akquant 0.1.0__cp39-abi3-win_amd64.whl

akquant/__init__.py

@@ -0,0 +1,81 @@
+from .akquant import *
+from .utils import load_akshare_bar, prepare_dataframe
+from .sizer import Sizer, FixedSize, PercentSizer, AllInSizer
+from .strategy import Strategy
+from .data import DataLoader
+from .log import get_logger, register_logger
+from .config import strategy_config
+from .indicator import Indicator, IndicatorSet
+from .backtest import run_backtest, plot_result
+
+__doc__ = akquant.__doc__
+if hasattr(akquant, "__all__"):
+    __all__ = akquant.__all__ + [
+        "load_akshare_bar",
+        "prepare_dataframe",
+        "Sizer",
+        "FixedSize",
+        "PercentSizer",
+        "AllInSizer",
+        "Strategy",
+        "DataLoader",
+        "get_logger",
+        "register_logger",
+        "strategy_config",
+        "Indicator",
+        "IndicatorSet",
+        "run_backtest",
+        "plot_result",
+    ]
+else:
+    __all__ = [
+        "load_akshare_bar",
+        "prepare_dataframe",
+        "Sizer",
+        "FixedSize",
+        "PercentSizer",
+        "AllInSizer",
+        "Strategy",
+        "DataLoader",
+        "get_logger",
+        "register_logger",
+        "strategy_config",
+        "Indicator",
+        "IndicatorSet",
+        "run_backtest",
+        "plot_result",
+    ]
+
+
+def create_bar(timestamp, open_px, high_px, low_px, close_px, volume, symbol):
+    """创建 Bar 对象的辅助函数"""
+    return Bar(timestamp, open_px, high_px, low_px, close_px, volume, symbol)
+
+
+def _engine_set_timezone_name(self, tz_name: str):
+    """
+    通过时区名称设置引擎时区
+
+    :param tz_name: 时区名称，例如 "Asia/Shanghai", "UTC", "US/Eastern"
+    """
+    import datetime
+
+    try:
+        import zoneinfo
+
+        tz = zoneinfo.ZoneInfo(tz_name)
+    except ImportError:
+        import pytz
+
+        tz = pytz.timezone(tz_name)
+
+    # Get offset for current time (approximate is usually fine for constant offset zones,
+    # but for DST aware zones, we might want a specific date.
+    # For simplicity and standard market hours, we use current date or a fixed date)
+    now = datetime.datetime.now(tz)
+    offset = int(now.utcoffset().total_seconds())
+    self.set_timezone(offset)
+
+
+# Patch Engine class
+Engine.set_timezone_name = _engine_set_timezone_name

akquant/akquant.pyi

@@ -0,0 +1,518 @@
+# This file is automatically generated by pyo3_stub_gen
+# ruff: noqa: E501, F401
+
+import akquant
+import typing
+
+class AssetType:
+    Stock: typing.ClassVar["AssetType"]
+    Futures: typing.ClassVar["AssetType"]
+    def __init__(self, *args, **kwargs): ...
+
+class OrderSide:
+    Buy: typing.ClassVar["OrderSide"]
+    Sell: typing.ClassVar["OrderSide"]
+    def __init__(self, *args, **kwargs): ...
+
+class OrderType:
+    Market: typing.ClassVar["OrderType"]
+    Limit: typing.ClassVar["OrderType"]
+    def __init__(self, *args, **kwargs): ...
+
+class OrderStatus:
+    New: typing.ClassVar["OrderStatus"]
+    Submitted: typing.ClassVar["OrderStatus"]
+    Filled: typing.ClassVar["OrderStatus"]
+    Cancelled: typing.ClassVar["OrderStatus"]
+    Rejected: typing.ClassVar["OrderStatus"]
+    Expired: typing.ClassVar["OrderStatus"]
+    def __init__(self, *args, **kwargs): ...
+
+class TimeInForce:
+    GTC: typing.ClassVar["TimeInForce"]
+    IOC: typing.ClassVar["TimeInForce"]
+    FOK: typing.ClassVar["TimeInForce"]
+    Day: typing.ClassVar["TimeInForce"]
+    def __init__(self, *args, **kwargs): ...
+
+class ExecutionMode:
+    CurrentClose: typing.ClassVar["ExecutionMode"]
+    NextOpen: typing.ClassVar["ExecutionMode"]
+    def __init__(self, *args, **kwargs): ...
+
+class TradingSession:
+    PreOpen: typing.ClassVar["TradingSession"]
+    Continuous: typing.ClassVar["TradingSession"]
+    CallAuction: typing.ClassVar["TradingSession"]
+    Break: typing.ClassVar["TradingSession"]
+    Closed: typing.ClassVar["TradingSession"]
+    PostClose: typing.ClassVar["TradingSession"]
+    def __init__(self, *args, **kwargs): ...
+
+class BacktestResult:
+    r"""
+    回测结果
+    """
+
+    equity_curve: list[tuple[int, float]]
+    metrics: PerformanceMetrics
+    trade_metrics: TradePnL
+    trades: list[ClosedTrade]
+
+class ClosedTrade:
+    r"""
+    平仓交易记录
+
+    :ivar symbol: 标的代码
+    :ivar entry_time: 开仓时间戳
+    :ivar exit_time: 平仓时间戳
+    :ivar entry_price: 开仓价格
+    :ivar exit_price: 平仓价格
+    :ivar quantity: 交易数量
+    :ivar direction: 交易方向 ("Long" or "Short")
+    :ivar pnl: 毛利 (Gross PnL)，不包含佣金 (aligned with Backtrader)
+    :ivar net_pnl: 净利 (Net PnL)，包含佣金 (pnl - commission)
+    :ivar return_pct: 收益率
+    :ivar commission: 交易佣金
+    :ivar duration_bars: 持仓周期数
+    """
+    symbol: str
+    entry_time: int
+    exit_time: int
+    entry_price: float
+    exit_price: float
+    quantity: float
+    direction: str
+    pnl: float
+    net_pnl: float
+    return_pct: float
+    commission: float
+    duration_bars: int
+
+
+class Bar:
+    r"""
+    K线数据结构
+
+    :ivar timestamp: Unix 时间戳 (纳秒)
+    :ivar open: 开盘价
+    :ivar high: 最高价
+    :ivar low: 最低价
+    :ivar close: 收盘价
+    :ivar volume: 成交量
+    :ivar symbol: 标的代码
+    """
+
+    timestamp: int
+    symbol: str
+    open: float
+    high: float
+    low: float
+    close: float
+    volume: float
+    def __new__(
+        cls,
+        timestamp: typing.Any,
+        open: typing.Any,
+        high: typing.Any,
+        low: typing.Any,
+        close: typing.Any,
+        volume: typing.Any,
+        symbol: str,
+    ): ...
+    def set_open(self, value: typing.Any) -> None: ...
+    def set_high(self, value: typing.Any) -> None: ...
+    def set_low(self, value: typing.Any) -> None: ...
+    def set_close(self, value: typing.Any) -> None: ...
+    def set_volume(self, value: typing.Any) -> None: ...
+    def __repr__(self) -> str: ...
+
+class DataFeed: ...
+
+class Engine:
+    r"""
+    主回测引擎
+
+    :ivar feed: 数据源
+    :ivar portfolio: 投资组合
+    :ivar orders: 订单列表
+    :ivar trades: 成交列表
+    """
+
+    portfolio: Portfolio
+    orders: list[Order]
+    trades: list[Trade]
+    def __new__(
+        cls,
+    ): ...
+    def set_execution_mode(self, mode: akquant.ExecutionMode) -> None:
+        r"""
+        设置撮合模式
+
+        :param mode: 撮合模式 (ExecutionMode.CurrentClose 或 ExecutionMode.NextOpen)
+        :type mode: ExecutionMode
+        """
+        ...
+
+    def set_timezone(self, offset: int) -> None: ...
+    def use_simple_market(self, commission_rate: float) -> None:
+        r"""
+        启用 SimpleMarket (7x24小时, T+0, 无税, 简单佣金)
+
+        :param commission_rate: 佣金率
+        """
+        ...
+
+    def use_china_market(self) -> None:
+        r"""
+        启用 ChinaMarket (支持 T+1/T+0, 印花税, 过户费, 交易时段等)
+        """
+        ...
+
+    def use_china_futures_market(self) -> None:
+        r"""
+        启用中国期货市场默认配置
+        - 切换到 ChinaMarket
+        - 设置 T+0
+        - 保持当前交易时段配置 (需手动设置 set_market_sessions 以匹配特定品种)
+        """
+        ...
+
+    def set_t_plus_one(self, enabled: bool) -> None:
+        r"""
+        启用/禁用 T+1 交易规则 (仅针对 ChinaMarket)
+
+        :param enabled: 是否启用 T+1
+        :type enabled: bool
+        """
+        ...
+
+    def set_force_session_continuous(self, enabled: bool) -> None: ...
+    def set_stock_fee_rules(
+        self,
+        commission_rate: float,
+        stamp_tax: float,
+        transfer_fee: float,
+        min_commission: float,
+    ) -> None: ...
+    def set_future_fee_rules(self, commission_rate: float) -> None: ...
+    def set_market_sessions(
+        self, sessions: typing.Sequence[tuple[str, str, akquant.TradingSession]]
+    ) -> None: ...
+    def add_instrument(self, instrument: Instrument) -> None:
+        r"""
+        添加交易标的
+
+        :param instrument: 交易标的对象
+        :type instrument: Instrument
+        """
+        ...
+
+    def set_cash(self, cash: float) -> None:
+        r"""
+        设置初始资金
+
+        :param cash: 初始资金数额
+        :type cash: float
+        """
+        ...
+
+    def add_data(self, feed: DataFeed) -> None:
+        r"""
+        添加数据源
+
+        :param feed: 数据源对象
+        :type feed: DataFeed
+        """
+        ...
+
+    def add_bars(self, bars: typing.Sequence[Bar]) -> None:
+        r"""
+        批量添加 K 线数据
+
+        :param bars: K 线列表
+        """
+        ...
+
+    def run(self, strategy: typing.Any) -> str:
+        r"""
+        运行回测
+
+        :param strategy: 策略对象
+        :type strategy: object
+        :return: 回测结果摘要
+        :rtype: str
+        """
+        ...
+
+    def get_results(self) -> BacktestResult:
+        r"""
+        获取回测结果
+
+        :return: BacktestResult
+        """
+        ...
+
+    def create_context(
+        self, active_orders: typing.Sequence[Order]
+    ) -> StrategyContext: ...
+
+class Instrument:
+    r"""
+    交易标的
+
+    :ivar symbol: 代码
+    :ivar asset_type: 资产类型
+    :ivar multiplier: 合约乘数
+    :ivar margin_ratio: 保证金比率
+    :ivar tick_size: 最小变动价位
+    """
+
+    symbol: str
+    asset_type: akquant.AssetType
+    multiplier: float
+    margin_ratio: float
+    tick_size: float
+    def __new__(
+        cls,
+        symbol: str,
+        asset_type: akquant.AssetType,
+        multiplier: typing.Any,
+        margin_ratio: typing.Any,
+        tick_size: typing.Any,
+    ): ...
+
+class Order:
+    r"""
+    订单
+
+    :ivar id: 订单ID
+    :ivar symbol: 标的代码
+    :ivar side: 交易方向
+    :ivar order_type: 订单类型
+    :ivar quantity: 数量
+    :ivar price: 价格 (限价单有效)
+    :ivar time_in_force: 订单有效期
+    :ivar trigger_price: 触发价格 (止损/止盈单)
+    :ivar status: 订单状态
+    :ivar filled_quantity: 已成交数量
+    :ivar average_filled_price: 成交均价
+    """
+
+    id: str
+    symbol: str
+    side: akquant.OrderSide
+    order_type: akquant.OrderType
+    time_in_force: akquant.TimeInForce
+    status: akquant.OrderStatus
+    quantity: float
+    price: typing.Optional[float]
+    trigger_price: typing.Optional[float]
+    filled_quantity: float
+    average_filled_price: typing.Optional[float]
+    def __new__(
+        cls,
+        id,
+        symbol,
+        side,
+        order_type,
+        quantity,
+        price=...,
+        time_in_force=...,
+        trigger_price=...,
+    ): ...
+    def __repr__(self) -> str: ...
+
+class PerformanceMetrics:
+    r"""
+    绩效指标
+    """
+
+    total_return: float
+    annualized_return: float
+    max_drawdown: float
+    max_drawdown_pct: float
+    sharpe_ratio: float
+    sortino_ratio: float
+    volatility: float
+    ulcer_index: float
+    upi: float
+    equity_r2: float
+    std_error: float
+    win_rate: float
+    initial_market_value: float
+    end_market_value: float
+    total_return_pct: float
+
+class Portfolio:
+    r"""
+    投资组合管理
+
+    :ivar cash: 当前现金余额
+    :ivar positions: 当前持仓 (symbol -> quantity)
+    :ivar available_positions: 可用持仓 (symbol -> quantity)
+    """
+
+    ...
+
+class StrategyContext:
+    r"""
+    策略上下文
+
+    :ivar orders: 订单列表 (内部使用)
+    :ivar cash: 当前现金
+    :ivar positions: 当前持仓
+    :ivar available_positions: 可用持仓
+    :ivar session: 当前交易时段
+    """
+
+    orders: list[Order]
+    active_orders: list[Order]
+    session: akquant.TradingSession
+    cash: float
+    positions: dict[str, float]
+    available_positions: dict[str, float]
+    def __new__(
+        cls,
+        cash: typing.Any,
+        positions: typing.Mapping[str, float],
+        available_positions: typing.Mapping[str, float],
+        session: typing.Optional[akquant.TradingSession],
+        active_orders: typing.Optional[typing.Sequence[Order]],
+    ): ...
+    def schedule(self, timestamp: int, payload: str) -> None:
+        r"""
+        注册定时器
+
+        :param timestamp: 触发时间戳 (秒)
+        :param payload: 携带的数据 (如回调函数名)
+        """
+        ...
+
+    def buy(
+        self, symbol, quantity, price=..., time_in_force=..., trigger_price=...
+    ) -> None: ...
+    def sell(
+        self, symbol, quantity, price=..., time_in_force=..., trigger_price=...
+    ) -> None: ...
+    def get_position(self, symbol: str) -> float: ...
+    def get_available_position(self, symbol: str) -> float: ...
+    def cancel_order(self, order_id: str) -> None:
+        """
+        取消订单
+
+        :param order_id: 订单 ID
+        """
+        ...
+
+class Tick:
+    r"""
+    Tick 数据结构
+
+    :ivar timestamp: Unix 时间戳 (纳秒)
+    :ivar price: 最新价
+    :ivar volume: 成交量
+    :ivar symbol: 标的代码
+    """
+
+    timestamp: int
+    symbol: str
+    price: float
+    volume: float
+    def __new__(
+        cls, timestamp: typing.Any, price: typing.Any, volume: typing.Any, symbol: str
+    ): ...
+    def set_price(self, value: typing.Any) -> None: ...
+    def set_volume(self, value: typing.Any) -> None: ...
+    def __repr__(self) -> str: ...
+
+class Trade:
+    r"""
+    成交记录
+
+    :ivar id: 成交ID
+    :ivar order_id: 订单ID
+    :ivar symbol: 标的代码
+    :ivar side: 交易方向
+    :ivar quantity: 成交数量
+    :ivar price: 成交价格
+    :ivar commission: 手续费
+    :ivar timestamp: Unix 时间戳
+    """
+
+    id: str
+    order_id: str
+    symbol: str
+    side: akquant.OrderSide
+    timestamp: int
+    bar_index: int
+    quantity: float
+    price: float
+    commission: float
+    def __new__(
+        cls,
+        id: str,
+        order_id: str,
+        symbol: str,
+        side: akquant.OrderSide,
+        quantity: typing.Any,
+        price: typing.Any,
+        commission: typing.Any,
+        timestamp: int,
+        bar_index: int,
+    ): ...
+    def __repr__(self) -> str: ...
+
+class TradeAnalyzer: ...
+
+class TradePnL:
+    r"""
+    交易盈亏统计 (FIFO)
+    """
+
+    gross_pnl: float
+    net_pnl: float
+    total_commission: float
+    total_closed_trades: int
+    won_count: int
+    lost_count: int
+    won_pnl: float
+    lost_pnl: float
+    win_rate: float
+    loss_rate: float
+    unrealized_pnl: float
+    avg_pnl: float
+    avg_return_pct: float
+    avg_trade_bars: float
+    avg_profit: float
+    avg_profit_pct: float
+    avg_winning_trade_bars: float
+    avg_loss: float
+    avg_loss_pct: float
+    avg_losing_trade_bars: float
+    largest_win: float
+    largest_win_pct: float
+    largest_win_bars: float
+    largest_loss: float
+    largest_loss_pct: float
+    largest_loss_bars: float
+    max_wins: int
+    max_losses: int
+    profit_factor: float
+    total_profit: float
+    total_loss: float
+
+def from_arrays(
+    timestamps: typing.Sequence[int],
+    opens: typing.Sequence[float],
+    highs: typing.Sequence[float],
+    lows: typing.Sequence[float],
+    closes: typing.Sequence[float],
+    volumes: typing.Sequence[float],
+    symbol: typing.Optional[str],
+    symbols: typing.Optional[typing.Sequence[str]],
+) -> list[Bar]:
+    r"""
+    从数组批量创建 Bar 列表 (Python 优化用)
+    """
+    ...