Support convertible bonds purchasing

Author: sinall

README.rst

@@ -49,7 +49,8 @@ ShiPanE-Python-SDK
 定时任务调度
 --------------
 
-- 多账号自动新股申购（自动打新）
+- 多账号自动申购新股（自动打新）
+- 多账号自动申购转债
 - 多账号自动逆回购
 - 定时批量下单
 - 聚宽（JoinQuant）
@@ -142,6 +143,7 @@ Mac/Linux
   - examples/joinquant/simple\_strategy.py - 基本跟单用法（侵入式设计，不推荐）
   - examples/joinquant/advanced\_strategy.py - 高级同步、跟单用法（非侵入式设计，推荐）
   - examples/joinquant/new\_stocks\_purchase.py - 新股申购
+  - examples/joinquant/convertible\_bonds\_purchase.py - 转债申购
   - examples/joinquant/repo.py - 逆回购
 
 同步操作注意事项：
@@ -196,6 +198,7 @@ Mac/Linux
   - examples/ricequant/simple\_strategy.py - 基本用法
   - examples/ricequant/advanced\_strategy.py - 高级同步用法（非侵入式设计，推荐）
   - examples/ricequant/new\_stocks\_purchase.py - 新股申购
+  - examples/ricequant/convertible\_bonds\_purchase.py - 转债申购
   - examples/ricequant/repo.py - 逆回购
 
 二. 抓取方式

config/scheduler-template.ini

@@ -69,6 +69,22 @@ schedule=0 35 11 mon-fri * * * *
 ; clients=client1,client2
 clients=client1
 
+; *********************************************************
+; 转债申购
+; *********************************************************
+[ConvertibleBonds]
+type=ConvertibleBonds
+
+; 是否启用？
+enabled=false
+
+; 默认设置为：星期一至星期五 11:40
+schedule=0 40 11 mon-fri * * * *
+
+; 需要自动新股申购的交易客户端列表，以,（半角逗号）分割
+; clients=client1,client2
+clients=client1
+
 
 ; *********************************************************
 ; 逆回购

examples/joinquant/convertible_bonds_purchase.py

@@ -0,0 +1,20 @@
+import shipane_sdk
+
+
+# 注意：需将回测调成分钟级别
+# 注意：SDK内部取今日时间来获取新股数据
+# 注意：用于回测没有意义，需挂到“我的交易”
+
+def initialize(context):
+    # 每天的开市后10分钟进行新股申购，参数设置见：https://www.joinquant.com/api#定时运行
+    run_daily(purchase_convertible_bonds, '9:40')
+
+
+def process_initialize(context):
+    # 创建 StrategyManager 对象
+    # 参数为配置文件中的 manager id
+    g.__manager = shipane_sdk.JoinQuantStrategyManagerFactory(context).create('manager-1')
+
+
+def purchase_convertible_bonds(context):
+    g.__manager.purchase_convertible_bonds()

examples/ricequant/convertible_bonds_purchase.py

@@ -0,0 +1,21 @@
+import shipane_sdk
+
+
+# 注意：需将回测调成分钟级别
+# 注意：SDK内部取今日时间来获取新股数据
+# 注意：用于回测没有意义，需挂到“模拟交易”
+
+# 在这个方法中编写任何的初始化逻辑。context对象将会在你的算法策略的任何方法之间做传递。
+def init(context):
+    # 每天的开市后10分钟进行新股申购。参数设置见：https://www.ricequant.com/api/python/chn#scheduler
+    scheduler.run_daily(purchase_convertible_bonds, time_rule=market_open(minute=10))
+
+
+def before_trading(context):
+    # 创建 RiceQuantStrategyManagerFactory 对象
+    # 参数为 shipane_sdk_config_template.yaml 中配置的 manager id
+    context.__manager = shipane_sdk.RiceQuantStrategyManagerFactory(context).create('manager-1')
+
+
+def purchase_convertible_bonds(context, bar_dict):
+    context.__manager.purchase_convertible_bonds()

shipane_sdk/base_manager.py

@@ -124,6 +124,13 @@ def repo(self):
             except:
                 self._logger.exception('[%s] 逆回购失败', trader.id)
 
+    def purchase_convertible_bonds(self):
+        for trader in self._traders.values():
+            try:
+                trader.purchase_convertible_bonds()
+            except:
+                self._logger.exception('[%s] 申购转债失败', trader.id)
+
     def execute(self, order=None, **kwargs):
         if order is None and not kwargs:
             return
@@ -187,6 +194,12 @@ def purchase_new_stocks(self):
 
         self._shipane_client.purchase_new_stocks()
 
+    def purchase_convertible_bonds(self):
+        if not self._pre_check():
+            return
+
+        self._shipane_client.purchase_convertible_bonds()
+
     def execute(self, order=None, **kwargs):
         if not self._pre_check():
             return

shipane_sdk/client.py

@@ -9,6 +9,7 @@
 import pandas as pd
 import requests
 import six
+import tushare as ts
 from lxml import etree
 from pandas.compat import StringIO
 from requests import Request
@@ -142,6 +143,9 @@ def query(self, client=None, navigation=None, timeout=None):
     def query_new_stocks(self):
         return self.__query_new_stocks()
 
+    def query_convertible_bonds(self):
+        return self.__query_convertible_bonds()
+
     def purchase_new_stocks(self, client=None, timeout=None):
         today = datetime.datetime.strftime(datetime.datetime.today(), '%Y-%m-%d')
         df = self.query_new_stocks()
@@ -160,6 +164,24 @@ def purchase_new_stocks(self, client=None, timeout=None):
                 self._logger.error(
                     '客户端[{}]申购新股[{}({})]失败\n{}'.format((client or self._client), row['name'], row['code'], e))
 
+    def purchase_convertible_bonds(self, client=None, timeout=None):
+        today = datetime.datetime.strftime(datetime.datetime.today(), '%Y-%m-%d')
+        df = self.query_convertible_bonds()
+        df = df[(df.ipo_date == today)]
+        self._logger.info('今日有[{}]支可申购转债'.format(len(df)))
+        for index, row in df.iterrows():
+            try:
+                order = {
+                    'symbol': row['xcode'],
+                    'price': 100,
+                    'amountProportion': 'ALL'
+                }
+                self._logger.info('申购转债：{}'.format(order))
+                self.buy(client, timeout, **order)
+            except Exception as e:
+                self._logger.error(
+                    '客户端[{}]申购转债[{}({})]失败\n{}'.format((client or self._client), row['name'], row['code'], e))
+
     def create_adjustment(self, client=None, request_json=None, timeout=None):
         request = Request('POST', self.__create_url(client, 'adjustments'), json=request_json)
         request.headers['Content-Type'] = MediaType.JOIN_QUANT.value
@@ -200,6 +222,10 @@ def __query_new_stocks(self):
         df['xcode'] = df['xcode'].map(lambda x: str(x).zfill(6))
         return df
 
+    def __query_convertible_bonds(self):
+        df = ts.new_cbonds()
+        return df
+
     def __create_order_url(self, client=None, order_id=None, **params):
         return self.__create_url(client, 'orders', order_id, **params)
 

shipane_sdk/jobs/convertible_bonds_purchase.py

@@ -0,0 +1,19 @@
+# -*- coding: utf-8 -*-
+
+from shipane_sdk.jobs.basic_job import BasicJob
+
+
+class ConvertibleBondsPurchaseJob(BasicJob):
+    def __init__(self, client, client_aliases=None, name=None, **kwargs):
+        super(ConvertibleBondsPurchaseJob, self).__init__(name, kwargs.get('schedule', None), kwargs.get('enabled', False))
+
+        self._client = client
+        self._client_aliases = client_aliases
+
+    def __call__(self):
+        for client_alias in self._client_aliases:
+            try:
+                client = self._client_aliases[client_alias]
+                self._client.purchase_convertible_bonds(client)
+            except:
+                self._logger.exception('客户端[%s]申购转债失败', client_alias)

shipane_sdk/scheduler.py

@@ -18,6 +18,7 @@
 from shipane_sdk.ap import APCronParser
 from shipane_sdk.guorn.client import GuornClient
 from shipane_sdk.jobs.batch import BatchJob
+from shipane_sdk.jobs.convertible_bonds_purchase import ConvertibleBondsPurchaseJob
 from shipane_sdk.jobs.new_stock_purchase import NewStockPurchaseJob
 from shipane_sdk.jobs.online_quant_following import OnlineQuantFollowingJob
 from shipane_sdk.jobs.online_quant_sync import OnlineQuantSyncJob
@@ -69,6 +70,8 @@ def __create_job(self, section):
         job = None
         if job_type == 'NewStocks':
             job = self.__create_new_stock_purchase_job(section)
+        elif job_type == 'ConvertibleBonds':
+            job = self.__create_convertible_bonds_job(section)
         elif job_type == 'Repo':
             job = self.__create_repo_job(section)
         elif job_type == 'Batch':
@@ -90,6 +93,11 @@ def __create_new_stock_purchase_job(self, section):
         client_aliases = self.__filter_client_aliases(section)
         return NewStockPurchaseJob(self._client, client_aliases, '{}-Job'.format(section), **options)
 
+    def __create_convertible_bonds_job(self, section):
+        options = self.__build_options(section)
+        client_aliases = self.__filter_client_aliases(section)
+        return ConvertibleBondsPurchaseJob(self._client, client_aliases, '{}-Job'.format(section), **options)
+
     def __create_repo_job(self, section):
         options = self.__build_options(section)
         client_aliases = self.__filter_client_aliases(section)

tests/shipane_sdk/test_client.py

@@ -119,3 +119,8 @@ def test_query(self):
     def test_query_new_stocks(self):
         df = self.client.query_new_stocks()
         self.assertTrue((df.columns == ['code', 'xcode', 'name', 'ipo_date', 'price']).all())
+
+    def test_query_convertible_bonds(self):
+        df = self.client.query_convertible_bonds()
+        assert_that(df, has_column('ipo_date'))
+        assert_that(df, has_column('xcode'))