2082 lines
67 KiB
Python
2082 lines
67 KiB
Python
# coding: utf-8
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"""JoinQuant hosted wrapper.
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Upload the generated bundle, not this source file, to JoinQuant. The bundle
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tool replaces the marked import block with the exact portable core source.
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"""
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# __PORTABLE_CORE_BUNDLE_START__
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# Inlined by tools/bundle_platforms.py; do not edit this region.
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import hashlib
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import json
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import math
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import re
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_CANONICAL_EXCHANGES = {
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"SH": "XSHG",
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"SSE": "XSHG",
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"XSHG": "XSHG",
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"SZ": "XSHE",
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"SZE": "XSHE",
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"SZSE": "XSHE",
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"XSHE": "XSHE",
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"BJ": "XBSE",
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"BSE": "XBSE",
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"XBSE": "XBSE",
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}
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_SHORT_EXCHANGES = {
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"XSHG": "SH",
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"XSHE": "SZ",
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"XBSE": "BJ",
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}
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_TARGET_PACKAGE_FIELDS = {
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"schema_version",
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"package_type",
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"package_id",
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"decision_id",
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"release",
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"evidence_class",
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"model_id",
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"signal_as_of",
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"next_session",
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"model_sha256",
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"data_sha256",
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"feature_sha256",
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"risk_sha256",
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"cost_sha256",
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"optimizer_sha256",
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"config_sha256",
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"source_sha256",
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"target_weights",
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"universe",
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"constraints",
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"package_sha256",
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}
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_TARGET_PACKAGE_HASH_FIELDS = (
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"model_sha256",
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"data_sha256",
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"feature_sha256",
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"risk_sha256",
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"cost_sha256",
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"optimizer_sha256",
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"config_sha256",
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"source_sha256",
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)
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class TargetPackageLookupMiss(ValueError, LookupError):
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"""An already verified tape has no exact requested decision."""
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def _sum_numeric(values):
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"""Sum numerics without trusting a hosted runtime's global ``sum`` name."""
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total = 0.0
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for value in values:
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total += value
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return total
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def _any_true(values):
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"""Return built-in ``any`` semantics without trusting hosted globals."""
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for value in values:
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if value:
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return True
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return False
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def _infer_exchange(code):
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if code.startswith(("4", "8")):
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return "XBSE"
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if code.startswith(("5", "6", "9")):
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return "XSHG"
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return "XSHE"
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def _split_symbol(symbol):
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if not isinstance(symbol, str):
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raise TypeError("symbol must be a string")
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value = symbol.strip().upper().replace(" ", "")
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if not value:
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raise ValueError("symbol must not be empty")
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match = re.match(r"^(\d{6})\.(XSHG|XSHE|XBSE|SH|SZ|BJ)$", value)
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if match:
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return match.group(1), _CANONICAL_EXCHANGES[match.group(2)]
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match = re.match(r"^(XSHG|XSHE|XBSE|SH|SZ|BJ)[\.:]?(\d{6})$", value)
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if match:
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return match.group(2), _CANONICAL_EXCHANGES[match.group(1)]
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match = re.match(r"^(\d{6})[\.:](SSE|SZE|SZSE|BSE)$", value)
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if match:
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return match.group(1), _CANONICAL_EXCHANGES[match.group(2)]
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if re.match(r"^\d{6}$", value):
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return value, _infer_exchange(value)
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raise ValueError("unsupported A-share symbol: %s" % symbol)
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def normalize_symbol(symbol, target="canonical"):
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"""Convert common A-share codes to canonical/JQ, QMT, or Qlib format."""
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code, exchange = _split_symbol(symbol)
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target_name = str(target).strip().lower()
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if target_name in ("canonical", "joinquant", "jq"):
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return "%s.%s" % (code, exchange)
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if target_name in ("qmt", "xtquant"):
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return "%s.%s" % (code, _SHORT_EXCHANGES[exchange])
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if target_name == "qlib":
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return "%s%s" % (_SHORT_EXCHANGES[exchange], code)
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raise ValueError("unsupported target platform: %s" % target)
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def convert_symbol(symbol, target="canonical"):
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"""Alias kept as the stable adapter-facing name."""
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return normalize_symbol(symbol, target)
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def _canonical_json(value):
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"""Match ``quant60.ledger.canonical_json`` for plain JSON values."""
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return json.dumps(
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value,
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ensure_ascii=False,
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sort_keys=True,
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separators=(",", ":"),
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allow_nan=False,
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)
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def _json_copy(value, name):
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try:
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return json.loads(_canonical_json(value))
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except (TypeError, ValueError) as error:
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raise ValueError("%s must contain finite JSON values only" % name) from error
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def _canonical_mapping(value, name, value_validator):
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if not hasattr(value, "items"):
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raise TypeError("%s must be a mapping" % name)
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output = {}
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for raw_symbol, raw_value in value.items():
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symbol = normalize_symbol(raw_symbol)
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if symbol in output:
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raise ValueError(
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"%s contains duplicate normalized symbol %s" % (name, symbol)
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)
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output[symbol] = value_validator(raw_value, "%s.%s" % (name, symbol))
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return dict((symbol, output[symbol]) for symbol in sorted(output))
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def _finite_non_negative(value, name):
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if isinstance(value, bool):
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raise ValueError("%s must be a finite non-negative number" % name)
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try:
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numeric = float(value)
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except (TypeError, ValueError):
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raise ValueError("%s must be a finite non-negative number" % name)
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if not math.isfinite(numeric) or numeric < 0.0:
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raise ValueError("%s must be a finite non-negative number" % name)
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return numeric
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def _non_negative_quantity(value, name):
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numeric = _finite_non_negative(value, name)
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if numeric != math.floor(numeric):
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raise ValueError("%s must be a whole-share quantity" % name)
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return int(numeric)
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def _positive_price(value, name):
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numeric = _finite_non_negative(value, name)
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if numeric <= 0.0:
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raise ValueError("%s must be positive" % name)
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return numeric
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def _optional_non_empty_string(value, name):
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if value is None:
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return None
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if not isinstance(value, str) or not value.strip():
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raise ValueError("%s must be a non-empty string when provided" % name)
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return value
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def _sha256_hex(value, name, allow_none=False):
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if value is None and allow_none:
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return None
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if (
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not isinstance(value, str)
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or len(value) != 64
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or _any_true(
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character not in "0123456789abcdef"
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for character in value
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)
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):
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raise ValueError(
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"%s must be a 64-character lowercase SHA-256 digest" % name
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)
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if value == "0" * 64:
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raise ValueError("%s cannot be an all-zero placeholder" % name)
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return value
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def _reject_quantity_fields(value, path="$"):
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if hasattr(value, "items"):
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for raw_key, child in value.items():
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key = str(raw_key)
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normalized = key.lower().replace("-", "_")
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if "quantity" in normalized or "quantities" in normalized:
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raise ValueError(
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"%s.%s: quantities do not belong in TargetPackageV1"
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% (path, key)
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)
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_reject_quantity_fields(child, "%s.%s" % (path, key))
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elif isinstance(value, list):
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for index, child in enumerate(value):
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_reject_quantity_fields(child, "%s[%d]" % (path, index))
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def _verify_identifier(value, name):
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if (
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not isinstance(value, str)
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or re.match(r"^[A-Za-z0-9][A-Za-z0-9._:-]{0,127}$", value) is None
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):
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raise ValueError("%s is not a canonical identifier" % name)
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return value
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def _verify_target_package_clock(signal_as_of, next_session):
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if (
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not isinstance(signal_as_of, str)
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or re.match(
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r"^[0-9]{4}-[0-9]{2}-[0-9]{2}T15:00:00\+08:00$",
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signal_as_of,
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)
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is None
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):
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raise ValueError("signal_as_of must be canonical China-market close")
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if (
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not isinstance(next_session, str)
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or re.match(r"^[0-9]{4}-[0-9]{2}-[0-9]{2}$", next_session) is None
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):
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raise ValueError("next_session must use canonical YYYY-MM-DD")
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if next_session <= signal_as_of[:10]:
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raise ValueError("next_session must follow signal_as_of")
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def _target_package_content_sha256(package):
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body = dict(package)
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body.pop("package_sha256", None)
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_reject_quantity_fields(body)
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try:
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payload = _canonical_json(body).encode("utf-8")
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except (TypeError, ValueError) as error:
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raise ValueError(
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"target package must contain finite JSON values only"
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) from error
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return hashlib.sha256(payload).hexdigest()
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def verify_target_package(
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package,
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expected_signal_as_of=None,
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expected_next_session=None,
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expected_decision_id=None,
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expected_package_sha256=None,
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):
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"""Verify the platform-critical subset of a sealed ``TargetPackageV1``.
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This intentionally duplicates a small, Python-3.6-compatible safety
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boundary from the richer local validator. Hosted runtimes must verify the
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embedded package again instead of trusting the bundling process.
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"""
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if not hasattr(package, "items"):
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raise TypeError("target package must be a mapping")
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candidate = _json_copy(package, "target package")
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_reject_quantity_fields(candidate)
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fields = set(candidate)
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if fields != _TARGET_PACKAGE_FIELDS:
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missing = sorted(_TARGET_PACKAGE_FIELDS - fields)
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unknown = sorted(fields - _TARGET_PACKAGE_FIELDS)
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raise ValueError(
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"target package fields mismatch; missing=%s, unknown=%s"
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% (missing, unknown)
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)
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if candidate["schema_version"] != "1.0":
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raise ValueError("unsupported target package schema_version")
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if candidate["package_type"] != "TargetPackageV1":
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raise ValueError("unsupported target package type")
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for name in (
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"package_id",
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"decision_id",
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"release",
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"evidence_class",
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"model_id",
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):
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_verify_identifier(candidate[name], name)
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_verify_target_package_clock(
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candidate["signal_as_of"], candidate["next_session"]
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)
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for name in _TARGET_PACKAGE_HASH_FIELDS:
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_sha256_hex(candidate[name], name)
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_sha256_hex(candidate["package_sha256"], "package_sha256")
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raw_weights = candidate["target_weights"]
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if not hasattr(raw_weights, "items") or not raw_weights:
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raise ValueError("target_weights must be a non-empty mapping")
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weights = {}
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for raw_symbol, raw_weight in raw_weights.items():
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symbol = normalize_symbol(raw_symbol)
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if symbol != raw_symbol:
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raise ValueError(
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"target_weights symbol must be canonical: %s" % raw_symbol
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)
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if symbol in weights:
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raise ValueError("duplicate target weight for %s" % symbol)
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weight = _finite_non_negative(
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raw_weight, "target_weights.%s" % symbol
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)
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if weight > 1.0:
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raise ValueError("target weight exceeds one for %s" % symbol)
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weights[symbol] = weight
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gross = math.fsum(weights.values())
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if gross > 1.0 + 1e-12:
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raise ValueError("target_weights gross exceeds one")
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universe = candidate["universe"]
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if not hasattr(universe, "items") or not universe:
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raise ValueError("universe must be a non-empty mapping")
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canonical_universe = {}
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for raw_symbol, raw_state in universe.items():
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symbol = normalize_symbol(raw_symbol)
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if symbol != raw_symbol:
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raise ValueError("universe symbol must be canonical: %s" % raw_symbol)
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if symbol in canonical_universe:
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raise ValueError("duplicate universe symbol %s" % symbol)
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if not hasattr(raw_state, "items"):
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raise ValueError("universe state must be a mapping for %s" % symbol)
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state = raw_state.get("state")
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if state not in (
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"openable",
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"hold_only",
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"sell_only",
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"frozen",
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"excluded",
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):
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raise ValueError("unsupported universe state for %s" % symbol)
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canonical_universe[symbol] = state
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missing_universe = sorted(set(weights) - set(canonical_universe))
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if missing_universe:
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raise ValueError(
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"target symbols are absent from universe: %s" % missing_universe
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)
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for symbol, weight in weights.items():
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if canonical_universe[symbol] == "excluded" and weight > 1e-12:
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raise ValueError("excluded symbol has positive weight: %s" % symbol)
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constraints = candidate["constraints"]
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if not hasattr(constraints, "items"):
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raise ValueError("constraints must be a mapping")
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if constraints.get("long_only") is not True:
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raise ValueError("TargetPackageV1 must be long-only")
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declared_gross = _finite_non_negative(
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constraints.get("actual_gross_weight"),
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"constraints.actual_gross_weight",
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)
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max_gross = _finite_non_negative(
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constraints.get("max_gross_weight"),
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"constraints.max_gross_weight",
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)
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max_single = _finite_non_negative(
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constraints.get("max_single_weight"),
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"constraints.max_single_weight",
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)
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if abs(declared_gross - gross) > 1e-12:
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raise ValueError("declared gross does not equal target_weights gross")
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if gross > max_gross + 1e-12 or max_gross > 1.0:
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raise ValueError("target_weights exceed max_gross_weight")
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if max_single <= 0.0 or max_single > 1.0:
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raise ValueError("invalid max_single_weight")
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if _any_true(
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weight > max_single + 1e-12 for weight in weights.values()
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):
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raise ValueError("target_weights exceed max_single_weight")
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model_claim = " ".join(
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(
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candidate["release"],
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candidate["evidence_class"],
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)
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).lower()
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if (
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"baseline" in model_claim
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and "portable-momentum" in candidate["model_id"].lower()
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):
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raise ValueError(
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"portable-momentum cannot claim a baseline target package"
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)
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expected_hash = _target_package_content_sha256(candidate)
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if candidate["package_sha256"] != expected_hash:
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raise ValueError("target package content hash mismatch")
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if (
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expected_signal_as_of is not None
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and candidate["signal_as_of"] != expected_signal_as_of
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):
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raise ValueError("target package signal_as_of does not match request")
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if (
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expected_next_session is not None
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and candidate["next_session"] != expected_next_session
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):
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raise ValueError("target package next_session does not match request")
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if (
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expected_decision_id is not None
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and candidate["decision_id"] != expected_decision_id
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):
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raise ValueError("target package decision_id does not match request")
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if expected_package_sha256 is not None:
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_sha256_hex(
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expected_package_sha256,
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"expected_package_sha256",
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)
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if candidate["package_sha256"] != expected_package_sha256:
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raise ValueError("target package digest does not match request")
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return candidate
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def target_package_tape_sha256(packages):
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"""Hash the exact ordered canonical JSON package array."""
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if not isinstance(packages, (list, tuple)):
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raise TypeError("target package tape must be a list or tuple")
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try:
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payload = _canonical_json(list(packages)).encode("utf-8")
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except (TypeError, ValueError) as error:
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raise ValueError(
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"target package tape must contain finite JSON values only"
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) from error
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return hashlib.sha256(payload).hexdigest()
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|
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def lookup_target_package_exact(
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packages,
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signal_as_of,
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next_session,
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decision_id=None,
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expected_tape_sha256=None,
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expected_count=None,
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):
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"""Verify a complete tape, then return one exact dual-clock decision."""
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if not isinstance(packages, (list, tuple)) or not packages:
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raise ValueError("target package tape must be a non-empty list or tuple")
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_verify_target_package_clock(signal_as_of, next_session)
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decision_id = _optional_non_empty_string(decision_id, "decision_id")
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if expected_count is not None:
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if (
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isinstance(expected_count, bool)
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or not isinstance(expected_count, int)
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or expected_count < 0
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):
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raise ValueError("expected_count must be a non-negative integer")
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if len(packages) != expected_count:
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raise ValueError("target package tape count mismatch")
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if expected_tape_sha256 is not None:
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_sha256_hex(expected_tape_sha256, "expected_tape_sha256")
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if target_package_tape_sha256(packages) != expected_tape_sha256:
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raise ValueError("target package tape digest mismatch")
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verified = []
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package_ids = set()
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decision_ids = set()
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clock_keys = set()
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for raw_package in packages:
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package = verify_target_package(raw_package)
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clock_key = (package["signal_as_of"], package["next_session"])
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if package["package_id"] in package_ids:
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raise ValueError("duplicate target package_id")
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if package["decision_id"] in decision_ids:
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raise ValueError("duplicate target decision_id")
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if clock_key in clock_keys:
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raise ValueError("duplicate target package clock")
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package_ids.add(package["package_id"])
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decision_ids.add(package["decision_id"])
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clock_keys.add(clock_key)
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verified.append(package)
|
|
|
|
matches = [
|
|
package
|
|
for package in verified
|
|
if package["signal_as_of"] == signal_as_of
|
|
and package["next_session"] == next_session
|
|
]
|
|
if not matches:
|
|
raise TargetPackageLookupMiss(
|
|
"no target package for exact signal_as_of/next_session clock"
|
|
)
|
|
if len(matches) != 1:
|
|
raise ValueError("ambiguous exact target package decision")
|
|
if (
|
|
decision_id is not None
|
|
and matches[0]["decision_id"] != decision_id
|
|
):
|
|
raise ValueError("exact target package decision_id mismatch")
|
|
return _json_copy(matches[0], "target package")
|
|
|
|
|
|
def momentum_score(prices, lookback=20, skip=0):
|
|
"""Return trailing simple momentum, or ``None`` if history is insufficient.
|
|
|
|
``skip=0`` uses the latest completed decision bar. Set ``skip=1`` only
|
|
when intentionally implementing a 20-1 convention. A lookback of N needs
|
|
N+skip+1 observations.
|
|
"""
|
|
|
|
lookback = int(lookback)
|
|
skip = int(skip)
|
|
if lookback <= 0 or skip < 0:
|
|
raise ValueError("lookback must be positive and skip non-negative")
|
|
values = list(prices)
|
|
if len(values) < lookback + skip + 1:
|
|
return None
|
|
end_index = len(values) - 1 - skip
|
|
start_index = end_index - lookback
|
|
start = float(values[start_index])
|
|
end = float(values[end_index])
|
|
if (
|
|
start <= 0.0
|
|
or end <= 0.0
|
|
or not math.isfinite(start)
|
|
or not math.isfinite(end)
|
|
):
|
|
return None
|
|
return end / start - 1.0
|
|
|
|
|
|
def rank_momentum(price_history, lookback=20, skip=0, top_n=None):
|
|
"""Rank ``{symbol: closes}`` by momentum with deterministic tie-breaking."""
|
|
|
|
ranked = []
|
|
for symbol in sorted(price_history):
|
|
score = momentum_score(price_history[symbol], lookback, skip)
|
|
if score is not None and math.isfinite(score):
|
|
ranked.append((normalize_symbol(symbol), score))
|
|
ranked.sort(key=lambda item: (-item[1], item[0]))
|
|
if top_n is not None:
|
|
ranked = ranked[: max(0, int(top_n))]
|
|
return ranked
|
|
|
|
|
|
def capped_target_weights(
|
|
scores, max_weight=0.20, gross_target=1.0, min_score=0.0
|
|
):
|
|
"""Long-only score-proportional weights with iterative cap redistribution."""
|
|
|
|
max_weight = float(max_weight)
|
|
gross_target = float(gross_target)
|
|
min_score = float(min_score)
|
|
if not math.isfinite(max_weight) or not 0.0 < max_weight <= 1.0:
|
|
raise ValueError("max_weight must be finite and lie in (0, 1]")
|
|
if not math.isfinite(gross_target) or not 0.0 <= gross_target <= 1.0:
|
|
raise ValueError("gross_target must be finite and lie in [0, 1]")
|
|
if not math.isfinite(min_score):
|
|
raise ValueError("min_score must be finite")
|
|
|
|
if hasattr(scores, "items"):
|
|
items = list(scores.items())
|
|
else:
|
|
items = list(scores)
|
|
normalized = {}
|
|
for symbol, raw_score in items:
|
|
name = normalize_symbol(symbol)
|
|
score = float(raw_score)
|
|
if not math.isfinite(score):
|
|
raise ValueError("score must be finite for %s" % name)
|
|
normalized[name] = score
|
|
|
|
weights = dict((symbol, 0.0) for symbol in normalized)
|
|
active = dict(
|
|
(symbol, score)
|
|
for symbol, score in normalized.items()
|
|
if score > min_score and score > 0.0
|
|
)
|
|
remaining = min(gross_target, len(active) * max_weight)
|
|
|
|
while active and remaining > 1e-15:
|
|
score_sum = _sum_numeric(active.values())
|
|
if score_sum <= 0.0:
|
|
break
|
|
capped = []
|
|
for symbol in sorted(active):
|
|
proposed = remaining * active[symbol] / score_sum
|
|
if proposed >= max_weight - 1e-15:
|
|
weights[symbol] = max_weight
|
|
capped.append(symbol)
|
|
if not capped:
|
|
for symbol in sorted(active):
|
|
weights[symbol] = remaining * active[symbol] / score_sum
|
|
remaining = 0.0
|
|
break
|
|
for symbol in capped:
|
|
active.pop(symbol)
|
|
remaining -= max_weight
|
|
remaining = max(0.0, remaining)
|
|
return weights
|
|
|
|
|
|
def round_board_lot(quantity, lot_size=100):
|
|
"""Round an absolute long position down to a board-lot quantity."""
|
|
|
|
lot_size = int(lot_size)
|
|
if lot_size <= 0:
|
|
raise ValueError("lot_size must be positive")
|
|
if not math.isfinite(float(quantity)):
|
|
raise ValueError("quantity must be finite")
|
|
quantity = max(0, int(quantity))
|
|
return quantity // lot_size * lot_size
|
|
|
|
|
|
def _is_star_market(symbol):
|
|
code, exchange = _split_symbol(symbol)
|
|
return exchange == "XSHG" and code.startswith(("688", "689"))
|
|
|
|
|
|
def target_quantities(
|
|
weights, prices, equity, lot_size=100, cash_buffer=0.02
|
|
):
|
|
"""Convert target weights to affordable board-lot long quantities."""
|
|
|
|
equity = float(equity)
|
|
cash_buffer = float(cash_buffer)
|
|
if (
|
|
not math.isfinite(equity)
|
|
or equity < 0.0
|
|
or not math.isfinite(cash_buffer)
|
|
or not 0.0 <= cash_buffer < 1.0
|
|
):
|
|
raise ValueError("invalid equity or cash_buffer")
|
|
positive_weights = []
|
|
for raw_symbol, raw_weight in weights.items():
|
|
weight = float(raw_weight)
|
|
if not math.isfinite(weight):
|
|
raise ValueError(
|
|
"weight must be finite for %s" % normalize_symbol(raw_symbol)
|
|
)
|
|
positive_weights.append(max(0.0, weight))
|
|
requested_gross = _sum_numeric(positive_weights)
|
|
gross_ceiling = 1.0 - cash_buffer
|
|
scale = (
|
|
min(1.0, gross_ceiling / requested_gross)
|
|
if requested_gross > 0.0
|
|
else 1.0
|
|
)
|
|
result = {}
|
|
for raw_symbol in sorted(weights):
|
|
symbol = normalize_symbol(raw_symbol)
|
|
weight = float(weights[raw_symbol])
|
|
if not math.isfinite(weight):
|
|
raise ValueError("weight must be finite for %s" % symbol)
|
|
weight = max(0.0, weight)
|
|
price = prices.get(raw_symbol)
|
|
if price is None:
|
|
price = prices.get(symbol)
|
|
if price is None:
|
|
raise KeyError("missing price for %s" % symbol)
|
|
price = float(price)
|
|
if price <= 0.0 or not math.isfinite(price):
|
|
raise ValueError("invalid price for %s" % symbol)
|
|
# Weights are absolute equity weights. cash_buffer is a ceiling, not
|
|
# a second multiplicative haircut: gross=.95 and buffer=.02 stays .95.
|
|
budget = equity * weight * scale
|
|
quantity = round_board_lot(budget / price, lot_size)
|
|
# STAR Market auction orders must contain at least 200 shares. Keep
|
|
# the portable planner conservative and on the configured 100-share
|
|
# grid even though quantities above 200 may increment by one share.
|
|
if _is_star_market(symbol) and 0 < quantity < 200:
|
|
quantity = 0
|
|
result[symbol] = quantity
|
|
return result
|
|
|
|
|
|
def order_deltas(
|
|
targets, current, sellable=None, lot_size=100
|
|
):
|
|
"""Return signed board-lot orders; negative sells respect sellable quantity."""
|
|
|
|
canonical_targets = {}
|
|
canonical_current = {}
|
|
canonical_sellable = {}
|
|
for symbol, quantity in targets.items():
|
|
canonical_targets[normalize_symbol(symbol)] = max(0, int(quantity))
|
|
for symbol, quantity in current.items():
|
|
canonical_current[normalize_symbol(symbol)] = max(0, int(quantity))
|
|
if sellable is not None:
|
|
for symbol, quantity in sellable.items():
|
|
canonical_sellable[normalize_symbol(symbol)] = max(0, int(quantity))
|
|
|
|
result = {}
|
|
symbols = sorted(set(canonical_targets) | set(canonical_current))
|
|
for symbol in symbols:
|
|
target = round_board_lot(canonical_targets.get(symbol, 0), lot_size)
|
|
if _is_star_market(symbol) and 0 < target < 200:
|
|
target = 0
|
|
held = canonical_current.get(symbol, 0)
|
|
delta = target - held
|
|
if delta > 0:
|
|
delta = round_board_lot(delta, lot_size)
|
|
if _is_star_market(symbol) and 0 < delta < 200:
|
|
delta = 0
|
|
elif delta < 0:
|
|
available = held
|
|
if sellable is not None:
|
|
available = min(held, canonical_sellable.get(symbol, 0))
|
|
requested = min(-delta, available)
|
|
# A complete liquidation may submit the entire odd-lot balance.
|
|
# This also covers the STAR exception for a remaining balance
|
|
# below 200 shares. Partial orders stay on the configured grid.
|
|
full_liquidation = (
|
|
target == 0
|
|
and requested == held
|
|
and available >= held
|
|
)
|
|
if full_liquidation:
|
|
delta = -held
|
|
else:
|
|
delta = -round_board_lot(requested, lot_size)
|
|
if _is_star_market(symbol) and 0 < -delta < 200:
|
|
delta = 0
|
|
if delta:
|
|
result[symbol] = delta
|
|
return result
|
|
|
|
|
|
def build_target_weight_plan(
|
|
target_weights,
|
|
prices,
|
|
current,
|
|
sellable,
|
|
equity,
|
|
cash_buffer=0.02,
|
|
lot_size=100,
|
|
decision_id=None,
|
|
package_sha256=None,
|
|
):
|
|
"""Bind canonical post-risk weights to one account without recomputing Alpha.
|
|
|
|
``prices`` must cover exactly every target or currently managed symbol.
|
|
Missing prices fail closed even for a held symbol whose desired weight is
|
|
zero. A missing ``sellable`` entry is safe and means zero sellable shares.
|
|
"""
|
|
|
|
weights = _canonical_mapping(
|
|
target_weights,
|
|
"target_weights",
|
|
_finite_non_negative,
|
|
)
|
|
gross = math.fsum(weights.values())
|
|
if _any_true(weight > 1.0 for weight in weights.values()):
|
|
raise ValueError("target weight must not exceed one")
|
|
if gross > 1.0 + 1e-12:
|
|
raise ValueError("target weight gross must not exceed one")
|
|
|
|
canonical_current = _canonical_mapping(
|
|
current,
|
|
"current",
|
|
_non_negative_quantity,
|
|
)
|
|
canonical_sellable = _canonical_mapping(
|
|
sellable,
|
|
"sellable",
|
|
_non_negative_quantity,
|
|
)
|
|
unknown_sellable = sorted(set(canonical_sellable) - set(canonical_current))
|
|
if unknown_sellable:
|
|
raise ValueError(
|
|
"sellable contains symbols absent from current: %s"
|
|
% unknown_sellable
|
|
)
|
|
for symbol, quantity in canonical_sellable.items():
|
|
if quantity > canonical_current[symbol]:
|
|
raise ValueError(
|
|
"sellable exceeds current quantity for %s" % symbol
|
|
)
|
|
|
|
canonical_prices = _canonical_mapping(
|
|
prices,
|
|
"prices",
|
|
_positive_price,
|
|
)
|
|
managed_symbols = set(weights) | set(canonical_current)
|
|
price_symbols = set(canonical_prices)
|
|
missing_prices = sorted(managed_symbols - price_symbols)
|
|
extra_prices = sorted(price_symbols - managed_symbols)
|
|
if missing_prices or extra_prices:
|
|
if missing_prices:
|
|
raise KeyError(
|
|
"prices do not cover managed symbols: missing=%s"
|
|
% missing_prices
|
|
)
|
|
raise ValueError(
|
|
"prices contain unmanaged symbols: extra=%s" % extra_prices
|
|
)
|
|
|
|
complete_weights = dict(
|
|
(symbol, weights.get(symbol, 0.0))
|
|
for symbol in sorted(managed_symbols)
|
|
)
|
|
targets = target_quantities(
|
|
complete_weights,
|
|
canonical_prices,
|
|
equity,
|
|
lot_size,
|
|
cash_buffer,
|
|
)
|
|
orders = order_deltas(
|
|
targets,
|
|
canonical_current,
|
|
canonical_sellable,
|
|
lot_size,
|
|
)
|
|
decision_id = _optional_non_empty_string(decision_id, "decision_id")
|
|
package_sha256 = _sha256_hex(
|
|
package_sha256,
|
|
"package_sha256",
|
|
allow_none=True,
|
|
)
|
|
return {
|
|
"decision_id": decision_id,
|
|
"package_sha256": package_sha256,
|
|
"weights": complete_weights,
|
|
"targets": targets,
|
|
"orders": orders,
|
|
}
|
|
|
|
|
|
def build_rebalance_plan(
|
|
price_history,
|
|
current,
|
|
sellable,
|
|
equity,
|
|
lookback=20,
|
|
skip=0,
|
|
top_n=10,
|
|
max_weight=0.20,
|
|
gross_target=1.0,
|
|
cash_buffer=0.02,
|
|
lot_size=100,
|
|
):
|
|
"""Build the complete portable signal -> weight -> quantity -> order plan."""
|
|
|
|
ranked = rank_momentum(price_history, lookback, skip, top_n)
|
|
scores = dict(ranked)
|
|
weights = capped_target_weights(scores, max_weight, gross_target, 0.0)
|
|
for raw_symbol in price_history:
|
|
symbol = normalize_symbol(raw_symbol)
|
|
if symbol not in scores:
|
|
scores[symbol] = momentum_score(
|
|
price_history[raw_symbol], lookback, skip
|
|
)
|
|
if symbol not in weights:
|
|
weights[symbol] = 0.0
|
|
prices = {}
|
|
for raw_symbol, history in price_history.items():
|
|
if not history:
|
|
continue
|
|
prices[normalize_symbol(raw_symbol)] = history[-1]
|
|
targets = target_quantities(
|
|
weights, prices, equity, lot_size, cash_buffer
|
|
)
|
|
orders = order_deltas(targets, current, sellable, lot_size)
|
|
return {
|
|
"scores": scores,
|
|
"weights": weights,
|
|
"targets": targets,
|
|
"orders": orders,
|
|
}
|
|
|
|
|
|
__all__ = [
|
|
"build_rebalance_plan",
|
|
"build_target_weight_plan",
|
|
"capped_target_weights",
|
|
"convert_symbol",
|
|
"lookup_target_package_exact",
|
|
"momentum_score",
|
|
"normalize_symbol",
|
|
"order_deltas",
|
|
"rank_momentum",
|
|
"round_board_lot",
|
|
"TargetPackageLookupMiss",
|
|
"target_package_tape_sha256",
|
|
"target_quantities",
|
|
"verify_target_package",
|
|
]
|
|
# __PORTABLE_CORE_BUNDLE_END__
|
|
|
|
import base64 as _q60_base64
|
|
import json as _q60_json
|
|
import math
|
|
|
|
|
|
class PriceHistoryUnavailable(RuntimeError):
|
|
pass
|
|
|
|
|
|
class UnmanagedPositionError(RuntimeError):
|
|
pass
|
|
|
|
|
|
class ClockStateError(RuntimeError):
|
|
pass
|
|
|
|
|
|
# __BASELINE_CONFIG_START__
|
|
# Generated from configs/baseline.json; do not edit this region.
|
|
CONFIG = {'decision_mode': 'target_package',
|
|
'target_package_count': 1,
|
|
'target_package_tape_sha256': '5383c376951637b8d4b1ca42fc6db80347abda74c0181c0f70d6c411fb97ea64',
|
|
'universe_mode': 'fixed',
|
|
'index_symbol': '000905.XSHG',
|
|
'qmt_sector_name': '\u4e2d\u8bc1500',
|
|
'dedicated_account_required': True,
|
|
'exclude_st': True,
|
|
'universe': ['000001.XSHE',
|
|
'000333.XSHE',
|
|
'000651.XSHE',
|
|
'002415.XSHE',
|
|
'002594.XSHE',
|
|
'300059.XSHE',
|
|
'300750.XSHE',
|
|
'600000.XSHG',
|
|
'600519.XSHG',
|
|
'601012.XSHG',
|
|
'601318.XSHG',
|
|
'688981.XSHG'],
|
|
'lookback': 20,
|
|
'skip': 0,
|
|
'top_n': 20,
|
|
'max_weight': 0.05,
|
|
'gross_target': 0.95,
|
|
'cash_buffer': 0.02,
|
|
'lot_size': 100,
|
|
'participation_rate': 0.1,
|
|
'slippage_bps': 2.0,
|
|
'commission_rate': 0.0002,
|
|
'minimum_commission': 5.0,
|
|
'stamp_duty_rate': 0.0005,
|
|
'transfer_fee_rate': 1e-05,
|
|
'rebalance_schedule': 'weekly_first_close'}
|
|
# __BASELINE_CONFIG_END__
|
|
|
|
# __TARGET_PACKAGE_TAPE_START__
|
|
# Generated by tools/bundle_platforms.py; do not edit this region.
|
|
TARGET_PACKAGES = [{'config_sha256': 'e4edf1eb730597e220266c1f8007ddb5e1ab4d26a490cd10738823527d030470',
|
|
'constraints': {'actual_gross_weight': 0.4,
|
|
'constraint_state': 'FEASIBLE',
|
|
'long_only': True,
|
|
'max_gross_weight': 0.9,
|
|
'max_one_way_turnover': 0.45,
|
|
'max_single_weight': 0.1},
|
|
'cost_sha256': 'e2a2d8e6d3829c105a9f6c9ec80d9df18c2dee0553aafeb761abb79d378769a7',
|
|
'data_sha256': 'f5b3e66b0a94eeccb44a114bf3a0bbfad44b5d5da9d5b698c81e83a3e0007d03',
|
|
'decision_id': 'RD-20240311',
|
|
'evidence_class': 'synthetic-research',
|
|
'feature_sha256': '24e671cebc35afe7497b69c59d48bb5bad9401e30c1607f0fc41a69f59082aa1',
|
|
'model_id': 'deterministic-ridge-alpha-5',
|
|
'model_sha256': 'e14e8df7e2f86e6b3178a6e500d1d2c0427bb02d187b13cb4ec672bbf5f9f334',
|
|
'next_session': '2024-03-12',
|
|
'optimizer_sha256': 'b6aba6ab22fc375e89e4bfbdffb10c7261a2fae01b0183265caacb589643c31e',
|
|
'package_id': 'TP-20240311-795dcfba',
|
|
'package_sha256': 'baa15c8156aa6cb54d3775d0cd562613a9d0a4f15b0c39f2a60e0f8b8c6f1f3a',
|
|
'package_type': 'TargetPackageV1',
|
|
'release': 'quant60-research-candidate-v1',
|
|
'risk_sha256': 'a3d95aa6cd569d2452856b148df053b040b2acc2e6b993bbd1072b48b46cde5a',
|
|
'schema_version': '1.0',
|
|
'signal_as_of': '2024-03-11T15:00:00+08:00',
|
|
'source_sha256': '86c1e0514f608b2012b4084dbc947eada90e8015fccbdf8ae13ae99340ede178',
|
|
'target_weights': {'000001.XSHE': 0.0,
|
|
'000333.XSHE': 0.0,
|
|
'000651.XSHE': 0.0,
|
|
'002415.XSHE': 0.0,
|
|
'002594.XSHE': 0.0,
|
|
'300059.XSHE': 0.0,
|
|
'300750.XSHE': 0.0,
|
|
'600000.XSHG': 0.0,
|
|
'600519.XSHG': 0.1,
|
|
'601012.XSHG': 0.1,
|
|
'601318.XSHG': 0.1,
|
|
'688981.XSHG': 0.1},
|
|
'universe': {'000001.XSHE': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'000333.XSHE': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'000651.XSHE': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'002415.XSHE': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'002594.XSHE': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'300059.XSHE': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'300750.XSHE': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'600000.XSHG': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'600519.XSHG': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'601012.XSHG': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'601318.XSHG': {'reasons': ['ELIGIBLE'], 'state': 'openable'},
|
|
'688981.XSHG': {'reasons': ['ELIGIBLE'], 'state': 'openable'}}}]
|
|
# __TARGET_PACKAGE_TAPE_END__
|
|
|
|
|
|
MOMENTUM_SMOKE_MODE = "portable_momentum_smoke"
|
|
TARGET_PACKAGE_MODE = "target_package"
|
|
EVIDENCE_PREFIX = "QUANT60_JOINQUANT_EVIDENCE_V1 "
|
|
EVIDENCE_CHUNK_CHARACTERS = 1800
|
|
TARGET_PRICE_SOURCE = "CURRENT_DATA_DAY_OPEN"
|
|
|
|
|
|
def _evidence_value(value, depth=0):
|
|
"""Return stable JSON data without allowing observation to stop trading."""
|
|
if depth > 8:
|
|
return "<max-depth>"
|
|
if value is None or isinstance(value, (bool, int, str)):
|
|
return value
|
|
if isinstance(value, float):
|
|
return value if math.isfinite(value) else None
|
|
if isinstance(value, dict):
|
|
return {
|
|
str(key): _evidence_value(item, depth + 1)
|
|
for key, item in sorted(
|
|
value.items(),
|
|
key=lambda pair: str(pair[0]),
|
|
)
|
|
}
|
|
if isinstance(value, (list, tuple)):
|
|
return [_evidence_value(item, depth + 1) for item in value]
|
|
isoformat = getattr(value, "isoformat", None)
|
|
if callable(isoformat):
|
|
try:
|
|
return str(isoformat())
|
|
except Exception:
|
|
return "<isoformat-error>"
|
|
try:
|
|
return str(value)
|
|
except Exception:
|
|
return "<string-error>"
|
|
|
|
|
|
def _evidence_context_time(context):
|
|
try:
|
|
return _evidence_value(getattr(context, "current_dt", None))
|
|
except Exception:
|
|
return None
|
|
|
|
|
|
def _emit_evidence(
|
|
event,
|
|
payload=None,
|
|
context=None,
|
|
chunk_index=None,
|
|
chunk_count=None,
|
|
):
|
|
"""Print one prefixed canonical JSON record and always fail soft."""
|
|
try:
|
|
sequence = int(
|
|
getattr(g, "quant60_evidence_sequence", 0) or 0
|
|
) + 1
|
|
g.quant60_evidence_sequence = sequence
|
|
record = {
|
|
"context_time": _evidence_context_time(context),
|
|
"decision_mode": getattr(
|
|
g,
|
|
"quant60_decision_mode",
|
|
CONFIG.get("decision_mode"),
|
|
),
|
|
"event": str(event),
|
|
"payload": _evidence_value(payload or {}),
|
|
"schema_version": "1.0",
|
|
"sequence": sequence,
|
|
"source": "joinquant_hosted",
|
|
}
|
|
if chunk_index is not None or chunk_count is not None:
|
|
if (
|
|
type(chunk_index) is not int
|
|
or type(chunk_count) is not int
|
|
or chunk_index <= 0
|
|
or chunk_count <= 0
|
|
or chunk_index > chunk_count
|
|
):
|
|
return None
|
|
record["chunk_index"] = chunk_index
|
|
record["chunk_count"] = chunk_count
|
|
encoded = _q60_json.dumps(
|
|
record,
|
|
ensure_ascii=True,
|
|
sort_keys=True,
|
|
separators=(",", ":"),
|
|
allow_nan=False,
|
|
)
|
|
print(EVIDENCE_PREFIX + encoded)
|
|
except Exception:
|
|
# Evidence is observational. A logging/serialization failure must
|
|
# never alter an already verified decision or hosted order path.
|
|
return None
|
|
return record
|
|
|
|
|
|
def _emit_chunked_evidence(event, payload, context=None):
|
|
"""Emit reconstructable base64 chunks of one canonical JSON payload."""
|
|
try:
|
|
canonical = _q60_json.dumps(
|
|
_evidence_value(payload),
|
|
ensure_ascii=True,
|
|
sort_keys=True,
|
|
separators=(",", ":"),
|
|
allow_nan=False,
|
|
).encode("ascii")
|
|
encoded = _q60_base64.b64encode(canonical).decode("ascii")
|
|
chunks = [
|
|
encoded[index : index + EVIDENCE_CHUNK_CHARACTERS]
|
|
for index in range(0, len(encoded), EVIDENCE_CHUNK_CHARACTERS)
|
|
] or [""]
|
|
count = len(chunks)
|
|
for index, content in enumerate(chunks, 1):
|
|
_emit_evidence(
|
|
event,
|
|
{
|
|
"chunk_encoding": "base64-canonical-json",
|
|
"content": content,
|
|
"encoded_length": len(encoded),
|
|
},
|
|
context,
|
|
chunk_index=index,
|
|
chunk_count=count,
|
|
)
|
|
except Exception:
|
|
return None
|
|
return count
|
|
|
|
|
|
def _observe_object(value, fields):
|
|
if value is None:
|
|
return None
|
|
output = {"object_type": type(value).__name__}
|
|
for name in fields:
|
|
try:
|
|
item = getattr(value, name)
|
|
except Exception:
|
|
continue
|
|
if callable(item):
|
|
continue
|
|
output[name] = _evidence_value(item)
|
|
return output
|
|
|
|
|
|
def _observe_order(value):
|
|
return _observe_object(
|
|
value,
|
|
(
|
|
"order_id",
|
|
"add_time",
|
|
"security",
|
|
"amount",
|
|
"filled",
|
|
"price",
|
|
"avg_cost",
|
|
"side",
|
|
"action",
|
|
"status",
|
|
"target_quantity",
|
|
),
|
|
)
|
|
|
|
|
|
def _observe_trade(value):
|
|
return _observe_object(
|
|
value,
|
|
(
|
|
"trade_id",
|
|
"order_id",
|
|
"time",
|
|
"security",
|
|
"amount",
|
|
"price",
|
|
),
|
|
)
|
|
|
|
|
|
def _observe_platform_collection(api_name, observer):
|
|
"""Read an optional hosted collection without assuming API availability."""
|
|
function = globals().get(api_name)
|
|
if not callable(function):
|
|
return {
|
|
"available": False,
|
|
"reason": "API_UNAVAILABLE",
|
|
}
|
|
try:
|
|
raw = function()
|
|
except Exception as exc:
|
|
return {
|
|
"available": False,
|
|
"error_type": type(exc).__name__,
|
|
"reason": "API_CALL_FAILED",
|
|
}
|
|
if hasattr(raw, "items"):
|
|
items = [
|
|
{
|
|
"key": str(key),
|
|
"value": observer(value),
|
|
}
|
|
for key, value in sorted(
|
|
raw.items(),
|
|
key=lambda pair: str(pair[0]),
|
|
)
|
|
]
|
|
elif isinstance(raw, (list, tuple)):
|
|
items = [observer(value) for value in raw]
|
|
elif raw is None:
|
|
items = []
|
|
else:
|
|
items = [observer(raw)]
|
|
return {
|
|
"available": True,
|
|
"count": len(items),
|
|
"items": items,
|
|
}
|
|
|
|
|
|
def _observe_portfolio(context):
|
|
try:
|
|
portfolio = context.portfolio
|
|
except Exception as exc:
|
|
return {
|
|
"available": False,
|
|
"error_type": type(exc).__name__,
|
|
}
|
|
output = {
|
|
"available": True,
|
|
"fields": {},
|
|
"positions": [],
|
|
}
|
|
for name in (
|
|
"total_value",
|
|
"cash",
|
|
"available_cash",
|
|
"positions_value",
|
|
"returns",
|
|
):
|
|
try:
|
|
value = getattr(portfolio, name)
|
|
except Exception:
|
|
continue
|
|
output["fields"][name] = _evidence_value(value)
|
|
try:
|
|
positions = getattr(portfolio, "positions", {})
|
|
if hasattr(positions, "items"):
|
|
for symbol, position in sorted(
|
|
positions.items(),
|
|
key=lambda pair: str(pair[0]),
|
|
):
|
|
item = _observe_object(
|
|
position,
|
|
(
|
|
"total_amount",
|
|
"closeable_amount",
|
|
"price",
|
|
"avg_cost",
|
|
"value",
|
|
),
|
|
)
|
|
item["symbol"] = str(symbol)
|
|
output["positions"].append(item)
|
|
except Exception as exc:
|
|
output["positions_error_type"] = type(exc).__name__
|
|
return output
|
|
|
|
|
|
def _plan_evidence(plan):
|
|
if not isinstance(plan, dict):
|
|
return None
|
|
return {
|
|
"decision_mode": plan.get("decision_mode"),
|
|
"execution_contract": plan.get("execution_contract"),
|
|
"lineage": plan.get("lineage"),
|
|
"orders": plan.get("orders"),
|
|
"targets": plan.get("targets"),
|
|
"universe": plan.get("universe"),
|
|
"weights": plan.get("weights"),
|
|
}
|
|
|
|
|
|
def _validated_target_packages(config):
|
|
mode = config.get("decision_mode")
|
|
if mode not in (MOMENTUM_SMOKE_MODE, TARGET_PACKAGE_MODE):
|
|
raise ValueError("unsupported decision_mode")
|
|
if not isinstance(TARGET_PACKAGES, list):
|
|
raise ValueError("TARGET_PACKAGES must be a list")
|
|
expected_count = config.get("target_package_count")
|
|
expected_sha256 = config.get("target_package_tape_sha256")
|
|
if mode == MOMENTUM_SMOKE_MODE:
|
|
if (
|
|
type(expected_count) is not int
|
|
or expected_count != 0
|
|
or expected_sha256 is not None
|
|
or TARGET_PACKAGES
|
|
):
|
|
raise ValueError(
|
|
"portable_momentum_smoke cannot carry target packages"
|
|
)
|
|
return []
|
|
if type(expected_count) is not int or expected_count <= 0:
|
|
raise ValueError(
|
|
"target_package mode requires a positive target_package_count"
|
|
)
|
|
if expected_count != len(TARGET_PACKAGES):
|
|
raise ValueError("target package count mismatch")
|
|
actual_sha256 = target_package_tape_sha256(TARGET_PACKAGES)
|
|
if expected_sha256 != actual_sha256:
|
|
raise ValueError("target package tape sha256 mismatch")
|
|
verified = []
|
|
package_ids = set()
|
|
decision_ids = set()
|
|
clocks = set()
|
|
for raw_package in TARGET_PACKAGES:
|
|
package = verify_target_package(raw_package)
|
|
package_id = package["package_id"]
|
|
decision_id = package["decision_id"]
|
|
clock = (package["signal_as_of"], package["next_session"])
|
|
if (
|
|
package_id in package_ids
|
|
or decision_id in decision_ids
|
|
or clock in clocks
|
|
):
|
|
raise ValueError("duplicate target package decision identity")
|
|
package_ids.add(package_id)
|
|
decision_ids.add(decision_id)
|
|
clocks.add(clock)
|
|
verified.append(package)
|
|
return verified
|
|
|
|
|
|
def initialize(context):
|
|
"""Configure the selected daily-open decision mode."""
|
|
set_option("avoid_future_data", True)
|
|
set_option("use_real_price", True)
|
|
g.quant60_evidence_sequence = 0
|
|
g.quant60_order_observations = []
|
|
g.quant60_config = dict(CONFIG)
|
|
g.quant60_target_packages = _validated_target_packages(
|
|
g.quant60_config
|
|
)
|
|
g.quant60_decision_mode = g.quant60_config["decision_mode"]
|
|
if g.quant60_config["decision_mode"] == MOMENTUM_SMOKE_MODE:
|
|
if g.quant60_config.get("rebalance_schedule") != "weekly_first_close":
|
|
raise ValueError("unsupported rebalance_schedule")
|
|
if g.quant60_config.get("universe_mode") not in ("pit_index", "fixed"):
|
|
raise ValueError("unsupported universe_mode")
|
|
if (
|
|
g.quant60_config.get("universe_mode") == "pit_index"
|
|
and not g.quant60_config.get("dedicated_account_required")
|
|
):
|
|
raise ValueError("pit_index mode requires a dedicated account")
|
|
set_benchmark(g.quant60_config["index_symbol"])
|
|
commission = (
|
|
float(g.quant60_config["commission_rate"])
|
|
+ float(g.quant60_config["transfer_fee_rate"])
|
|
)
|
|
set_order_cost(
|
|
OrderCost(
|
|
open_tax=0.0,
|
|
close_tax=float(g.quant60_config["stamp_duty_rate"]),
|
|
open_commission=commission,
|
|
close_commission=commission,
|
|
close_today_commission=0.0,
|
|
min_commission=float(
|
|
g.quant60_config["minimum_commission"]
|
|
),
|
|
),
|
|
type="stock",
|
|
)
|
|
# JoinQuant applies half of PriceRelatedSlippage on each side. The local
|
|
# slippage_bps setting is one-sided, hence the explicit factor of two.
|
|
set_slippage(
|
|
PriceRelatedSlippage(
|
|
2.0 * float(g.quant60_config["slippage_bps"]) / 10000.0
|
|
),
|
|
type="stock",
|
|
)
|
|
set_option(
|
|
"order_volume_ratio",
|
|
float(g.quant60_config["participation_rate"]),
|
|
)
|
|
g.quant60_last_plan = None
|
|
g.quant60_last_universe = None
|
|
g.quant60_last_universe_as_of = None
|
|
g.quant60_skipped_orders = []
|
|
g.quant60_pending_first_session = None
|
|
g.quant60_last_callback_date = None
|
|
run_daily(rebalance, time="open")
|
|
_emit_evidence(
|
|
"INIT",
|
|
{
|
|
"benchmark": g.quant60_config["index_symbol"],
|
|
"package_count": len(g.quant60_target_packages),
|
|
"package_ids": [
|
|
package["package_id"]
|
|
for package in g.quant60_target_packages
|
|
],
|
|
"rebalance_callback": "run_daily_open",
|
|
"target_package_tape_sha256": g.quant60_config.get(
|
|
"target_package_tape_sha256"
|
|
),
|
|
},
|
|
context,
|
|
)
|
|
|
|
|
|
def _decision_mode():
|
|
configured = g.quant60_config.get("decision_mode")
|
|
frozen = getattr(g, "quant60_decision_mode", configured)
|
|
if configured != frozen:
|
|
raise ValueError("decision_mode cannot change after initialize")
|
|
return frozen
|
|
|
|
|
|
def _close_history(symbol, count):
|
|
raw = attribute_history(
|
|
symbol,
|
|
count,
|
|
unit="1d",
|
|
fields=["close"],
|
|
skip_paused=False,
|
|
df=False,
|
|
fq="pre",
|
|
)
|
|
values = list(raw.get("close", [])) if hasattr(raw, "get") else []
|
|
if len(values) != int(count):
|
|
raise PriceHistoryUnavailable(
|
|
"%s needs %d completed daily closes, got %d"
|
|
% (symbol, int(count), len(values))
|
|
)
|
|
output = []
|
|
for value in values:
|
|
try:
|
|
number = float(value)
|
|
except (TypeError, ValueError):
|
|
raise PriceHistoryUnavailable(
|
|
"%s contains a missing/non-numeric close" % symbol
|
|
)
|
|
if not math.isfinite(number) or number <= 0.0:
|
|
raise PriceHistoryUnavailable(
|
|
"%s contains a missing/non-positive close" % symbol
|
|
)
|
|
output.append(number)
|
|
return output
|
|
|
|
|
|
def _close_histories(symbols, count):
|
|
raw = history(
|
|
int(count),
|
|
unit="1d",
|
|
field="close",
|
|
security_list=list(symbols),
|
|
df=False,
|
|
skip_paused=False,
|
|
fq="pre",
|
|
)
|
|
if not hasattr(raw, "get"):
|
|
raise PriceHistoryUnavailable("history returned an invalid payload")
|
|
output = {}
|
|
for symbol in symbols:
|
|
values = list(raw.get(symbol, []))
|
|
if len(values) != int(count):
|
|
raise PriceHistoryUnavailable(
|
|
"%s needs %d completed daily closes, got %d"
|
|
% (symbol, int(count), len(values))
|
|
)
|
|
clean = []
|
|
for value in values:
|
|
try:
|
|
number = float(value)
|
|
except (TypeError, ValueError):
|
|
raise PriceHistoryUnavailable(
|
|
"%s contains a missing/non-numeric close" % symbol
|
|
)
|
|
if not math.isfinite(number) or number <= 0.0:
|
|
raise PriceHistoryUnavailable(
|
|
"%s contains a missing/non-positive close" % symbol
|
|
)
|
|
clean.append(number)
|
|
output[convert_symbol(symbol, "canonical")] = clean
|
|
return output
|
|
|
|
|
|
def _decision_universe(context):
|
|
config = g.quant60_config
|
|
if config.get("universe_mode") == "fixed":
|
|
values = list(config["universe"])
|
|
else:
|
|
as_of = _as_date(
|
|
getattr(context, "previous_date", None),
|
|
"previous_date",
|
|
)
|
|
values = get_index_stocks(
|
|
config["index_symbol"],
|
|
date=as_of,
|
|
)
|
|
if not values:
|
|
raise PriceHistoryUnavailable(
|
|
"no PIT index members for %s on %s"
|
|
% (config["index_symbol"], as_of.isoformat())
|
|
)
|
|
g.quant60_last_universe_as_of = as_of.isoformat()
|
|
normalized = sorted(
|
|
set(convert_symbol(symbol, "joinquant") for symbol in values)
|
|
)
|
|
if not normalized:
|
|
raise PriceHistoryUnavailable("decision universe is empty")
|
|
g.quant60_last_universe = list(normalized)
|
|
return normalized
|
|
|
|
|
|
def _filter_st_universe(context, symbols):
|
|
if not g.quant60_config.get("exclude_st", True):
|
|
return list(symbols)
|
|
as_of = _as_date(
|
|
getattr(context, "previous_date", None),
|
|
"previous_date",
|
|
)
|
|
raw = get_extras(
|
|
"is_st",
|
|
list(symbols),
|
|
end_date=as_of,
|
|
count=1,
|
|
df=False,
|
|
)
|
|
if not hasattr(raw, "get"):
|
|
raise PriceHistoryUnavailable(
|
|
"get_extras is_st returned an invalid payload"
|
|
)
|
|
output = []
|
|
for symbol in symbols:
|
|
values = list(raw.get(symbol, []))
|
|
if len(values) != 1:
|
|
raise PriceHistoryUnavailable(
|
|
"%s needs one PIT is_st value on %s"
|
|
% (symbol, as_of.isoformat())
|
|
)
|
|
try:
|
|
numeric = float(values[0])
|
|
except (TypeError, ValueError):
|
|
raise PriceHistoryUnavailable(
|
|
"%s contains a non-boolean PIT is_st value" % symbol
|
|
)
|
|
if not math.isfinite(numeric) or numeric not in (0.0, 1.0):
|
|
raise PriceHistoryUnavailable(
|
|
"%s contains an invalid PIT is_st value" % symbol
|
|
)
|
|
if not bool(numeric):
|
|
output.append(symbol)
|
|
if not output:
|
|
raise PriceHistoryUnavailable(
|
|
"PIT ST exclusion removed the entire decision universe"
|
|
)
|
|
g.quant60_last_universe = list(output)
|
|
return output
|
|
|
|
|
|
def _position_amount(position, name, default=0):
|
|
value = getattr(position, name, default)
|
|
return int(value or 0)
|
|
|
|
|
|
def _snapshot_portfolio(context, managed):
|
|
current = {}
|
|
sellable = {}
|
|
managed = set(convert_symbol(symbol, "canonical") for symbol in managed)
|
|
dynamic = (
|
|
_decision_mode() == MOMENTUM_SMOKE_MODE
|
|
and g.quant60_config.get("universe_mode") == "pit_index"
|
|
)
|
|
positions = getattr(context.portfolio, "positions", {})
|
|
for symbol, position in positions.items():
|
|
canonical = convert_symbol(str(symbol), "canonical")
|
|
quantity = _position_amount(position, "total_amount")
|
|
if quantity and canonical not in managed and not dynamic:
|
|
raise UnmanagedPositionError(
|
|
"account contains unmanaged position %s; use a dedicated "
|
|
"strategy account or reconcile ownership before trading" % canonical
|
|
)
|
|
if canonical not in managed and not dynamic:
|
|
continue
|
|
current[canonical] = quantity
|
|
sellable[canonical] = _position_amount(
|
|
position, "closeable_amount", current[canonical]
|
|
)
|
|
equity = float(getattr(context.portfolio, "total_value", 0.0) or 0.0)
|
|
return current, sellable, equity
|
|
|
|
|
|
def _is_star_board(symbol):
|
|
code = str(symbol).split(".", 1)[0]
|
|
return code.startswith("688") or code.startswith("689")
|
|
|
|
|
|
def _order_request(symbol, delta):
|
|
"""Build a fail-closed hosted order request from current market data.
|
|
|
|
JoinQuant rejects an unprotected market order for STAR Market securities.
|
|
A limit at the exchange daily bound supplies equivalent worst-price
|
|
protection while keeping the rebalance target expressed in exact shares.
|
|
"""
|
|
try:
|
|
item = get_current_data()[symbol]
|
|
except Exception as exc:
|
|
g.quant60_skipped_orders.append(
|
|
{"symbol": symbol, "reason": "current_data_unavailable", "detail": str(exc)}
|
|
)
|
|
return None
|
|
if bool(getattr(item, "paused", False)):
|
|
g.quant60_skipped_orders.append(
|
|
{"symbol": symbol, "reason": "paused"}
|
|
)
|
|
return None
|
|
if not _is_star_board(symbol):
|
|
return {"style": None}
|
|
|
|
field = "high_limit" if int(delta) > 0 else "low_limit"
|
|
raw_price = getattr(item, field, None)
|
|
try:
|
|
protection_price = float(raw_price)
|
|
except (TypeError, ValueError):
|
|
protection_price = float("nan")
|
|
if (
|
|
not math.isfinite(protection_price)
|
|
or protection_price <= 0.0
|
|
or protection_price >= 10000.0
|
|
):
|
|
g.quant60_skipped_orders.append(
|
|
{
|
|
"symbol": symbol,
|
|
"reason": "star_protection_price_invalid",
|
|
"detail": field,
|
|
}
|
|
)
|
|
return None
|
|
try:
|
|
style = LimitOrderStyle(protection_price)
|
|
except Exception as exc:
|
|
g.quant60_skipped_orders.append(
|
|
{
|
|
"symbol": symbol,
|
|
"reason": "star_protection_style_unavailable",
|
|
"detail": str(exc),
|
|
}
|
|
)
|
|
return None
|
|
return {"style": style}
|
|
|
|
|
|
def _target_package_for_open(context):
|
|
current_date = _as_date(getattr(context, "current_dt", None), "current_dt")
|
|
previous_date = _as_date(
|
|
getattr(context, "previous_date", None),
|
|
"previous_date",
|
|
)
|
|
signal_as_of = (
|
|
previous_date.isoformat() + "T15:00:00+08:00"
|
|
)
|
|
next_session = current_date.isoformat()
|
|
config = g.quant60_config
|
|
packages = _validated_target_packages(config)
|
|
matches = [
|
|
package
|
|
for package in packages
|
|
if package["signal_as_of"] == signal_as_of
|
|
and package["next_session"] == next_session
|
|
]
|
|
if not matches:
|
|
_emit_evidence(
|
|
"TARGET_PACKAGE_NOOP",
|
|
{
|
|
"fallback_invoked": False,
|
|
"next_session": next_session,
|
|
"orders_submitted": 0,
|
|
"package_count": len(packages),
|
|
"reason": "NO_EXACT_CLOCK_MATCH",
|
|
"signal_as_of": signal_as_of,
|
|
"target_package_tape_sha256": config[
|
|
"target_package_tape_sha256"
|
|
],
|
|
},
|
|
context,
|
|
)
|
|
return None
|
|
if len(matches) != 1:
|
|
raise ValueError("ambiguous target package clock")
|
|
package = lookup_target_package_exact(
|
|
packages,
|
|
signal_as_of,
|
|
next_session,
|
|
decision_id=matches[0]["decision_id"],
|
|
expected_tape_sha256=config["target_package_tape_sha256"],
|
|
expected_count=config["target_package_count"],
|
|
)
|
|
_emit_evidence(
|
|
"TARGET_PACKAGE_HIT",
|
|
{
|
|
"lineage": _target_lineage(package),
|
|
"target_package_tape_sha256": config[
|
|
"target_package_tape_sha256"
|
|
],
|
|
},
|
|
context,
|
|
)
|
|
return package
|
|
|
|
|
|
def _target_prices(symbols):
|
|
try:
|
|
current_data = get_current_data()
|
|
except Exception as exc:
|
|
raise PriceHistoryUnavailable(
|
|
"current_data is unavailable: %s" % exc
|
|
)
|
|
prices = {}
|
|
for canonical in sorted(symbols):
|
|
symbol = convert_symbol(canonical, "joinquant")
|
|
try:
|
|
raw_price = getattr(current_data[symbol], "day_open")
|
|
price = float(raw_price)
|
|
except (KeyError, AttributeError, TypeError, ValueError):
|
|
raise PriceHistoryUnavailable(
|
|
"%s has no usable current day_open" % symbol
|
|
)
|
|
if not math.isfinite(price) or price <= 0.0:
|
|
raise PriceHistoryUnavailable(
|
|
"%s has no usable current day_open" % symbol
|
|
)
|
|
prices[canonical] = price
|
|
return prices
|
|
|
|
|
|
def _target_lineage(package):
|
|
return {
|
|
"package_id": package["package_id"],
|
|
"package_sha256": package["package_sha256"],
|
|
"decision_id": package["decision_id"],
|
|
"signal_as_of": package["signal_as_of"],
|
|
"next_session": package["next_session"],
|
|
"release": package["release"],
|
|
"model_id": package["model_id"],
|
|
}
|
|
|
|
|
|
def _compute_target_package_plan(context):
|
|
package = _target_package_for_open(context)
|
|
if package is None:
|
|
return None
|
|
managed = sorted(package["universe"])
|
|
current, sellable, equity = _snapshot_portfolio(context, managed)
|
|
if equity <= 0:
|
|
raise ValueError("portfolio.total_value must be positive")
|
|
prices = _target_prices(
|
|
set(package["target_weights"]) | set(current)
|
|
)
|
|
_emit_evidence(
|
|
"PLATFORM_BINDING_INPUT",
|
|
{
|
|
"current": current,
|
|
"equity": equity,
|
|
"lineage": _target_lineage(package),
|
|
"price_source": TARGET_PRICE_SOURCE,
|
|
"prices": prices,
|
|
"sellable": sellable,
|
|
},
|
|
context,
|
|
)
|
|
plan = build_target_weight_plan(
|
|
target_weights=package["target_weights"],
|
|
prices=prices,
|
|
current=current,
|
|
sellable=sellable,
|
|
equity=equity,
|
|
cash_buffer=g.quant60_config["cash_buffer"],
|
|
lot_size=g.quant60_config["lot_size"],
|
|
decision_id=package["decision_id"],
|
|
package_sha256=package["package_sha256"],
|
|
)
|
|
plan["decision_mode"] = TARGET_PACKAGE_MODE
|
|
plan["lineage"] = _target_lineage(package)
|
|
plan["universe"] = package["universe"]
|
|
plan["execution_contract"] = {
|
|
"signal_price_source": TARGET_PRICE_SOURCE,
|
|
"submit_trigger": "DECLARED_NEXT_SESSION_OPEN_CALLBACK",
|
|
"declared_next_session": package["next_session"],
|
|
"real_platform_observed": False,
|
|
}
|
|
_emit_evidence(
|
|
"TARGET_PACKAGE_PLAN",
|
|
_plan_evidence(plan),
|
|
context,
|
|
)
|
|
return plan
|
|
|
|
|
|
def compute_plan(context):
|
|
"""Return the selected portable plan without submitting orders."""
|
|
if _decision_mode() == TARGET_PACKAGE_MODE:
|
|
return _compute_target_package_plan(context)
|
|
config = g.quant60_config
|
|
required = int(config["lookback"]) + int(config["skip"]) + 1
|
|
platform_universe = _decision_universe(context)
|
|
platform_universe = _filter_st_universe(
|
|
context,
|
|
platform_universe,
|
|
)
|
|
price_history = _close_histories(platform_universe, required)
|
|
|
|
current, sellable, equity = _snapshot_portfolio(
|
|
context,
|
|
platform_universe,
|
|
)
|
|
if equity <= 0:
|
|
raise ValueError("portfolio.total_value must be positive")
|
|
plan = build_rebalance_plan(
|
|
price_history=price_history,
|
|
current=current,
|
|
sellable=sellable,
|
|
equity=equity,
|
|
lookback=config["lookback"],
|
|
skip=config["skip"],
|
|
top_n=config["top_n"],
|
|
max_weight=config["max_weight"],
|
|
gross_target=config["gross_target"],
|
|
cash_buffer=config["cash_buffer"],
|
|
lot_size=config["lot_size"],
|
|
)
|
|
return plan
|
|
|
|
|
|
def _submit_plan(context, plan, managed):
|
|
"""Submit a portable plan's exact executable share deltas."""
|
|
if plan is None:
|
|
return None
|
|
observe_target_package = (
|
|
plan.get("decision_mode") == TARGET_PACKAGE_MODE
|
|
)
|
|
order_deltas = plan["orders"]
|
|
current, _, unused_equity = _snapshot_portfolio(
|
|
context,
|
|
managed,
|
|
)
|
|
del unused_equity
|
|
all_symbols = set(current)
|
|
all_symbols.update(order_deltas)
|
|
|
|
# Exits first. The requested target is current + executable delta, not the
|
|
# unconstrained portfolio target; this preserves T+1 sellable caps and odd
|
|
# lots from the portable plan.
|
|
for canonical in sorted(
|
|
all_symbols,
|
|
key=lambda item: (
|
|
int(order_deltas.get(item, 0)) > 0,
|
|
item,
|
|
),
|
|
):
|
|
delta = int(order_deltas.get(canonical, 0))
|
|
if delta == 0:
|
|
continue
|
|
platform_symbol = convert_symbol(canonical, "joinquant")
|
|
skipped_before = len(g.quant60_skipped_orders)
|
|
request = _order_request(platform_symbol, delta)
|
|
if request is None:
|
|
skipped = g.quant60_skipped_orders[skipped_before:]
|
|
if not skipped:
|
|
skipped = [
|
|
{
|
|
"symbol": platform_symbol,
|
|
"reason": "ORDER_REQUEST_NOT_BUILT",
|
|
}
|
|
]
|
|
if observe_target_package:
|
|
for item in skipped:
|
|
_emit_evidence(
|
|
"SKIPPED_ORDER",
|
|
{
|
|
"canonical_symbol": canonical,
|
|
"delta": delta,
|
|
"lineage": plan.get("lineage"),
|
|
"skip": item,
|
|
},
|
|
context,
|
|
)
|
|
continue
|
|
target = int(current.get(canonical, 0)) + delta
|
|
request_evidence = {
|
|
"canonical_symbol": canonical,
|
|
"current_quantity": int(current.get(canonical, 0)),
|
|
"delta": delta,
|
|
"lineage": plan.get("lineage"),
|
|
"platform_symbol": platform_symbol,
|
|
"style": _observe_object(
|
|
request["style"],
|
|
("kind", "limit_price"),
|
|
),
|
|
"target_quantity": target,
|
|
}
|
|
if observe_target_package:
|
|
_emit_evidence(
|
|
"ORDER_REQUEST",
|
|
request_evidence,
|
|
context,
|
|
)
|
|
try:
|
|
if request["style"] is None:
|
|
order_result = order_target(platform_symbol, target)
|
|
else:
|
|
order_result = order_target(
|
|
platform_symbol,
|
|
target,
|
|
style=request["style"],
|
|
)
|
|
except Exception as exc:
|
|
if observe_target_package:
|
|
_emit_evidence(
|
|
"ORDER_RETURN",
|
|
{
|
|
"error_type": type(exc).__name__,
|
|
"lineage": plan.get("lineage"),
|
|
"outcome": "EXCEPTION",
|
|
"platform_symbol": platform_symbol,
|
|
"target_quantity": target,
|
|
},
|
|
context,
|
|
)
|
|
raise
|
|
observation = {
|
|
"lineage": plan.get("lineage"),
|
|
"order": _observe_order(order_result),
|
|
"outcome": "RETURNED",
|
|
"platform_symbol": platform_symbol,
|
|
"target_quantity": target,
|
|
}
|
|
if observe_target_package:
|
|
g.quant60_order_observations.append(observation)
|
|
_emit_evidence(
|
|
"ORDER_RETURN",
|
|
observation,
|
|
context,
|
|
)
|
|
|
|
g.quant60_last_plan = plan
|
|
return plan
|
|
|
|
|
|
def _execute_rebalance(context):
|
|
"""Submit the selected portable plan's exact executable share deltas."""
|
|
plan = compute_plan(context)
|
|
if plan is None:
|
|
return None
|
|
managed = (
|
|
sorted(plan["universe"])
|
|
if "universe" in plan
|
|
else (
|
|
g.quant60_last_universe
|
|
or g.quant60_config["universe"]
|
|
)
|
|
)
|
|
return _submit_plan(context, plan, managed)
|
|
|
|
|
|
def _as_date(value, name):
|
|
if hasattr(value, "date"):
|
|
value = value.date()
|
|
if not hasattr(value, "isocalendar"):
|
|
raise ClockStateError("%s must be a date/datetime" % name)
|
|
return value
|
|
|
|
|
|
def rebalance(context):
|
|
"""Execute on the session immediately after a week's first close.
|
|
|
|
A daily state machine is used instead of ``run_weekly(..., 2)`` so a
|
|
one-session holiday week still executes on the next available session.
|
|
"""
|
|
current_date = _as_date(getattr(context, "current_dt", None), "current_dt")
|
|
previous_date = _as_date(
|
|
getattr(context, "previous_date", None),
|
|
"previous_date",
|
|
)
|
|
if g.quant60_last_callback_date == current_date:
|
|
return None
|
|
if _decision_mode() == TARGET_PACKAGE_MODE:
|
|
# EOD evidence is session-scoped. Clear the prior session only after
|
|
# the duplicate-date guard so a same-day retry cannot erase evidence.
|
|
g.quant60_last_plan = None
|
|
g.quant60_order_observations = []
|
|
g.quant60_skipped_orders = []
|
|
# Consume the daily clock token before crossing the hosted order
|
|
# boundary so callback retries cannot duplicate an accepted prefix.
|
|
g.quant60_last_callback_date = current_date
|
|
return _execute_rebalance(context)
|
|
pending = g.quant60_pending_first_session
|
|
is_first_session = (
|
|
previous_date.isocalendar()[:2]
|
|
!= current_date.isocalendar()[:2]
|
|
)
|
|
if pending is not None:
|
|
if previous_date != pending:
|
|
raise ClockStateError(
|
|
"pending first-session close is not the immediately "
|
|
"previous trading session"
|
|
)
|
|
# Consume the clock token before crossing any hosted order boundary.
|
|
# A partial API failure must not make a callback retry duplicate the
|
|
# already accepted prefix of the order list.
|
|
g.quant60_pending_first_session = (
|
|
current_date if is_first_session else None
|
|
)
|
|
g.quant60_last_callback_date = current_date
|
|
plan = _execute_rebalance(context)
|
|
return plan
|
|
if is_first_session:
|
|
g.quant60_pending_first_session = current_date
|
|
g.quant60_last_callback_date = current_date
|
|
return None
|
|
|
|
|
|
def after_trading_end(context):
|
|
"""Emit a best-effort end-of-day observation without changing state."""
|
|
if _decision_mode() != TARGET_PACKAGE_MODE:
|
|
return None
|
|
return _emit_chunked_evidence(
|
|
"EOD_STATUS",
|
|
{
|
|
"last_plan": _plan_evidence(
|
|
getattr(g, "quant60_last_plan", None)
|
|
),
|
|
"order_returns": getattr(
|
|
g,
|
|
"quant60_order_observations",
|
|
[],
|
|
),
|
|
"orders_api": _observe_platform_collection(
|
|
"get_orders",
|
|
_observe_order,
|
|
),
|
|
"portfolio": _observe_portfolio(context),
|
|
"skipped_orders": getattr(
|
|
g,
|
|
"quant60_skipped_orders",
|
|
[],
|
|
),
|
|
"trades_api": _observe_platform_collection(
|
|
"get_trades",
|
|
_observe_trade,
|
|
),
|
|
},
|
|
context,
|
|
)
|