jaqs.data.basic package¶
Submodules¶
jaqs.data.basic.instrument module¶
jaqs.data.basic.order module¶
jaqs.data.basic.position module¶
-
class
GoalPosition
¶ Bases:
object
Used in goal_portfolio function to generate orders.
变量: - symbol (str) –
- ref_price (float) – Reference price, used by risk management, not by order.
- size (int) – Target position size.
- urgency (int) – The urgency to adjust position, used to determine trading algorithm.
-
class
Position
¶ Bases:
object
Basic position class.
变量: - symbol (str) – List of securities.
- side (str) – (“Long”, “Short”). Positions of different sides will not be merged.
- cost_price (float) – Average cost price of current net position.
- close_pnl (float) –
- float_pnl (float) –
- trading_pnl (float) –
- holding_pnl (float) –
- init_size (int) – Position at the start of the day.
- enable_size (int) – Position that can be closed.
- frozen_size (int) – Positions to be closed.
- want_size (int) – Positions to be opened.
- pre_size (int) – Last day’s position.
- today_size (int) – Today’s position.
- curr_size (int) – Current position.
jaqs.data.basic.trade module¶
-
class
Trade
¶ Bases:
object
Basic order class.
变量: - task_id (str) – id of the task.
- entrust_no (str) – ID of the order.
- entrust_action (str) –
- symbol (str) –
- fill_price (float) –
- fill_size (int) –
- fill_date (int) –
- fill_time (int) –
- fill_no (str) – ID of this trade.
-
init_from_order
(order)¶
-
send_fill_info
(price, size, date, time, no)¶
Module contents¶
Basic data types: - Order - Trade - Position - Bar - Tick