Merge pull request #891 from ricequant/RQSDK-746

Rqsdk 746

rqalpha/environment.py

@@ -26,8 +26,10 @@
 from rqalpha.utils.logger import system_log, user_log, user_system_log
 from rqalpha.core.global_var import GlobalVars
 from rqalpha.utils.i18n import gettext as _
+from rqalpha.const import SIDE
 if TYPE_CHECKING:
     from rqalpha.model.order import Order
+
 
 
 class Environment(object):
@@ -183,6 +185,10 @@ def _get_transaction_cost_decider(self, order_book_id):
 
     def get_trade_tax(self, trade):
         return self._get_transaction_cost_decider(trade.order_book_id).get_trade_tax(trade)
+
+    def get_transaction_cost_with_value(self, value: float) -> float:
+        side = SIDE.BUY if value >= 0 else SIDE.SELL
+        return self._transaction_cost_decider_dict[INSTRUMENT_TYPE.CS].get_transaction_cost_with_value(abs(value), side)
 
     def get_trade_commission(self, trade):
         return self._get_transaction_cost_decider(trade.order_book_id).get_trade_commission(trade)

rqalpha/interface.py

@@ -30,7 +30,7 @@
 from rqalpha.model.order import Order
 from rqalpha.model.trade import Trade
 from rqalpha.model.instrument import Instrument
-from rqalpha.const import POSITION_DIRECTION, TRADING_CALENDAR_TYPE, INSTRUMENT_TYPE
+from rqalpha.const import POSITION_DIRECTION, TRADING_CALENDAR_TYPE, INSTRUMENT_TYPE, SIDE
 
 
 class AbstractPosition(with_metaclass(abc.ABCMeta)):
@@ -675,25 +675,28 @@ class AbstractTransactionCostDecider((with_metaclass(abc.ABCMeta))):
     订单税费计算接口，通过实现次接口可以定义不同市场、不同合约的个性化税费计算逻辑。
     """
     @abc.abstractmethod
-    def get_trade_tax(self, trade):
-        # type: (Trade) -> float
+    def get_trade_tax(self, trade: Trade) -> float:
         """
         计算指定交易应付的印花税
         """
         raise NotImplementedError
 
     @abc.abstractmethod
-    def get_trade_commission(self, trade):
-        # type: (Trade) -> float
+    def get_trade_commission(self, trade: Trade) -> float:
         """
         计算指定交易应付的佣金
         """
         raise NotImplementedError
 
     @abc.abstractmethod
-    def get_order_transaction_cost(self, order):
-        # type: (Order) -> float
+    def get_order_transaction_cost(self, order: Order) -> float:
         """
         计算指定订单应付的交易成本（税 + 费）
         """
         raise NotImplementedError
+
+    def get_transaction_cost_with_value(self, value: float, side: SIDE) -> float:
+        """
+        计算指定价格交易应付的交易成本（税 + 费）
+        """
+        raise NotImplementedError

rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py

@@ -372,7 +372,16 @@ def order_target_portfolio(
                 order_book_id, quantity, SIDE.SELL, MarketOrder(), POSITION_EFFECT.CLOSE
             ))
 
-    account_value = account.total_value
+    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 = [], []
     for order_book_id, (target_percent, open_style, close_style, last_price) in target.items():
         open_price = _get_order_style_price(order_book_id, open_style)

rqalpha/mod/rqalpha_mod_sys_transaction_cost/deciders.py

@@ -77,6 +77,9 @@ def get_order_transaction_cost(self, order):
         commission = self._get_order_commission(order.order_book_id, order.side, order.frozen_price, order.quantity)
         tax = self._get_tax(order.order_book_id, order.side, order.frozen_price * order.quantity)
         return tax + commission
+
+    def get_transaction_cost_with_value(self, value: float, side: SIDE) -> float:
+        raise NotImplementedError
 
 
 class CNStockTransactionCostDecider(StockTransactionCostDecider):
@@ -99,6 +102,11 @@ def set_tax_rate(self, event):
         else:
             self.tax_rate = 0.0005
 
+    def get_transaction_cost_with_value(self, value: float, side: SIDE) -> float:
+        tax = value * self.tax_rate * self.tax_multiplier if side == SIDE.SELL else 0
+        commission = max(value * self.commission_rate * self.commission_multiplier, self.min_commission)
+        return tax + commission
+
 
 class CNFutureTransactionCostDecider(AbstractTransactionCostDecider):
     def __init__(self, commission_multiplier):

setup.cfg

@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqalpha
-version = 5.4.1
+version = 5.4.2
 
 [versioneer]
 VCS = git