localquant 0.2.0__cp313-cp313-win_amd64.whl

localquant/_version.py

@@ -0,0 +1 @@
+__version__ = "0.2.0"

localquant/config.yml

@@ -0,0 +1,66 @@
+# see more config
+# http://localquant.readthedocs.io/zh_CN/stable/intro/run_algorithm.html
+version: 0.1.6
+
+# 白名单，设置可以直接在策略代码中指定哪些模块的配置项目
+whitelist: [base, extra, validator, mod]
+
+base:
+  # 数据源所存储的文件路径
+  data_bundle_path: ~
+  # 启动的策略文件路径
+  strategy_file: strategy.py
+  # 策略源代码
+  source_code: ~
+  # 回测起始日期
+  start_date: 2015-06-01
+  # 回测结束日期(如果是实盘，则忽略该配置)
+  end_date: 2050-01-01
+  # 设置保证金乘数，默认为1
+  margin_multiplier: 1
+  # 运行类型，`b` 为回测，`p` 为模拟交易, `r` 为实盘交易。
+  run_type: b
+  # 目前支持 `1d` (日线回测) 和 `1m` (分钟线回测)，如果要进行分钟线，请注意是否拥有对应的数据源，目前开源版本是不提供对应的数据源的。
+  frequency: 1d
+  # 在模拟交易和实盘交易中，localquant支持策略的pause && resume，该选项表示开启 persist 功能呢，
+  # 其会在每个bar结束对进行策略的持仓、账户信息，用户的代码上线文等内容进行持久化
+  persist: false
+  persist_mode: real_time
+  # 设置策略可交易品种，目前支持 `stock` (股票账户)、`future` (期货账户)，您也可以自行扩展
+  accounts:
+    # 如果想设置使用某个账户，只需要增加对应的初始资金即可
+    stock: ~
+    future: ~
+  # 设置初始仓位
+  init_positions: {}
+  # 根据价格最小变动单位调整发单价格
+  round_price: false
+  # 用户自定义的期货合约数据，用于设置期货手续菲费率
+  future_info: {}
+  # 强平
+  forced_liquidation: true
+  # 是否开启期货历史交易参数进行回测，默认为 False
+  futures_time_series_trading_parameters: false
+  # 一年交易日天数，默认使用DAYS_CNT.TRADING_DAYS_A_YEAR
+  custom_trading_days_a_year: ~
+  # 是否使用国债收益率曲线计算风险指标；关闭时无风险利率按 0 计算
+  use_risk_free_rate: false
+  # 商品转让增值税及其他税费的费率
+  # 当前版本默认值设置为 0 以向前兼容，将在后续版本中将默认值设置为 0.0318(该取值可见 CapitalGainsTaxMixin 类的说明)
+  capital_gain_tax_rate: 0
+  # 开仓订单在资金不足时进入“尽量成交”逻辑，可用于模拟真实交易中的算法母单执行过程
+  partial_fill_on_insufficient_cash: false
+
+extra:
+  # 选择日期的输出等级，有 `verbose` | `info` | `warning` | `error` 等选项，您可以通过设置 `verbose` 来查看最详细的日志，
+  # 或者设置 `error` 只查看错误级别的日志输出
+  log_level: info
+  # 通过该参数可以将预定义变量传入 `context` 内。
+  context_vars: ~
+  # enable_profiler: 是否启动性能分析
+  enable_profiler: false
+  is_hold: false
+  locale: ~
+  logger: []
+  # 日志输出文件
+  log_file: ~

localquant/examples/IF1706_20161108.csv

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localquant/examples/IF_macd.py

@@ -0,0 +1,46 @@
+from localquant.apis import *
+
+import talib
+
+
+# 在这个方法中编写任何的初始化逻辑。context对象将会在你的算法策略的任何方法之间做传递
+def init(context):
+    # context内引入全局变量s1，存储目标合约信息
+    context.s1 = 'IF1606'
+
+    # 使用MACD需要设置长短均线和macd平均线的参数
+    context.SHORTPERIOD = 12
+    context.LONGPERIOD = 26
+    context.SMOOTHPERIOD = 9
+    context.OBSERVATION = 50
+
+    # 初始化时订阅合约行情。订阅之后的合约行情会在handle_bar中进行更新
+    subscribe(context.s1)
+
+
+# 你选择的期货数据更新将会触发此段逻辑，例如日线或分钟线更新
+def handle_bar(context, bar_dict):
+    # 开始编写你的主要的算法逻辑
+    # 获取历史收盘价序列，history_bars函数直接返回ndarray，方便之后的有关指标计算
+    prices = history_bars(context.s1, context.OBSERVATION, '1d', 'close')
+
+    # 用Talib计算MACD取值，得到三个时间序列数组，分别为macd,signal 和 hist
+    macd, signal, hist = talib.MACD(prices, context.SHORTPERIOD,
+                                    context.LONGPERIOD, context.SMOOTHPERIOD)
+
+    # macd 是长短均线的差值，signal是macd的均线，如果短均线从下往上突破长均线，为入场信号，进行买入开仓操作
+    if macd[-1] - signal[-1] > 0 and macd[-2] - signal[-2] < 0:
+        sell_qty = get_position(context.s1, POSITION_DIRECTION.SHORT).quantity
+        # 先判断当前卖方仓位，如果有，则进行平仓操作
+        if sell_qty > 0:
+            buy_close(context.s1, 1)
+        # 买入开仓
+        buy_open(context.s1, 1)
+
+    if macd[-1] - signal[-1] < 0 and macd[-2] - signal[-2] > 0:
+        buy_qty = get_position(context.s1, POSITION_DIRECTION.LONG).quantity
+        # 先判断当前买方仓位，如果有，则进行平仓操作
+        if buy_qty > 0:
+            sell_close(context.s1, 1)
+        # 卖出开仓
+        sell_open(context.s1, 1)

localquant/examples/buy_and_hold.py

@@ -0,0 +1,30 @@
+from localquant.apis import *
+
+
+# 在这个方法中编写任何的初始化逻辑。context对象将会在你的算法策略的任何方法之间做传递。
+def init(context):
+    logger.info("init")
+    context.s1 = "000001.SZ"
+    update_universe(context.s1)
+    # 是否已发送了order
+    context.fired = False
+
+
+def before_trading(context):
+    pass
+
+
+# 你选择的证券的数据更新将会触发此段逻辑，例如日或分钟历史数据切片或者是实时数据切片更新
+def handle_bar(context, bar_dict):
+    # 开始编写你的主要的算法逻辑
+
+    # bar_dict[order_book_id] 可以拿到某个证券的bar信息
+    # context.portfolio 可以拿到现在的投资组合状态信息
+
+    # 使用order_shares(id_or_ins, amount)方法进行落单
+
+    # TODO: 开始编写你的算法吧！
+    if not context.fired:
+        # order_percent并且传入1代表买入该股票并且使其占有投资组合的100%
+        order_percent(context.s1, 1)
+        context.fired = True

localquant/examples/data_source/get_csv_module.py

@@ -0,0 +1,14 @@
+# -*- coding: utf-8 -*-
+
+import os
+
+
+def read_csv_as_df(csv_path):
+    import pandas as pd
+    data = pd.read_csv(csv_path)
+    return data
+
+
+def get_csv():
+    csv_path = os.path.join(os.path.dirname(__file__), "../IF1706_20161108.csv")
+    return read_csv_as_df(csv_path)

localquant/examples/data_source/import_get_csv_module.py

@@ -0,0 +1,36 @@
+# -*- coding: utf-8 -*-
+
+from localquant.apis import *
+import os
+import sys
+
+
+def init(context):
+    strategy_file_path = context.config.base.strategy_file
+    sys.path.append(os.path.realpath(os.path.dirname(strategy_file_path)))
+
+    from .get_csv_module import get_csv
+
+    IF1706_df = get_csv()
+    context.IF1706_df = IF1706_df
+
+
+def before_trading(context):
+    logger.info(context.IF1706_df)
+
+
+__config__ = {
+    "base": {
+        "start_date": "2015-01-09",
+        "end_date": "2015-01-10",
+        "frequency": "1d",
+        "matching_type": "current_bar",
+        "benchmark": None,
+        "accounts": {
+            "future": 1000000
+        }
+    },
+    "extra": {
+        "log_level": "verbose",
+    },
+}

localquant/examples/data_source/read_csv_as_df.py

@@ -0,0 +1,38 @@
+# -*- coding: utf-8 -*-
+
+from localquant.apis import *
+
+
+def read_csv_as_df(csv_path):
+    import pandas as pd
+    data = pd.read_csv(csv_path)
+    return data
+
+
+def init(context):
+    import os
+    strategy_file_path = context.config.base.strategy_file
+    csv_path = os.path.join(os.path.dirname(strategy_file_path), "../IF1706_20161108.csv")
+    IF1706_df = read_csv_as_df(csv_path)
+    context.IF1706_df = IF1706_df
+
+
+def before_trading(context):
+    logger.info(context.IF1706_df)
+
+
+__config__ = {
+    "base": {
+        "start_date": "2015-01-09",
+        "end_date": "2015-01-10",
+        "frequency": "1d",
+        "matching_type": "current_bar",
+        "benchmark": None,
+        "accounts": {
+            "future": 1000000
+        }
+    },
+    "extra": {
+        "log_level": "verbose",
+    },
+}

localquant/examples/extend_api/localquant_mod_extend_api_demo.py

@@ -0,0 +1,42 @@
+# -*- coding: utf-8 -*-
+
+import os
+import pandas as pd
+from localquant.interface import AbstractMod
+
+
+__config__ = {
+    "csv_path": None
+}
+
+
+def load_mod():
+    return ExtendAPIDemoMod()
+
+
+class ExtendAPIDemoMod(AbstractMod):
+    def __init__(self):
+        # 注入API 一定要在初始化阶段，否则无法成功注入
+        self._csv_path = None
+        self._inject_api()
+
+    def start_up(self, env, mod_config):
+        self._csv_path = os.path.abspath(os.path.join(os.path.dirname(__file__), mod_config.csv_path))
+
+    def tear_down(self, code, exception=None):
+        pass
+
+    def _inject_api(self):
+        from localquant.api import export_as_api
+        from localquant.core.execution_context import ExecutionContext
+        from localquant.const import EXECUTION_PHASE
+
+        @export_as_api
+        @ExecutionContext.enforce_phase(EXECUTION_PHASE.ON_INIT,
+                                        EXECUTION_PHASE.BEFORE_TRADING,
+                                        EXECUTION_PHASE.ON_BAR,
+                                        EXECUTION_PHASE.AFTER_TRADING,
+                                        EXECUTION_PHASE.SCHEDULED)
+        def get_csv_as_df():
+            data = pd.read_csv(self._csv_path)
+            return data