tea-bond 0.3.11__tar.gz → 0.3.12__tar.gz

{tea_bond-0.3.11 → tea_bond-0.3.12}/Cargo.lock

@@ -2195,7 +2195,7 @@ dependencies = [
 
 [[package]]
 name = "pybond"
-version = "0.3.11"
+version = "0.3.12"
 dependencies = [
  "chrono",
  "itertools 0.14.0",
@@ -3117,7 +3117,7 @@ dependencies = [
 
 [[package]]
 name = "tea-bond"
-version = "0.3.11"
+version = "0.3.12"
 dependencies = [
  "anyhow",
  "chrono",
@@ -3136,7 +3136,7 @@ dependencies = [
 
 [[package]]
 name = "tea-calendar"
-version = "0.3.11"
+version = "0.3.12"
 dependencies = [
  "chrono",
 ]

{tea_bond-0.3.11 → tea_bond-0.3.12}/Cargo.toml

@@ -4,7 +4,7 @@ default-members = ["tea-bond", "tea-calendar"]
 resolver = "2"
 
 [workspace.package]
-version = "0.3.11"
+version = "0.3.12"
 edition = "2024"
 
 [workspace.dependencies]

{tea_bond-0.3.11 → tea_bond-0.3.12}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: tea-bond
-Version: 0.3.11
+Version: 0.3.12
 Classifier: Programming Language :: Rust
 Classifier: Programming Language :: Python :: Implementation :: CPython
 Classifier: Programming Language :: Python :: Implementation :: PyPy

{tea_bond-0.3.11 → tea_bond-0.3.12}/pybond/bond.py

@@ -1,14 +1,16 @@
 from __future__ import annotations
 
 import os
-from datetime import date
 from importlib.util import find_spec
 from pathlib import Path
+from typing import TYPE_CHECKING
 
 from .pybond import Bond as _BondRS
 from .pybond import Future, download_bond
 
-# from .ffi.utils import set_bond_data_path
+if TYPE_CHECKING:
+    from datetime import date
+
 
 WIND_AVAILABLE = find_spec("WindPy") is not None
 

{tea_bond-0.3.11/pybond → tea_bond-0.3.12}/pybond/download.py

@@ -8,8 +8,6 @@ from pathlib import Path
 from WindPy import w
 
 default_save_folder = Path("bonds_info")
-# if not default_save_folder.exists():
-#     default_save_folder.mkdir()
 
 
 def save_json(path: Path | str, data: dict) -> None:

{tea_bond-0.3.11 → tea_bond-0.3.12}/pybond/pd.py

@@ -1,12 +1,16 @@
 from __future__ import annotations
 
-import pandas as pd
+from typing import TYPE_CHECKING
+
 import polars as pl
 
 from .pl import Bonds as PlBonds
 from .pl import Futures as PlFutures
 from .pl import TfEvaluators as PlTfEvaluators
 
+if TYPE_CHECKING:
+    import pandas as pd
+
 
 class TfEvaluators:
     """

{tea_bond-0.3.11/pybond → tea_bond-0.3.12}/pybond/pnl.py

@@ -108,3 +108,33 @@ def calc_bond_trade_pnl(
         symbol="calc_bond_trade_pnl",
         is_elementwise=False,
     )
+
+
+def trading_from_pos(
+    time: IntoExpr,
+    pos: IntoExpr,
+    open: IntoExpr,
+    finish_price: IntoExpr | None = None,
+    cash: float = 1e8,
+    multiplier: float = 1,
+    qty_tick: float = 1.0,
+    *,
+    stop_on_finish: bool = False,
+) -> pl.Expr:
+    time = parse_into_expr(time)
+    pos = parse_into_expr(pos)
+    open = parse_into_expr(open)
+    finish_price = parse_into_expr(finish_price)
+    kwargs = {
+        "cash": cash,
+        "multiplier": multiplier,
+        "qty_tick": qty_tick,
+        "stop_on_finish": stop_on_finish,
+        "finish_price": None,
+    }
+    return register_plugin(
+        args=[time, pos, open, finish_price],
+        kwargs=kwargs,
+        symbol="trading_from_pos",
+        is_elementwise=False,
+    )

{tea_bond-0.3.11 → tea_bond-0.3.12}/pybond/polars_utils.py

@@ -2,11 +2,13 @@ from __future__ import annotations
 
 import re
 from pathlib import Path
-from typing import TYPE_CHECKING, Any, Sequence
+from typing import TYPE_CHECKING, Any
 
 import polars as pl
 
 if TYPE_CHECKING:
+    from collections.abc import Sequence
+
     from polars.type_aliases import IntoExpr, PolarsDataType
 
 

{tea_bond-0.3.11 → tea_bond-0.3.12}/pybond/pybond/bond.py

@@ -1,14 +1,16 @@
 from __future__ import annotations
 
 import os
-from datetime import date
 from importlib.util import find_spec
 from pathlib import Path
+from typing import TYPE_CHECKING
 
 from .pybond import Bond as _BondRS
 from .pybond import Future, download_bond
 
-# from .ffi.utils import set_bond_data_path
+if TYPE_CHECKING:
+    from datetime import date
+
 
 WIND_AVAILABLE = find_spec("WindPy") is not None
 

{tea_bond-0.3.11 → tea_bond-0.3.12/pybond}/pybond/download.py

@@ -8,8 +8,6 @@ from pathlib import Path
 from WindPy import w
 
 default_save_folder = Path("bonds_info")
-# if not default_save_folder.exists():
-#     default_save_folder.mkdir()
 
 
 def save_json(path: Path | str, data: dict) -> None:

{tea_bond-0.3.11 → tea_bond-0.3.12}/pybond/pybond/pd.py

@@ -1,12 +1,16 @@
 from __future__ import annotations
 
-import pandas as pd
+from typing import TYPE_CHECKING
+
 import polars as pl
 
 from .pl import Bonds as PlBonds
 from .pl import Futures as PlFutures
 from .pl import TfEvaluators as PlTfEvaluators
 
+if TYPE_CHECKING:
+    import pandas as pd
+
 
 class TfEvaluators:
     """

{tea_bond-0.3.11 → tea_bond-0.3.12/pybond}/pybond/pnl.py

@@ -108,3 +108,33 @@ def calc_bond_trade_pnl(
         symbol="calc_bond_trade_pnl",
         is_elementwise=False,
     )
+
+
+def trading_from_pos(
+    time: IntoExpr,
+    pos: IntoExpr,
+    open: IntoExpr,
+    finish_price: IntoExpr | None = None,
+    cash: float = 1e8,
+    multiplier: float = 1,
+    qty_tick: float = 1.0,
+    *,
+    stop_on_finish: bool = False,
+) -> pl.Expr:
+    time = parse_into_expr(time)
+    pos = parse_into_expr(pos)
+    open = parse_into_expr(open)
+    finish_price = parse_into_expr(finish_price)
+    kwargs = {
+        "cash": cash,
+        "multiplier": multiplier,
+        "qty_tick": qty_tick,
+        "stop_on_finish": stop_on_finish,
+        "finish_price": None,
+    }
+    return register_plugin(
+        args=[time, pos, open, finish_price],
+        kwargs=kwargs,
+        symbol="trading_from_pos",
+        is_elementwise=False,
+    )

{tea_bond-0.3.11 → tea_bond-0.3.12}/pybond/pybond/polars_utils.py

@@ -2,11 +2,13 @@ from __future__ import annotations
 
 import re
 from pathlib import Path
-from typing import TYPE_CHECKING, Any, Sequence
+from typing import TYPE_CHECKING, Any
 
 import polars as pl
 
 if TYPE_CHECKING:
+    from collections.abc import Sequence
+
     from polars.type_aliases import IntoExpr, PolarsDataType
 
 

{tea_bond-0.3.11 → tea_bond-0.3.12}/pybond/src/pnl.rs

@@ -86,7 +86,7 @@ pub fn pnl_report_vec_to_series(reports: &[PnlReport]) -> Series {
     res.into_series()
 }
 
-fn get_output_type(_input_fields: &[Field]) -> PolarsResult<Field> {
+fn get_pnl_output_type(_input_fields: &[Field]) -> PolarsResult<Field> {
     let dtype = DataType::Struct(vec![
         Field::new("pos".into(), DataType::Float64),
         Field::new("avg_price".into(), DataType::Float64),
@@ -101,57 +101,99 @@ fn get_output_type(_input_fields: &[Field]) -> PolarsResult<Field> {
     Ok(Field::new("pnl_report".into(), dtype))
 }
 
-// #[polars_expr(output_type_func=get_output_type)]
-// fn calc_bond_trade_pnl(inputs: &[Series], kwargs: BondTradePnlOpt) -> PolarsResult<Series> {
-//     let (time, qty, clean_price, clean_close) = (&inputs[0], &inputs[1], &inputs[2], &inputs[3]);
-//     let (qty, clean_price, clean_close) = auto_cast!(Float64(qty, clean_price, clean_close));
-//     let time = match time.dtype() {
-//         DataType::Date => time.clone(),
-//         _ => time.cast(&DataType::Date)?,
-//     };
-//     let profit_vec = pnl::calc_bond_trade_pnl(
-//         time.date()?.physical(),
-//         qty.f64()?,
-//         clean_price.f64()?,
-//         clean_close.f64()?,
-//         &kwargs,
-//     );
-//     let out = pnl_report_vec_to_series(&profit_vec);
-//     Ok(out)
-// }
-
-
-
-#[polars_expr(output_type_func=get_output_type)]
+#[polars_expr(output_type_func=get_pnl_output_type)]
 fn calc_bond_trade_pnl(inputs: &[Series], kwargs: BondTradePnlOpt) -> PolarsResult<Series> {
-    let (symbol, time, qty, clean_price, clean_close) = (&inputs[0], &inputs[1], &inputs[2], &inputs[3], &inputs[4]);
+    let (symbol, time, qty, clean_price, clean_close) =
+        (&inputs[0], &inputs[1], &inputs[2], &inputs[3], &inputs[4]);
     let symbol = auto_cast!(String(symbol));
     let symbol = if let Some(s) = symbol.str()?.iter().next() {
         s
     } else {
-        return Ok(pnl_report_vec_to_series(&[]))
+        return Ok(pnl_report_vec_to_series(&[]));
     };
     let (qty, clean_price, clean_close) = auto_cast!(Float64(qty, clean_price, clean_close));
     let time = match time.dtype() {
         DataType::Date => time.clone(),
         _ => time.cast(&DataType::Date)?,
     };
-    let opt = BondTradePnlOpt {
-        bond_info_path: kwargs.bond_info_path,
-        multiplier: kwargs.multiplier,
-        fee: kwargs.fee,
-        borrowing_cost: kwargs.borrowing_cost,
-        capital_rate: kwargs.capital_rate,
-        begin_state: kwargs.begin_state
-    };
     let profit_vec = pnl::calc_bond_trade_pnl(
         symbol,
         time.date()?.physical(),
         qty.f64()?,
         clean_price.f64()?,
         clean_close.f64()?,
-        &opt,
+        &kwargs,
     );
     let out = pnl_report_vec_to_series(&profit_vec);
     Ok(out)
 }
+
+fn get_trading_output_type(input_fields: &[Field]) -> PolarsResult<Field> {
+    let dtype = DataType::Struct(vec![
+        input_fields[0].clone(), // time
+        Field::new("price".into(), DataType::Float64),
+        Field::new("qty".into(), DataType::Float64),
+    ]);
+    Ok(Field::new("pnl_report".into(), dtype))
+}
+
+#[polars_expr(output_type_func=get_trading_output_type)]
+fn trading_from_pos(inputs: &[Series], mut kwargs: pnl::TradeFromPosOpt) -> PolarsResult<Series> {
+    use pyo3_polars::export::polars_core::utils::CustomIterTools;
+    use tevec::export::polars::prelude::*;
+    let (time, pos, open, finish_price) = (&inputs[0], &inputs[1], &inputs[2], &inputs[3]);
+    let (pos, open, finish_price) = auto_cast!(Float64(pos, open, finish_price));
+    if let Some(p) = finish_price.f64()?.iter().next() {
+        kwargs.finish_price = p
+    };
+    let res = match time.dtype() {
+        DataType::Date => {
+            let trade_vec =
+                pnl::trading_from_pos(time.date()?.physical(), pos.f64()?, open.f64()?, &kwargs);
+            let time: Int32Chunked = trade_vec.iter().map(|t| t.time).collect_trusted();
+            let time = time.into_date().into_series();
+            let price: Float64Chunked = trade_vec.iter().map(|t| Some(t.price)).collect_trusted();
+            let price = price.into_series();
+            let qty: Float64Chunked = trade_vec.iter().map(|t| Some(t.qty)).collect_trusted();
+            StructChunked::from_series(
+                "trade".into(),
+                time.len(),
+                [
+                    time.with_name("time".into()),
+                    price.into_series().with_name("price".into()),
+                    qty.into_series().with_name("qty".into()),
+                ]
+                .iter(),
+            )
+            .unwrap()
+            .into_series()
+        }
+        _ => {
+            let time_ca = time.datetime()?;
+            let time_unit = time_ca.time_unit();
+            let time_zone = time_ca.time_zone();
+            let trade_vec =
+                pnl::trading_from_pos(time_ca.physical(), pos.f64()?, open.f64()?, &kwargs);
+            let time: Int64Chunked = trade_vec.iter().map(|t| t.time).collect_trusted();
+            let time = time
+                .into_datetime(time_unit, time_zone.clone())
+                .into_series();
+            let price: Float64Chunked = trade_vec.iter().map(|t| Some(t.price)).collect_trusted();
+            let price = price.into_series();
+            let qty: Float64Chunked = trade_vec.iter().map(|t| Some(t.qty)).collect_trusted();
+            StructChunked::from_series(
+                "trade".into(),
+                time.len(),
+                [
+                    time.with_name("time".into()),
+                    price.into_series().with_name("price".into()),
+                    qty.into_series().with_name("qty".into()),
+                ]
+                .iter(),
+            )
+            .unwrap()
+            .into_series()
+        }
+    };
+    Ok(res)
+}

{tea_bond-0.3.11 → tea_bond-0.3.12}/pybond/test.py

@@ -2,6 +2,7 @@ import datetime
 
 import numpy as np
 import polars as pl
+from IPython.display import display
 
 # import os
 # os.environ["POLARS_VERBOSE"] = "1"
@@ -10,6 +11,34 @@ from pybond.pd import Bonds as PdBonds
 from pybond.pd import TfEvaluators as PdTfEvaluators
 from pybond.pd import find_workday as pd_find_workday
 from pybond.pl import Bonds, TfEvaluators, find_workday, is_business_day
+from pybond.pnl import trading_from_pos
+
+signal_df = (
+    pl.DataFrame(
+        {
+            "time": pl.date_range(
+                start=datetime.date(2025, 8, 1),
+                end=datetime.date(2025, 8, 8),
+                eager=True,
+            ),
+            "pos": [1.0, 0.5, 0.2, 0.4, 0, -0.1, -0.1, 1],
+            "price": [100, 101, 102, 103, 104, 105, 106, 107],
+        }
+    )
+    .select(
+        trading_from_pos(
+            pl.col("time").cast(pl.Datetime("ms")),
+            "pos",
+            "price",
+            finish_price=110,
+            cash=10000,
+            stop_on_finish=True,
+        )
+    )
+    .unnest("time")
+    .with_columns(cum_qty=pl.col("qty").cum_sum())
+)
+display(signal_df)
 
 e = TfEvaluator("T2509", 250205, "2025-07-15", 100, 0.02, 0.018)
 e.net_basis_spread

{tea_bond-0.3.11 → tea_bond-0.3.12}/tea-bond/src/pnl/mod.rs

@@ -1,4 +1,7 @@
 mod fee;
+mod trade_from_signal;
+
+pub use trade_from_signal::{TradeFromPosOpt, trading_from_pos};
 
 use std::path::PathBuf;
 

tea_bond-0.3.12/tea-bond/src/pnl/trade_from_signal.rs

@@ -0,0 +1,112 @@
+use itertools::izip;
+use serde::Deserialize;
+use tevec::prelude::{EPS, IsNone, Number, Vec1View};
+// use super::EPOCH;
+
+pub struct Trade<T> {
+    pub time: T,
+    pub price: f64,
+    pub qty: f64,
+}
+
+#[derive(Deserialize)]
+pub struct TradeFromPosOpt {
+    // pub symbol: SmallStr,
+    pub cash: f64,
+    pub multiplier: f64,
+    pub qty_tick: f64,
+    pub stop_on_finish: bool,
+    pub finish_price: Option<f64>,
+}
+
+const INIT_TRADE_COUNT: usize = 512;
+
+fn quantize_inside(q: f64, tick: f64) -> f64 {
+    if tick <= 0.0 {
+        return q;
+    }
+    if q >= 0.0 {
+        (q / tick).floor() * tick // 买单向下取整
+    } else {
+        (q / tick).ceil() * tick // 卖单向上取整（数值更接近 0）
+    }
+}
+
+pub fn trading_from_pos<DT, T, VT, V>(
+    time_vec: &VT,
+    pos_vec: &V,
+    open_vec: &V,
+    opt: &TradeFromPosOpt,
+) -> Vec<Trade<DT>>
+where
+    DT: Clone,
+    T: IsNone,
+    T::Inner: Number,
+    VT: Vec1View<DT>,
+    V: Vec1View<T>,
+{
+    let mut last_pos = 0.;
+    let mut open_price: f64 = 0.;
+    let mut open_qty: f64 = 0.;
+    let mut trades = Vec::with_capacity(INIT_TRADE_COUNT);
+
+    // 记录最后一个可用 (time, price)，用于 stop_on_finish
+    let mut last_tp: Option<(DT, f64)> = None;
+
+    izip!(time_vec.titer(), pos_vec.titer(), open_vec.titer()).for_each(|(time, pos, open)| {
+        if pos.not_none() && open.not_none() {
+            let pos = pos.unwrap().f64();
+            let price = open.unwrap().f64();
+
+            // 记录最新可用的时间与价格
+            last_tp = Some((time.clone(), price));
+
+            let dpos = pos - last_pos;
+            if dpos.abs() > EPS {
+                // 目标名义 -> 成交量（正买负卖）
+                let qty = if pos.abs() > EPS {
+                    let p = if open_price > 0. { open_price } else { price };
+                    let raw_qty = dpos * opt.cash / (p * opt.multiplier);
+                    // 量化到最小变动单位（朝 0 截断，避免超买/超卖）
+                    quantize_inside(raw_qty, opt.qty_tick)
+                } else {
+                    -open_qty
+                };
+                if dpos.signum() == open_qty.signum() {
+                    open_price = (open_price * open_qty + qty * price) / (qty + open_qty)
+                } else if open_qty.abs() > qty.abs() {
+                    // 反向加仓, 价格为新的开仓价格
+                    open_price = price
+                };
+                // 减仓情况的价格不改变
+
+                // 若量化后仍非 0，则下单
+                if qty.abs() > 0.0 {
+                    trades.push(Trade {
+                        time: time.clone(),
+                        price,
+                        qty,
+                    });
+                    open_qty += qty;
+                }
+            }
+
+            // 维持 last_pos 为目标（策略）层面的持仓比例/规模
+            last_pos = pos;
+        }
+    });
+
+    // 收尾是否强制平仓
+    if opt.stop_on_finish && open_qty != 0.0 {
+        if let Some((t, p)) = last_tp {
+            let p = if let Some(p) = opt.finish_price { p } else { p };
+            trades.push(Trade {
+                time: t,
+                price: p,
+                qty: -open_qty,
+            });
+        }
+    }
+
+    trades
+}