futures-settlement-analysis 0.1.0__tar.gz

futures_settlement_analysis-0.1.0/.claude/settings.local.json

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+{
+  "permissions": {
+    "allow": [
+      "Bash(pip --version)",
+      "Bash(which uv *)",
+      "Bash(curl -s --connect-timeout 5 \"http://192.168.0.101:3100/tridro/UnderlyingAssetInformation\")",
+      "Bash(grep -v \":0$\")",
+      "Bash(curl -s --connect-timeout 5 \"http://192.168.0.101:3100/tridro/UnderlyingAssetInformation/raw/branch/main/FUTURE.json\" -o /tmp/future_remote.json)",
+      "Bash(python -c ' *)",
+      "Bash(python *)",
+      "Bash(curl -s --connect-timeout 5 \"http://192.168.0.101:3100/tridro/UnderlyingAssetInformation/raw/branch/main/FUTURE.json\")",
+      "Bash(curl -s --connect-timeout 5 \"http://192.168.0.101:3100/tridro/UnderlyingAssetInformation/raw/branch/main/OPTION.json\")",
+      "Bash(ls -d .worktrees)",
+      "Bash(ls -d worktrees)",
+      "Bash(git check-ignore *)",
+      "Bash(git add *)",
+      "Bash(git commit *)",
+      "Bash(uv sync *)",
+      "Bash(uv run *)",
+      "Bash(uv add *)",
+      "Bash(git checkout *)",
+      "Bash(git pull *)",
+      "Bash(git merge *)",
+      "Bash(git submodule *)",
+      "Bash(git worktree *)",
+      "Bash(git branch *)"
+    ]
+  }
+}

futures_settlement_analysis-0.1.0/.gitignore

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+# Byte-compiled / optimized / DLL files
+__pycache__/
+*.py[cod]
+*$py.class
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+# C extensions
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+# Distribution / packaging
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+# PyInstaller
+#  Usually these files are written by a python script from a template
+#  before PyInstaller builds the exe, so as to inject date/other infos into it.
+*.manifest
+*.spec
+
+# Installer logs
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+pip-delete-this-directory.txt
+
+# Unit test / coverage reports
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+*.cover
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+# pyenv
+#   For a library or package, you might want to ignore these files since the code is
+#   intended to run in multiple environments; otherwise, check them in:
+# .python-version
+
+# pipenv
+#   According to pypa/pipenv#598, it is recommended to include Pipfile.lock in version control.
+#   However, in case of collaboration, if having platform-specific dependencies or dependencies
+#   having no cross-platform support, pipenv may install dependencies that don't work, or not
+#   install all needed dependencies.
+#Pipfile.lock
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+# UV
+#   Similar to Pipfile.lock, it is generally recommended to include uv.lock in version control.
+#   This is especially recommended for binary packages to ensure reproducibility, and is more
+#   commonly ignored for libraries.
+#uv.lock
+
+# poetry
+#   Similar to Pipfile.lock, it is generally recommended to include poetry.lock in version control.
+#   This is especially recommended for binary packages to ensure reproducibility, and is more
+#   commonly ignored for libraries.
+#   https://python-poetry.org/docs/basic-usage/#commit-your-poetrylock-file-to-version-control
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+# pdm
+#   Similar to Pipfile.lock, it is generally recommended to include pdm.lock in version control.
+#pdm.lock
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+venv/
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+venv.bak/
+
+# Spyder project settings
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+.spyproject
+
+# Rope project settings
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+
+# mkdocs documentation
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+
+# mypy
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+dmypy.json
+
+# Pyre type checker
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+
+# pytype static type analyzer
+.pytype/
+
+# Cython debug symbols
+cython_debug/
+
+# PyCharm
+#  JetBrains specific template is maintained in a separate JetBrains.gitignore that can
+#  be found at https://github.com/github/gitignore/blob/main/Global/JetBrains.gitignore
+#  and can be added to the global gitignore or merged into this file.  For a more nuclear
+#  option (not recommended) you can uncomment the following to ignore the entire idea folder.
+#.idea/
+
+.data
+.worktrees/
+
+.tests/

futures_settlement_analysis-0.1.0/.gitmodules

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+[submodule "UnderlyingAssetInformation"]
+	path = UnderlyingAssetInformation
+	url = http://ifilevault.myasustor.com:3100/tridro/underlying-asset-information.git

futures_settlement_analysis-0.1.0/.idea/.gitignore

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futures_settlement_analysis-0.1.0/.idea/FuturesSettlementAnalysis.iml

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futures_settlement_analysis-0.1.0/.idea/inspectionProfiles/profiles_settings.xml

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futures_settlement_analysis-0.1.0/.idea/misc.xml

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futures_settlement_analysis-0.1.0/.idea/modules.xml

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futures_settlement_analysis-0.1.0/.idea/vcs.xml

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futures_settlement_analysis-0.1.0/.idea/workspace.xml

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futures_settlement_analysis-0.1.0/CHANGELOG.md

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+# 更新日志
+
+## [0.1.0] - 2026-04-06
+
+### 新增
+- 支持中国期货监控中心(CTP)结算单解析
+- 支持融航系统(Rohon)结算单解析
+- 支持标准CTP格式结算单解析
+- 多维度交易统计：按合约、按品种、按买卖方向
+- 净值曲线计算，支持对数和百分比两种方式
+- 年度归因分析：年化收益率、最大回撤、夏普比率
+- Excel格式输出，包含自动生成的统计图表
+- 批量处理多个结算单文件
+
+### 整理
+- 重新整理项目结构为标准Python包格式
+- 添加完整README文档
+- 添加使用说明和开发文档

futures_settlement_analysis-0.1.0/CLAUDE.md

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+# CLAUDE.md
+
+This file provides guidance to Claude Code (claude.ai/code) when working with code in this repository.
+
+## Overview
+
+Futures settlement statement analysis tool (期货结算单分析). Reads settlement statements from Chinese futures brokers (CFMMC, CTP, 融航), computes trade statistics and financial performance metrics, and outputs formatted Excel reports with charts.
+
+## Commands
+
+- `uv run main.py` — Run the full analysis pipeline (reads `config.yaml`)
+- `uv sync` — Install/reconcile dependencies
+- `uv add <package>` / `uv remove <package>` — Manage dependencies
+- No test suite, linting, or type-checking configuration exists.
+
+## Architecture
+
+Four-module pipeline orchestrated by `main.py`:
+
+1. **`loader.py`** — Data ingestion layer
+   - `load_config_file()` — Reads YAML config
+   - `load_static_file()` — Reads JSON static data (contract metadata)
+   - `load_statement_file()` — Loads `.xls`/`.xlsx`/`.txt` settlement files from a directory
+   - `wrangling_statement_data()` — Routes to the appropriate parser based on `statement_type` (`cfmmc`, `rohon`, `ctp`)
+   - `futures_statement_extraxt_for_cfmmc()` — Parses CFMMC-format Excel sheets by finding section headers via `index_character()`
+   - `futures_statement_extraxt_for_rohon()` — Parses 融航-format sheets
+   - `futures_statement_extraxt_for_ctp()` — Parses CTP-format `.txt` files using regex line-by-line. Handles old and new CTP formats (pre/post 2022-09-23). Computes `交易盈亏` using contract multipliers from `static/FUTURE.json`.
+   - `combine_statement_data()` — Merges multiple statement files into unified DataFrames (资金状况, 成交明细, 平仓明细, etc.) using a name-mapping approach per statement type.
+   - Module-level globals `CWD`, `EXCHANGE`, `FUTURE`, `OPTION` are loaded from `static/` JSON files at import time.
+
+2. **`analysis.py`** — Statistical analysis
+   - `data_statistic()` — Groups closed positions by contract, variety, and buy/sell direction; computes P/L, win rates, trade counts, etc.
+   - `net_worth_calc()` — Unitizes account equity into NAV series, adjusting for cash flows (deposits/withdrawals). Handles large-flow flagging. First row uses `上日结存`/`期初结存` to initialize.
+   - `annual_attribution_statistic()` — Per-year performance metrics: cumulative/annualized return, volatility, max drawdown, Sharpe/Sortino/Calmar ratios, tail ratio, gain-to-pain, skewness, kurtosis. If a benchmark is provided, also computes alpha, beta, Treynor, information ratio, M2, R².
+   - `calculate_yield()` — Supports `log` (log return) and `pct` (simple return) methods.
+   - `convert_yield()` — Converts between log and percentage returns.
+
+3. **`format.py`** — Excel output
+   - `output_excel()` — Writes all data to `.xlsx` with per-sheet formatting
+   - `excel_data_format()` — Applies number formats by column/row header keywords (dates, percentages, currency)
+   - `excel_create_chart()` — Generates 6 chart sheets: net worth line chart, returns histogram, equity+risk dual-axis chart, trading distribution pie chart, P/L bar chart by variety, radar chart for win/loss ratios
+
+4. **`main.py`** — Entry point; wires the pipeline: load config → load statements → wrangle → combine → analyze → compute net worth → annual stats → output Excel
+
+## Static data (`static/`)
+
+- `EXCHANGE.json` — Exchange codes → Chinese names (CFFEX, SHFE, DCE, CZCE, INE, GFEX, SSE, SZSE)
+- `FUTURE.json` — Futures contract metadata keyed by instrument prefix (e.g., `"ih"`, `"if"`, `"rb"`, `"m"`): exchange, product name, multiplier, tick size, margin rates, commissions
+- `OPTION.json` — Options contract metadata, same structure as FUTURE
+
+These are loaded at module level in `loader.py` and accessed globally by `analysis.py` and the CTP parser for contract multiplier lookups.
+
+## Configuration (`config.yaml`)
+
+| Key | Purpose |
+|-----|---------|
+| `SOURCE_DIR` | Directory with settlement files |
+| `STATEMENT_TYPE` | `cfmmc` / `rohon` / `ctp` |
+| `OUTPUT_DIR` | Where the `.xlsx` result is written |
+| `RISK_FREE_INTEREST_RATE` | Risk-free rate for Sharpe/Sortino/etc. (default 0.02) |
+| `STATISTIC_METHOD` | `log` (log returns) or `pct` (simple returns) |
+
+## Dependencies
+
+`pandas`, `openpyxl`, `xlrd` (legacy `.xls`), `orjson` (static file loading), `pyyaml` (config). Managed with `uv` (`uv.lock` checked in).

futures_settlement_analysis-0.1.0/LICENSE

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+MIT License
+
+Copyright (c) 2026 Tridro
+
+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.