n",
       "      <td>2022-12-12 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2022-12-12 13:30:00+08:00</td>\n",
       "      <td>-2000</td>\n",
       "      <td>0</td>\n",
       "      <td>0.000</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [1216])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-12-13 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1216</td>\n",
       "      <td>f2ad3408822b423da627ec1fc30abd9c</td>\n",
       "      <td>2022-12-13 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2022-12-12 13:30:00+08:00</td>\n",
       "      <td>-2000</td>\n",
       "      <td>-2000</td>\n",
       "      <td>382.005</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [1216])</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2022-12-12 13:30:00+08:00    0   1216  f2ad3408822b423da627ec1fc30abd9c   \n",
       "2022-12-13 13:30:00+08:00    0   1216  f2ad3408822b423da627ec1fc30abd9c   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2022-12-12 13:30:00+08:00 2022-12-12 13:30:00+08:00   None   \n",
       "2022-12-13 13:30:00+08:00 2022-12-13 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2022-12-12 13:30:00+08:00 2022-12-12 13:30:00+08:00   -2000       0   \n",
       "2022-12-13 13:30:00+08:00 2022-12-12 13:30:00+08:00   -2000   -2000   \n",
       "\n",
       "                           commission  stop limit  stop_reached  \\\n",
       "2022-12-12 13:30:00+08:00       0.000  None  None         False   \n",
       "2022-12-13 13:30:00+08:00     382.005  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-12-12 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-13 13:30:00+08:00          False  Equity(0 [1216])       1  "
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 在12/12賣出兩張統一 (1216) 股票，12/13成交。\n",
    "orders.query('(created.dt.strftime(\"%Y-%m-%d\") == \"2022-12-12\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "id": "188ce608",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>amount</th>\n",
       "      <th>dt</th>\n",
       "      <th>price</th>\n",
       "      <th>order_id</th>\n",
       "      <th>asset</th>\n",
       "      <th>commission</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2022-12-13 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1216</td>\n",
       "      <td>-2000</td>\n",
       "      <td>2022-12-13 13:30:00+08:00</td>\n",
       "      <td>65.3</td>\n",
       "      <td>f2ad3408822b423da627ec1fc30abd9c</td>\n",
       "      <td>Equity(0 [1216])</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol  amount                        dt  \\\n",
       "2022-12-13 13:30:00+08:00    0   1216   -2000 2022-12-13 13:30:00+08:00   \n",
       "\n",
       "                           price                          order_id  \\\n",
       "2022-12-13 13:30:00+08:00   65.3  f2ad3408822b423da627ec1fc30abd9c   \n",
       "\n",
       "                                      asset commission  \n",
       "2022-12-13 13:30:00+08:00  Equity(0 [1216])       None  "
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 成交價是65.4 - 0.2 / 2 = 65.3\n",
    "transactions.loc['2022-12-13']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "077c33d0-bbfe-48e7-b5a1-2f441662c1ec",
   "metadata": {},
   "source": [
    "#### ***VolumeShareSlippage***\n",
    "\n",
    "[Go Top](#top)\n",
    "\n",
    "設置交易策略\n",
    ">**滑價設定**\n",
    "> ```python\n",
    "> def initialize(context):\n",
    ">     ...\n",
    ">     set_slippage(slippage.VolumeShareSlippage(volume_limit=0.025, price_impact=0.1))\n",
    ">     ...\n",
    "> ```    \n",
    "\n",
    ">**下單設定**\n",
    "> - 在回測的第一個交易時間點（i 等於 0，2022-12-01）時：\n",
    "> ```python\n",
    "> def handle_data(context, data):\n",
    ">     if context.i == 0: # 2022-12-01\n",
    ">         for asset in context.asset:\n",
    ">             order(asset, 1500000)  \n",
    ">     ...\n",
    "> ```   \n",
    "> \n",
    ">- 在回測的第十一個交易時間點（i 等於 10，2022-12-15）時\n",
    "> ```python\n",
    ">     ...\n",
    ">     if context.i == 10: # 2022-12-15\n",
    ">         for asset in context.asset:\n",
    ">             order(asset, -200000)    \n",
    "> ```"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "id": "77e32d54",
   "metadata": {},
   "outputs": [],
   "source": [
    "def initialize(context):\n",
    "    context.i = 0\n",
    "    context.tickers = ['1216']\n",
    "    context.asset = [symbol(ticker) for ticker in context.tickers]  \n",
    "    \n",
    "#     set_slippage\n",
    "    set_slippage(slippage.VolumeShareSlippage(volume_limit=0.025, price_impact=0.1))\n",
    "    \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: # 2022-12-01\n",
    "        for asset in context.asset:\n",
    "            order(asset, 1500000)       \n",
    "    \n",
    "    if context.i == 10: # 2022-12-15\n",
    "        for asset in context.asset:\n",
    "            order(asset, -200000)    \n",
    "\n",
    "    context.i += 1\n",
    "\n",
    "capital_base = 1e8"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "id": "82344285",
   "metadata": {},
   "outputs": [],
   "source": [
    "performance = run_algorithm(start=start_dt,\n",
    "                            end=end_dt,\n",
    "                            initialize=initialize,\n",
    "                            handle_data=handle_data,\n",
    "                            capital_base=capital_base,\n",
    "                            bundle='tquant')\n",
    "\n",
    "positions, transactions, orders = get_transaction_detail(performance)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "eda87fa2",
   "metadata": {},
   "source": [
    "***VolumeShareSlippage - 情況 1: 買入時計算滑價***\n",
    "\n",
    "- 在12/1下單 1500 張統一，但觀察成交量資料發現，這段期間每日成交量大約只有數千到一萬多張（從 TEJ API（TWN/APIPRCD）取得的成交量（vol）單位是千股，但為了一致性，所以我們這邊**將千股轉換成股**，**利用 order 下單時的單位也是股**）。\n",
    "- 因為我們設定 volume_limit = 0.025，使得 zipline 會把這筆訂單拆成數天慢慢消化，每天成交量不超過該股票總成交量的 2.5%。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "id": "c7779a2c",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
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       "\n",
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>mdate</th>\n",
       "      <th>coid</th>\n",
       "      <th>close_d</th>\n",
       "      <th>vol</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2022-12-01</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.9</td>\n",
       "      <td>18963000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2022-12-02</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.0</td>\n",
       "      <td>15184000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2022-12-05</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.4</td>\n",
       "      <td>9704000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2022-12-06</td>\n",
       "      <td>1216</td>\n",
       "      <td>64.6</td>\n",
       "      <td>13171000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2022-12-07</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.2</td>\n",
       "      <td>13674000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>2022-12-08</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.0</td>\n",
       "      <td>9149000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>2022-12-09</td>\n",
       "      <td>1216</td>\n",
       "      <td>66.0</td>\n",
       "      <td>10505000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>2022-12-12</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.8</td>\n",
       "      <td>6986000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>2022-12-13</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.4</td>\n",
       "      <td>9677000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>2022-12-14</td>\n",
       "      <td>1216</td>\n",
       "      <td>66.0</td>\n",
       "      <td>7408000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>2022-12-15</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.5</td>\n",
       "      <td>7422000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>2022-12-16</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.3</td>\n",
       "      <td>10721000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>2022-12-19</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.3</td>\n",
       "      <td>4931000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>2022-12-20</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.6</td>\n",
       "      <td>5923000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>2022-12-21</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.4</td>\n",
       "      <td>6343000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>2022-12-22</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.9</td>\n",
       "      <td>3365000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>2022-12-23</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.9</td>\n",
       "      <td>2802000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>2022-12-26</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.8</td>\n",
       "      <td>1558000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>2022-12-27</td>\n",
       "      <td>1216</td>\n",
       "      <td>66.2</td>\n",
       "      <td>3767000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>2022-12-28</td>\n",
       "      <td>1216</td>\n",
       "      <td>66.2</td>\n",
       "      <td>5396000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>2022-12-29</td>\n",
       "      <td>1216</td>\n",
       "      <td>66.3</td>\n",
       "      <td>6697000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21</th>\n",
       "      <td>2022-12-30</td>\n",
       "      <td>1216</td>\n",
       "      <td>66.6</td>\n",
       "      <td>6968000.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "        mdate  coid  close_d         vol\n",
       "0  2022-12-01  1216     65.9  18963000.0\n",
       "1  2022-12-02  1216     65.0  15184000.0\n",
       "2  2022-12-05  1216     65.4   9704000.0\n",
       "3  2022-12-06  1216     64.6  13171000.0\n",
       "4  2022-12-07  1216     65.2  13674000.0\n",
       "5  2022-12-08  1216     65.0   9149000.0\n",
       "6  2022-12-09  1216     66.0  10505000.0\n",
       "7  2022-12-12  1216     65.8   6986000.0\n",
       "8  2022-12-13  1216     65.4   9677000.0\n",
       "9  2022-12-14  1216     66.0   7408000.0\n",
       "10 2022-12-15  1216     65.5   7422000.0\n",
       "11 2022-12-16  1216     65.3  10721000.0\n",
       "12 2022-12-19  1216     65.3   4931000.0\n",
       "13 2022-12-20  1216     65.6   5923000.0\n",
       "14 2022-12-21  1216     65.4   6343000.0\n",
       "15 2022-12-22  1216     65.9   3365000.0\n",
       "16 2022-12-23  1216     65.9   2802000.0\n",
       "17 2022-12-26  1216     65.8   1558000.0\n",
       "18 2022-12-27  1216     66.2   3767000.0\n",
       "19 2022-12-28  1216     66.2   5396000.0\n",
       "20 2022-12-29  1216     66.3   6697000.0\n",
       "21 2022-12-30  1216     66.6   6968000.0"
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 1216每日成交量大約只有數千到一萬多張（vol單位是千股）\n",
    "closing_price.query('(mdate >= \"2022-12-01\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "id": "919cab29",
   "metadata": {},
   "outputs": [
    {
     "data": {
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      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2022-12-01 13:30:00+08:00    0   1216  78c217d3db9347b5b1de610937398c99   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2022-12-01 13:30:00+08:00 2022-12-01 13:30:00+08:00   None   \n",
       "\n",
       "                                            created   amount  filled  \\\n",
       "2022-12-01 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000       0   \n",
       "\n",
       "                           commission  stop limit  stop_reached  \\\n",
       "2022-12-01 13:30:00+08:00         0.0  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-12-01 13:30:00+08:00          False  Equity(0 [1216])       0  "
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# 在12/1下單一千五百張統一\n",
    "orders.loc['2022-12-01']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "805582d1",
   "metadata": {},
   "source": [
    "12/2的總成交量是 15184000 股，由於我們設定 volume_limit = 0.025，因此 VolumeShareSlippage 會把12/2的成交量限制在2.5%，也就是379600股。\n",
    "\n",
    "成交價（transactions.price）計算方法是：原始收盤價 * ( 1 + price_impact * volume_share ^ 2 ) = 65 * ( 1 + 0.1 * 0.025 ^ 2 ) $\\approx$ 65.004063\n",
    "- price_impact 是預先設定好的0.1，且因為此處為買單，所以符號為正。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "id": "cc16f855",
   "metadata": {
    "scrolled": true
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   "outputs": [
    {
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      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2022-12-02 13:30:00+08:00    0   1216  78c217d3db9347b5b1de610937398c99   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2022-12-02 13:30:00+08:00 2022-12-02 13:30:00+08:00   None   \n",
       "\n",
       "                                            created   amount  filled  \\\n",
       "2022-12-02 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000  379600   \n",
       "\n",
       "                             commission  stop limit  stop_reached  \\\n",
       "2022-12-02 13:30:00+08:00  72175.960716  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-12-02 13:30:00+08:00          False  Equity(0 [1216])       0  "
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.loc['2022-12-02']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "id": "da747c8a",
   "metadata": {
    "scrolled": true
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   "outputs": [
    {
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      "text/plain": [
       "                           sid symbol  amount                        dt  \\\n",
       "2022-12-02 13:30:00+08:00    0   1216  379600 2022-12-02 13:30:00+08:00   \n",
       "\n",
       "                               price                          order_id  \\\n",
       "2022-12-02 13:30:00+08:00  65.004063  78c217d3db9347b5b1de610937398c99   \n",
       "\n",
       "                                      asset commission  \n",
       "2022-12-02 13:30:00+08:00  Equity(0 [1216])       None  "
      ]
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     "execution_count": 17,
     "metadata": {},
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   ],
   "source": [
    "transactions.loc['2022-12-02']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "76e439cc",
   "metadata": {},
   "source": [
    "orders 資料中的 filled 為累積成交量:\n",
    "- 12/7的 filled = 1293325 股，代表 12/2 到 12/7 成交的累計股數 = 379600 + 242600 + 329275 + 341850 = 1293325。\n",
    "- 截至12/8已經買滿了 1500 張，所以最後 status 就會從0 變成 1，代表當初下的 1500 張已經全數成交。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "id": "d832fc26",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
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       "      <td>2022-12-06 13:30:00+08:00</td>\n",
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       "      <td>2022-12-01 13:30:00+08:00</td>\n",
       "      <td>1500000</td>\n",
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       "                           sid symbol                                id  \\\n",
       "2022-12-01 13:30:00+08:00    0   1216  78c217d3db9347b5b1de610937398c99   \n",
       "2022-12-02 13:30:00+08:00    0   1216  78c217d3db9347b5b1de610937398c99   \n",
       "2022-12-05 13:30:00+08:00    0   1216  78c217d3db9347b5b1de610937398c99   \n",
       "2022-12-06 13:30:00+08:00    0   1216  78c217d3db9347b5b1de610937398c99   \n",
       "2022-12-07 13:30:00+08:00    0   1216  78c217d3db9347b5b1de610937398c99   \n",
       "2022-12-08 13:30:00+08:00    0   1216  78c217d3db9347b5b1de610937398c99   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2022-12-01 13:30:00+08:00 2022-12-01 13:30:00+08:00   None   \n",
       "2022-12-02 13:30:00+08:00 2022-12-02 13:30:00+08:00   None   \n",
       "2022-12-05 13:30:00+08:00 2022-12-05 13:30:00+08:00   None   \n",
       "2022-12-06 13:30:00+08:00 2022-12-06 13:30:00+08:00   None   \n",
       "2022-12-07 13:30:00+08:00 2022-12-07 13:30:00+08:00   None   \n",
       "2022-12-08 13:30:00+08:00 2022-12-08 13:30:00+08:00   None   \n",
       "\n",
       "                                            created   amount   filled  \\\n",
       "2022-12-01 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000        0   \n",
       "2022-12-02 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000   379600   \n",
       "2022-12-05 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000   622200   \n",
       "2022-12-06 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000   951475   \n",
       "2022-12-07 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000  1293325   \n",
       "2022-12-08 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000  1500000   \n",
       "\n",
       "                              commission  stop limit  stop_reached  \\\n",
       "2022-12-01 13:30:00+08:00       0.000000  None  None         False   \n",
       "2022-12-02 13:30:00+08:00   72175.960716  None  None         False   \n",
       "2022-12-05 13:30:00+08:00  118587.028226  None  None         False   \n",
       "2022-12-06 13:30:00+08:00  180809.074486  None  None         False   \n",
       "2022-12-07 13:30:00+08:00  246007.362624  None  None         False   \n",
       "2022-12-08 13:30:00+08:00  285303.452191  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-12-01 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-02 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-05 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-06 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-07 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-08 13:30:00+08:00          False  Equity(0 [1216])       1  "
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.query('(created.dt.strftime(\"%Y-%m-%d\") == \"2022-12-01\")')"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "ac52c762",
   "metadata": {},
   "source": [
    "***VolumeShareSlippage - 情況 2: 賣出時計算滑價***\n",
    "\n",
    "- 在 12/15 下單賣出 200 張統一，因為在12/16總交易量是 10721 張，volume_share = 200 / 10721 $\\approx$ 0.018655小於 0.025，所以12/16一天就能賣掉。\n",
    "- 成交價（transactions.price）是 65.3 * ( 1 - 0.1 * 0.018655 ^ 2 ) = 65.297728（賣出的話是減）。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "id": "b57ac94b",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>mdate</th>\n",
       "      <th>coid</th>\n",
       "      <th>close_d</th>\n",
       "      <th>vol</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>2022-12-16</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.3</td>\n",
       "      <td>10721000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>2022-12-19</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.3</td>\n",
       "      <td>4931000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>2022-12-20</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.6</td>\n",
       "      <td>5923000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>2022-12-21</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.4</td>\n",
       "      <td>6343000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>2022-12-22</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.9</td>\n",
       "      <td>3365000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>2022-12-23</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.9</td>\n",
       "      <td>2802000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>2022-12-26</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.8</td>\n",
       "      <td>1558000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>2022-12-27</td>\n",
       "      <td>1216</td>\n",
       "      <td>66.2</td>\n",
       "      <td>3767000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>2022-12-28</td>\n",
       "      <td>1216</td>\n",
       "      <td>66.2</td>\n",
       "      <td>5396000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>2022-12-29</td>\n",
       "      <td>1216</td>\n",
       "      <td>66.3</td>\n",
       "      <td>6697000.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21</th>\n",
       "      <td>2022-12-30</td>\n",
       "      <td>1216</td>\n",
       "      <td>66.6</td>\n",
       "      <td>6968000.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "        mdate  coid  close_d         vol\n",
       "11 2022-12-16  1216     65.3  10721000.0\n",
       "12 2022-12-19  1216     65.3   4931000.0\n",
       "13 2022-12-20  1216     65.6   5923000.0\n",
       "14 2022-12-21  1216     65.4   6343000.0\n",
       "15 2022-12-22  1216     65.9   3365000.0\n",
       "16 2022-12-23  1216     65.9   2802000.0\n",
       "17 2022-12-26  1216     65.8   1558000.0\n",
       "18 2022-12-27  1216     66.2   3767000.0\n",
       "19 2022-12-28  1216     66.2   5396000.0\n",
       "20 2022-12-29  1216     66.3   6697000.0\n",
       "21 2022-12-30  1216     66.6   6968000.0"
      ]
     },
     "execution_count": 19,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "closing_price.query('(mdate >= \"2022-12-16\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "id": "23544985",
   "metadata": {},
   "outputs": [
    {
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       "      <th>symbol</th>\n",
       "      <th>id</th>\n",
       "      <th>dt</th>\n",
       "      <th>reason</th>\n",
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       "      <th>amount</th>\n",
       "      <th>filled</th>\n",
       "      <th>commission</th>\n",
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       "      <th>limit_reached</th>\n",
       "      <th>asset</th>\n",
       "      <th>status</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2022-12-15 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1216</td>\n",
       "      <td>99d0247c150842eca070ca2e4df58d2e</td>\n",
       "      <td>2022-12-15 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2022-12-15 13:30:00+08:00</td>\n",
       "      <td>-200000</td>\n",
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       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [1216])</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2022-12-16 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1216</td>\n",
       "      <td>99d0247c150842eca070ca2e4df58d2e</td>\n",
       "      <td>2022-12-16 13:30:00+08:00</td>\n",
       "      <td>None</td>\n",
       "      <td>2022-12-15 13:30:00+08:00</td>\n",
       "      <td>-200000</td>\n",
       "      <td>-200000</td>\n",
       "      <td>38199.170592</td>\n",
       "      <td>None</td>\n",
       "      <td>None</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>Equity(0 [1216])</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2022-12-15 13:30:00+08:00    0   1216  99d0247c150842eca070ca2e4df58d2e   \n",
       "2022-12-16 13:30:00+08:00    0   1216  99d0247c150842eca070ca2e4df58d2e   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2022-12-15 13:30:00+08:00 2022-12-15 13:30:00+08:00   None   \n",
       "2022-12-16 13:30:00+08:00 2022-12-16 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2022-12-15 13:30:00+08:00 2022-12-15 13:30:00+08:00 -200000       0   \n",
       "2022-12-16 13:30:00+08:00 2022-12-15 13:30:00+08:00 -200000 -200000   \n",
       "\n",
       "                             commission  stop limit  stop_reached  \\\n",
       "2022-12-15 13:30:00+08:00      0.000000  None  None         False   \n",
       "2022-12-16 13:30:00+08:00  38199.170592  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-12-15 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-16 13:30:00+08:00          False  Equity(0 [1216])       1  "
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.query('(created.dt.strftime(\"%Y-%m-%d\") == \"2022-12-15\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "id": "19212b69",
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
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       "      <th></th>\n",
       "      <th>sid</th>\n",
       "      <th>symbol</th>\n",
       "      <th>amount</th>\n",
       "      <th>dt</th>\n",
       "      <th>price</th>\n",
       "      <th>order_id</th>\n",
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       "      <th>2022-12-16 13:30:00+08:00</th>\n",
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       "      <td>1216</td>\n",
       "      <td>-200000</td>\n",
       "      <td>2022-12-16 13:30:00+08:00</td>\n",
       "      <td>65.297728</td>\n",
       "      <td>99d0247c150842eca070ca2e4df58d2e</td>\n",
       "      <td>Equity(0 [1216])</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol  amount                        dt  \\\n",
       "2022-12-16 13:30:00+08:00    0   1216 -200000 2022-12-16 13:30:00+08:00   \n",
       "\n",
       "                               price                          order_id  \\\n",
       "2022-12-16 13:30:00+08:00  65.297728  99d0247c150842eca070ca2e4df58d2e   \n",
       "\n",
       "                                      asset commission  \n",
       "2022-12-16 13:30:00+08:00  Equity(0 [1216])       None  "
      ]
     },
     "execution_count": 21,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "transactions.loc['2022-12-16']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "81aeda59-3f00-4b02-8175-1c6480e77650",
   "metadata": {},
   "source": [
    "#### ***FixedBasisPointsSlippage***\n",
    "\n",
    "[Go Top](#top)\n",
    "\n",
    "設置交易策略\n",
    ">**滑價設定**\n",
    "> ```python\n",
    "> def initialize(context):\n",
    ">     ...\n",
    ">     set_slippage(slippage.FixedBasisPointsSlippage(basis_points=5.0, volume_limit=0.025))\n",
    ">     ...\n",
    "> ```      \n",
    "\n",
    ">**下單設定**\n",
    ">- 在回測的第一個交易時間點（i 等於 0，2022-12-01）時\n",
    "> ```python\n",
    "> def handle_data(context, data):\n",
    ">     if context.i == 0: # 2022-12-01\n",
    ">         for asset in context.asset:\n",
    ">             order(asset, 1500000)   \n",
    ">     ...\n",
    "> ```    \n",
    ">- 在回測的第十一個交易時間點（i 等於 10，2022-12-15）時\n",
    "> ```python\n",
    ">     ...\n",
    ">     if context.i == 10: # 2022-12-15\n",
    ">         for asset in context.asset:\n",
    ">             order(asset, -200000)    \n",
    "> ```"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "id": "809b01c3",
   "metadata": {},
   "outputs": [],
   "source": [
    "def initialize(context):\n",
    "    context.i = 0\n",
    "    context.tickers = ['1216']\n",
    "    context.asset = [symbol(ticker) for ticker in context.tickers]  \n",
    "    \n",
    "#     set_slippage\n",
    "    set_slippage(slippage.FixedBasisPointsSlippage(basis_points=5.0, volume_limit=0.025))\n",
    "    \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: # 2022-12-01\n",
    "        for asset in context.asset:\n",
    "            order(asset, 1500000)       \n",
    "    \n",
    "    if context.i == 10: # 2022-12-15\n",
    "        for asset in context.asset:\n",
    "            order(asset, -200000)    \n",
    "\n",
    "    context.i += 1\n",
    "\n",
    "capital_base = 1e8"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "id": "d528f7e2",
   "metadata": {},
   "outputs": [],
   "source": [
    "performance = run_algorithm(start=start_dt,\n",
    "                            end=end_dt,\n",
    "                            initialize=initialize,\n",
    "                            handle_data=handle_data,\n",
    "                            capital_base=capital_base,\n",
    "                            bundle='tquant')\n",
    "\n",
    "positions, transactions, orders = get_transaction_detail(performance)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "9d5991cf",
   "metadata": {},
   "source": [
    "***FixedBasisPointsSlippage - 情況 1: 買入時計算滑價***\n",
    "\n",
    "在12/1下單 1500 張統一，成交量限制和`VolumeShareSlippage`範例相同，不多做敘述。所以12/1下的單到了12/8才完全成交。\n",
    "\n",
    "以12/2為例，成交價（transactions.price）計算方法是：原始收盤價 * ( 1 + basis_point * 0.0001 ) = 65 * ( 1 + 5 * 0.0001 ) $\\approx$ 65.0325\n",
    "- basis_point 是預先設定好的 5，且因為此處為買單，所以符號為正。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "id": "05507aca",
   "metadata": {},
   "outputs": [
    {
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       "      <td>2022-12-02</td>\n",
       "      <td>1216</td>\n",
       "      <td>65.0</td>\n",
       "      <td>15184000.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "       mdate  coid  close_d         vol\n",
       "1 2022-12-02  1216     65.0  15184000.0"
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "closing_price.query('(mdate == \"2022-12-02\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "id": "6d9db8df",
   "metadata": {},
   "outputs": [
    {
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       "      <td>2022-12-01 13:30:00+08:00</td>\n",
       "      <td>1500000</td>\n",
       "      <td>951475</td>\n",
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       "      <th>2022-12-07 13:30:00+08:00</th>\n",
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       "      <td>2022-12-01 13:30:00+08:00</td>\n",
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       "      <td>None</td>\n",
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       "      <td>False</td>\n",
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       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2022-12-01 13:30:00+08:00    0   1216  70d23d77a871433fab9aca4db0f57598   \n",
       "2022-12-02 13:30:00+08:00    0   1216  70d23d77a871433fab9aca4db0f57598   \n",
       "2022-12-05 13:30:00+08:00    0   1216  70d23d77a871433fab9aca4db0f57598   \n",
       "2022-12-06 13:30:00+08:00    0   1216  70d23d77a871433fab9aca4db0f57598   \n",
       "2022-12-07 13:30:00+08:00    0   1216  70d23d77a871433fab9aca4db0f57598   \n",
       "2022-12-08 13:30:00+08:00    0   1216  70d23d77a871433fab9aca4db0f57598   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2022-12-01 13:30:00+08:00 2022-12-01 13:30:00+08:00   None   \n",
       "2022-12-02 13:30:00+08:00 2022-12-02 13:30:00+08:00   None   \n",
       "2022-12-05 13:30:00+08:00 2022-12-05 13:30:00+08:00   None   \n",
       "2022-12-06 13:30:00+08:00 2022-12-06 13:30:00+08:00   None   \n",
       "2022-12-07 13:30:00+08:00 2022-12-07 13:30:00+08:00   None   \n",
       "2022-12-08 13:30:00+08:00 2022-12-08 13:30:00+08:00   None   \n",
       "\n",
       "                                            created   amount   filled  \\\n",
       "2022-12-01 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000        0   \n",
       "2022-12-02 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000   379600   \n",
       "2022-12-05 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000   622200   \n",
       "2022-12-06 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000   951475   \n",
       "2022-12-07 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000  1293325   \n",
       "2022-12-08 13:30:00+08:00 2022-12-01 13:30:00+08:00  1500000  1500000   \n",
       "\n",
       "                              commission  stop limit  stop_reached  \\\n",
       "2022-12-01 13:30:00+08:00       0.000000  None  None         False   \n",
       "2022-12-02 13:30:00+08:00   72207.535725  None  None         False   \n",
       "2022-12-05 13:30:00+08:00  118638.906809  None  None         False   \n",
       "2022-12-06 13:30:00+08:00  180888.173512  None  None         False   \n",
       "2022-12-07 13:30:00+08:00  246114.984119  None  None         False   \n",
       "2022-12-08 13:30:00+08:00  285428.715536  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-12-01 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-02 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-05 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-06 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-07 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-08 13:30:00+08:00          False  Equity(0 [1216])       1  "
      ]
     },
     "execution_count": 25,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.query('(created.dt.strftime(\"%Y-%m-%d\") == \"2022-12-01\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "id": "913c3eb8",
   "metadata": {},
   "outputs": [
    {
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      "text/plain": [
       "                           sid symbol  amount                        dt  \\\n",
       "2022-12-02 13:30:00+08:00    0   1216  379600 2022-12-02 13:30:00+08:00   \n",
       "\n",
       "                             price                          order_id  \\\n",
       "2022-12-02 13:30:00+08:00  65.0325  70d23d77a871433fab9aca4db0f57598   \n",
       "\n",
       "                                      asset commission  \n",
       "2022-12-02 13:30:00+08:00  Equity(0 [1216])       None  "
      ]
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     "execution_count": 26,
     "metadata": {},
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   "source": [
    "transactions.loc['2022-12-02']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "30945d9a",
   "metadata": {},
   "source": [
    "***FixedBasisPointsSlippage - 情況 2: 賣出時計算滑價***\n",
    "\n",
    "在12/15下單賣出 200 張統一。\n",
    "\n",
    "成交價計算方法是：原始收盤價 * ( 1 - basis_point * 0.0001 ) = 65.3 * ( 1 - 5 * 0.0001 ) $\\approx$ 65.26735\n",
    "- basis_point 是預先設定好的 5，且因為此處為賣單，所以符號為負。"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "id": "441fb9a2",
   "metadata": {},
   "outputs": [
    {
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      "text/plain": [
       "        mdate  coid  close_d         vol\n",
       "11 2022-12-16  1216     65.3  10721000.0"
      ]
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     "execution_count": 27,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "closing_price.query('(mdate == \"2022-12-16\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 28,
   "id": "c69356f9",
   "metadata": {},
   "outputs": [
    {
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       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol                                id  \\\n",
       "2022-12-15 13:30:00+08:00    0   1216  0edbb52f0eb44f0c9448b1d32bd05a98   \n",
       "2022-12-16 13:30:00+08:00    0   1216  0edbb52f0eb44f0c9448b1d32bd05a98   \n",
       "\n",
       "                                                 dt reason  \\\n",
       "2022-12-15 13:30:00+08:00 2022-12-15 13:30:00+08:00   None   \n",
       "2022-12-16 13:30:00+08:00 2022-12-16 13:30:00+08:00   None   \n",
       "\n",
       "                                            created  amount  filled  \\\n",
       "2022-12-15 13:30:00+08:00 2022-12-15 13:30:00+08:00 -200000       0   \n",
       "2022-12-16 13:30:00+08:00 2022-12-15 13:30:00+08:00 -200000 -200000   \n",
       "\n",
       "                            commission  stop limit  stop_reached  \\\n",
       "2022-12-15 13:30:00+08:00      0.00000  None  None         False   \n",
       "2022-12-16 13:30:00+08:00  38181.39975  None  None         False   \n",
       "\n",
       "                           limit_reached             asset  status  \n",
       "2022-12-15 13:30:00+08:00          False  Equity(0 [1216])       0  \n",
       "2022-12-16 13:30:00+08:00          False  Equity(0 [1216])       1  "
      ]
     },
     "execution_count": 28,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "orders.query('(created.dt.strftime(\"%Y-%m-%d\") == \"2022-12-15\")')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "id": "ba13d426",
   "metadata": {},
   "outputs": [
    {
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       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2022-12-16 13:30:00+08:00</th>\n",
       "      <td>0</td>\n",
       "      <td>1216</td>\n",
       "      <td>-200000</td>\n",
       "      <td>2022-12-16 13:30:00+08:00</td>\n",
       "      <td>65.26735</td>\n",
       "      <td>0edbb52f0eb44f0c9448b1d32bd05a98</td>\n",
       "      <td>Equity(0 [1216])</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                           sid symbol  amount                        dt  \\\n",
       "2022-12-16 13:30:00+08:00    0   1216 -200000 2022-12-16 13:30:00+08:00   \n",
       "\n",
       "                              price                          order_id  \\\n",
       "2022-12-16 13:30:00+08:00  65.26735  0edbb52f0eb44f0c9448b1d32bd05a98   \n",
       "\n",
       "                                      asset commission  \n",
       "2022-12-16 13:30:00+08:00  Equity(0 [1216])       None  "
      ]
     },
     "execution_count": 29,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "transactions.loc['2022-12-16']"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "25a48c6c",
   "metadata": {},
   "source": [
    "[Go Top](#top)"
   ]
  }
 ],
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