rqalpha 5.5.2__tar.gz → 5.5.4__tar.gz

{rqalpha-5.5.2/rqalpha.egg-info → rqalpha-5.5.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rqalpha
-Version: 5.5.2
+Version: 5.5.4
 Summary: Ricequant Algorithm Trading System
 Home-page: https://github.com/ricequant/rqalpha
 Author: ricequant

{rqalpha-5.5.2 → rqalpha-5.5.4}/rqalpha/_version.py

@@ -8,11 +8,11 @@ import json
 
 version_json = '''
 {
- "date": "2025-04-21T18:11:56+0800",
+ "date": "2025-05-27T16:58:35+0800",
  "dirty": false,
  "error": null,
- "full-revisionid": "c65579eb9466ccdf76adfe6abea9a61ccd75a8e6",
- "version": "5.5.2"
+ "full-revisionid": "6de68c9350eb08aacd72d6694ad40eeec076b7c7",
+ "version": "5.5.4"
 }
 '''  # END VERSION_JSON
 

{rqalpha-5.5.2 → rqalpha-5.5.4}/rqalpha/apis/api_rqdatac.py

@@ -429,8 +429,8 @@ def get_securities_margin(
         order_book_ids,  # type: Union[str, Iterable[str]]
         count=1,  # type: Optional[int]
         fields=None,  # type: Optional[str]
-        expect_df=False  # type: Optional[bool]
-):  # type: (...) -> Union[pd.Series, pd.DataFrame, pd.Panel]
+        expect_df=True  # type: Optional[bool]
+):  # type: (...) -> Union[pd.Series, pd.DataFrame]
     """
     获取融资融券信息。包括 `深证融资融券数据 <http://www.szse.cn/main/disclosure/rzrqxx/rzrqjy/>`_ 以及 `上证融资融券数据 <http://www.sse.com.cn/market/othersdata/margin/detail/>`_ 情况。既包括个股数据，也包括市场整体数据。需要注意，融资融券的开始日期为2010年3月31日。
 
@@ -524,11 +524,15 @@ def get_securities_margin(
         start_dt = dt
     else:
         start_dt = data_proxy.get_previous_trading_date(dt, count - 1)
-
+    
+    overall_code = {"XSHG", "XSHE", "sh", "sz"}
     if isinstance(order_book_ids, six.string_types):
-        order_book_ids = assure_order_book_id(order_book_ids)
+        if order_book_ids not in overall_code:
+            order_book_ids = assure_order_book_id(order_book_ids)
     else:
-        order_book_ids = [assure_order_book_id(i) for i in order_book_ids]
+        overall_code_list = [i for i in order_book_ids if i in overall_code]
+        order_book_ids = [assure_order_book_id(i) for i in order_book_ids if i not in overall_code]
+        order_book_ids = order_book_ids + overall_code_list
 
     return rqdatac.get_securities_margin(order_book_ids, start_dt, dt, fields=fields, expect_df=expect_df)
 

{rqalpha-5.5.2 → rqalpha-5.5.4}/rqalpha/environment.py

@@ -15,7 +15,7 @@
 #         在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 
-from datetime import datetime
+from datetime import date, datetime
 from typing import Optional, Dict, List
 from itertools import chain
 from typing import TYPE_CHECKING
@@ -53,8 +53,8 @@ class Environment(object):
         self.user_system_log = user_system_log
         self.event_bus = EventBus()
         self.portfolio = None  # type: Optional[rqalpha.portfolio.Portfolio]
-        self.calendar_dt = None  # type: Optional[datetime]
-        self.trading_dt = None  # type: Optional[datetime]
+        self.calendar_dt: datetime = datetime.combine(config.base.start_date, datetime.min.time())
+        self.trading_dt: datetime = datetime.combine(config.base.start_date, datetime.min.time())
         self.mod_dict = None
         self.user_strategy = None
         self._frontend_validators = {}  # type: Dict[str, List]

{rqalpha-5.5.2 → rqalpha-5.5.4}/rqalpha/main.py

@@ -312,6 +312,5 @@ def set_loggers(config):
     for logger_name, level in extra_config.logger:
         getattr(logger, logger_name).level = getattr(logbook, level.upper())
 
-    if extra_config.log_file:
+    if getattr(extra_config, "log_file", None):
         logbook.FileHandler(filename=extra_config.log_file, mode="a").push_application()
-

{rqalpha-5.5.2 → rqalpha-5.5.4}/rqalpha/mod/rqalpha_mod_sys_accounts/position_model.py

@@ -14,7 +14,7 @@
 #         否则米筐科技有权追究相应的知识产权侵权责任。
 #         在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
 #         详细的授权流程，请联系 public@ricequant.com 获取。
-
+from collections import deque
 from datetime import date
 
 from decimal import Decimal
@@ -150,6 +150,7 @@ class StockPosition(Position):
             if self.cash_return_by_stock_delisted:
                 delta_cash = self.market_value
             self._quantity = self._old_quantity = 0
+            self._queue.clear()
         return delta_cash
 
     @cached_property
@@ -212,7 +213,7 @@ class StockPosition(Position):
         # int(6000 * 1.15) -> 6899
         self._old_quantity = self._quantity = round(Decimal(self._quantity) * ratio)
         self._logical_old_quantity = round(Decimal(self._logical_old_quantity) * ratio)
-
+        self._queue.handle_split(ratio, self._quantity)
 
 class FuturePosition(Position):
     __repr_properties__ = (
@@ -282,6 +283,7 @@ class FuturePosition(Position):
             self._transaction_cost += trade.transaction_cost
             self._quantity -= trade.last_quantity
             self._trade_cost -= trade.last_price * trade.last_quantity
+            self._queue.handle_trade(-trade.last_quantity, self._env.trading_dt.date(), close_today=True)
         else:
             super(FuturePosition, self).apply_trade(trade)
 
@@ -325,6 +327,7 @@ class FuturePosition(Position):
             )
             self._env.event_bus.publish_event(Event(EVENT.TRADE, account=account, trade=trade, order=None))
             self._quantity = self._old_quantity = 0
+            self._queue.clear()
         return delta_cash
     
     def post_settlement(self):

{rqalpha-5.5.2 → rqalpha-5.5.4}/rqalpha/portfolio/position.py

@@ -15,9 +15,10 @@
 #         在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 
-from collections import UserDict
+from collections import UserDict, deque
 from datetime import date
-from typing import Dict, Iterable, Tuple, Optional
+from decimal import Decimal
+from typing import Dict, Iterable, Tuple, Optional, Deque, List
 
 from rqalpha.const import POSITION_DIRECTION, POSITION_EFFECT
 from rqalpha.environment import Environment
@@ -91,6 +92,10 @@ class Position(AbstractPosition, metaclass=PositionMeta):
 
         self._direction_factor = 1 if direction == POSITION_DIRECTION.LONG else -1
 
+        self._queue = PositionQueue()
+        if init_quantity:
+            self._queue.handle_trade(init_quantity, self._env.trading_dt.date())
+
     @property
     def order_book_id(self):
         # type: () -> str
@@ -193,7 +198,8 @@ class Position(AbstractPosition, metaclass=PositionMeta):
             "avg_price": self._avg_price,
             "trade_cost": self._trade_cost,
             "transaction_cost": self._transaction_cost,
-            "prev_close": self._prev_close
+            "prev_close": self._prev_close,
+            "position_queue": list(self._queue.queue)
         }
 
     def set_state(self, state):
@@ -209,6 +215,7 @@ class Position(AbstractPosition, metaclass=PositionMeta):
         self._trade_cost = state.get("trade_cost", 0)
         self._transaction_cost = state.get("transaction_cost", 0)
         self._prev_close = state.get("prev_close")
+        self._queue.set_sate(state.get("position_queue", []))
 
     def before_trading(self, trading_date):
         # type: (date) -> float
@@ -225,6 +232,7 @@ class Position(AbstractPosition, metaclass=PositionMeta):
         # 返回总资金的变化量
         self._transaction_cost += trade.transaction_cost
         if trade.position_effect == POSITION_EFFECT.OPEN:
+            self._queue.handle_trade(trade.last_quantity, self._env.trading_dt.date())
             if self._quantity < 0:
                 self._avg_price = trade.last_price if self._quantity + trade.last_quantity > 0 else 0
             else:
@@ -235,6 +243,7 @@ class Position(AbstractPosition, metaclass=PositionMeta):
             return (-1 * trade.last_price * trade.last_quantity) - trade.transaction_cost
         elif trade.position_effect == POSITION_EFFECT.CLOSE:
             # 先平昨，后平今
+            self._queue.handle_trade(-trade.last_quantity, self._env.trading_dt.date())
             self._old_quantity -= min(trade.last_quantity, self._old_quantity)
             self._quantity -= trade.last_quantity
             self._trade_cost -= trade.last_price * trade.last_quantity
@@ -255,6 +264,15 @@ class Position(AbstractPosition, metaclass=PositionMeta):
     def calc_close_today_amount(self, trade_amount, position_effect):
         return 0
 
+    @property
+    def position_queue(self):
+        # type: () -> deque[tuple[date, int]]
+        """
+        获取持仓队列，返回每笔持仓的开仓时间和数量
+        格式为 [(开仓日期, 持仓数量), ...]
+        """
+        return self._queue.queue
+
     @property
     def _open_orders(self):
         # type: () -> Iterable[Order]
@@ -263,6 +281,69 @@ class Position(AbstractPosition, metaclass=PositionMeta):
                 yield order
 
 
+class PositionQueue:
+    def __init__(self):
+        self._queue: Deque[Tuple[date, int]] = deque()
+
+    def set_sate(self, state: List[Tuple[date, int]]):
+        self._queue = deque(state)
+
+    def handle_trade(self, delta_quantity, trading_date: date, close_today: bool = False):
+        if delta_quantity == 0:
+            return
+        if self._queue and self._queue[0][1] * delta_quantity < 0:
+            # 从正平仓到负或者从负平仓到正
+            if close_today:
+                # 强制先平今
+                d, qty_in_queue = self._queue[-1]
+                if d >= trading_date:
+                    if abs(qty_in_queue) <= abs(delta_quantity):
+                        delta_quantity += qty_in_queue
+                        self._queue.pop()
+                    else:
+                        self._queue[-1] = (d, qty_in_queue + delta_quantity)
+                        delta_quantity = 0
+            while delta_quantity and self._queue:
+                d, qty_in_queue = self._queue[0]
+                if abs(qty_in_queue) <= abs(delta_quantity):
+                    # 当前持仓批次全部平掉
+                    delta_quantity += qty_in_queue
+                    self._queue.popleft()
+                else:
+                    # 当前持仓批次部分平掉
+                    self._queue[0] = (d, qty_in_queue + delta_quantity)
+                    delta_quantity = 0
+            if delta_quantity != 0:
+                # queue 消耗光了，delta_quantity 还没消耗完
+                self._queue.append((trading_date, delta_quantity))
+        else:
+            # 开仓
+            if self._queue and self._queue[-1][0] == trading_date:
+                # 当日已有开仓，更新数量
+                _, quantity = self._queue.pop()
+                self._queue.append((trading_date, quantity + delta_quantity))
+            else:
+                # 当日首次开仓
+                self._queue.append((trading_date, delta_quantity))
+
+    def handle_split(self, ratio: Decimal, expected_quantity):
+        self._queue = deque(
+            (d, round(Decimal(q) * ratio)) for d, q in self._queue
+        )
+        diff = expected_quantity - sum(q for _, q in self._queue)
+        if diff != 0:
+            # 有可能因为 round 的原因导致差1股
+            self._queue[-1] = (self._queue[-1][0], self._queue[-1][1] + diff)
+
+
+    def clear(self):
+        self._queue.clear()
+
+    @property
+    def queue(self):
+        return self._queue.copy()
+
+
 class PositionProxy(metaclass=PositionProxyMeta):
     __repr_properties__ = (
         "order_book_id", "positions"

{rqalpha-5.5.2 → rqalpha-5.5.4}/rqalpha/utils/testing/fixtures.py

@@ -1,6 +1,7 @@
 import os
 import pickle
 from contextlib import contextmanager
+from datetime import date
 
 import six
 
@@ -18,7 +19,11 @@ class RQAlphaFixture(object):
 class EnvironmentFixture(RQAlphaFixture):
     def __init__(self, *args, **kwargs):
         super(EnvironmentFixture, self).__init__(*args, **kwargs)
-        self.env_config = {}
+        self.env_config = {
+            "base":{
+                "start_date": date(2016, 1, 1)
+            }
+        }
         self.env = None
 
     def init_fixture(self):
@@ -72,7 +77,8 @@ class BaseDataSourceFixture(TempDirFixture, EnvironmentFixture):
 
         self.env_config = {
             "base": {
-                "accounts": {"STOCK": 100}
+                "accounts": {"STOCK": 100},
+                "start_date": date(2016, 1, 1),
             }
         }
 

{rqalpha-5.5.2 → rqalpha-5.5.4/rqalpha.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rqalpha
-Version: 5.5.2
+Version: 5.5.4
 Summary: Ricequant Algorithm Trading System
 Home-page: https://github.com/ricequant/rqalpha
 Author: ricequant

{rqalpha-5.5.2 → rqalpha-5.5.4}/rqalpha.egg-info/SOURCES.txt

@@ -176,6 +176,7 @@ tests/api_tests/test_api_base.py
 tests/api_tests/test_api_future.py
 tests/api_tests/test_api_stock.py
 tests/api_tests/test_config.py
+tests/api_tests/test_position_queue.py
 tests/api_tests/utils.py
 tests/api_tests/mod/__init__.py
 tests/api_tests/mod/sys_accounts/__init__.py

{rqalpha-5.5.2 → rqalpha-5.5.4}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = rqalpha
-version = 5.5.2
+version = 5.5.4
 
 [versioneer]
 VCS = git