rqalpha 5.6.2__tar.gz → 5.6.3__tar.gz

{rqalpha-5.6.2/rqalpha.egg-info → rqalpha-5.6.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rqalpha
-Version: 5.6.2
+Version: 5.6.3
 Summary: Ricequant Algorithm Trading System
 Home-page: https://github.com/ricequant/rqalpha
 Author: ricequant

{rqalpha-5.6.2 → rqalpha-5.6.3}/rqalpha/_version.py

@@ -8,11 +8,11 @@ import json
 
 version_json = '''
 {
- "date": "2025-08-12T16:39:32+0800",
+ "date": "2025-09-05T11:19:11+0800",
  "dirty": false,
  "error": null,
- "full-revisionid": "df666766edc9f646d9064cedd7c841d58fa67a46",
- "version": "5.6.2"
+ "full-revisionid": "d0e492f70e623217ee944de8899985bc73f983fa",
+ "version": "5.6.3"
 }
 '''  # END VERSION_JSON
 

{rqalpha-5.6.2 → rqalpha-5.6.3}/rqalpha/apis/api_base.py

@@ -876,7 +876,9 @@ def symbol(order_book_id, sep=", "):
     EXECUTION_PHASE.ON_BAR,
     EXECUTION_PHASE.ON_TICK,
     EXECUTION_PHASE.SCHEDULED,
-    EXECUTION_PHASE.GLOBAL
+    EXECUTION_PHASE.GLOBAL,
+    EXECUTION_PHASE.BEFORE_TRADING,
+    EXECUTION_PHASE.AFTER_TRADING,
 )
 def deposit(account_type: str, amount: float, receiving_days: int = 0):
     """
@@ -897,7 +899,9 @@ def deposit(account_type: str, amount: float, receiving_days: int = 0):
     EXECUTION_PHASE.ON_BAR,
     EXECUTION_PHASE.ON_TICK,
     EXECUTION_PHASE.SCHEDULED,
-    EXECUTION_PHASE.GLOBAL
+    EXECUTION_PHASE.GLOBAL,
+    EXECUTION_PHASE.BEFORE_TRADING,
+    EXECUTION_PHASE.AFTER_TRADING,
 )
 @apply_rules(
     verify_that("account_type").is_in(DEFAULT_ACCOUNT_TYPE),

{rqalpha-5.6.2 → rqalpha-5.6.3}/rqalpha/config.yml

@@ -46,7 +46,8 @@ base:
   auto_update_bundle: false
   # 自动下载的 bundle 文件支持单独设置存储路径，若不设置则使用 data_bundle_path 路径
   auto_update_bundle_path: ~
-
+  # 一年交易日天数，默认使用DAYS_CNT.TRADING_DAYS_A_YEAR
+  custom_trading_days_a_year: ~
 
 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，

{rqalpha-5.6.2 → rqalpha-5.6.3}/rqalpha/environment.py

@@ -22,10 +22,11 @@ from typing import TYPE_CHECKING
 
 import rqalpha
 from rqalpha.core.events import EventBus, Event, EVENT
-from rqalpha.const import INSTRUMENT_TYPE
+from rqalpha.const import INSTRUMENT_TYPE, DAYS_CNT
 from rqalpha.utils.logger import system_log, user_log, user_system_log
 from rqalpha.core.global_var import GlobalVars
 from rqalpha.utils.i18n import gettext as _
+from rqalpha.utils.class_helper import cached_property
 from rqalpha.const import SIDE
 if TYPE_CHECKING:
     from rqalpha.model.order import Order
@@ -61,6 +62,7 @@ class Environment(object):
         self._default_frontend_validators = []
         self._transaction_cost_decider_dict = {}
         self.rqdatac_init = rqdatac_init # type: Boolean
+        self._trading_days_a_year = None
 
         # Environment.event_bus used in StrategyUniverse()
         from rqalpha.core.strategy_universe import StrategyUniverse
@@ -216,3 +218,10 @@ class Environment(object):
                 if not v.can_submit_order(order, account):
                     return False
         return True
+    
+    @cached_property
+    def trading_days_a_year(self):
+        self._trading_days_a_year = getattr(self.config.base, 'custom_trading_days_a_year', DAYS_CNT.TRADING_DAYS_A_YEAR)
+        if self._trading_days_a_year is None:
+            self._trading_days_a_year = DAYS_CNT.TRADING_DAYS_A_YEAR
+        return self._trading_days_a_year

{rqalpha-5.6.2 → rqalpha-5.6.3}/rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py

@@ -57,7 +57,9 @@ getcontext().prec = 10
 export_as_api(industry_code, name='industry_code')
 export_as_api(sector_code, name='sector_code')
 
+
 KSH_MIN_AMOUNT = 200
+BJSE_MIN_AMOUNT = 100
 
 
 def _get_account_position_ins(id_or_ins):
@@ -76,6 +78,9 @@ def _round_order_quantity(ins, quantity, method: Callable = int) -> int:
     if ins.type == "CS" and ins.board_type == "KSH":
         # KSH can buy(sell) 201, 202 shares
         return 0 if abs(quantity) < KSH_MIN_AMOUNT else int(quantity)
+    elif ins.type == "CS" and ins.board_type == "BJS":
+        # BJSE can buy(sell) 101, 202 shares
+        return 0 if abs(quantity) < BJSE_MIN_AMOUNT else int(quantity)
     else:
         round_lot = ins.round_lot
         try:

{rqalpha-5.6.2 → rqalpha-5.6.3}/rqalpha/mod/rqalpha_mod_sys_analyser/__init__.py

@@ -108,7 +108,6 @@ def plot(result_pickle_file_path, show, plot_save_file, plot_open_close_points,
     from .plot import plot_result
 
     result_dict = pd.read_pickle(result_pickle_file_path)
-    print(plot_open_close_points, plot_weekly_indicators)
     plot_result(result_dict, show, plot_save_file, plot_weekly_indicators, plot_open_close_points)
 
 

{rqalpha-5.6.2 → rqalpha-5.6.3}/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py

@@ -27,7 +27,7 @@ from typing import Dict, Optional, List, Tuple, Union, Iterable
 
 import numpy as np
 import pandas as pd
-from rqrisk import Risk, WEEKLY, MONTHLY
+from rqrisk import Risk, DAILY, WEEKLY, MONTHLY
 
 from rqalpha.const import EXIT_CODE, DEFAULT_ACCOUNT_TYPE, INSTRUMENT_TYPE, POSITION_DIRECTION
 from rqalpha.core.events import EVENT
@@ -36,7 +36,6 @@ from rqalpha.utils.i18n import gettext as _
 from rqalpha.utils import INST_TYPE_IN_STOCK_ACCOUNT
 from rqalpha.utils.datetime_func import convert_int_to_date
 from rqalpha.utils.logger import user_system_log
-from rqalpha.const import DAYS_CNT
 from rqalpha.api import export_as_api
 from .plot.consts import DefaultPlot, PLOT_TEMPLATE
 from .plot.utils import max_ddd as _max_ddd
@@ -359,9 +358,10 @@ class AnalyserMod(AbstractMod):
                 summary["benchmark"] = ",".join(f"{o}:{w}" for o, w in self._benchmark)
                 summary["benchmark_symbol"] = ",".join(f"{self._env.data_proxy.instrument(o).symbol if o not in self.NULL_OID else 'null'}:{w}" for o, w in self._benchmark)
 
+        trading_days_a_year = self._env.trading_days_a_year
         risk_free_rate = data_proxy.get_risk_free_rate(self._env.config.base.start_date, self._env.config.base.end_date)
         risk = Risk(
-            np.array(self._portfolio_daily_returns), np.array(self._benchmark_daily_returns), risk_free_rate
+            np.array(self._portfolio_daily_returns), np.array(self._benchmark_daily_returns), risk_free_rate, period=DAILY, trading_days_a_year=trading_days_a_year
         )
         summary.update({
             'alpha': risk.alpha,
@@ -406,7 +406,9 @@ class AnalyserMod(AbstractMod):
             benchmark_total_returns = (np.array(self._benchmark_daily_returns) + 1.0).prod() - 1.0
             summary['benchmark_total_returns'] = benchmark_total_returns
             date_count = len(self._benchmark_daily_returns)
-            benchmark_annualized_returns = (benchmark_total_returns + 1) ** (DAYS_CNT.TRADING_DAYS_A_YEAR / date_count) - 1
+            # 获取一年交易日天数
+            trading_days_a_year = self._env.trading_days_a_year
+            benchmark_annualized_returns = (benchmark_total_returns + 1) ** (trading_days_a_year / date_count) - 1
             summary['benchmark_annualized_returns'] = benchmark_annualized_returns
 
         trades = pd.DataFrame(self._trades)
@@ -416,6 +418,9 @@ class AnalyserMod(AbstractMod):
         df = pd.DataFrame(self._total_portfolios)
         df['date'] = pd.to_datetime(df['date'])
         total_portfolios = df.set_index('date').sort_index()
+        if self._benchmark:
+            total_portfolios["benchmark_unit_net_value"] = (self._benchmark_daily_returns + 1).cumprod()
+            total_portfolios["excess_unit_net_value"] = total_portfolios["unit_net_value"] - total_portfolios["benchmark_unit_net_value"]
         df.index = df['date']
         weekly_nav = df.resample("W").last().set_index("date").unit_net_value.dropna()
         monthly_nav = df.resample("M").last().set_index("date").unit_net_value.dropna()

{rqalpha-5.6.2 → rqalpha-5.6.3}/rqalpha/mod/rqalpha_mod_sys_analyser/plot/plot.py

@@ -26,6 +26,7 @@ from matplotlib import gridspec, ticker, image as mpimg, pyplot
 
 import rqalpha
 from rqalpha.const import POSITION_EFFECT
+from rqalpha.utils.logger import system_log
 from .utils import IndicatorInfo, LineInfo, max_dd as _max_dd, SpotInfo, max_ddd as _max_ddd
 from .utils import weekly_returns, trading_dates_index
 from .consts import PlotTemplate, DefaultPlot
@@ -245,6 +246,8 @@ def plot_result(
 
     _plot(summary["strategy_file"], sub_plots, strategy_name)
 
+    system_log.debug(f"Matplotlib backend: {pyplot.get_backend()}")
+    
     if save:
         file_path = save
         if os.path.isdir(save):

{rqalpha-5.6.2 → rqalpha-5.6.3}/rqalpha/mod/rqalpha_mod_sys_analyser/report/report.py

@@ -25,7 +25,7 @@ from collections import ChainMap, defaultdict
 from pandas import Series, DataFrame
 
 from rqrisk import Risk
-from rqrisk import WEEKLY, MONTHLY
+from rqrisk import DAILY, WEEKLY, MONTHLY
 from rqalpha.environment import Environment
 
 from rqalpha.mod.rqalpha_mod_sys_analyser.plot.utils import max_dd as _max_dd
@@ -71,7 +71,8 @@ def _yearly_indicators(
         excess_nav = (p_year_returns + 1).cumprod() / (b_year_returns + 1).cumprod()
         excess_max_dd = _max_dd(excess_nav.values, excess_nav.index)
         max_dd = _max_dd(p_nav[year_slice].values, p_nav[year_slice].index)
-        risk = Risk(p_year_returns, b_year_returns, risk_free_rates[year])
+        trading_days_a_year = Environment.get_instance().trading_days_a_year
+        risk = Risk(p_year_returns, b_year_returns, risk_free_rates[year], period=DAILY, trading_days_a_year=trading_days_a_year)
         data["year"].append(year)
         data["returns"].append(risk.return_rate)
         data["benchmark_returns"].append(risk.benchmark_return)
@@ -142,7 +143,8 @@ def _pressure_test(
         else:
             b_period_returns = Series(index=p_period_returns.index)
         risk_free_rate = env.data_proxy.get_risk_free_rate(start, end)
-        risk = Risk(p_period_returns, b_period_returns, risk_free_rate)
+        trading_days_a_year = env.trading_days_a_year
+        risk = Risk(p_period_returns, b_period_returns, risk_free_rate, period=DAILY, trading_days_a_year=trading_days_a_year)
         data["title"].append(title)
         data["start_date"].append(str(start))
         data["end_date"].append(str(end))

{rqalpha-5.6.2 → rqalpha-5.6.3}/rqalpha/portfolio/__init__.py

@@ -24,7 +24,7 @@ import jsonpickle
 import numpy as np
 import six
 
-from rqalpha.const import DAYS_CNT, DEFAULT_ACCOUNT_TYPE, POSITION_DIRECTION, RUN_TYPE
+from rqalpha.const import DEFAULT_ACCOUNT_TYPE, POSITION_DIRECTION, RUN_TYPE
 from rqalpha.environment import Environment
 from rqalpha.core.events import EVENT, EventBus
 from rqalpha.interface import AbstractPosition
@@ -194,7 +194,8 @@ class Portfolio(object, metaclass=PropertyReprMeta):
 
         env = Environment.get_instance()
         date_count = float(env.data_proxy.count_trading_dates(env.config.base.start_date, env.trading_dt.date()))
-        return self.unit_net_value ** (DAYS_CNT.TRADING_DAYS_A_YEAR / date_count) - 1
+        trading_days_a_year = env.trading_days_a_year
+        return self.unit_net_value ** (trading_days_a_year / date_count) - 1
 
     @property
     def total_value(self):
@@ -274,6 +275,7 @@ class Portfolio(object, metaclass=PropertyReprMeta):
         """出入金"""
         # 入金 现金增加，份额增加，总权益增加，单位净值不变
         # 出金 现金减少，份额减少，总权益减少，单位净值不变
+        account_type = account_type.upper()
         if account_type not in self._accounts:
             raise ValueError(_("invalid account type {}, choose in {}".format(account_type, list(self._accounts.keys()))))
         unit_net_value = self.unit_net_value

{rqalpha-5.6.2 → rqalpha-5.6.3/rqalpha.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rqalpha
-Version: 5.6.2
+Version: 5.6.3
 Summary: Ricequant Algorithm Trading System
 Home-page: https://github.com/ricequant/rqalpha
 Author: ricequant

{rqalpha-5.6.2 → rqalpha-5.6.3}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = rqalpha
-version = 5.6.2
+version = 5.6.3
 
 [versioneer]
 VCS = git

{rqalpha-5.6.2 → rqalpha-5.6.3}/tests/api_tests/test_api_base.py

@@ -448,7 +448,7 @@ def test_order_to():
     return locals()
 
 
-def test_deposit():
+def test_deposit_and_withdraw():
     __config__ = {
         "base": {
             "accounts": {
@@ -506,3 +506,72 @@ def test_deposit():
             assert int(context.portfolio.accounts["STOCK"].cash) == int(context.cash) + 10000
 
     return locals()
+
+
+def test_deposit_withdraw_before_and_after_trading():
+    __config__ = {
+        "base": {
+            "accounts": {
+                "stock": 100000000,
+                "future": 100000000,
+            }
+        },
+    }
+
+    def init(context):
+        context.counter = 0
+
+        context.stock = '000001.XSHE'
+        context.future = 'IF88'
+
+    def before_trading(context):
+        context.counter += 1
+        if context.counter == 2:
+            unit_net_value = context.portfolio.unit_net_value
+            units = context.portfolio.units
+            total_value = context.portfolio.total_value
+            cash = context.portfolio.accounts["STOCK"].cash
+            deposit("STOCK", 50000000)
+            assert int(context.portfolio.accounts["STOCK"].cash) == int(cash) + 50000000
+            assert context.portfolio.units > units
+            assert context.portfolio.total_value > total_value
+            assert context.portfolio.unit_net_value == unit_net_value
+        elif context.counter == 3:
+            unit_net_value = context.portfolio.unit_net_value
+            units = context.portfolio.units
+            total_value = context.portfolio.total_value
+            cash = context.portfolio.accounts["FUTURE"].cash
+            flag = withdraw("FUTURE", 50000000)
+            assert context.portfolio.accounts["FUTURE"].cash == cash - 50000000
+            assert context.portfolio.units < units
+            assert context.portfolio.total_value < total_value
+            assert context.portfolio.unit_net_value == unit_net_value
+
+    def handle_bar(context, bar_dict):
+        if context.counter == 1:
+            order(context.stock, 200)
+            order(context.future, -100)
+
+    def after_trading(context):
+        if context.counter == 4:
+            unit_net_value = context.portfolio.unit_net_value
+            units = context.portfolio.units
+            total_value = context.portfolio.total_value
+            cash = context.portfolio.accounts["STOCK"].cash
+            withdraw("STOCK", 50000000)
+            assert context.portfolio.accounts["STOCK"].cash == cash - 50000000
+            assert context.portfolio.units < units
+            assert context.portfolio.total_value < total_value
+            assert context.portfolio.unit_net_value == unit_net_value
+        elif context.counter == 5:
+            unit_net_value = context.portfolio.unit_net_value
+            units = context.portfolio.units
+            total_value = context.portfolio.total_value
+            cash = context.portfolio.accounts["FUTURE"].cash
+            deposit("FUTURE", 50000000)
+            assert context.portfolio.accounts["FUTURE"].cash == cash + 50000000
+            assert context.portfolio.units > units
+            assert context.portfolio.total_value > total_value
+            assert context.portfolio.unit_net_value == unit_net_value
+
+    return locals()