模拟交易能收到调仓信息，但是持仓一直没有任何变化
由bq8lrsow创建，最终由small_q 被浏览 46 用户
问题描述：
新手学习中，目前跟着课程实现了一个小市值策略，想在模拟交易中看看运行效果，这几天发现一直没有任何变化
看日志也没有发现任何错误信息，有些日志信息还看不太懂，比如最近一次执行结果如下：
[2023-11-16 21:07:04.245966] INFO 基础特征抽取: 年份 2023, 特征行数=311576
[2023-11-16 21:07:04.349232] INFO 基础特征抽取: 总行数: 311576
[2023-11-16 21:07:05.491635] INFO derived_feature_extractor: 提取完成 市值=market_cap_0, 0.003s
[2023-11-16 21:07:05.507977] INFO derived_feature_extractor: 提取完成 市盈率ttm=pe_ttm_0, 0.005s
[2023-11-16 21:07:05.516178] INFO derived_feature_extractor: 提取完成 上市时间=list_days_0, 0.002s
[2023-11-16 21:07:05.527516] INFO derived_feature_extractor: 提取完成 换手排名=rank_turn_0, 0.002s
[2023-11-16 21:07:06.529275] INFO derived_feature_extractor: /y_2023, 311576
[2023-11-16 21:07:10.149677] INFO A股股票过滤: 过滤 /y_2023, 181787/0/311576
[2023-11-16 21:07:10.155239] INFO A股股票过滤: 过滤完成, 181787 + 0
do_paper_run lm_1={'version': 'v3', 'algo_id': 175961, 'algo_unique_id': 'bq8lrsow_51edb5a2-8223-11ee-920c-0a4cf61f4cc2', 'algo_name': '小市值策略', 'algo_desc': '', 'first_date': '2023-11-13', 'benchmark_symbol': '000300.HIX', 'price_type': '真实价格', 'product_type': 'equity', 'data_frequency': '1d'}, options=DataSource(73e29737d7524fa298452fcedf10f1dbT)
[2023-11-16 21:07:12.190149] INFO hfpapertrading: init options_data:DataSource(73e29737d7524fa298452fcedf10f1dbT)
[2023-11-16 21:07:12.198991] INFO hfpapertrading: init username:bq8lrsow, algo_id:175961, first_date:2023-11-13, frequency:1d, adjust_type:none, instruments:['000001.SZA', '000002.SZA', '000004.SZA', '000005.SZA', '000006.SZA', '000007.SZA', '000008.SZA', '000009.SZA', '000010.SZA', '000011.SZA', '000012.SZA', '000014.SZA', '000016.SZA', '000017.SZA', '000019.SZA', '000020.SZA', '000021.SZA', '000023.SZA', '000025.SZA', '000026.SZA', '000027.SZA', '000028.SZA', '000029.SZA', '000030.SZA', '000031.SZA', '000032.SZA', '000034.SZA', '000035.SZA', '000036.SZA', '000037.SZA', '000039.SZA', '000040.SZA']
[2023-11-16 21:07:12.208572] INFO hfpapertrading: init benchmark_symbol=000300.HIX
[2023-11-16 21:07:12.213011] INFO hfpapertrading: biglearning hfpapertrading:V1.3.1
[2023-11-16 21:07:12.220667] INFO hfpapertrading: bigtrader v1.10.5 2023-11-03
[2023-11-16 21:07:12.794267] INFO hfpapertrading: hfpapertrading invoke_micro_service done True
[2023-11-16 21:07:13.012587] INFO hfpapertrading: run_date: 2023-11-16, notebook_id:bq8lrsow_51edb5a2-8223-11ee-920c-0a4cf61f4cc2, algo_name:小市值策略, is_third_match:0
[2023-11-16 21:07:13.279510] INFO hfpapertrading: record_datas last_record=2023-11-15, <EquityAlgoDaily(run_date=2023-11-15, is_sync=0, cash=1000000.0,
positions='[]',
transactions='[]',
orders='[]',
extension='{"order_price_field_buy": "close", "order_price_field_sell": "open", "is_stock": "True"}', benchmark='{"000300.HIX": 0.007031440734863281, "000300.HIX.CUM": 0.007775425910949707}', portfolio='{"cum_return": 0.0, "annual_return": 0.0, "today_return": 0.0, "pv": 0.0, "max_pv": 1000000.0, "drawdown": 0.0, "first_date": "2023-11-13", "portfolio_value": 1000000.0, "cash": 1000000.0}', risk_indicator='{"alpha": -0.029128671418808594, "beta": 0.0, "volatility": 0.0, "sharpe": 0.0, "ir": -0.6702979518752208}', trading_days='3'
[2023-11-16 21:07:13.287000] INFO hfpapertrading: last_record is_sync cash:1000000.0, last_portfolio:{'cum_return': 0.0, 'annual_return': 0.0, 'today_return': 0.0, 'pv': 0.0, 'max_pv': 1000000.0, 'drawdown': 0.0, 'first_date': '2023-11-13', 'portfolio_value': 1000000.0, 'cash': 1000000.0}
[2023-11-16 21:07:13.301829] INFO hfpapertrading: last_record is_sync extension:{'order_price_field_buy': 'close', 'order_price_field_sell': 'open', 'is_stock': 'True'}
[2023-11-16 21:07:13.309005] INFO hfpapertrading: first_trading_date=2023-11-13, cash=1000000.0
[2023-11-16 21:07:13.315018] INFO hfpapertrading: hfpapertrading init_equity_name_map...
[2023-11-16 21:07:15.747763] INFO hfpapertrading: cached_benchmark_ds=DataSource(e2674dd4d48b40b1bd26d527a15229d6T) by benchmark_kwargs={'start_date': '2023-11-15', 'end_date': '2023-11-16', 'instruments': ['000300.HIX'], 'frequency': '1d', 'product_type': '', 'adjust_type': 'post'}
[2023-11-16 21:07:28.296107] INFO hfpapertrading: cached_daily_ds=DataSource(5f14e31d51c3439b98f756f24f97e6ceT)
[2023-11-16 21:07:37.029229] INFO hfpapertrading: create_history_data done
[2023-11-16 21:07:37.038424] INFO hfpapertrading: hfpapertrading get_adjust_factor_map...
[2023-11-16 21:07:37.044855] INFO hfpapertrading: last_positions=[]
[2023-11-16 21:07:37.091372] INFO hfpapertrading: daily_data=
turn adjust_factor instrument date open \
0 1.311517 113.936211 000001.SZA 2022-11-11 11.130000
1 2.996342 172.824020 000002.SZA 2022-11-11 14.730001
2 1.972625 4.063862 000004.SZA 2022-11-11 9.770000
3 1.144187 9.267603 000005.SZA 2022-11-11 1.810000
4 1.828831 38.939548 000006.SZA 2022-11-11 3.980000
... ... ... ... ... ...
1269901 4.638292 1.072223 873665.BJA 2023-11-16 6.090000
1269902 33.534552 1.000000 873679.BJA 2023-11-16 21.400000
1269903 29.165093 1.000000 873693.BJA 2023-11-16 43.500000
1269904 3.005746 1.000000 873726.BJA 2023-11-16 23.290001
1269905 10.441604 1.079623 873833.BJA 2023-11-16 13.000000
volume low deal_number close high \
0 254507055.0 11.010000 145178.0 11.430000 11.660000
1 291165404.0 14.660000 185552.0 15.760000 15.760000
2 2294725.0 9.380000 2099.0 9.380000 9.870000
3 12104882.0 1.770000 1635.0 1.790000 1.830000
4 24689122.0 3.950000 21565.0 4.060000 4.130000
... ... ... ... ... ...
1269901 1530321.0 5.920000 0.0 5.930000 6.100000
1269902 4285045.0 19.200001 0.0 19.200001 21.900000
1269903 3526643.0 38.880001 0.0 39.500000 44.880001
1269904 349530.0 22.790001 0.0 22.910000 23.549999
1269905 2767871.0 12.120000 0.0 12.130000 13.000000
amount lower_limit upper_limit st_status suspended \
0 2.878557e+09 9.78 11.96 0.0 False
1 4.449224e+09 12.90 15.76 0.0 False
2 2.219022e+07 9.13 10.09 1.0 False
3 2.173714e+07 1.72 1.90 1.0 False
4 9.965954e+07 3.51 4.29 0.0 False
... ... ... ... ... ...
1269901 9.180839e+06 4.30 7.96 0.0 False
1269902 8.609956e+07 15.25 28.31 0.0 False
1269903 1.501593e+08 32.25 59.89 0.0 False
1269904 8.056765e+06 16.29 30.23 0.0 False
1269905 3.445636e+07 9.03 16.75 0.0 False
price_limit_status name delist_date list_date
0 2.0 平安银行 NaT 1991-04-03
1 3.0 万科A NaT 1991-01-29
2 2.0 ST国华 NaT 1990-12-01
3 2.0 ST星源 NaT 1990-12-10
4 2.0 深振业A NaT 1992-04-27
... ... ... ... ...
1269901 2.0 科强股份 NaT 2023-09-26
1269902 2.0 前进科技 NaT 2023-11-10
1269903 2.0 阿为特 NaT 2023-10-27
1269904 2.0 卓兆点胶 NaT 2023-10-19
1269905 2.0 美心翼申 NaT 2023-11-08
[1269906 rows x 19 columns]
2023-11-16 21:07:37.787222 init history datas...
2023-11-16 21:07:37.797514 init history datas done.
2023-11-16 21:07:37.991317 run_backtest() capital_base:1000000.0, frequency:1d, product_type:equity, date:2023-11-16 ~ 2023-11-16
2023-11-16 21:07:38.004945 run_backtest() running...
2023-11-16 21:07:38.053145 initial contracts len=0
2023-11-16 21:07:38.062927 backtest inited.
[2023-11-16 21:07:38.076595] INFO hfpapertrading: c_initialize() first_trading_date:2023-11-13, trading_day_index:3
[2023-11-16 21:07:38.533376] INFO hfpapertrading: c_initialize() positions len:0,value:0.0,margin:0.0
[2023-11-16 21:07:38.538235] INFO hfpapertrading: c_initialize() orders len:0, orders_date=2023-11-15
2023-11-16 21:07:38.543078 backtest transforming 1d, bars=1...
2023-11-16 21:07:38.551551 transform start_trading_day=2023-11-16 00:00:00, simulation period=2023-11-16 ~ 2023-11-16
2023-11-16 21:07:38.560263 transform before_start_days=0
2023-11-16 21:07:38.570353 transform replay_func=<cyfunction BacktestEngine.transform.<locals>.replay_bars_dt at 0x7f752187d110>
2023-11-16 21:07:39.052184 backtest run end!
2023-11-16 21:07:39.080980 run_backtest() finished! time cost 1.068s!
[2023-11-16 21:07:40.181042] INFO hfpapertrading: raw_perf_ds=DataSource(0d8f7ff0430841889010f7e17c36bb77T)
[2023-11-16 21:07:40.197372] INFO hfpapertrading: get last row of algo result_1:
algorithm_period_return benchmark_period_return capital_used \
2023-11-16 0.0 0.0 0
ending_cash ending_value long_value longs_count
2023-11-16 1000000.0 0 0 0
[2023-11-16 21:07:40.217721] INFO hfpapertrading: get last row of algo result_2:
pnl portfolio_value returns short_value shorts_count \
2023-11-16 0.0 1000000.0 0.0 0.0 0
starting_cash starting_value trading_days
2023-11-16 1000000.0 0.0 1
[2023-11-16 21:07:40.225866] INFO hfpaper_helper: new_orders len=20
new_orders_df=
Empty DataFrame
Columns: [account_id, acct_type, id, order_time, dt, created, symbol, amount, filled, price, name, direction, offset_display, offset, offset_flag, price_field, order_status, status, limit, multiplier, instrument, close, adjust_factor]
Index: []
[0 rows x 23 columns]
[2023-11-16 21:07:41.758812] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '002890.SZA', 'amount': 1700, 'filled': 0, 'price': 14.52, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.761809] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '002836.SZA', 'amount': 2900, 'filled': 0, 'price': 8.3701, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.764802] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '600883.SHA', 'amount': 3000, 'filled': 0, 'price': 8.23, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.767523] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '603499.SHA', 'amount': 2500, 'filled': 0, 'price': 9.7101, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.770380] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '600857.SHA', 'amount': 2700, 'filled': 0, 'price': 9.2201, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.774500] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '603637.SHA', 'amount': 2800, 'filled': 0, 'price': 8.6501, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.778838] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '600232.SHA', 'amount': 4200, 'filled': 0, 'price': 5.8401, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.783463] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '603955.SHA', 'amount': 1500, 'filled': 0, 'price': 15.7201, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.787730] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '603657.SHA', 'amount': 1600, 'filled': 0, 'price': 15.5901, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.833156] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '603810.SHA', 'amount': 1800, 'filled': 0, 'price': 13.3301, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.841918] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '000605.SZA', 'amount': 4000, 'filled': 0, 'price': 6.16, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.846969] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '603506.SHA', 'amount': 2100, 'filled': 0, 'price': 11.82, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.852666] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '603696.SHA', 'amount': 2500, 'filled': 0, 'price': 9.77, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.857812] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '600356.SHA', 'amount': 3200, 'filled': 0, 'price': 7.81, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.863903] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '002789.SZA', 'amount': 1600, 'filled': 0, 'price': 14.76, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.871353] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '600241.SHA', 'amount': 3100, 'filled': 0, 'price': 8.04, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.876117] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '600097.SHA', 'amount': 2400, 'filled': 0, 'price': 10.03, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.881704] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '603182.SHA', 'amount': 1600, 'filled': 0, 'price': 14.7101, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.888960] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '603829.SHA', 'amount': 1600, 'filled': 0, 'price': 15.2001, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.895098] INFO hfpaper_helper: new_order={'account_id': 'bkt000', 'acct_type': '0', 'id': '', 'order_time': '15:00:00', 'dt': datetime.datetime(2023, 11, 17, 15, 0), 'created': datetime.datetime(2023, 11, 16, 15, 0), 'symbol': '600287.SHA', 'amount': 4400, 'filled': 0, 'price': 5.56, 'name': '', 'direction': '1', 'offset_display': 'OPEN', 'offset': '0', 'offset_flag': '0', 'price_field': None, 'order_status': NOTTRADED(0), 'status': 'pending', 'limit': None, 'multiplier': 1}
[2023-11-16 21:07:41.900769] INFO hfpaper_helper: get_orders new_orders 20:
json_orders:
[2023-11-16 21:07:41.945448] INFO hfpaper_helper: get_last_sale_date_dict: {'002890.SZA': '2023-11-17 15:00:00', '002836.SZA': '2023-11-17 15:00:00', '600883.SHA': '2023-11-17 15:00:00', '603499.SHA': '2023-11-17 15:00:00', '600857.SHA': '2023-11-17 15:00:00', '603637.SHA': '2023-11-17 15:00:00', '600232.SHA': '2023-11-17 15:00:00', '603955.SHA': '2023-11-17 15:00:00', '603657.SHA': '2023-11-17 15:00:00', '603810.SHA': '2023-11-17 15:00:00', '000605.SZA': '2023-11-17 15:00:00', '603506.SHA': '2023-11-17 15:00:00', '603696.SHA': '2023-11-17 15:00:00', '600356.SHA': '2023-11-17 15:00:00', '002789.SZA': '2023-11-17 15:00:00', '600241.SHA': '2023-11-17 15:00:00', '600097.SHA': '2023-11-17 15:00:00', '603182.SHA': '2023-11-17 15:00:00', '603829.SHA': '2023-11-17 15:00:00', '600287.SHA': '2023-11-17 15:00:00'}
[2023-11-16 21:07:42.486446] INFO hfpaper_helper: get_positions_stocks position_value:0.0 new_positions:
json_positions:
[2023-11-16 21:07:42.494824] INFO hfpaper_helper: get_portfolio last_pv:1000000.0, current_pv:1000000.0, json_portfolio:{'cum_return': 0.0, 'annual_return': 0.0, 'today_return': 0.0, 'pv': 0.0, 'max_pv': 1000000.0, 'drawdown': 0.0, 'first_date': '2023-11-13', 'portfolio_value': 1000000.0, 'cash': 1000000.0}
[2023-11-16 21:07:42.498794] INFO hfpaper_helper: get_transactions transaction num 0
[2023-11-16 21:07:42.504360] INFO hfpaper_helper: get_transactions total_buy:0.0, total_sell:0.0, json_transaction:
reading benchmark data... 000300.HIX 2023-11-13 2023-11-16 00:00:00+00:00
instrument close date
0 000300.HIX 3579.414062 2023-11-13
1 000300.HIX 3582.058350 2023-11-14
2 000300.HIX 3607.245361 2023-11-15
3 000300.HIX 3572.364014 2023-11-16
[2023-11-16 21:07:42.610844] INFO hfpapertrading: json_cum_benchmark={"000300.HIX": -0.009669780731201172, "000300.HIX.CUM": -0.001969635486602783}
[2023-11-16 21:07:42.621944] INFO hfpaper_helper: get_risk_indicators json_risk_indicator:{'alpha': -0.029128671418808594, 'beta': 0.0, 'volatility': 0.0, 'sharpe': 0.0, 'ir': 0.06888412238829711}
[2023-11-16 21:07:42.627931] INFO hfpapertrading: result json_extension:{"order_price_field_buy": "close", "order_price_field_sell": "open", "is_stock": "True"}
processing to update_database...
[2023-11-16 21:07:42.639662] INFO hfpapertrading: call add_new_daily_record for portfolio_value=1000000.0, position_value=0.0
[2023-11-16 21:07:42.879861] INFO hfpapertrading: invoke add_new_daily_record(bq8lrsow,175961,2023-11-16,json_portfolio={"cum_return": 0.0, "annual_return": 0.0, "today_return": 0.0, "pv": 0.0, "max_pv": 1000000.0, "drawdown": 0.0, "first_date": "2023-11-13", "portfolio_value": 1000000.0, "cash": 1000000.0},json_cum_benchmark={"000300.HIX": -0.009669780731201172, "000300.HIX.CUM": -0.001969635486602783}) done rv=None
cum_return_plot: 4, before_shared_cum_return_plot: 0, after_shared_cum_return_plot: 0, benchmark_cum_return_plot: 4, hold_percent_plot: 4
[2023-11-16 21:07:43.087059] INFO hfpapertrading: invoke update_equity_algo(bq8lrsow,175961,2023-11-16,cum_return=0.0,today_return=0.0) done rv=None
[2023-11-16 21:07:43.093068] INFO hfpapertrading: hfpapertrading result, new_cash 1000000.0
我的代码如下（手动添加了部分打印信息）：
# 本代码由可视化策略环境自动生成 2023年11月16日 21:32
# 本代码单元只能在可视化模式下编辑。您也可以拷贝代码，粘贴到新建的代码单元或者策略，然后修改。
# 显式导入 BigQuant 相关 SDK 模块
from bigdatasource.api import DataSource
from bigdata.api.datareader import D
from biglearning.api import M
from biglearning.api import tools as T
from biglearning.module2.common.data import Outputs
import pandas as pd
import numpy as np
import math
import warnings
import datetime
from zipline.finance.commission import PerOrder
from zipline.api import get_open_orders
from zipline.api import symbol
from bigtrader.sdk import *
from bigtrader.utils.my_collections import NumPyDeque
from bigtrader.constant import OrderType
from bigtrader.constant import Direction
# 交易引擎：初始化函数，只执行一次
def m7_initialize_bigquant_run(context):
# 加载预测数据
context.ranker_prediction = context.options['data'].read_df()
context.ranker_prediction.set_index('date',inplace=True)
# 交易引擎：每个单位时间开盘前调用一次。
def m7_before_trading_start_bigquant_run(context, data):
# 盘前处理，订阅行情等
pass
# 交易引擎：tick数据处理函数，每个tick执行一次
def m7_handle_tick_bigquant_run(context, tick):
pass
# 交易引擎：bar数据处理函数，每个时间单位执行一次
def m7_handle_data_bigquant_run(context, data):
remainder = context.trading_day_index % 5
if remainder != 0:
return
import datetime
# 初始化
buy_list = [] #买入列表
sell_list = [] #卖出列表
# 数据准备
today = data.current_dt.strftime('%Y-%m-%d') # 读取当天数据
time = data.current_dt
account_pos = context.get_account_positions()
holding_list = list({key: value for key, value in account_pos.items() if value.avail_qty > 0}.keys())
holding_nums = len(holding_list)
# 读取当日数据
try:
today_data = context.ranker_prediction.loc[today,:]
today_data.reset_index(inplace=True)
except:
return
# 策略
today_data = today_data[today_data['上市时间'] >= 365]
today_data = today_data[today_data['市盈率ttm'] >= 0.5]
today_data = today_data[today_data['换手排名'] <= 0.3]
today_data.sort_values(by='市值',ascending=True,inplace=True) #市值排序ß
# 构建目标列表
target_list = today_data.instrument.to_list()[:20]
# 构建卖出列表
for ins in holding_list:
if ins not in target_list:
sell_list.append(ins)
# 构建买入列表
for ins in target_list:
if ins not in holding_list:
buy_list.append(ins)
print(f'筛选股票数： {len(buy_list)} 买入列表： {buy_list}')
print(f'卖出列表： {sell_list}')
# 先卖
for ins in sell_list:
context.order_target(ins,0)
# 等权买
for ins in buy_list:
context.order_target_percent(ins,0.025)
# 交易引擎：成交回报处理函数，每个成交发生时执行一次
def m7_handle_trade_bigquant_run(context, trade):
pass
# 交易引擎：委托回报处理函数，每个委托变化时执行一次
def m7_handle_order_bigquant_run(context, order):
pass
# 交易引擎：盘后处理函数，每日盘后执行一次
def m7_after_trading_bigquant_run(context, data):
pass
m1 = M.instruments.v2(
start_date=T.live_run_param('trading_date', '2023-11-16'),
end_date=T.live_run_param('trading_date', '2023-11-16'),
market='CN_STOCK_A',
instrument_list='',
max_count=0
)
m2 = M.input_features.v1(
features="""市值=market_cap_0
市盈率ttm=pe_ttm_0
上市时间=list_days_0
换手排名=rank_turn_0
"""
)
m3 = M.general_feature_extractor.v7(
instruments=m1.data,
features=m2.data,
start_date='',
end_date='',
before_start_days=90
)
m4 = M.derived_feature_extractor.v3(
input_data=m3.data,
features=m2.data,
date_col='date',
instrument_col='instrument',
drop_na=True,
remove_extra_columns=True,
user_functions={}
)
m6 = M.chinaa_stock_filter.v1(
input_data=m4.data,
index_constituent_cond=['全部'],
board_cond=['上证主板', '深证主板'],
industry_cond=['全部'],
st_cond=['正常'],
delist_cond=['非退市'],
output_left_data=False
)
m7 = M.hftrade.v2(
instruments=m1.data,
options_data=m6.data,
start_date='',
end_date='',
initialize=m7_initialize_bigquant_run,
before_trading_start=m7_before_trading_start_bigquant_run,
handle_tick=m7_handle_tick_bigquant_run,
handle_data=m7_handle_data_bigquant_run,
handle_trade=m7_handle_trade_bigquant_run,
handle_order=m7_handle_order_bigquant_run,
after_trading=m7_after_trading_bigquant_run,
capital_base=1000000,
frequency='daily',
price_type='真实价格',
product_type='股票',
before_start_days='0',
volume_limit=1,
order_price_field_buy='close',
order_price_field_sell='open',
benchmark='000300.HIX',
plot_charts=True,
disable_cache=False,
replay_bdb=False,
show_debug_info=False,
backtest_only=False
)
我自己手动执行了一次，输出如下，看到筛选出了股票，但是没有实际的买入操作，大佬们帮忙看看啦