doribt 0.2.0__tar.gz

doribt-0.2.0/.gitattributes

@@ -0,0 +1,5 @@
+* text=auto eol=lf
+*.png binary
+*.jpg binary
+*.parquet binary
+*.npz binary

doribt-0.2.0/.github/workflows/ci.yml

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+name: Milestone CI
+
+on:
+  push:
+    tags:
+      - 'milestone/**'
+  workflow_dispatch:
+  workflow_call:
+
+permissions:
+  contents: read
+
+env:
+  PYTHONUTF8: '1'
+  PYTHONIOENCODING: utf-8
+
+concurrency:
+  group: ci-${{ github.workflow }}-${{ github.ref }}
+  cancel-in-progress: true
+
+jobs:
+  test:
+    name: check (${{ matrix.os }}, ${{ matrix.backend }})
+    timeout-minutes: 15
+    strategy:
+      fail-fast: false
+      matrix:
+        os: [ubuntu-latest, windows-latest]
+        backend: [python, numba]
+    runs-on: ${{ matrix.os }}
+    steps:
+      - uses: actions/checkout@11d5960a326750d5838078e36cf38b85af677262 # v4
+        with:
+          persist-credentials: false
+      - uses: actions/setup-python@a26af69be951a213d495a4c3e4e4022e16d87065 # v5
+        with:
+          python-version: '3.13'
+      - run: python -m pip install uv==0.10.11
+      - if: matrix.backend == 'python'
+        run: uv sync --locked
+      - if: matrix.backend == 'numba'
+        run: uv sync --locked --extra numba
+      - run: uv run --no-sync python scripts/check.py --backend ${{ matrix.backend }}
+
+  dependencies:
+    name: locked dependency audit
+    runs-on: ubuntu-latest
+    timeout-minutes: 10
+    steps:
+      - uses: actions/checkout@11d5960a326750d5838078e36cf38b85af677262 # v4
+        with:
+          persist-credentials: false
+      - uses: actions/setup-python@a26af69be951a213d495a4c3e4e4022e16d87065 # v5
+        with:
+          python-version: '3.13'
+      - run: python -m pip install uv==0.10.11
+      - run: uv sync --locked
+      - run: uv run --no-sync python scripts/audit.py
+
+  secrets:
+    name: secret scan
+    runs-on: ubuntu-latest
+    timeout-minutes: 5
+    steps:
+      - uses: actions/checkout@11d5960a326750d5838078e36cf38b85af677262 # v4
+        with:
+          persist-credentials: false
+          fetch-depth: 0
+      - name: Install verified Gitleaks and scan history
+        shell: bash
+        run: |
+          curl --fail --location --retry 3 --output "$RUNNER_TEMP/gitleaks.tar.gz" \
+            https://github.com/gitleaks/gitleaks/releases/download/v8.30.1/gitleaks_8.30.1_linux_x64.tar.gz
+          echo "551f6fc83ea457d62a0d98237cbad105af8d557003051f41f3e7ca7b3f2470eb  $RUNNER_TEMP/gitleaks.tar.gz" | sha256sum --check
+          tar -xzf "$RUNNER_TEMP/gitleaks.tar.gz" -C "$RUNNER_TEMP" gitleaks
+          "$RUNNER_TEMP/gitleaks" git --redact --no-banner .

doribt-0.2.0/.github/workflows/publish.yml

@@ -0,0 +1,83 @@
+name: Release to PyPI
+
+on:
+  push:
+    tags: ['v*']
+
+permissions:
+  contents: read
+
+env:
+  PYTHONUTF8: '1'
+  PYTHONIOENCODING: utf-8
+
+concurrency:
+  group: pypi-${{ github.ref }}
+  cancel-in-progress: false
+
+jobs:
+  quality:
+    uses: ./.github/workflows/ci.yml
+
+  build:
+    needs: quality
+    runs-on: ubuntu-latest
+    timeout-minutes: 10
+    steps:
+      - uses: actions/checkout@11d5960a326750d5838078e36cf38b85af677262 # v4
+        with:
+          persist-credentials: false
+          fetch-depth: 0
+      - name: 核对发行来源与版本
+        env:
+          RELEASE_TAG: ${{ github.ref_name }}
+        run: |
+          git merge-base --is-ancestor "$GITHUB_SHA" origin/main
+          python - <<'PY'
+          import os, re, tomllib
+          from pathlib import Path
+          version = tomllib.loads(Path('pyproject.toml').read_text())['project']['version']
+          if not re.fullmatch(r'\d+\.\d+\.\d+', version) or os.environ['RELEASE_TAG'] != 'v' + version:
+              raise SystemExit('发行标签与正式版本不一致')
+          PY
+      - uses: actions/setup-python@a26af69be951a213d495a4c3e4e4022e16d87065 # v5
+        with:
+          python-version: '3.13'
+      - run: python -m pip install uv==0.10.11
+      - run: uv sync --locked --extra numba
+      - name: 构建并验证实际发行包
+        run: |
+          uv build
+          uv run --no-sync python scripts/check_wheel.py dist/*.whl
+          uv run --no-sync python scripts/check_wheel.py dist/*.whl --backend numba
+          (cd dist && sha256sum *.whl *.tar.gz > SHA256SUMS)
+      - uses: actions/upload-artifact@ea165f8d65b6e75b540449e92b4886f43607fa02 # v4
+        with:
+          name: release-dist
+          path: dist/
+          if-no-files-found: error
+
+  publish:
+    needs: build
+    runs-on: ubuntu-latest
+    timeout-minutes: 10
+    environment:
+      name: pypi
+      url: https://pypi.org/project/doribt/
+    permissions:
+      id-token: write
+    steps:
+      - uses: actions/download-artifact@d3f86a106a0bac45b974a628896c90dbdf5c8093 # v4
+        with:
+          name: release-dist
+          path: dist/
+      - name: 核对构建产物
+        run: |
+          cd dist
+          sha256sum --check SHA256SUMS
+          mkdir ../packages
+          cp *.whl *.tar.gz ../packages/
+      - name: 发布到 PyPI
+        uses: pypa/gh-action-pypi-publish@dc37677b2e1c63e2034f94d8a5b11f265b73ba33 # release/v1
+        with:
+          packages-dir: packages/

doribt-0.2.0/.gitignore

@@ -0,0 +1,23 @@
+.venv/
+__pycache__/
+*.py[cod]
+*.nbc
+*.nbi
+.pytest_cache/
+.ruff_cache/
+.mypy_cache/
+.hypothesis/
+.quality/
+dist/
+build/
+*.egg-info/
+.coverage
+coverage.xml
+htmlcov/
+.env
+.env.*
+!.env.example
+data/
+results/
+.DS_Store
+Thumbs.db

doribt-0.2.0/AGENTS.md

@@ -0,0 +1,20 @@
+# DoriBT development
+
+Read README.md, docs/roadmap.md, docs/api-design.md and docs/quality.md before changes.
+Keep implementation status distinct from release targets. The first release requires
+the complete baseline engine in the roadmap, not only the experimental simulator.
+
+- Implement one coherent objective at a time; review public API usage with a runnable example.
+- 图表文案、项目自有日志及新增或修改的代码注释优先使用中文；保留 API 名称、
+  标识符和常用指标缩写。不翻译第三方工具输出或改写用户自定义标签。
+- Python files in src, tests, examples and scripts must be at most 400 physical lines.
+- Every function must satisfy Ruff C901 complexity <= 10. Split by responsibility;
+  do not hide branches in clever expressions or add blanket exclusions.
+- Before committing, run the local quality entry for affected backends. Run targeted
+  checks during iteration and the full local gate on the final change.
+- Commit completed main objectives with a concise Chinese Conventional Commit.
+- Only milestone or release tags trigger CI; ordinary pushes and PR updates do not.
+- Use codex/ branches and PRs. Preserve dedicated repository author identity DorisLab;
+  check author, committer and SSH destination before any push.
+- Do not publish private consumer code, credentials or unlicensed datasets.
+- Update docs/release-progress.md with evidence, unresolved requirements and the next objective.

doribt-0.2.0/CHANGELOG.md

@@ -0,0 +1,10 @@
+# 版本记录
+
+## 0.2.0
+
+- 日线与 1／5 分钟、多标的人民币做多现金账户回测。
+- 历史规则、T+1、公司行动与普通个人股息税记账。
+- 部分成交、冻结资金／股数、累计佣金与三类滑点。
+- 参数化策略、预计算目标、可选 Numba 分段执行。
+- 自定义研究输出、日频报告、基准／超额、图表及可复核导出。
+- Python 3.13，Windows／Linux；Numba 与 Matplotlib 为可选依赖。

doribt-0.2.0/CONTRIBUTING.md

@@ -0,0 +1,18 @@
+# 参与 DoriBT
+
+欢迎提交错误报告、带来源的交易规则说明、可复现测试和小范围改进。维护者优先处理实际研究需求，不承诺问题响应或合并时间。
+
+提交问题时，请提供 Python／依赖版本、执行后端、最小输入、预期与实际结果。请使用合成数据或确认可公开的数据；不要上传账号、令牌、私人策略和无权再分发的行情。
+
+修改前阅读 [README](README.md)、[执行模型](docs/execution-model.md)、[API 设计](docs/api-design.md)和[开发目标](docs/roadmap.md)。行为改动同时更新对应契约与有独立预期的测试；不能只以两个相似实现结果相同证明规则正确。新增规则请附交易所等一手来源及适用日期。
+
+```sh
+uv sync --locked --extra numba
+uv run --no-sync python scripts/check.py --backend numba --audit
+```
+
+基础安装、定向检查与凭据扫描见[质量检查](docs/quality.md)。不得用跳过失败检查、删除断言、扩大忽略范围或放宽账本容差获取绿灯。依赖漏洞若无法立即修复，应提交有依据和期限的处理提案；当前没有忽略清单。
+
+通过分支和 Pull Request 提交变更。提交信息使用 Conventional Commits；说明行为、验证与已知限制。`experimental` 可以演进，但实际变更须写入版本记录。推送前核对仓库本地的作者邮箱、署名和远程；SSH 认证身份不等于提交作者身份。
+
+提交的贡献遵循本仓库 Apache-2.0 许可。

doribt-0.2.0/LICENSE

@@ -0,0 +1,202 @@
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doribt-0.2.0/PKG-INFO

@@ -0,0 +1,107 @@
+Metadata-Version: 2.5
+Name: doribt
+Version: 0.2.0
+Summary: Daily and minute cash-account backtesting for A-share research
+Project-URL: Documentation, https://dorislab.github.io/DoriBT/
+Project-URL: Repository, https://github.com/DorisLab/DoriBT
+Project-URL: Issues, https://github.com/DorisLab/DoriBT/issues
+Author: DoriBT contributors
+License-Expression: Apache-2.0
+License-File: LICENSE
+Classifier: Development Status :: 4 - Beta
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Requires-Python: <3.14,>=3.13
+Requires-Dist: numpy<3,>=2.0
+Provides-Extra: numba
+Requires-Dist: numba<0.69,>=0.61; extra == 'numba'
+Provides-Extra: plot
+Requires-Dist: matplotlib<4,>=3.10; extra == 'plot'
+Description-Content-Type: text/markdown
+
+# DoriBT
+
+面向 A 股研究的 Python 回测引擎，支持日线与 1／5 分钟现金账户回测。
+
+- 多标的共享资金、T+1、历史交易规则和分红送转。
+- 部分成交、可配置佣金与最低佣金、成交量参与率和滑点。
+- 函数策略与预计算目标，参数声明、自定义指标和研究输出。
+- 日频报告、基准与超额收益、图表和可对账的 CSV／JSON 导出。
+- NumPy 基础引擎，可选 Numba 加速和 Matplotlib 绘图。
+
+## 安装
+
+支持 Python 3.13，Windows 和 Linux。
+
+```sh
+python -m pip install doribt
+# 可选加速与图表：
+python -m pip install "doribt[numba,plot]"
+```
+
+## 第一次回测
+
+下例使用人工行情，无需账号或行情服务。收盘提交目标，下一根 bar 开盘尝试成交；价格、日历与状态由调用者提供。
+
+```python
+"""安装 doribt 后即可运行；仅使用合成行情与公开 API。"""
+
+from doribt import Backtest, Context, Costs, Instrument, MarketData, RunConfig, china_rules
+
+days = ["2025-01-02", "2025-01-03", "2025-01-06"]
+prices = [10, 10, 11]
+data = MarketData.from_records(
+    [
+        {
+            "session": day,
+            "symbol": "DEMO",
+            "status": "trading",
+            "open": price,
+            "high": price,
+            "low": price,
+            "close": price,
+            "volume": 500_000,
+            "upper_limit": 12,
+            "lower_limit": 8,
+        }
+        for day, price in zip(days, prices, strict=True)
+    ],
+    calendar=days,
+    instruments=[Instrument(symbol="DEMO", kind="etf")],
+    rules=china_rules({"DEMO": "szse_equity_etf"}, start=days[0], end=days[-1]),
+    source="人工三日行情，仅用于演示",
+)
+
+
+def buy_and_hold(ctx: Context) -> None:
+    ctx.target_weights({"DEMO": 0.9})
+
+
+config = RunConfig(initial_cash=10_000, costs=Costs(commission=0.0003, minimum_commission=5))
+result = Backtest(data, config=config).run(buy_and_hold)
+print("期末权益：", result.equity[-1])  # 10895 元：剩余现金 995 + 持仓 900 × 11。
+print("总收益率：", result.report().stats["total_return"])
+```
+
+保存为 `quickstart.py`，运行 `python quickstart.py`，期末权益应为 **10895 元**。
+
+## 示例与参考
+
+完整示例位于 [examples](https://github.com/DorisLab/DoriBT/tree/main/examples)：买入持有、均线、组合轮动、分钟订单、权益处理、参数化研究与报告。
+
+[数据输入](https://github.com/DorisLab/DoriBT/blob/main/docs/data-contract.md) · [策略与执行](https://github.com/DorisLab/DoriBT/blob/main/docs/execution-model.md) · [分钟回测](https://github.com/DorisLab/DoriBT/blob/main/docs/minute-execution.md) · [结果与导出](https://github.com/DorisLab/DoriBT/blob/main/docs/results.md)
+
+原始价用于成交与账户记账，按决策时点复权的价格用于研究。规则预设覆盖 2020–2025 沪深普通股票与境内股票 ETF；自定义规则须提供适用区间和来源。不提供行情下载或实盘接口，不覆盖盘口排队、融资融券、期货期权与 ETF 申赎。
+
+## 参与开发
+
+```sh
+git clone https://github.com/DorisLab/DoriBT.git
+cd DoriBT
+uv sync --locked --extra numba
+uv run --no-sync python scripts/check.py --backend numba --audit
+```
+
+开发检查见 [贡献说明](https://github.com/DorisLab/DoriBT/blob/main/CONTRIBUTING.md)与[质量门禁](https://github.com/DorisLab/DoriBT/blob/main/docs/quality.md)。CI 仅在 milestone／release 运行，普通提交和 PR 不触发。欢迎提供最小复现、规则依据及聚焦的改进；维护者按实际需要推进，不承诺支持时限或 API 稳定性。
+
+采用 [Apache-2.0](https://github.com/DorisLab/DoriBT/blob/main/LICENSE) 许可证。

doribt-0.2.0/README.md

@@ -0,0 +1,86 @@
+# DoriBT
+
+面向 A 股研究的 Python 回测引擎，支持日线与 1／5 分钟现金账户回测。
+
+- 多标的共享资金、T+1、历史交易规则和分红送转。
+- 部分成交、可配置佣金与最低佣金、成交量参与率和滑点。
+- 函数策略与预计算目标，参数声明、自定义指标和研究输出。
+- 日频报告、基准与超额收益、图表和可对账的 CSV／JSON 导出。
+- NumPy 基础引擎，可选 Numba 加速和 Matplotlib 绘图。
+
+## 安装
+
+支持 Python 3.13，Windows 和 Linux。
+
+```sh
+python -m pip install doribt
+# 可选加速与图表：
+python -m pip install "doribt[numba,plot]"
+```
+
+## 第一次回测
+
+下例使用人工行情，无需账号或行情服务。收盘提交目标，下一根 bar 开盘尝试成交；价格、日历与状态由调用者提供。
+
+```python
+"""安装 doribt 后即可运行；仅使用合成行情与公开 API。"""
+
+from doribt import Backtest, Context, Costs, Instrument, MarketData, RunConfig, china_rules
+
+days = ["2025-01-02", "2025-01-03", "2025-01-06"]
+prices = [10, 10, 11]
+data = MarketData.from_records(
+    [
+        {
+            "session": day,
+            "symbol": "DEMO",
+            "status": "trading",
+            "open": price,
+            "high": price,
+            "low": price,
+            "close": price,
+            "volume": 500_000,
+            "upper_limit": 12,
+            "lower_limit": 8,
+        }
+        for day, price in zip(days, prices, strict=True)
+    ],
+    calendar=days,
+    instruments=[Instrument(symbol="DEMO", kind="etf")],
+    rules=china_rules({"DEMO": "szse_equity_etf"}, start=days[0], end=days[-1]),
+    source="人工三日行情，仅用于演示",
+)
+
+
+def buy_and_hold(ctx: Context) -> None:
+    ctx.target_weights({"DEMO": 0.9})
+
+
+config = RunConfig(initial_cash=10_000, costs=Costs(commission=0.0003, minimum_commission=5))
+result = Backtest(data, config=config).run(buy_and_hold)
+print("期末权益：", result.equity[-1])  # 10895 元：剩余现金 995 + 持仓 900 × 11。
+print("总收益率：", result.report().stats["total_return"])
+```
+
+保存为 `quickstart.py`，运行 `python quickstart.py`，期末权益应为 **10895 元**。
+
+## 示例与参考
+
+完整示例位于 [examples](https://github.com/DorisLab/DoriBT/tree/main/examples)：买入持有、均线、组合轮动、分钟订单、权益处理、参数化研究与报告。
+
+[数据输入](https://github.com/DorisLab/DoriBT/blob/main/docs/data-contract.md) · [策略与执行](https://github.com/DorisLab/DoriBT/blob/main/docs/execution-model.md) · [分钟回测](https://github.com/DorisLab/DoriBT/blob/main/docs/minute-execution.md) · [结果与导出](https://github.com/DorisLab/DoriBT/blob/main/docs/results.md)
+
+原始价用于成交与账户记账，按决策时点复权的价格用于研究。规则预设覆盖 2020–2025 沪深普通股票与境内股票 ETF；自定义规则须提供适用区间和来源。不提供行情下载或实盘接口，不覆盖盘口排队、融资融券、期货期权与 ETF 申赎。
+
+## 参与开发
+
+```sh
+git clone https://github.com/DorisLab/DoriBT.git
+cd DoriBT
+uv sync --locked --extra numba
+uv run --no-sync python scripts/check.py --backend numba --audit
+```
+
+开发检查见 [贡献说明](https://github.com/DorisLab/DoriBT/blob/main/CONTRIBUTING.md)与[质量门禁](https://github.com/DorisLab/DoriBT/blob/main/docs/quality.md)。CI 仅在 milestone／release 运行，普通提交和 PR 不触发。欢迎提供最小复现、规则依据及聚焦的改进；维护者按实际需要推进，不承诺支持时限或 API 稳定性。
+
+采用 [Apache-2.0](https://github.com/DorisLab/DoriBT/blob/main/LICENSE) 许可证。

doribt-0.2.0/benchmarks/minute/README.md

@@ -0,0 +1,22 @@
+# 分钟执行性能协议
+
+这是开发验证工具，不是 DoriBT 运行依赖。vectorbt 适配器只调用 vectorbt 的订单、共享状态和估值 API；不调用 DoriBT 的 broker、金额计算或撮合内核。
+
+准备 Python 3.13 的单独环境，安装当前 DoriBT 源码与 vectorbt==0.28.5、NumPy==2.5.3、Numba==0.68.0。环境指向当前源码便于核对内容，不能指向较旧发布 wheel。驱动器使用本仓库 dev 环境的 psutil：
+
+```sh
+uv run --no-sync python -m benchmarks.minute.run PRIVATE_SNAPSHOT \
+  --python COMPARISON_ENV_PYTHON --output NEW_RESULT_DIRECTORY --batch 10 --repeats 3
+```
+
+PRIVATE_SNAPSHOT 含标准 market.csv 和 calendar.csv，字段见 scripts/minute_case.py。必须先通过该脚本与独立 Decimal 对账。工具不读取或下载供应商数据；不可把未授权原始行情提交进仓库。
+
+每个参数账户独立：人民币十万元、单只深市境内股票 ETF、T+1、佣金万三且每个 DAY 订单最低五元、零印花税／过户费、固定一个 tick 不利滑点、成交量参与率 0.1%。只模拟连续竞价，收盘竞价行保留估值。每天 09:45 以截至该时点的分钟均线决定持有 10,000 份或空仓；快线 30、40、…，慢线 240，未满窗口不交易。目标变更撤旧子单，未满足目标跨日生成合法数量的新子单。
+
+统一核对逐 bar 现金、持仓、权益，以及逐笔时间、数量、价格和佣金。DoriBT 整数账本须与 Decimal 精确相等；vectorbt 的浮点现金／权益允许 0.0001 记账单位（即 1e-8 元）计算误差，成交金额／佣金规范化后逐项一致。不是只比较最终收益。
+
+时间区分数据准备、第一次执行（含新缓存 JIT）、预热后重复运行、参数批量。DoriBT 复用同一 Backtest 的已编译行情并串行调用；vectorbt 一次传入 N 列独立资金账户。都包含生成完整现金／持仓／权益曲线与成交表；不包含文件导出、信号计算、Decimal 对账。DoriBT 同时构建订单／意图／来源等更丰富结果，vectorbt 仅保留适配器运行状态和成交表，此额外工作未剥离。
+
+当前驱动器依次比较 `python`／`numba` 原逐 bar 回调、`python-scheduled`／`numba-scheduled` 的 PositionTargets 路径，以及 `vectorbt`。目标对象构造与输入验证属于准备阶段，来源记录和返回结果仍计入执行耗时。回调与预计算路径使用完全相同的目标数组，均只在目标变化时重新声明；不能用每 bar 重下目标的回调作为故意放慢的对照。五条路径共用当前版本的行情与来源缓存。
+
+每种引擎新起进程并使用独立空 Numba 缓存。RSS 每 5ms 采样进程树，范围包含共同数据载入、依赖导入、预热、保留的参数组输出和账本核对，不能称为撮合内核自身内存。worker_wall 包含全部验证及导入，不能当成单次冷启动；first_run 不含 import 和输入解析。原始 JSON 保存所有样本、输入／适配器哈希、版本及账本摘要。速度排名仅适用于这个有限协议，不代表 vectorbt 原生提供了完整 A 股生命周期。