rqalpha 5.3.9__tar.gz → 5.3.11__tar.gz

{rqalpha-5.3.9/rqalpha.egg-info → rqalpha-5.3.11}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: rqalpha
-Version: 5.3.9
+Version: 5.3.11
 Summary: Ricequant Algorithm Trading System
 Home-page: https://github.com/ricequant/rqalpha
 Author: ricequant

{rqalpha-5.3.9 → rqalpha-5.3.11}/rqalpha/_version.py

@@ -8,11 +8,11 @@ import json
 
 version_json = '''
 {
- "date": "2024-04-12T18:06:46+0800",
+ "date": "2024-05-07T14:24:11+0800",
  "dirty": false,
  "error": null,
- "full-revisionid": "9095b0aebd0ed705a38a669b85da16310a714468",
- "version": "5.3.9"
+ "full-revisionid": "49115bc0845b1787f36f0c3cd2d5692f61cd1801",
+ "version": "5.3.11"
 }
 '''  # END VERSION_JSON
 

{rqalpha-5.3.9 → rqalpha-5.3.11}/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py

@@ -82,15 +82,13 @@ class AnalyserMod(AbstractMod):
             'positions': self._positions,
             'orders': self._orders,
             'trades': self._trades,
-            'daily_pnl': self._daily_pnl,
+            'daily_pnl': self._daily_pnl
         }).encode('utf-8')
 
     def set_state(self, state):
         value = jsonpickle.loads(state.decode('utf-8'))
-        self._benchmark_daily_returns = value['benchmark_daily_returns']
         self._portfolio_daily_returns = value["portfolio_daily_returns"]
         self._total_portfolios = value['total_portfolios']
-        self._total_benchmark_portfolios = value["total_benchmark_portfolios"]
         self._sub_accounts = value['sub_accounts']
         self._positions = value["positions"]
         self._orders = value['orders']
@@ -180,7 +178,7 @@ class AnalyserMod(AbstractMod):
         # generate benchmark portfolio
         unit_net_value = (self._benchmark_daily_returns + 1).cumprod()
         self._total_benchmark_portfolios = {
-            "date": trading_dates,
+            "date": list(trading_dates.date),
             "unit_net_value": unit_net_value
         }
 

{rqalpha-5.3.9 → rqalpha-5.3.11}/rqalpha/mod/rqalpha_mod_sys_analyser/report/report.py

@@ -88,6 +88,8 @@ def _yearly_indicators(
         data["annual_volatility"].append(risk.annual_volatility)
         data["max_drawdown"].append(risk.max_drawdown)
         data["max_drawdown_days"].append((max_dd.end_date - max_dd.start_date).days)
+        data["alpha"].append(risk.alpha)
+        data["beta"].append(risk.beta)
     return data
 
 

{rqalpha-5.3.9 → rqalpha-5.3.11}/rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py

@@ -16,6 +16,7 @@
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 import datetime
 from collections import defaultdict
+from copy import copy
 from rqalpha.const import MATCHING_TYPE, ORDER_TYPE, POSITION_EFFECT, SIDE
 from rqalpha.environment import Environment
 from rqalpha.core.events import EVENT, Event
@@ -131,7 +132,7 @@ class DefaultBarMatcher(AbstractMatcher):
             if reason:
                 order.mark_rejected(reason)
             return
-
+        
         price_board = self._env.price_board
         if order.type == ORDER_TYPE.LIMIT:
             if order.side == SIDE.BUY and order.price < deal_price:
@@ -208,6 +209,18 @@ class DefaultBarMatcher(AbstractMatcher):
         )
         trade._commission = self._env.get_trade_commission(trade)
         trade._tax = self._env.get_trade_tax(trade)
+
+        if order.side == SIDE.BUY and self._slippage_decider.decider.rate != 0:
+            # 标的价格经过滑点处理后，账户资金可能不够买入，需要进行验证
+            cost_money = instrument.calc_cash_occupation(price, order.quantity, order.position_direction, order.trading_datetime.date())
+            cost_money += trade.transaction_cost
+            if cost_money > account.cash + order.init_frozen_cash:
+                reason = _(u"Order Cancelled: not enough money to buy {order_book_id}, needs {cost_money:.2f}, cash {cash:.2f}").format(
+                        order_book_id=order_book_id, cost_money=cost_money, cash = account.cash + order.init_frozen_cash
+                        )
+                order.mark_rejected(reason)
+                return
+
         order.fill(trade)
         self._turnover[order.order_book_id] += fill
 
@@ -344,6 +357,12 @@ class DefaultTickMatcher(AbstractMatcher):
                     order_book_id=order.order_book_id)
             order.mark_rejected(reason)
             return
+        
+        # 对价格进行滑点处理
+        if instrument.during_call_auction(self._env.calendar_dt):
+            price = deal_price
+        else:
+            price = self._slippage_decider.get_trade_price(order, deal_price)
 
         price_board = self._env.price_board
         if order.type == ORDER_TYPE.LIMIT:
@@ -434,12 +453,6 @@ class DefaultTickMatcher(AbstractMatcher):
         # 平今的数量
         ct_amount = account.calc_close_today_amount(order_book_id, fill, order.position_direction, order.position_effect)
 
-        # 对价格进行滑点处理
-        if instrument.during_call_auction(self._env.calendar_dt):
-            price = deal_price
-        else:
-            price = self._slippage_decider.get_trade_price(order, deal_price)
-
         # 成交记录
         trade = Trade.__from_create__(
             order_id=order.order_id,
@@ -453,6 +466,17 @@ class DefaultTickMatcher(AbstractMatcher):
         )
         trade._commission = self._env.get_trade_commission(trade)
         trade._tax = self._env.get_trade_tax(trade)
+
+        if order.side == SIDE.BUY and self._slippage_decider.decider.rate != 0:
+            cost_money = instrument.calc_cash_occupation(price, order.quantity, order.position_direction, order.trading_datetime.date())
+            cost_money += trade.transaction_cost
+            if cost_money > account.cash + order.init_frozen_cash:
+                reason = _(u"Order Cancelled: not enough money to buy {order_book_id}, needs {cost_money:.2f}, cash {cash:.2f}").format(
+                        order_book_id=order_book_id, cost_money=cost_money, cash=account.cash + order.init_frozen_cash
+                    )
+                order.mark_rejected(reason)
+                return
+
         order.fill(trade)
         self._turnover[order.order_book_id] += fill
 

{rqalpha-5.3.9 → rqalpha-5.3.11}/rqalpha/portfolio/account.py

@@ -345,6 +345,10 @@ class Account(metaclass=AccountMeta):
         self._management_fees += fee
         self._total_cash -= fee
 
+        # 如果期货结算结束时 cash 为负数，抛出提醒给到用户
+        if self._type == "FUTURE" and self.cash < 0:
+            user_system_log.warn(_("Futures account's cash turns negative after settlement"))
+
         # 如果 total_value <= 0 则认为已爆仓，清空仓位，资金归0
         forced_liquidation = self._env.config.base.forced_liquidation
         if self.total_value <= 0 and forced_liquidation:

{rqalpha-5.3.9 → rqalpha-5.3.11}/rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.po

@@ -7,7 +7,7 @@ msgid ""
 msgstr ""
 "Project-Id-Version: PROJECT VERSION\n"
 "Report-Msgid-Bugs-To: EMAIL@ADDRESS\n"
-"POT-Creation-Date: 2024-04-12 15:23+0800\n"
+"POT-Creation-Date: 2024-04-24 13:56+0800\n"
 "PO-Revision-Date: 2016-10-24 21:20+0800\n"
 "Last-Translator: FULL NAME <EMAIL@ADDRESS>\n"
 "Language: zh_Hans_CN\n"
@@ -494,8 +494,8 @@ msgstr "基准标的 {} 在回测起始日期 {} 结束日期 {} 间缺失数据
 
 #: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:175
 msgid ""
-"benchmark {} available data start date {} >= backtest start date {} or end"
-" date {} <= backtest end date {}"
+"benchmark {} available data start date {} >= backtest start date {} or "
+"end date {} <= backtest end date {}"
 msgstr "基准标的 {} 的可用行情数据开始日期 {} >= 回测起始日期 {} 或结束日期 {} <= 回测结束日期 {}"
 
 #: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:243
@@ -744,39 +744,46 @@ msgid ""
 "trade: [{}...]"
 msgstr "订单创建失败，当前存在可能导致自成交的挂单：[{}...]"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:118
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:335
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:119
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:348
 #: rqalpha/mod/rqalpha_mod_sys_simulation/signal_broker.py:69
 msgid ""
 "Order Cancelled: current security [{order_book_id}] can not be traded in "
 "listed date [{listed_date}]"
 msgstr "订单被撤销: [{order_book_id}] 上市首日无法交易"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:125
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:165
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:126
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:166
 #: rqalpha/mod/rqalpha_mod_sys_simulation/signal_broker.py:86
 msgid "Order Cancelled: {order_book_id} bar no volume"
 msgstr "订单被撤销：{order_book_id} 当前无成交量"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:150
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:151
 #: rqalpha/mod/rqalpha_mod_sys_simulation/signal_broker.py:95
 msgid "Order Cancelled: current bar [{order_book_id}] reach the limit_up price."
 msgstr "订单被拒单: [{order_book_id}] 已涨停。"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:156
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:157
 #: rqalpha/mod/rqalpha_mod_sys_simulation/signal_broker.py:104
 msgid "Order Cancelled: current bar [{order_book_id}] reach the limit_down price."
 msgstr "订单被拒单: [{order_book_id}] 已跌停。"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:178
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:417
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:567
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:179
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:436
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:591
 msgid ""
 "Order Cancelled: market order {order_book_id} volume {order_volume} due "
 "to volume limit"
 msgstr "订单被撤销: 订单 [{order_book_id}] 的下单量 {order_volume} 超过了成交量限制。"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:217
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:218
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:474
+msgid ""
+"Order Cancelled: not enough money to buy {order_book_id}, needs "
+"{cost_money:.2f}, cash {cash:.2f}"
+msgstr "订单创建失败: 可用资金不足。当前资金: {cash:.2f}，{order_book_id} 下单所需资金: {cost_money:.2f}"
+
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:230
 msgid ""
 "Order Cancelled: market order {order_book_id} volume {order_volume} is "
 "larger than {volume_percent_limit} percent of current bar volume, fill "
@@ -785,26 +792,26 @@ msgstr ""
 "{order_book_id} 下单量 {order_volume} 超过当前 Bar 成交量的 "
 "{volume_percent_limit}%，实际成交 {filled_volume}"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:343
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:356
 msgid "Order Cancelled: current tick [{order_book_id}] miss market data."
 msgstr "订单被拒单: [{order_book_id}] 当前缺失市场数据。"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:368
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:387
 msgid "Order Cancelled: current tick [{order_book_id}] reach the limit_up price."
 msgstr "订单被拒单: [{order_book_id}] 已涨停。"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:374
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:393
 msgid ""
 "Order Cancelled: current tick [{order_book_id}] reach the limit_down "
 "price."
 msgstr "订单被拒单: [{order_book_id}] 已跌停。"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:381
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:387
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:400
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:406
 msgid "Order Cancelled: [{order_book_id}] has no liquidity."
 msgstr "合约 [{order_book_id}] 流动性不足，拒单。"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:462
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:486
 #, fuzzy
 msgid ""
 "Order Cancelled: market order {order_book_id} volume {order_volume} is "
@@ -814,7 +821,7 @@ msgstr ""
 "{order_book_id} 下单量 {order_volume} 超过当前 Tick 成交量的 "
 "{volume_percent_limit}%，实际成交 {filled_volume}"
 
-#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:611
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:635
 msgid ""
 "Order Cancelled: market order {order_book_id} fill {filled_volume} "
 "actually"
@@ -916,11 +923,15 @@ msgstr "不合法的账户类型 {}， 请在以下账户类型中选择 {}"
 msgid "Cash add {}. units {} become to {}"
 msgstr "入金{}元，份额由{}变动为{}"
 
-#: rqalpha/portfolio/account.py:352
+#: rqalpha/portfolio/account.py:350
+msgid "Futures account's cash turns negative after settlement"
+msgstr "期货账户的现金在结算后变为负数"
+
+#: rqalpha/portfolio/account.py:356
 msgid "Trigger Forced Liquidation, current total_value is 0"
 msgstr "触发强制清算，当前总权益为 0"
 
-#: rqalpha/portfolio/account.py:502 rqalpha/portfolio/account.py:521
+#: rqalpha/portfolio/account.py:506 rqalpha/portfolio/account.py:525
 msgid "insufficient cash, current {}, target withdrawal {}"
 msgstr "现金不足，当前现金 {}，目标出金 {}"
 

{rqalpha-5.3.9 → rqalpha-5.3.11/rqalpha.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: rqalpha
-Version: 5.3.9
+Version: 5.3.11
 Summary: Ricequant Algorithm Trading System
 Home-page: https://github.com/ricequant/rqalpha
 Author: ricequant

{rqalpha-5.3.9 → rqalpha-5.3.11}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = rqalpha
-version = 5.3.9
+version = 5.3.11
 
 [versioneer]
 VCS = git