pr update

rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py

@@ -18,7 +18,7 @@
 import datetime
 from decimal import Decimal, getcontext
 from itertools import chain
-from typing import Dict, List, Optional, Union, Tuple
+from typing import Dict, List, Optional, Union, Tuple, Callable
 import math
 from collections import defaultdict
 
@@ -72,26 +72,14 @@ def _get_account_position_ins(id_or_ins):
     return account, position, ins
 
 
-def _round_order_quantity(ins, quantity, method: str = "round_down") -> int:
-    """
-    根据合约的 round_lot 对订单数量进行取整
-
-    :param method: 取整方式，可选择 'round_down'（向下取整）, 'round_up'（向上取整）, 'round'（四舍五入）
-    """
+def _round_order_quantity(ins, quantity, method: Callable = int) -> int:
     if ins.type == "CS" and ins.board_type == "KSH":
         # KSH can buy(sell) 201, 202 shares
         return 0 if abs(quantity) < KSH_MIN_AMOUNT else int(quantity)
     else:
         round_lot = ins.round_lot
         try:
-            if method == "round_down":
-                return int(Decimal(quantity) / Decimal(round_lot)) * round_lot
-            elif method == "round_up":
-                return math.ceil(Decimal(quantity) / Decimal(round_lot)) * round_lot
-            elif method == "round":
-                return round(Decimal(quantity) / Decimal(round_lot)) * round_lot
-            else:
-                raise RuntimeError("Rounding method only support 'round_down', 'round_up' and 'round'")
+            return method(Decimal(quantity) / Decimal(round_lot)) * round_lot
         except ValueError:
             raise
 
@@ -387,6 +375,15 @@ def order_target_portfolio(
             ))
 
     account_value  = account.total_value
+    if total_percent == 1:
+        # 在此处形成的订单不包含交易费用，需要预留一点余额以供交易费用使用
+        estimate_transaction_cost = 0
+        for order_book_id, (target_percent, open_style, close_style, last_price) in target.items():
+            current_value = current_quantities.get(order_book_id, 0) * last_price
+            change_value = target_percent * account_value - current_value
+            estimate_transaction_cost += env.get_transaction_cost_with_value(change_value)
+        account_value = account_value - estimate_transaction_cost
+
     close_orders, open_orders = [], []
     waiting_to_buy = defaultdict()
     for order_book_id, (target_percent, open_style, close_style, last_price) in target.items():
@@ -399,7 +396,7 @@ def order_target_portfolio(
             env.order_creation_failed(order_book_id=order_book_id, reason=reason)
             continue
         delta_quantity = (account_value * target_percent / close_price) - current_quantities.get(order_book_id, 0)
-        delta_quantity = _round_order_quantity(env.data_proxy.instrument(order_book_id), delta_quantity, method="round")
+        delta_quantity = _round_order_quantity(env.data_proxy.instrument(order_book_id), delta_quantity, method=round)
 
         # 优先生成卖单，以便计算出剩余现金，进行买单数量的计算
         if delta_quantity == 0:
@@ -417,16 +414,19 @@ def order_target_portfolio(
     estimate_cash = account.cash + sum([o.quantity * o.frozen_price - env.get_order_transaction_cost(o) for o in close_orders])
     for order_book_id, (delta_quantity, position_effect, open_style, last_price) in waiting_to_buy.items():
         order_price = delta_quantity * last_price
-        if order_price + env.get_transaction_cost_with_value(order_price) > estimate_cash:
+        transaction_cost = env.get_transaction_cost_with_value(order_price)
+        if order_price + transaction_cost > estimate_cash:
             delta_quantity = estimate_cash / last_price
             delta_quantity = _round_order_quantity(env.data_proxy.instrument(order_book_id), delta_quantity)
             if delta_quantity == 0:
                 continue
+            order_price = delta_quantity * last_price
+            transaction_cost = env.get_transaction_cost_with_value(order_price)
         order = Order.__from_create__(order_book_id, delta_quantity, SIDE.BUY, open_style, position_effect)
         if isinstance(open_style, MarketOrder):
             order.set_frozen_price(last_price)
         open_orders.append(order)
-        estimate_cash -= order.quantity * order.frozen_price + env.get_order_transaction_cost(order)
+        estimate_cash -= order_price + transaction_cost
 
     return list(env.submit_order(o) for o in chain(close_orders, open_orders))