deltafq 0.0.1__tar.gz → 0.1.1__tar.gz

deltafq-0.1.1/LICENSE

@@ -0,0 +1,22 @@
+MIT License
+
+Copyright (c) 2025 DeltaFQ Team
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.
+

deltafq-0.1.1/MANIFEST.in

@@ -0,0 +1,7 @@
+include README.md
+include LICENSE
+include pyproject.toml
+recursive-include deltafq *.py
+recursive-exclude * __pycache__
+recursive-exclude * *.py[co]
+

deltafq-0.1.1/PKG-INFO

@@ -0,0 +1,202 @@
+Metadata-Version: 2.4
+Name: deltafq
+Version: 0.1.1
+Summary: A professional Python quantitative trading library
+Author-email: DeltaFQ Team <your.email@example.com>
+License: MIT
+Project-URL: Homepage, https://github.com/Delta-F/deltafq
+Project-URL: Documentation, https://github.com/Delta-F/deltafq/tree/main/docs
+Project-URL: Repository, https://github.com/Delta-F/deltafq
+Project-URL: PyPI, https://pypi.org/project/deltafq/
+Project-URL: Bug Tracker, https://github.com/Delta-F/deltafq/issues
+Keywords: quantitative,trading,finance,backtest,strategy
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Developers
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.8
+Classifier: Programming Language :: Python :: 3.9
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Requires-Python: >=3.8
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: pandas>=1.3.0
+Requires-Dist: numpy>=1.21.0
+Provides-Extra: dev
+Requires-Dist: pytest>=7.0.0; extra == "dev"
+Requires-Dist: pytest-cov>=4.0.0; extra == "dev"
+Requires-Dist: black>=22.0.0; extra == "dev"
+Requires-Dist: flake8>=5.0.0; extra == "dev"
+Requires-Dist: mypy>=0.990; extra == "dev"
+Provides-Extra: plot
+Requires-Dist: matplotlib>=3.5.0; extra == "plot"
+Provides-Extra: all
+Requires-Dist: matplotlib>=3.5.0; extra == "all"
+Dynamic: license-file
+
+# DeltaFQ
+
+[![PyPI version](https://badge.fury.io/py/deltafq.svg)](https://badge.fury.io/py/deltafq)
+[![Python 3.8+](https://img.shields.io/badge/python-3.8+-blue.svg)](https://www.python.org/downloads/)
+[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
+
+A professional Python quantitative trading library providing a complete toolkit for quantitative strategy development and research.
+
+## Features
+
+- 📊 **Multi-source Data Support** - Unified data interface supporting multiple data sources
+- 📈 **Rich Technical Indicators** - Built-in common technical indicators with custom extension support
+- 🎯 **Flexible Strategy Framework** - Clean API for rapid trading strategy development
+- ⚡ **Efficient Backtest Engine** - Vectorized computation for fast strategy validation
+- 📉 **Comprehensive Risk Management** - Position management, risk control, and performance analysis
+- 🔧 **Parameter Optimization Tools** - Multiple optimization algorithms for finding optimal parameters
+- 📱 **Live Trading Interface** - Unified trading interface for seamless simulation and live trading
+
+## Installation
+
+```bash
+pip install deltafq
+```
+
+Or install from source:
+
+```bash
+git clone https://github.com/Delta-F/deltafq.git
+cd deltafq
+pip install -e .
+```
+
+## Quick Start
+
+### Get Data
+
+```python
+import deltafq as dfq
+
+# Get stock data
+data = dfq.data.get_stock_daily('000001.SZ', start='2020-01-01', end='2023-12-31')
+print(data.head())
+```
+
+### Calculate Technical Indicators
+
+```python
+# Calculate moving averages
+data['ma5'] = dfq.indicators.SMA(data['close'], 5)
+data['ma20'] = dfq.indicators.SMA(data['close'], 20)
+
+# Calculate MACD
+macd = dfq.indicators.MACD(data['close'])
+data = data.join(macd)
+```
+
+### Build Trading Strategy
+
+```python
+class MAStrategy(dfq.strategy.Strategy):
+    """Dual Moving Average Strategy"""
+    
+    def on_bar(self, bar):
+        if bar.ma5 > bar.ma20:
+            self.buy()
+        elif bar.ma5 < bar.ma20:
+            self.sell()
+```
+
+### Run Backtest
+
+```python
+# Create backtest engine
+engine = dfq.backtest.BacktestEngine(
+    initial_cash=100000,
+    commission=0.0003
+)
+
+# Run backtest
+result = engine.run(data, MAStrategy())
+
+# View results
+print(result.summary())
+result.plot()
+```
+
+## Module Overview
+
+- **data** - Data acquisition and management
+- **indicators** - Technical indicator calculations
+- **strategy** - Strategy development framework
+- **backtest** - Backtest engine
+- **risk** - Risk management
+- **performance** - Performance analysis
+- **optimization** - Parameter optimization
+- **trade** - Live trading interface
+- **utils** - Utility functions
+
+## Examples
+
+Check the `examples/` directory for more example code:
+
+- `ma_strategy.py` - Dual Moving Average Strategy
+- `macd_strategy.py` - MACD Strategy
+- `optimization_example.py` - Parameter Optimization Example
+
+## Documentation
+
+- **User Guide**: [docs/GUIDE.md](docs/GUIDE.md) | [中文指南](docs/GUIDE_zh.md)
+- **API Reference**: [docs/API.md](docs/API.md)
+- **Development Guide**: [docs/CONTRIBUTING.md](docs/CONTRIBUTING.md)
+- **Changelog**: [docs/CHANGELOG.md](docs/CHANGELOG.md)
+
+## Dependencies
+
+- Python >= 3.8
+- pandas >= 1.3.0
+- numpy >= 1.21.0
+
+## Development
+
+```bash
+# Clone repository
+git clone https://github.com/Delta-F/deltafq.git
+cd deltafq
+
+# Install development dependencies
+pip install -e ".[dev]"
+
+# Run tests
+pytest
+
+# Code formatting
+black deltafq/
+
+# Type checking
+mypy deltafq/
+```
+
+## License
+
+This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.
+
+## Contributing
+
+Issues and Pull Requests are welcome!
+
+## Contact
+
+- Project Homepage: [https://github.com/Delta-F/deltafq](https://github.com/Delta-F/deltafq)
+- PyPI Homepage: [https://pypi.org/project/deltafq/](https://pypi.org/project/deltafq/)
+- Issue Tracker: [https://github.com/Delta-F/deltafq/issues](https://github.com/Delta-F/deltafq/issues)
+
+---
+
+⚠️ **Risk Warning**: Quantitative trading involves risk. This library is for educational and research purposes only and does not constitute investment advice. Please exercise caution when trading live, as you bear the risk yourself.
+
+## Language Support
+
+This project supports both English and Chinese documentation:
+
+- **English**: [README.md](README.md) (current)
+- **中文**: [README_zh.md](README_zh.md)

deltafq-0.1.1/README.md

@@ -0,0 +1,163 @@
+# DeltaFQ
+
+[![PyPI version](https://badge.fury.io/py/deltafq.svg)](https://badge.fury.io/py/deltafq)
+[![Python 3.8+](https://img.shields.io/badge/python-3.8+-blue.svg)](https://www.python.org/downloads/)
+[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
+
+A professional Python quantitative trading library providing a complete toolkit for quantitative strategy development and research.
+
+## Features
+
+- 📊 **Multi-source Data Support** - Unified data interface supporting multiple data sources
+- 📈 **Rich Technical Indicators** - Built-in common technical indicators with custom extension support
+- 🎯 **Flexible Strategy Framework** - Clean API for rapid trading strategy development
+- ⚡ **Efficient Backtest Engine** - Vectorized computation for fast strategy validation
+- 📉 **Comprehensive Risk Management** - Position management, risk control, and performance analysis
+- 🔧 **Parameter Optimization Tools** - Multiple optimization algorithms for finding optimal parameters
+- 📱 **Live Trading Interface** - Unified trading interface for seamless simulation and live trading
+
+## Installation
+
+```bash
+pip install deltafq
+```
+
+Or install from source:
+
+```bash
+git clone https://github.com/Delta-F/deltafq.git
+cd deltafq
+pip install -e .
+```
+
+## Quick Start
+
+### Get Data
+
+```python
+import deltafq as dfq
+
+# Get stock data
+data = dfq.data.get_stock_daily('000001.SZ', start='2020-01-01', end='2023-12-31')
+print(data.head())
+```
+
+### Calculate Technical Indicators
+
+```python
+# Calculate moving averages
+data['ma5'] = dfq.indicators.SMA(data['close'], 5)
+data['ma20'] = dfq.indicators.SMA(data['close'], 20)
+
+# Calculate MACD
+macd = dfq.indicators.MACD(data['close'])
+data = data.join(macd)
+```
+
+### Build Trading Strategy
+
+```python
+class MAStrategy(dfq.strategy.Strategy):
+    """Dual Moving Average Strategy"""
+    
+    def on_bar(self, bar):
+        if bar.ma5 > bar.ma20:
+            self.buy()
+        elif bar.ma5 < bar.ma20:
+            self.sell()
+```
+
+### Run Backtest
+
+```python
+# Create backtest engine
+engine = dfq.backtest.BacktestEngine(
+    initial_cash=100000,
+    commission=0.0003
+)
+
+# Run backtest
+result = engine.run(data, MAStrategy())
+
+# View results
+print(result.summary())
+result.plot()
+```
+
+## Module Overview
+
+- **data** - Data acquisition and management
+- **indicators** - Technical indicator calculations
+- **strategy** - Strategy development framework
+- **backtest** - Backtest engine
+- **risk** - Risk management
+- **performance** - Performance analysis
+- **optimization** - Parameter optimization
+- **trade** - Live trading interface
+- **utils** - Utility functions
+
+## Examples
+
+Check the `examples/` directory for more example code:
+
+- `ma_strategy.py` - Dual Moving Average Strategy
+- `macd_strategy.py` - MACD Strategy
+- `optimization_example.py` - Parameter Optimization Example
+
+## Documentation
+
+- **User Guide**: [docs/GUIDE.md](docs/GUIDE.md) | [中文指南](docs/GUIDE_zh.md)
+- **API Reference**: [docs/API.md](docs/API.md)
+- **Development Guide**: [docs/CONTRIBUTING.md](docs/CONTRIBUTING.md)
+- **Changelog**: [docs/CHANGELOG.md](docs/CHANGELOG.md)
+
+## Dependencies
+
+- Python >= 3.8
+- pandas >= 1.3.0
+- numpy >= 1.21.0
+
+## Development
+
+```bash
+# Clone repository
+git clone https://github.com/Delta-F/deltafq.git
+cd deltafq
+
+# Install development dependencies
+pip install -e ".[dev]"
+
+# Run tests
+pytest
+
+# Code formatting
+black deltafq/
+
+# Type checking
+mypy deltafq/
+```
+
+## License
+
+This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.
+
+## Contributing
+
+Issues and Pull Requests are welcome!
+
+## Contact
+
+- Project Homepage: [https://github.com/Delta-F/deltafq](https://github.com/Delta-F/deltafq)
+- PyPI Homepage: [https://pypi.org/project/deltafq/](https://pypi.org/project/deltafq/)
+- Issue Tracker: [https://github.com/Delta-F/deltafq/issues](https://github.com/Delta-F/deltafq/issues)
+
+---
+
+⚠️ **Risk Warning**: Quantitative trading involves risk. This library is for educational and research purposes only and does not constitute investment advice. Please exercise caution when trading live, as you bear the risk yourself.
+
+## Language Support
+
+This project supports both English and Chinese documentation:
+
+- **English**: [README.md](README.md) (current)
+- **中文**: [README_zh.md](README_zh.md)

deltafq-0.1.1/deltafq/__init__.py

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+"""DeltaFQ - 专业的Python量化交易库
+
+一个面向量化策略开发者和量化研究人员的完整工具链。
+"""
+
+__version__ = "0.1.1"
+__author__ = "DeltaFQ Team"
+
+# 导入主要模块
+from deltafq import data
+from deltafq import indicators
+from deltafq import strategy
+from deltafq import backtest
+from deltafq import risk
+from deltafq import performance
+from deltafq import optimization
+from deltafq import trade
+from deltafq import utils
+
+__all__ = [
+    "data",
+    "indicators",
+    "strategy",
+    "backtest",
+    "risk",
+    "performance",
+    "optimization",
+    "trade",
+    "utils",
+]
+

deltafq-0.1.1/deltafq/backtest/__init__.py

@@ -0,0 +1,7 @@
+"""回测引擎模块"""
+
+from deltafq.backtest.engine import BacktestEngine
+from deltafq.backtest.result import BacktestResult
+
+__all__ = ["BacktestEngine", "BacktestResult"]
+

deltafq-0.1.1/deltafq/backtest/engine.py

@@ -0,0 +1,52 @@
+"""回测引擎"""
+
+import pandas as pd
+from typing import Optional
+from deltafq.strategy.base import Strategy
+from deltafq.backtest.result import BacktestResult
+
+
+class BacktestEngine:
+    """回测引擎"""
+    
+    def __init__(
+        self,
+        initial_cash: float = 100000,
+        commission: float = 0.0003,
+        slippage: float = 0.0
+    ):
+        """初始化回测引擎
+        
+        Args:
+            initial_cash: 初始资金
+            commission: 手续费率
+            slippage: 滑点
+        """
+        self.initial_cash = initial_cash
+        self.commission = commission
+        self.slippage = slippage
+        
+    def run(
+        self,
+        data: pd.DataFrame,
+        strategy: Strategy
+    ) -> BacktestResult:
+        """运行回测
+        
+        Args:
+            data: 历史数据
+            strategy: 策略实例
+            
+        Returns:
+            回测结果
+        """
+        for idx, bar in data.iterrows():
+            strategy.on_bar(bar)
+        
+        result = BacktestResult(
+            initial_cash=self.initial_cash,
+            data=data,
+            signals=strategy.get_signals()
+        )
+        return result
+

deltafq-0.1.1/deltafq/backtest/result.py

@@ -0,0 +1,45 @@
+"""回测结果"""
+
+import pandas as pd
+from typing import Dict, Any, List
+
+
+class BacktestResult:
+    """回测结果类"""
+    
+    def __init__(
+        self,
+        initial_cash: float,
+        data: pd.DataFrame,
+        signals: List[Dict]
+    ):
+        self.initial_cash = initial_cash
+        self.data = data
+        self.signals = signals
+        
+    def summary(self) -> Dict[str, Any]:
+        """生成回测摘要
+        
+        Returns:
+            包含各项指标的字典
+        """
+        return {
+            'initial_cash': self.initial_cash,
+            'total_signals': len(self.signals),
+            'data_length': len(self.data),
+        }
+    
+    def plot(self) -> None:
+        """绘制回测结果"""
+        try:
+            import matplotlib.pyplot as plt
+            plt.figure(figsize=(12, 6))
+            plt.plot(self.data['close'])
+            plt.title('Price Chart')
+            plt.xlabel('Date')
+            plt.ylabel('Price')
+            plt.grid(True)
+            plt.show()
+        except ImportError:
+            print("需要matplotlib: pip install matplotlib")
+

deltafq-0.1.1/deltafq/data/__init__.py

@@ -0,0 +1,7 @@
+"""数据获取和管理模块"""
+
+from deltafq.data.base import DataSource
+from deltafq.data.loader import get_stock_daily, get_stock_minute
+
+__all__ = ["DataSource", "get_stock_daily", "get_stock_minute"]
+

deltafq-0.1.1/deltafq/data/base.py

@@ -0,0 +1,30 @@
+"""数据源基类"""
+
+from abc import ABC, abstractmethod
+from typing import Optional
+import pandas as pd
+
+
+class DataSource(ABC):
+    """数据源抽象基类"""
+    
+    @abstractmethod
+    def get_data(
+        self,
+        symbol: str,
+        start_date: str,
+        end_date: str,
+        **kwargs
+    ) -> pd.DataFrame:
+        """获取数据
+        
+        Args:
+            symbol: 股票代码
+            start_date: 开始日期
+            end_date: 结束日期
+            
+        Returns:
+            包含OHLCV数据的DataFrame
+        """
+        pass
+

deltafq-0.1.1/deltafq/data/loader.py

@@ -0,0 +1,63 @@
+"""数据加载器"""
+
+import pandas as pd
+import numpy as np
+from typing import Optional
+
+
+def get_stock_daily(
+    symbol: str,
+    start: str,
+    end: str,
+    source: str = "mock"
+) -> pd.DataFrame:
+    """获取股票日线数据
+    
+    Args:
+        symbol: 股票代码
+        start: 开始日期
+        end: 结束日期
+        source: 数据源，目前支持 'mock'
+        
+    Returns:
+        包含OHLCV数据的DataFrame
+    """
+    dates = pd.date_range(start=start, end=end, freq='B')
+    n = len(dates)
+    base_price = 100 + np.random.randn(n).cumsum()
+    open_price = base_price + np.random.randn(n) * 0.5
+    close_price = base_price + np.random.randn(n) * 0.5
+    high_price = np.maximum(open_price, close_price) + np.abs(np.random.randn(n) * 0.5)
+    low_price = np.minimum(open_price, close_price) - np.abs(np.random.randn(n) * 0.5)
+    
+    data = pd.DataFrame({
+        'open': open_price,
+        'high': high_price,
+        'low': low_price,
+        'close': close_price,
+        'volume': np.random.randint(1000000, 10000000, n),
+    }, index=dates)
+    
+    data.index.name = 'date'
+    return data
+
+
+def get_stock_minute(
+    symbol: str,
+    start: str,
+    end: str,
+    freq: str = '1min'
+) -> pd.DataFrame:
+    """获取股票分钟数据
+    
+    Args:
+        symbol: 股票代码
+        start: 开始日期
+        end: 结束日期
+        freq: 频率，如 '1min', '5min'
+        
+    Returns:
+        包含OHLCV数据的DataFrame
+    """
+    raise NotImplementedError("分钟数据功能待实现")
+

deltafq-0.1.1/deltafq/indicators/__init__.py

@@ -0,0 +1,8 @@
+"""技术指标计算模块"""
+
+from deltafq.indicators.trend import SMA, EMA, MACD
+from deltafq.indicators.momentum import RSI
+from deltafq.indicators.volatility import BOLL
+
+__all__ = ["SMA", "EMA", "MACD", "RSI", "BOLL"]
+

deltafq-0.1.1/deltafq/indicators/momentum.py

@@ -0,0 +1,23 @@
+"""动量类指标"""
+
+import pandas as pd
+
+
+def RSI(data: pd.Series, period: int = 14) -> pd.Series:
+    """相对强弱指标
+    
+    Args:
+        data: 价格序列
+        period: 周期
+        
+    Returns:
+        RSI序列
+    """
+    delta = data.diff()
+    gain = (delta.where(delta > 0, 0)).rolling(window=period).mean()
+    loss = (-delta.where(delta < 0, 0)).rolling(window=period).mean()
+    
+    rs = gain / loss
+    rsi = 100 - (100 / (1 + rs))
+    return rsi
+