deltafq 0.1.1__py3-none-any.whl → 0.1.2__py3-none-any.whl

deltafq/trading/simulator.py

@@ -0,0 +1,150 @@
+"""
+Paper trading simulator for DeltaFQ.
+"""
+
+import pandas as pd
+from typing import Dict, List, Optional, Any
+from datetime import datetime
+from ..core.base import BaseComponent
+from ..core.exceptions import TradingError
+from .order_manager import OrderManager
+from .position_manager import PositionManager
+
+
+class PaperTradingSimulator(BaseComponent):
+    """Paper trading simulator for testing strategies."""
+    
+    def __init__(self, initial_capital: float = 100000, commission: float = 0.001, **kwargs):
+        """Initialize paper trading simulator."""
+        super().__init__(**kwargs)
+        self.initial_capital = initial_capital
+        self.commission = commission
+        self.cash = initial_capital
+        self.order_manager = OrderManager()
+        self.position_manager = PositionManager()
+        self.trades = []
+    
+    def initialize(self) -> bool:
+        """Initialize simulator."""
+        self.logger.info(f"Initializing paper trading simulator with capital: {self.initial_capital}")
+        return True
+    
+    def place_order(self, symbol: str, quantity: int, order_type: str = "market", 
+                   price: Optional[float] = None) -> str:
+        """Place an order."""
+        try:
+            order_id = self.order_manager.create_order(
+                symbol=symbol,
+                quantity=quantity,
+                order_type=order_type,
+                price=price
+            )
+            
+            self.logger.info(f"Order placed: {order_id} - {symbol} {quantity} @ {order_type}")
+            return order_id
+            
+        except Exception as e:
+            raise TradingError(f"Failed to place order: {str(e)}")
+    
+    def execute_order(self, order_id: str, current_price: float) -> bool:
+        """Execute an order at current price."""
+        try:
+            order = self.order_manager.get_order(order_id)
+            if not order:
+                return False
+            
+            # Calculate cost
+            quantity = order['quantity']
+            cost = abs(quantity) * current_price * (1 + self.commission)
+            
+            if quantity > 0:  # Buy order
+                if cost <= self.cash:
+                    self.cash -= cost
+                    self.position_manager.add_position(symbol=order['symbol'], quantity=quantity)
+                    self.trades.append({
+                        'order_id': order_id,
+                        'symbol': order['symbol'],
+                        'quantity': quantity,
+                        'price': current_price,
+                        'type': 'buy',
+                        'timestamp': datetime.now()
+                    })
+                    self.order_manager.mark_executed(order_id)
+                    self.logger.info(f"Buy order executed: {order_id}")
+                    return True
+                else:
+                    self.logger.warning(f"Insufficient cash for order: {order_id}")
+                    return False
+            else:  # Sell order
+                if self.position_manager.can_sell(order['symbol'], abs(quantity)):
+                    self.cash += abs(quantity) * current_price * (1 - self.commission)
+                    self.position_manager.reduce_position(symbol=order['symbol'], quantity=abs(quantity))
+                    self.trades.append({
+                        'order_id': order_id,
+                        'symbol': order['symbol'],
+                        'quantity': quantity,
+                        'price': current_price,
+                        'type': 'sell',
+                        'timestamp': datetime.now()
+                    })
+                    self.order_manager.mark_executed(order_id)
+                    self.logger.info(f"Sell order executed: {order_id}")
+                    return True
+                else:
+                    self.logger.warning(f"Insufficient position for order: {order_id}")
+                    return False
+                    
+        except Exception as e:
+            raise TradingError(f"Failed to execute order: {str(e)}")
+    
+    def get_portfolio_value(self, current_prices: Dict[str, float]) -> float:
+        """Calculate total portfolio value."""
+        total_value = self.cash
+        positions = self.position_manager.get_all_positions()
+        
+        for symbol, quantity in positions.items():
+            if symbol in current_prices:
+                total_value += quantity * current_prices[symbol]
+        
+        return total_value
+    
+    def get_portfolio_summary(self, current_prices: Dict[str, float]) -> Dict[str, Any]:
+        """Get portfolio summary."""
+        total_value = self.get_portfolio_value(current_prices)
+        
+        return {
+            'total_value': total_value,
+            'cash': self.cash,
+            'positions': self.position_manager.get_all_positions(),
+            'total_return': (total_value - self.initial_capital) / self.initial_capital,
+            'total_trades': len(self.trades),
+            'open_orders': len(self.order_manager.get_pending_orders())
+        }
+    
+    def run_strategy(self, strategy, data: pd.DataFrame, symbol: str = "STOCK") -> Dict[str, Any]:
+        """Run a strategy with the simulator."""
+        self.logger.info(f"Running strategy: {strategy.name}")
+        
+        for i, (date, row) in enumerate(data.iterrows()):
+            # Generate signals
+            signals = strategy.generate_signals(data.iloc[:i+1])
+            
+            if not signals.empty and i > 0:
+                signal = signals.iloc[-1]
+                current_price = row['close']
+                
+                # Execute trades based on signals
+                if signal > 0:  # Buy signal
+                    quantity = int(self.cash * 0.1 / current_price)  # Use 10% of cash
+                    if quantity > 0:
+                        order_id = self.place_order(symbol, quantity, "market")
+                        self.execute_order(order_id, current_price)
+                
+                elif signal < 0:  # Sell signal
+                    position = self.position_manager.get_position(symbol)
+                    if position > 0:
+                        quantity = min(position, int(position * 0.5))  # Sell 50% of position
+                        order_id = self.place_order(symbol, -quantity, "market")
+                        self.execute_order(order_id, current_price)
+        
+        return self.get_portfolio_summary({symbol: data['close'].iloc[-1]})

deltafq-0.1.2.dist-info/METADATA

@@ -0,0 +1,110 @@
+Metadata-Version: 2.4
+Name: deltafq
+Version: 0.1.2
+Summary: A comprehensive Python quantitative finance library
+Author-email: DeltaF <leek_li@outlook.com>
+License: MIT License
+        
+        Copyright (c) 2025 DeltaF
+        
+        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.
+        
+Project-URL: Homepage, https://github.com/Delta-F/deltafq
+Project-URL: Repository, https://github.com/Delta-F/deltafq
+Project-URL: Issues, https://github.com/Delta-F/deltafq/issues
+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
+Classifier: Topic :: Scientific/Engineering :: Mathematics
+Requires-Python: >=3.8
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: numpy>=1.21.0
+Requires-Dist: pandas>=1.3.0
+Requires-Dist: scipy>=1.7.0
+Requires-Dist: matplotlib>=3.4.0
+Requires-Dist: seaborn>=0.11.0
+Requires-Dist: plotly>=5.0.0
+Requires-Dist: yfinance>=0.1.70
+Requires-Dist: requests>=2.25.0
+Provides-Extra: dev
+Requires-Dist: pytest>=6.2.0; extra == "dev"
+Requires-Dist: pytest-cov>=2.12.0; extra == "dev"
+Requires-Dist: black>=21.0.0; extra == "dev"
+Requires-Dist: flake8>=3.9.0; extra == "dev"
+Requires-Dist: sphinx>=4.0.0; extra == "dev"
+Dynamic: license-file
+
+# DeltaFQ
+
+A comprehensive Python quantitative finance library for strategy development, backtesting, and live trading.
+
+## Features
+
+- **Data Management**: Efficient data fetching, cleaning, and storage
+- **Strategy Framework**: Flexible strategy development framework
+- **Backtesting**: High-performance historical data backtesting
+- **Paper Trading**: Risk-free strategy testing with simulated trading
+- **Live Trading**: Real-time trading with broker integration
+- **Technical Indicators**: Rich library of technical analysis indicators
+- **Risk Management**: Built-in risk control modules
+
+## Installation
+
+```bash
+pip install deltafq
+```
+
+## Quick Start
+
+```python
+import deltafq as dfq
+
+# Fetch market data
+data = dfq.data.fetch_stock_data('AAPL', start='2023-01-01')
+
+# Create and test a strategy
+strategy = dfq.strategy.MovingAverageStrategy(fast_period=10, slow_period=20)
+results = dfq.backtest.run_backtest(strategy, data)
+
+# Run paper trading
+simulator = dfq.trading.PaperTradingSimulator(initial_capital=100000)
+simulator.run_strategy(strategy, data)
+```
+
+## Documentation
+
+- [API Reference](docs/api_reference/)
+- [Tutorials](docs/tutorials/)
+- [Examples](examples/)
+
+## Contributing
+
+Please read our [Contributing Guide](CONTRIBUTING.md) for details on our code of conduct and the process for submitting pull requests.
+
+## License
+
+This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.

deltafq-0.1.2.dist-info/RECORD

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+deltafq-0.1.2.dist-info/licenses/LICENSE,sha256=QPPXp16UmZ3y8Ssu3T8Y74k2Tou11NloXNWeBzoPZls,1063
+deltafq-0.1.2.dist-info/METADATA,sha256=5CaS4lYsmcZ0hlRWRC7S8yogVH0eqhAcyOkiaLqlLa4,4308
+deltafq-0.1.2.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
+deltafq-0.1.2.dist-info/entry_points.txt,sha256=TVBHZfYgwrYpVZfsBonsJriXHkZm1CvBvnDW7--cxl0,45
+deltafq-0.1.2.dist-info/top_level.txt,sha256=j1Q3ce7BEqdXVZd-mlHiJBDHq3iJGiKRKEXPW8xHLHo,8
+deltafq-0.1.2.dist-info/RECORD,,

deltafq-0.1.2.dist-info/entry_points.txt

@@ -0,0 +1,2 @@
+[console_scripts]
+deltafq = deltafq.cli:main

{deltafq-0.1.1.dist-info → deltafq-0.1.2.dist-info}/licenses/LICENSE

@@ -1,22 +1,21 @@
-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.
-
+MIT License
+
+Copyright (c) 2025 DeltaF
+
+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/backtest/result.py

@@ -1,45 +0,0 @@
-"""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/data/base.py

@@ -1,30 +0,0 @@
-"""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/data/loader.py

@@ -1,63 +0,0 @@
-"""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/optimization/__init__.py

@@ -1,6 +0,0 @@
-"""参数优化模块"""
-
-from deltafq.optimization.grid_search import GridSearchOptimizer
-
-__all__ = ["GridSearchOptimizer"]
-

deltafq/optimization/grid_search.py

@@ -1,41 +0,0 @@
-"""网格搜索优化器"""
-
-from typing import Dict, List, Any, Callable
-import itertools
-
-
-class GridSearchOptimizer:
-    """网格搜索参数优化器"""
-    
-    def __init__(self):
-        self.results = []
-        
-    def optimize(
-        self,
-        param_grid: Dict[str, List[Any]],
-        objective_func: Callable
-    ) -> Dict[str, Any]:
-        """执行网格搜索
-        
-        Args:
-            param_grid: 参数网格
-            objective_func: 目标函数
-            
-        Returns:
-            最优参数组合
-        """
-        keys = param_grid.keys()
-        values = param_grid.values()
-        best_score = float('-inf')
-        best_params = None
-        
-        for combination in itertools.product(*values):
-            params = dict(zip(keys, combination))
-            score = objective_func(params)
-            self.results.append({'params': params, 'score': score})
-            if score > best_score:
-                best_score = score
-                best_params = params
-        
-        return best_params
-

deltafq/performance/__init__.py

@@ -1,6 +0,0 @@
-"""绩效分析模块"""
-
-from deltafq.performance.metrics import calculate_sharpe_ratio, calculate_annual_return
-
-__all__ = ["calculate_sharpe_ratio", "calculate_annual_return"]
-

deltafq/performance/metrics.py

@@ -1,37 +0,0 @@
-"""绩效指标计算"""
-
-import pandas as pd
-import numpy as np
-
-
-def calculate_annual_return(returns: pd.Series) -> float:
-    """计算年化收益率
-    
-    Args:
-        returns: 收益率序列
-        
-    Returns:
-        年化收益率
-    """
-    total_return = (1 + returns).prod() - 1
-    n_years = len(returns) / 252
-    annual_return = (1 + total_return) ** (1 / n_years) - 1
-    return annual_return
-
-
-def calculate_sharpe_ratio(
-    returns: pd.Series,
-    risk_free_rate: float = 0.03
-) -> float:
-    """计算夏普比率
-    
-    Args:
-        returns: 收益率序列
-        risk_free_rate: 无风险利率
-        
-    Returns:
-        夏普比率
-    """
-    excess_returns = returns - risk_free_rate / 252
-    return np.sqrt(252) * excess_returns.mean() / excess_returns.std()
-

deltafq/risk/__init__.py

@@ -1,7 +0,0 @@
-"""风险管理模块"""
-
-from deltafq.risk.position import PositionManager
-from deltafq.risk.metrics import calculate_max_drawdown, calculate_var
-
-__all__ = ["PositionManager", "calculate_max_drawdown", "calculate_var"]
-

deltafq/risk/metrics.py

@@ -1,33 +0,0 @@
-"""风险指标计算"""
-
-import pandas as pd
-import numpy as np
-
-
-def calculate_max_drawdown(returns: pd.Series) -> float:
-    """计算最大回撤
-    
-    Args:
-        returns: 收益率序列
-        
-    Returns:
-        最大回撤值
-    """
-    cumulative = (1 + returns).cumprod()
-    running_max = cumulative.expanding().max()
-    drawdown = (cumulative - running_max) / running_max
-    return drawdown.min()
-
-
-def calculate_var(returns: pd.Series, confidence: float = 0.95) -> float:
-    """计算VaR (Value at Risk)
-    
-    Args:
-        returns: 收益率序列
-        confidence: 置信度
-        
-    Returns:
-        VaR值
-    """
-    return returns.quantile(1 - confidence)
-

deltafq/risk/position.py

@@ -1,39 +0,0 @@
-"""仓位管理"""
-
-from typing import Optional
-
-
-class PositionManager:
-    """仓位管理器"""
-    
-    def __init__(self, max_position: float = 1.0):
-        """初始化仓位管理器
-        
-        Args:
-            max_position: 最大持仓比例
-        """
-        self.max_position = max_position
-        self.current_position = 0.0
-        
-    def calculate_size(
-        self,
-        signal: str,
-        cash: float,
-        price: float,
-        method: str = "fixed"
-    ) -> float:
-        """计算交易数量
-        
-        Args:
-            signal: 信号类型 'buy' or 'sell'
-            cash: 可用资金
-            price: 当前价格
-            method: 计算方法
-            
-        Returns:
-            交易数量
-        """
-        if method == "fixed":
-            return cash * self.max_position / price
-        return 0.0
-