1126 lines
35 KiB
Python
1126 lines
35 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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from quant60.portable_core import (
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build_rebalance_plan,
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build_target_weight_plan,
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convert_symbol,
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lookup_target_package_exact,
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target_package_tape_sha256,
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verify_target_package,
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)
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# __PORTABLE_CORE_BUNDLE_END__
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import base64 as _q60_base64
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import json as _q60_json
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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 ClockStateError(RuntimeError):
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pass
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# __BASELINE_CONFIG_START__
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CONFIG = {
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"decision_mode": "portable_momentum_smoke",
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"target_package_count": 0,
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"target_package_tape_sha256": None,
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"universe_mode": "pit_index",
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"index_symbol": "000905.XSHG",
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"qmt_sector_name": "中证500",
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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.XSHG",
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"000001.XSHE",
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"300750.XSHE",
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"000333.XSHE",
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],
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"lookback": 20,
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# The first session close supplies the signal; the second session open
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# supplies the hosted execution boundary, matching the QMT daily wrapper.
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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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# __TARGET_PACKAGE_TAPE_START__
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TARGET_PACKAGES = []
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# __TARGET_PACKAGE_TAPE_END__
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MOMENTUM_SMOKE_MODE = "portable_momentum_smoke"
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TARGET_PACKAGE_MODE = "target_package"
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EVIDENCE_PREFIX = "QUANT60_JOINQUANT_EVIDENCE_V1 "
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EVIDENCE_CHUNK_CHARACTERS = 1800
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TARGET_PRICE_SOURCE = "CURRENT_DATA_DAY_OPEN"
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def _evidence_value(value, depth=0):
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"""Return stable JSON data without allowing observation to stop trading."""
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if depth > 8:
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return "<max-depth>"
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if value is None or isinstance(value, (bool, int, str)):
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return value
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if isinstance(value, float):
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return value if math.isfinite(value) else None
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if isinstance(value, dict):
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return {
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str(key): _evidence_value(item, depth + 1)
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for key, item in sorted(
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value.items(),
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key=lambda pair: str(pair[0]),
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)
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}
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if isinstance(value, (list, tuple)):
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return [_evidence_value(item, depth + 1) for item in value]
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isoformat = getattr(value, "isoformat", None)
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if callable(isoformat):
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try:
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return str(isoformat())
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except Exception:
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return "<isoformat-error>"
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try:
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return str(value)
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except Exception:
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return "<string-error>"
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def _evidence_context_time(context):
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try:
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return _evidence_value(getattr(context, "current_dt", None))
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except Exception:
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return None
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def _emit_evidence(
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event,
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payload=None,
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context=None,
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chunk_index=None,
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chunk_count=None,
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):
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"""Print one prefixed canonical JSON record and always fail soft."""
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try:
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sequence = int(
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getattr(g, "quant60_evidence_sequence", 0) or 0
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) + 1
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g.quant60_evidence_sequence = sequence
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record = {
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"context_time": _evidence_context_time(context),
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"decision_mode": getattr(
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g,
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"quant60_decision_mode",
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CONFIG.get("decision_mode"),
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),
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"event": str(event),
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"payload": _evidence_value(payload or {}),
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"schema_version": "1.0",
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"sequence": sequence,
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"source": "joinquant_hosted",
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}
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if chunk_index is not None or chunk_count is not None:
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if (
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type(chunk_index) is not int
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or type(chunk_count) is not int
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or chunk_index <= 0
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or chunk_count <= 0
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or chunk_index > chunk_count
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):
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return None
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record["chunk_index"] = chunk_index
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record["chunk_count"] = chunk_count
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encoded = _q60_json.dumps(
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record,
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ensure_ascii=True,
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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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print(EVIDENCE_PREFIX + encoded)
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except Exception:
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# Evidence is observational. A logging/serialization failure must
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# never alter an already verified decision or hosted order path.
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return None
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return record
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def _emit_chunked_evidence(event, payload, context=None):
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"""Emit reconstructable base64 chunks of one canonical JSON payload."""
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try:
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canonical = _q60_json.dumps(
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_evidence_value(payload),
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ensure_ascii=True,
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sort_keys=True,
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separators=(",", ":"),
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allow_nan=False,
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).encode("ascii")
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encoded = _q60_base64.b64encode(canonical).decode("ascii")
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chunks = [
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encoded[index : index + EVIDENCE_CHUNK_CHARACTERS]
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for index in range(0, len(encoded), EVIDENCE_CHUNK_CHARACTERS)
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] or [""]
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count = len(chunks)
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for index, content in enumerate(chunks, 1):
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_emit_evidence(
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event,
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{
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"chunk_encoding": "base64-canonical-json",
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"content": content,
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"encoded_length": len(encoded),
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},
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context,
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chunk_index=index,
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chunk_count=count,
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)
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except Exception:
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return None
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return count
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def _observe_object(value, fields):
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if value is None:
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return None
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output = {"object_type": type(value).__name__}
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for name in fields:
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try:
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item = getattr(value, name)
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except Exception:
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continue
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if callable(item):
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continue
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output[name] = _evidence_value(item)
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return output
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def _observe_order(value):
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return _observe_object(
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value,
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(
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"order_id",
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"add_time",
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"security",
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"amount",
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"filled",
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"price",
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"avg_cost",
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"side",
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"action",
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"status",
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"target_quantity",
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),
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)
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def _observe_trade(value):
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return _observe_object(
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value,
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(
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"trade_id",
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"order_id",
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"time",
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"security",
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"amount",
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"price",
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),
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)
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def _observe_platform_collection(api_name, observer):
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"""Read an optional hosted collection without assuming API availability."""
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function = globals().get(api_name)
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if not callable(function):
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return {
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"available": False,
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"reason": "API_UNAVAILABLE",
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}
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try:
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raw = function()
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except Exception as exc:
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return {
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"available": False,
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"error_type": type(exc).__name__,
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"reason": "API_CALL_FAILED",
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}
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if hasattr(raw, "items"):
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items = [
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{
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"key": str(key),
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"value": observer(value),
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}
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for key, value in sorted(
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raw.items(),
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key=lambda pair: str(pair[0]),
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)
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]
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elif isinstance(raw, (list, tuple)):
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items = [observer(value) for value in raw]
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elif raw is None:
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items = []
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else:
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items = [observer(raw)]
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return {
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"available": True,
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"count": len(items),
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"items": items,
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}
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def _observe_portfolio(context):
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try:
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portfolio = context.portfolio
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except Exception as exc:
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return {
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"available": False,
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"error_type": type(exc).__name__,
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}
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output = {
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"available": True,
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"fields": {},
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"positions": [],
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}
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for name in (
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"total_value",
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"cash",
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"available_cash",
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"positions_value",
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"returns",
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):
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try:
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value = getattr(portfolio, name)
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except Exception:
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continue
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output["fields"][name] = _evidence_value(value)
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try:
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positions = getattr(portfolio, "positions", {})
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if hasattr(positions, "items"):
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for symbol, position in sorted(
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positions.items(),
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key=lambda pair: str(pair[0]),
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):
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item = _observe_object(
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position,
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(
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"total_amount",
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"closeable_amount",
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"price",
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"avg_cost",
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"value",
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),
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)
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item["symbol"] = str(symbol)
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output["positions"].append(item)
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except Exception as exc:
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output["positions_error_type"] = type(exc).__name__
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return output
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def _plan_evidence(plan):
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if not isinstance(plan, dict):
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return None
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return {
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"decision_mode": plan.get("decision_mode"),
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"execution_contract": plan.get("execution_contract"),
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"lineage": plan.get("lineage"),
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"orders": plan.get("orders"),
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"targets": plan.get("targets"),
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"universe": plan.get("universe"),
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"weights": plan.get("weights"),
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}
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def _validated_target_packages(config):
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mode = config.get("decision_mode")
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if mode not in (MOMENTUM_SMOKE_MODE, TARGET_PACKAGE_MODE):
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raise ValueError("unsupported decision_mode")
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if not isinstance(TARGET_PACKAGES, list):
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raise ValueError("TARGET_PACKAGES must be a list")
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expected_count = config.get("target_package_count")
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expected_sha256 = config.get("target_package_tape_sha256")
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if mode == MOMENTUM_SMOKE_MODE:
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if (
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type(expected_count) is not int
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or expected_count != 0
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or expected_sha256 is not None
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or TARGET_PACKAGES
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):
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raise ValueError(
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"portable_momentum_smoke cannot carry target packages"
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)
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return []
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if type(expected_count) is not int or expected_count <= 0:
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raise ValueError(
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"target_package mode requires a positive target_package_count"
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)
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if expected_count != len(TARGET_PACKAGES):
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raise ValueError("target package count mismatch")
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actual_sha256 = target_package_tape_sha256(TARGET_PACKAGES)
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if expected_sha256 != actual_sha256:
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raise ValueError("target package tape sha256 mismatch")
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verified = []
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package_ids = set()
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decision_ids = set()
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clocks = set()
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for raw_package in TARGET_PACKAGES:
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package = verify_target_package(raw_package)
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package_id = package["package_id"]
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decision_id = package["decision_id"]
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clock = (package["signal_as_of"], package["next_session"])
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if (
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package_id in package_ids
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or decision_id in decision_ids
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or clock in clocks
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):
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raise ValueError("duplicate target package decision identity")
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package_ids.add(package_id)
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decision_ids.add(decision_id)
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clocks.add(clock)
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verified.append(package)
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return verified
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def initialize(context):
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"""Configure the selected daily-open decision mode."""
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set_option("avoid_future_data", True)
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set_option("use_real_price", True)
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g.quant60_evidence_sequence = 0
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g.quant60_order_observations = []
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g.quant60_config = dict(CONFIG)
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g.quant60_target_packages = _validated_target_packages(
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g.quant60_config
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)
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g.quant60_decision_mode = g.quant60_config["decision_mode"]
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if g.quant60_config["decision_mode"] == MOMENTUM_SMOKE_MODE:
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if g.quant60_config.get("rebalance_schedule") != "weekly_first_close":
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raise ValueError("unsupported rebalance_schedule")
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if g.quant60_config.get("universe_mode") not in ("pit_index", "fixed"):
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raise ValueError("unsupported universe_mode")
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if (
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g.quant60_config.get("universe_mode") == "pit_index"
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and not g.quant60_config.get("dedicated_account_required")
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):
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raise ValueError("pit_index mode requires a dedicated account")
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set_benchmark(g.quant60_config["index_symbol"])
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commission = (
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float(g.quant60_config["commission_rate"])
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+ float(g.quant60_config["transfer_fee_rate"])
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)
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set_order_cost(
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OrderCost(
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open_tax=0.0,
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close_tax=float(g.quant60_config["stamp_duty_rate"]),
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open_commission=commission,
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close_commission=commission,
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close_today_commission=0.0,
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min_commission=float(
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g.quant60_config["minimum_commission"]
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),
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),
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type="stock",
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)
|
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# JoinQuant applies half of PriceRelatedSlippage on each side. The local
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# slippage_bps setting is one-sided, hence the explicit factor of two.
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set_slippage(
|
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PriceRelatedSlippage(
|
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2.0 * float(g.quant60_config["slippage_bps"]) / 10000.0
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),
|
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type="stock",
|
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)
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set_option(
|
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"order_volume_ratio",
|
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float(g.quant60_config["participation_rate"]),
|
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)
|
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g.quant60_last_plan = None
|
|
g.quant60_last_universe = None
|
|
g.quant60_last_universe_as_of = None
|
|
g.quant60_skipped_orders = []
|
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g.quant60_pending_first_session = None
|
|
g.quant60_last_callback_date = None
|
|
run_daily(rebalance, time="open")
|
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_emit_evidence(
|
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"INIT",
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{
|
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"benchmark": g.quant60_config["index_symbol"],
|
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"package_count": len(g.quant60_target_packages),
|
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"package_ids": [
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package["package_id"]
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for package in g.quant60_target_packages
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],
|
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"rebalance_callback": "run_daily_open",
|
|
"target_package_tape_sha256": g.quant60_config.get(
|
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"target_package_tape_sha256"
|
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),
|
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},
|
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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,
|
|
)
|