ETF 申购与赎回

purchase(
    account_id, symbol, amount, cash_substitution=False
)

redeem(
    account_id, symbol, quantity, cash_substitution=False
)

STRATEGY_PARAMS = {
    'cash_symbols': ['600000.SH'],
}


def init_cash_choices(context):
    context.cash_choices = {symbol: True for symbol in STRATEGY_PARAMS['cash_symbols']}

from math import isfinite
from panda_backtest.api.api import *
def init_primary_tracking(context):
    context.primary_pending = {}
    context.primary_terminal = set()
    context.primary_attempts = set()
    context.primary_confirmed = set()


def _track_primary(context, order):
    key = (order.account, 'PRIMARY', str(order.order_id))
    if order.status in {3, -1} or (order.status == 2 and order.stage == 'SETTLED'):
        context.primary_pending.pop(key, None)
        context.primary_terminal.add(key)
    elif key not in context.primary_terminal:
        context.primary_pending[key] = {
            'symbol': order.symbol, 'units': order.units,
            'status': order.status, 'confirm_date': order.confirm_date,
        }


def submit_primary_creation(context, symbol, nominal_amount):
    # 每只ETF每日只提交一次同方向申请，避免重复占用资金与证券。
    intent = (str(context.trade_date), symbol, 'PURCHASE')
    if intent in context.primary_attempts:
        return None
    if not isfinite(nominal_amount) or nominal_amount <= 0:
        raise ValueError('申购名义金额必须为有限正数')
    context.primary_attempts.add(intent)
    order = purchase(context.account, symbol, nominal_amount,
                     cash_substitution=False)
    if order is None:
        raise ValueError('ETF申购未返回约定的一级委托对象')
    _track_primary(context, order)
    return order


def submit_primary_redemption(context, symbol, quantity):
    intent = (str(context.trade_date), symbol, 'REDEEM')
    if intent in context.primary_attempts:
        return None
    if (not isinstance(quantity, int) or isinstance(quantity, bool)
            or quantity <= 0):
        raise ValueError('赎回份额必须为正整数，并满足当日最小申赎单位')
    context.primary_attempts.add(intent)
    order = redeem(context.account, symbol, quantity, cash_substitution=False)
    if order is None:
        raise ValueError('ETF赎回未返回约定的一级委托对象')
    _track_primary(context, order)
    return order


def on_etf_cr_order_rtn(context, order):
    if order.account == context.account:
        _track_primary(context, order)
        print(f"[一级委托] {order.order_id} "
              f"状态={order.status} 原因={order.reason}")


def on_etf_cr_confirm(context, result):
    if result.account != context.account:
        return
    _track_primary(context, result)
    if result.status == FILLED and result.stage == "SETTLED":
        key = (result.account, 'PRIMARY', str(result.order_id))
        if key in context.primary_confirmed:
            return
        context.primary_confirmed.add(key)
        print(f"[一级完成] {result.order_id} 份额={result.units} "
              f"现金={result.actual_cash} 费用={result.fee}")
    else:
        print(f"[一级状态] {result.order_id} "
              f"状态={result.status} 原因={result.reason}")
    # 不在这里递归下单，也不手工加减账户资产。


def etf_cr_order_cancel(context, order):
    if order.account == context.account:
        _track_primary(context, order)

panda_data.get_fund_etf_cr(start_date="", end_date="", symbol=None, exchange=None, fields=None)
panda_data.get_fund_etf_constituents(start_date="", end_date="", symbol=None, exchange=None, fields=None)
panda_data.get_fund_etf_cr_limits(start_date="", end_date="", symbol=None, exchange=None, fields=None)