feat: add Quant OS A-share baseline
This commit is contained in:
@@ -0,0 +1,485 @@
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# coding: gbk
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"""QMT built-in Python 3.6 strategy wrapper. Keep this source ASCII-only."""
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# __PORTABLE_CORE_BUNDLE_START__
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from quant60.portable_core import build_rebalance_plan, convert_symbol
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# __PORTABLE_CORE_BUNDLE_END__
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import datetime
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import math
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class PriceHistoryUnavailable(RuntimeError):
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pass
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class UnmanagedPositionError(RuntimeError):
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pass
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class UnsupportedStrategyPeriod(RuntimeError):
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pass
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class G(object):
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pass
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# QMT explicitly documents that custom attributes written to ContextInfo can
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# roll back before the next handlebar call. Keep all user-owned mutable state
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# in a module global and use ContextInfo only for platform-owned fields/APIs.
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g = G()
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# __BASELINE_CONFIG_START__
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CONFIG = {
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"account_id": "test",
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"universe_mode": "pit_index",
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"index_symbol": "000905.XSHG",
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"qmt_sector_name": "\u4e2d\u8bc1500",
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"dedicated_account_required": True,
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"exclude_st": True,
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"universe": [
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"600000.SH",
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"000001.SZ",
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"300750.SZ",
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"000333.SZ",
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],
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"lookback": 20,
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# T close is the signal clock; quickTrade=0 executes on the next step.
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"skip": 0,
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"top_n": 20,
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"max_weight": 0.05,
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"gross_target": 0.95,
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"cash_buffer": 0.02,
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"lot_size": 100,
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"participation_rate": 0.1,
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"slippage_bps": 2.0,
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"commission_rate": 0.0002,
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"minimum_commission": 5.0,
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"stamp_duty_rate": 0.0005,
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"transfer_fee_rate": 0.00001,
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"rebalance_schedule": "weekly_first_close",
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}
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# __BASELINE_CONFIG_END__
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def _param(ContextInfo, name, default=None):
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params = getattr(ContextInfo, "_param", {})
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if isinstance(params, dict) and name in params:
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return params[name]
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return default
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def init(ContextInfo):
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period = str(
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getattr(ContextInfo, "period", _param(ContextInfo, "period", "1d"))
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).strip().lower()
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if period not in ("1d", "day"):
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raise UnsupportedStrategyPeriod(
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"quant60 QMT wrapper requires a 1d driving period"
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)
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g.config = dict(CONFIG)
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for key in CONFIG:
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override = _param(ContextInfo, "q60_" + key, None)
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if override is not None:
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g.config[key] = override
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if (
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g.config.get("rebalance_schedule")
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!= "weekly_first_close"
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):
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raise UnsupportedStrategyPeriod(
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"unsupported rebalance_schedule"
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)
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if g.config.get("universe_mode") not in ("pit_index", "fixed"):
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raise UnsupportedStrategyPeriod("unsupported universe_mode")
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if (
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g.config.get("universe_mode") == "pit_index"
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and not g.config.get("dedicated_account_required")
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):
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raise UnsupportedStrategyPeriod(
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"pit_index mode requires a dedicated account"
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)
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set_commission = getattr(ContextInfo, "set_commission", None)
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set_slippage = getattr(ContextInfo, "set_slippage", None)
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if not callable(set_commission) or not callable(set_slippage):
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raise UnsupportedStrategyPeriod(
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"QMT backtest commission/slippage APIs are unavailable"
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)
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commission = (
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float(g.config["commission_rate"])
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+ float(g.config["transfer_fee_rate"])
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)
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set_commission(
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0,
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[
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0.0,
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float(g.config["stamp_duty_rate"]),
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commission,
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commission,
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0.0,
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float(g.config["minimum_commission"]),
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],
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)
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set_slippage(
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2,
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float(g.config["slippage_bps"]) / 10000.0,
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)
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g.last_week = None
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g.last_plan = None
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g.last_universe = None
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g.last_universe_as_of = None
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if (
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g.config.get("universe_mode") == "fixed"
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and hasattr(ContextInfo, "set_universe")
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):
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ContextInfo.set_universe(g.config["universe"])
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def _bar_datetime(ContextInfo):
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timetag = ContextInfo.get_bar_timetag(ContextInfo.barpos)
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return datetime.datetime.fromtimestamp(float(timetag) / 1000.0)
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def _series_close(frame):
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if frame is None:
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return []
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if hasattr(frame, "__getitem__"):
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try:
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values = frame["close"]
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if hasattr(values, "tolist"):
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values = values.tolist()
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return list(values)
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except (KeyError, TypeError):
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pass
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if isinstance(frame, dict):
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values = frame.get("close", [])
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return list(values)
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return []
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def _decision_universe(ContextInfo, membership_timetag):
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config = g.config
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if config.get("universe_mode") == "fixed":
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values = list(config["universe"])
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else:
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function = getattr(
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ContextInfo,
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"get_stock_list_in_sector",
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None,
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)
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if not callable(function):
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raise PriceHistoryUnavailable(
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"historical sector membership API is unavailable"
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)
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values = function(
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config["qmt_sector_name"],
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int(membership_timetag),
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)
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if not values:
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raise PriceHistoryUnavailable(
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"no PIT index members for %s on %s"
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% (config["index_symbol"], membership_timetag)
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)
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normalized = sorted(
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set(convert_symbol(symbol, "qmt") for symbol in values)
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)
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if not normalized:
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raise PriceHistoryUnavailable("decision universe is empty")
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g.last_universe = list(normalized)
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g.last_universe_as_of = int(membership_timetag)
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return normalized
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def _history(ContextInfo, end_time, universe):
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config = g.config
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count = int(config["lookback"]) + int(config["skip"]) + 1
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raw = ContextInfo.get_market_data_ex(
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fields=["close"],
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stock_code=universe,
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period="1d",
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start_time="",
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end_time=end_time,
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count=count,
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dividend_type="front_ratio",
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fill_data=False,
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subscribe=False,
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)
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output = {}
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for symbol in universe:
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values = _series_close(raw.get(symbol))
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if len(values) != count:
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raise PriceHistoryUnavailable(
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"%s needs %d completed daily closes, got %d"
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% (symbol, count, len(values))
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)
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clean = []
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for value in values:
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try:
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number = float(value)
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except (TypeError, ValueError):
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raise PriceHistoryUnavailable(
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"%s contains a missing/non-numeric close" % symbol
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)
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if not math.isfinite(number) or number <= 0.0:
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raise PriceHistoryUnavailable(
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"%s contains a missing/non-positive close" % symbol
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)
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clean.append(number)
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output[convert_symbol(symbol, "canonical")] = clean
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return output
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def _filter_st_universe(ContextInfo, universe, decision_date):
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if not g.config.get("exclude_st", True):
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return list(universe)
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function = getattr(ContextInfo, "get_his_st_data", None)
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if not callable(function):
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raise PriceHistoryUnavailable(
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"historical ST API is unavailable; QMT VIP ST data is required"
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)
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output = []
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for symbol in universe:
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raw = function(symbol)
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if not isinstance(raw, dict):
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raise PriceHistoryUnavailable(
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"%s historical ST query returned an invalid payload" % symbol
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)
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excluded = False
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for status in ("ST", "*ST", "PT"):
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periods = raw.get(status, [])
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if not isinstance(periods, (list, tuple)):
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raise PriceHistoryUnavailable(
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"%s historical %s periods are invalid" % (symbol, status)
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)
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for period in periods:
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if (
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not isinstance(period, (list, tuple))
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or len(period) != 2
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):
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raise PriceHistoryUnavailable(
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"%s historical %s period is invalid"
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% (symbol, status)
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)
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start = str(period[0])
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end = str(period[1])
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if (
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len(start) != 8
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or len(end) != 8
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or not start.isdigit()
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or not end.isdigit()
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or start > end
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):
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raise PriceHistoryUnavailable(
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"%s historical %s date range is invalid"
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% (symbol, status)
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)
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if start <= decision_date <= end:
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excluded = True
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if not excluded:
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output.append(symbol)
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if not output:
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raise PriceHistoryUnavailable(
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"PIT ST exclusion removed the entire decision universe"
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)
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g.last_universe = list(output)
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return output
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def _get_attr(obj, names, default=0):
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for name in names:
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if hasattr(obj, name):
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value = getattr(obj, name)
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if value is not None:
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return value
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return default
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def _trade_details(ContextInfo, kind):
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account_id = g.config["account_id"]
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if hasattr(ContextInfo, "get_trade_detail_data"):
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return ContextInfo.get_trade_detail_data(account_id, "STOCK", kind)
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fn = globals().get("get_trade_detail_data")
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if fn is None:
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return []
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return fn(account_id, "STOCK", kind)
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def _portfolio(ContextInfo, managed):
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current = {}
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sellable = {}
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managed = set(
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convert_symbol(symbol, "canonical")
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for symbol in managed
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)
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dynamic = g.config.get("universe_mode") == "pit_index"
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for position in _trade_details(ContextInfo, "position") or []:
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code = str(
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_get_attr(position, ["stock_code", "m_strInstrumentID"], "")
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)
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market = str(_get_attr(position, ["market", "m_strExchangeID"], ""))
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if "." not in code and market:
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code = code + "." + market
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if not code:
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continue
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canonical = convert_symbol(code, "canonical")
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quantity = int(
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_get_attr(position, ["volume", "m_nVolume", "total_amount"], 0)
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)
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if quantity and canonical not in managed and not dynamic:
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raise UnmanagedPositionError(
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"account contains unmanaged position %s; use a dedicated "
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"strategy account or reconcile ownership before trading" % canonical
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)
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if canonical not in managed and not dynamic:
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continue
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current[canonical] = quantity
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sellable[canonical] = int(
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_get_attr(
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position,
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["can_use_volume", "m_nCanUseVolume", "closeable_amount"],
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current[canonical],
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)
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)
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equity = 0.0
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assets = _trade_details(ContextInfo, "account") or []
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if assets:
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equity = float(
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_get_attr(
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assets[0],
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["total_asset", "m_dBalance", "m_dTotalAsset", "asset"],
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0.0,
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)
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)
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if equity <= 0:
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equity = float(_param(ContextInfo, "asset", 0.0) or 0.0)
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return current, sellable, equity
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def compute_plan(ContextInfo, bar_time=None):
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if bar_time is None:
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bar_time = _bar_datetime(ContextInfo)
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membership_timetag = int(
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ContextInfo.get_bar_timetag(ContextInfo.barpos)
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)
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end_time = bar_time.strftime("%Y%m%d")
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universe = _decision_universe(ContextInfo, membership_timetag)
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universe = _filter_st_universe(
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ContextInfo,
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universe,
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end_time,
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)
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history = _history(ContextInfo, end_time, universe)
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current, sellable, equity = _portfolio(ContextInfo, universe)
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if equity <= 0:
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raise ValueError("QMT account equity must be positive")
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config = g.config
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return build_rebalance_plan(
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price_history=history,
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current=current,
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sellable=sellable,
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equity=equity,
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lookback=config["lookback"],
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skip=config["skip"],
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top_n=config["top_n"],
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max_weight=config["max_weight"],
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gross_target=config["gross_target"],
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cash_buffer=config["cash_buffer"],
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lot_size=config["lot_size"],
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)
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def _orders_allowed(ContextInfo):
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# This hosted wrapper is deliberately backtest-only. Its cached account
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# query and in-memory weekly marker cannot provide crash-safe live
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# idempotency or a complete fresh reconciliation barrier. Real/shadow
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# broker integration belongs behind the external XtTrader adapter.
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return _is_backtest(ContextInfo)
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def _is_backtest(ContextInfo):
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if hasattr(ContextInfo, "do_back_test"):
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value = getattr(ContextInfo, "do_back_test")
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if callable(value):
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value = value()
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if value is True:
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return True
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mode = str(
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getattr(ContextInfo, "trade_mode", _param(ContextInfo, "trade_mode", ""))
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).strip().lower()
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return mode == "backtest"
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def _submit_delta(ContextInfo, canonical, delta, week_key):
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config = g.config
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order_code = convert_symbol(canonical, "qmt")
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operation = 23 if delta > 0 else 24
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volume = abs(int(delta))
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user_order_id = "q60-%04d%02d-%s" % (
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int(week_key[0]),
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int(week_key[1]),
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order_code.split(".")[0],
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)
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function = globals()["passorder"]
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arg_count = getattr(getattr(function, "__code__", None), "co_argcount", 11)
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if arg_count <= 8:
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# qmttools native-Python compatibility signature.
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function(
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operation,
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1101,
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config["account_id"],
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order_code,
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5,
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-1,
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volume,
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ContextInfo,
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)
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else:
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# QMT built-in hosted signature.
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function(
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operation,
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1101,
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config["account_id"],
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order_code,
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5,
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-1,
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volume,
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"quant60",
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0,
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user_order_id,
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ContextInfo,
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)
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def handlebar(ContextInfo):
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if not _is_backtest(ContextInfo) and hasattr(ContextInfo, "is_last_bar"):
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if not ContextInfo.is_last_bar():
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return None
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bar_time = _bar_datetime(ContextInfo)
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year, week, unused = bar_time.isocalendar()
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del unused
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week_key = (year, week)
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if g.last_week is None:
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# The strategy may be attached to a run in the middle of a week.
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# Treat the first observed week as an initialization window; only a
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# later ISO-week transition proves that this is the first observed
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# trading session of a complete strategy week.
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g.last_week = week_key
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return None
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if g.last_week == week_key:
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return None
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plan = compute_plan(ContextInfo, bar_time)
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g.last_week = week_key
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g.last_plan = plan
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if not _orders_allowed(ContextInfo):
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return plan
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# Sells before buys. passorder is the QMT-hosted order boundary.
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ordered = sorted(plan["orders"].items(), key=lambda item: item[1])
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for canonical, delta in ordered:
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if int(delta) != 0:
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_submit_delta(ContextInfo, canonical, delta, week_key)
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return plan
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