akquant 0.1.4__cp310-abi3-win_amd64.whl

akquant/akquant.pyi

@@ -0,0 +1,683 @@
+# This file is automatically generated by pyo3_stub_gen
+# ruff: noqa: E501, F401
+
+import typing
+
+import numpy
+import numpy.typing
+
+# Enums
+class AssetType:
+    Stock: "AssetType"
+    Fund: "AssetType"
+    Futures: "AssetType"
+    Option: "AssetType"
+
+class OptionType:
+    Call: "OptionType"
+    Put: "OptionType"
+
+class OrderType:
+    Market: "OrderType"
+    Limit: "OrderType"
+    StopMarket: "OrderType"
+    StopLimit: "OrderType"
+
+class OrderSide:
+    Buy: "OrderSide"
+    Sell: "OrderSide"
+
+class OrderStatus:
+    New: "OrderStatus"
+    Submitted: "OrderStatus"
+    Filled: "OrderStatus"
+    Cancelled: "OrderStatus"
+    Rejected: "OrderStatus"
+    Expired: "OrderStatus"
+
+class TimeInForce:
+    GTC: "TimeInForce"
+    IOC: "TimeInForce"
+    FOK: "TimeInForce"
+    Day: "TimeInForce"
+
+class ExecutionMode:
+    CurrentClose: "ExecutionMode"
+    NextOpen: "ExecutionMode"
+
+class TradingSession:
+    PreOpen: "TradingSession"
+    Continuous: "TradingSession"
+    CallAuction: "TradingSession"
+    Break: "TradingSession"
+    Closed: "TradingSession"
+    PostClose: "TradingSession"
+
+class ATR:
+    r"""Average True Range."""
+
+    value: typing.Optional[float]
+    def __new__(cls, period: int) -> "ATR": ...
+    def update(
+        self, high: float, low: float, close: float
+    ) -> typing.Optional[float]: ...
+
+class BacktestResult:
+    r"""回测结果."""
+
+    equity_curve: list[tuple[int, float]]
+    metrics: "PerformanceMetrics"
+    trade_metrics: "TradePnL"
+    trades: list["ClosedTrade"]
+    daily_positions: list[tuple[int, dict[str, float]]]
+
+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
+    extra: dict[str, float]
+    open: float
+    high: float
+    low: float
+    close: float
+    volume: float
+    def __new__(
+        cls,
+        timestamp: int,
+        open: float,
+        high: float,
+        low: float,
+        close: float,
+        volume: float,
+        symbol: str,
+        extra: typing.Optional[dict[str, float]] = ...,
+    ) -> "Bar": ...
+    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 BollingerBands:
+    r"""Bollinger Bands."""
+
+    value: typing.Optional[tuple[float, float, float]]
+    def __new__(cls, period: int, multiplier: float) -> "BollingerBands": ...
+    def update(self, value: float) -> typing.Optional[tuple[float, float, float]]:
+        r"""Return (upper, middle, lower)."""
+        ...
+
+class ClosedTrade:
+    r"""平仓交易记录."""
+
+    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 DataFeed:
+    def sort(self) -> None: ...
+    def add_bars(self, bars: typing.Sequence[Bar]) -> None: ...
+
+class EMA:
+    r"""Exponential Moving Average."""
+
+    value: typing.Optional[float]
+    is_ready: bool
+    period: int
+    def __new__(cls, period: int) -> "EMA": ...
+    def update(self, value: float) -> typing.Optional[float]: ...
+
+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"]
+    risk_manager: "RiskManager"
+    def __new__(
+        cls,
+    ) -> "Engine": ...
+    def set_history_depth(self, depth: int) -> None:
+        r"""
+        设置历史数据长度.
+
+        :param depth: 历史数据长度
+        """
+        ...
+
+    def set_timezone(self, offset: int) -> None:
+        r"""
+        设置时区偏移 (秒).
+
+        :param offset: 偏移秒数 (例如 UTC+8 为 28800)
+        """
+        ...
+
+    def use_simulated_execution(self) -> None:
+        r"""
+        启用模拟执行 (回测模式).
+
+        默认模式。在内存中撮合订单。
+        """
+        ...
+
+    def use_realtime_execution(self) -> None:
+        r"""
+        启用实盘执行 (CTP/Broker 模式).
+
+        模拟对接 CTP 或其他 Broker API。
+        在此模式下，订单会被标记为 Submitted 并等待回调 (目前仅模拟发送)。
+        """
+        ...
+
+    def set_execution_mode(self, mode: "ExecutionMode") -> None:
+        r"""
+        设置撮合模式.
+
+        :param mode: 撮合模式 (ExecutionMode.CurrentClose 或 ExecutionMode.NextOpen)
+        :type mode: ExecutionMode
+        """
+        ...
+
+    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_fund_fee_rules(
+        self, commission_rate: float, transfer_fee: float, min_commission: float
+    ) -> None: ...
+    def set_option_fee_rules(self, commission_per_contract: float) -> None: ...
+    def set_slippage(self, type_: str, value: float) -> None:
+        r"""
+        设置滑点模型.
+
+        :param type: 滑点类型 ("fixed" 或 "percent")
+        :param value: 滑点值 (固定金额 或 百分比如 0.001)
+        """
+        ...
+
+    def set_volume_limit(self, limit: float) -> None:
+        r"""
+        设置成交量限制.
+
+        :param limit: 限制比例 (0.0-1.0), 0.0 为不限制
+        """
+        ...
+
+    def set_market_sessions(
+        self, sessions: typing.Sequence[tuple[str, str, "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, show_progress: bool) -> str:
+        r"""
+        运行回测.
+
+        :param strategy: 策略对象
+        :param show_progress: 是否显示进度条
+        :type strategy: object
+        :type show_progress: bool
+        :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: "AssetType"
+    multiplier: float
+    margin_ratio: float
+    tick_size: float
+    def __new__(
+        cls,
+        symbol: str,
+        asset_type: "AssetType",
+        multiplier: typing.Any,
+        margin_ratio: typing.Any,
+        tick_size: typing.Any,
+        option_type: typing.Optional["OptionType"],
+        strike_price: typing.Optional[typing.Any],
+        expiry_date: typing.Optional[int],
+        lot_size: typing.Optional[typing.Any],
+    ) -> "Instrument": ...
+
+class MACD:
+    r"""Moving Average Convergence Divergence."""
+
+    value: typing.Optional[tuple[float, float, float]]
+    def __new__(
+        cls, fast_period: int, slow_period: int, signal_period: int
+    ) -> "MACD": ...
+    def update(self, value: float) -> typing.Optional[tuple[float, float, float]]:
+        r"""Return (macd_line, signal_line, histogram)."""
+        ...
+
+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: "OrderSide"
+    order_type: "OrderType"
+    time_in_force: "TimeInForce"
+    status: "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: str,
+        symbol: str,
+        side: "OrderSide",
+        order_type: "OrderType",
+        quantity: float,
+        price: typing.Optional[float] = ...,
+        time_in_force: "TimeInForce" = ...,
+        trigger_price: typing.Optional[float] = ...,
+    ) -> "Order": ...
+    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)
+    """
+
+    cash: float
+    positions: dict[str, float]
+    available_positions: dict[str, float]
+    def __new__(cls, cash: typing.Any) -> "Portfolio": ...
+    def get_position(self, symbol: str) -> float: ...
+    def get_available_position(self, symbol: str) -> float: ...
+    def __repr__(self) -> str: ...
+
+class RSI:
+    r"""Relative Strength Index."""
+
+    value: typing.Optional[float]
+    def __new__(cls, period: int) -> "RSI": ...
+    def update(self, value: float) -> typing.Optional[float]: ...
+
+class RiskConfig:
+    r"""
+    风控配置.
+
+    :ivar max_order_size: 单笔最大下单数量
+    :ivar max_order_value: 单笔最大下单金额
+    :ivar max_position_size: 最大持仓数量 (绝对值)
+    :ivar restricted_list: 限制交易标的列表
+    :ivar active: 是否启用风控
+    """
+
+    max_order_size: typing.Optional[float]
+    max_order_value: typing.Optional[float]
+    max_position_size: typing.Optional[float]
+    restricted_list: list[str]
+    active: bool
+    def __new__(cls) -> "RiskConfig": ...
+
+class RiskManager:
+    r"""
+    风控管理器.
+
+    :ivar config: 风控配置
+    """
+
+    config: RiskConfig
+    def check(
+        self,
+        order: "Order",
+        portfolio: "Portfolio",
+        instruments: dict[str, "Instrument"],
+        active_orders: list["Order"],
+    ) -> typing.Optional[str]: ...
+
+class SMA:
+    r"""Simple Moving Average."""
+
+    value: typing.Optional[float]
+    is_ready: bool
+    def __new__(cls, period: int) -> "SMA": ...
+    def update(self, value: float) -> typing.Optional[float]: ...
+
+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]
+    canceled_order_ids: list[str]
+    active_orders: list[Order]
+    session: "TradingSession"
+    last_closed_trade: typing.Optional[ClosedTrade]
+    closed_trades: list[ClosedTrade]
+    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["TradingSession"],
+        active_orders: typing.Optional[typing.Sequence[Order]],
+        closed_trades: typing.Optional[typing.Sequence[ClosedTrade]],
+    ) -> "StrategyContext": ...
+    def history(
+        self, symbol: str, field: str, count: int
+    ) -> typing.Optional[numpy.typing.NDArray[numpy.float64]]:
+        r"""
+        获取历史数据.
+
+        :param symbol: 标的代码
+        :param field: 字段名 (open, high, low, close, volume)
+        :param count: 获取的数据长度
+        :return: numpy array or None
+        """
+        ...
+
+    def schedule(self, timestamp: int, payload: str) -> None:
+        r"""
+        注册定时器.
+
+        :param timestamp: 触发时间戳 (纳秒)
+        :param payload: 携带的数据 (如回调函数名)
+        """
+        ...
+
+    def cancel_order(self, order_id: str) -> None:
+        r"""
+        取消订单.
+
+        :param order_id: 订单 ID
+        """
+        ...
+
+    def buy(
+        self,
+        symbol: str,
+        quantity: float,
+        price: typing.Optional[float] = ...,
+        time_in_force: typing.Optional["TimeInForce"] = ...,
+        trigger_price: typing.Optional[float] = ...,
+    ) -> None: ...
+    def sell(
+        self,
+        symbol: str,
+        quantity: float,
+        price: typing.Optional[float] = ...,
+        time_in_force: typing.Optional["TimeInForce"] = ...,
+        trigger_price: typing.Optional[float] = ...,
+    ) -> None: ...
+    def get_position(self, symbol: str) -> float: ...
+    def get_available_position(self, symbol: str) -> float: ...
+
+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
+    ) -> "Tick": ...
+    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 (纳秒)
+    """
+
+    id: str
+    order_id: str
+    symbol: str
+    side: "OrderSide"
+    timestamp: int
+    bar_index: int
+    quantity: float
+    price: float
+    commission: float
+    def __new__(
+        cls,
+        id: str,
+        order_id: str,
+        symbol: str,
+        side: "OrderSide",
+        quantity: typing.Any,
+        price: typing.Any,
+        commission: typing.Any,
+        timestamp: int,
+        bar_index: int,
+    ) -> "Trade": ...
+    def __repr__(self) -> str: ...
+
+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.Any,
+    opens: typing.Any,
+    highs: typing.Any,
+    lows: typing.Any,
+    closes: typing.Any,
+    volumes: typing.Any,
+    symbol: typing.Optional[str],
+    symbols: typing.Optional[typing.Sequence[str]],
+    extra: typing.Optional[typing.Mapping[str, typing.Any]],
+) -> list[Bar]:
+    r"""从数组批量创建 Bar 列表 (Python 优化用 - Zero Copy)."""
+    ...