rqalpha 5.6.3__tar.gz → 5.6.4.1__tar.gz

{rqalpha-5.6.3/rqalpha.egg-info → rqalpha-5.6.4.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rqalpha
-Version: 5.6.3
+Version: 5.6.4.1
 Summary: Ricequant Algorithm Trading System
 Home-page: https://github.com/ricequant/rqalpha
 Author: ricequant

{rqalpha-5.6.3 → rqalpha-5.6.4.1}/rqalpha/_version.py

@@ -8,11 +8,11 @@ import json
 
 version_json = '''
 {
- "date": "2025-09-05T11:19:11+0800",
+ "date": "2025-10-20T09:44:02+0800",
  "dirty": false,
  "error": null,
- "full-revisionid": "d0e492f70e623217ee944de8899985bc73f983fa",
- "version": "5.6.3"
+ "full-revisionid": "ee348892ac6549336208628bc177acf53a267644",
+ "version": "5.6.4.1"
 }
 '''  # END VERSION_JSON
 

{rqalpha-5.6.3 → rqalpha-5.6.4.1}/rqalpha/const.py

@@ -158,6 +158,7 @@ class INSTRUMENT_TYPE(CustomEnum):
     SPOT = "Spot"
     REPO = "Repo"
     REITs = "REITs"
+    FutureArbitrage = "FutureArbitrage"
 
 
 # noinspection PyPep8Naming

{rqalpha-5.6.3 → rqalpha-5.6.4.1}/rqalpha/data/base_data_source/data_source.py

@@ -31,6 +31,7 @@ from rqalpha.utils.datetime_func import (convert_date_to_int, convert_int_to_dat
 from rqalpha.utils.exception import RQInvalidArgument
 from rqalpha.utils.functools import lru_cache
 from rqalpha.utils.typing import DateLike
+from rqalpha.utils.logger import system_log
 from rqalpha.environment import Environment
 from rqalpha.data.base_data_source.adjust import FIELDS_REQUIRE_ADJUSTMENT, adjust_bars
 from rqalpha.data.base_data_source.storage_interface import (AbstractCalendarStore, AbstractDateSet,
@@ -94,10 +95,16 @@ class BaseDataSource(AbstractDataSource):
         instruments = []
         
         env = Environment.get_instance()
+        unsupported_types = []
         with open(_p('instruments.pk'), 'rb') as f:
             for i in pickle.load(f):
                 if i["type"] == "Future" and Instrument.is_future_continuous_contract(i["order_book_id"]):
                     i["listed_date"] = datetime(1990, 1, 1)
+                if i["type"] not in INSTRUMENT_TYPE:
+                    if i["type"] not in unsupported_types:
+                        unsupported_types.append(i["type"])
+                        system_log.warning(f"Unsupported type: {i['type']}")
+                    continue
                 instruments.append(Instrument(
                     i, 
                     lambda i: self._future_info_store.get_tick_size(i),

{rqalpha-5.6.3 → rqalpha-5.6.4.1}/rqalpha/data/base_data_source/storages.py

@@ -135,7 +135,7 @@ class InstrumentStore(AbstractInstrumentStore):
 
         for ins in instruments:
             if ins.type != instrument_type:
-                continue
+                    continue
             self._instruments[ins.order_book_id] = ins
             self._sym_id_map[ins.symbol] = ins.order_book_id
 

{rqalpha-5.6.3 → rqalpha-5.6.4.1}/rqalpha/data/bundle.py

@@ -266,7 +266,12 @@ def gen_future_info(d):
             except AttributeError:
                 # FIXME: why get_dominant return None???
                 continue
-            commission = commission_df[commission_df['order_book_id'] == dominant].iloc[0]
+            
+            dominant_indexer = commission_df["order_book_id"] == dominant
+            if not dominant_indexer.any():
+                # S0301：大豆期货的最后一个合约，该合约出现在 instrument 中，但取不到 commission，这种情况忽略掉
+                continue
+            commission = commission_df[dominant_indexer].iloc[0]
 
             for p in param:
                 future_dict[p] = commission[p]

{rqalpha-5.6.3 → rqalpha-5.6.4.1}/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py

@@ -420,7 +420,8 @@ class AnalyserMod(AbstractMod):
         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"]
+            total_portfolios["arithmetic_excess_unit_net_value"] = total_portfolios["unit_net_value"] - total_portfolios["benchmark_unit_net_value"]
+            total_portfolios["geometric_excess_unit_net_value"] = total_portfolios["unit_net_value"] / total_portfolios["benchmark_unit_net_value"] - 1
         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-5.6.3 → rqalpha-5.6.4.1}/rqalpha/model/instrument.py

@@ -109,7 +109,7 @@ class Instrument(metaclass=PropertyReprMeta):
     def type(self):
         # type: () -> str
         """
-        [sty] 合约类型，目前支持的类型有: ‘CS’, ‘INDX’, ‘LOF’, ‘ETF’, ‘Future’
+        [str] 合约类型，目前支持的类型有: ‘CS’, ‘INDX’, ‘LOF’, ‘ETF’, ‘Future’
         """
         return INSTRUMENT_TYPE[self.__dict__["type"]]
 

{rqalpha-5.6.3 → rqalpha-5.6.4.1/rqalpha.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rqalpha
-Version: 5.6.3
+Version: 5.6.4.1
 Summary: Ricequant Algorithm Trading System
 Home-page: https://github.com/ricequant/rqalpha
 Author: ricequant

{rqalpha-5.6.3 → rqalpha-5.6.4.1}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = rqalpha
-version = 5.6.3
+version = 5.6.4.1
 
 [versioneer]
 VCS = git