375 lines
12 KiB
Python
375 lines
12 KiB
Python
"""Small strategy core that also runs on Python 3.6 platform runtimes.
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Keep this module deliberately boring: no dataclasses, no third-party imports,
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no modern annotation syntax. JoinQuant/QMT/Qlib adapters can vendor this
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single file when importing the complete ``quant60`` package is not possible.
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"""
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from __future__ import division
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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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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 _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 momentum_score(prices, lookback=20, skip=0):
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"""Return trailing simple momentum, or ``None`` if history is insufficient.
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``skip=0`` uses the latest completed decision bar. Set ``skip=1`` only
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when intentionally implementing a 20-1 convention. A lookback of N needs
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N+skip+1 observations.
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"""
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lookback = int(lookback)
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skip = int(skip)
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if lookback <= 0 or skip < 0:
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raise ValueError("lookback must be positive and skip non-negative")
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values = list(prices)
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if len(values) < lookback + skip + 1:
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return None
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end_index = len(values) - 1 - skip
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start_index = end_index - lookback
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start = float(values[start_index])
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end = float(values[end_index])
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if (
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start <= 0.0
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or end <= 0.0
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or not math.isfinite(start)
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or not math.isfinite(end)
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):
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return None
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return end / start - 1.0
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def rank_momentum(price_history, lookback=20, skip=0, top_n=None):
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"""Rank ``{symbol: closes}`` by momentum with deterministic tie-breaking."""
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ranked = []
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for symbol in sorted(price_history):
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score = momentum_score(price_history[symbol], lookback, skip)
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if score is not None and math.isfinite(score):
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ranked.append((normalize_symbol(symbol), score))
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ranked.sort(key=lambda item: (-item[1], item[0]))
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if top_n is not None:
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ranked = ranked[: max(0, int(top_n))]
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return ranked
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def capped_target_weights(
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scores, max_weight=0.20, gross_target=1.0, min_score=0.0
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):
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"""Long-only score-proportional weights with iterative cap redistribution."""
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max_weight = float(max_weight)
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gross_target = float(gross_target)
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min_score = float(min_score)
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if not math.isfinite(max_weight) or not 0.0 < max_weight <= 1.0:
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raise ValueError("max_weight must be finite and lie in (0, 1]")
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if not math.isfinite(gross_target) or not 0.0 <= gross_target <= 1.0:
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raise ValueError("gross_target must be finite and lie in [0, 1]")
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if not math.isfinite(min_score):
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raise ValueError("min_score must be finite")
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if hasattr(scores, "items"):
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items = list(scores.items())
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else:
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items = list(scores)
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normalized = {}
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for symbol, raw_score in items:
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name = normalize_symbol(symbol)
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score = float(raw_score)
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if not math.isfinite(score):
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raise ValueError("score must be finite for %s" % name)
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normalized[name] = score
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weights = dict((symbol, 0.0) for symbol in normalized)
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active = dict(
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(symbol, score)
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for symbol, score in normalized.items()
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if score > min_score and score > 0.0
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)
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remaining = min(gross_target, len(active) * max_weight)
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while active and remaining > 1e-15:
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score_sum = _sum_numeric(active.values())
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if score_sum <= 0.0:
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break
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capped = []
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for symbol in sorted(active):
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proposed = remaining * active[symbol] / score_sum
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if proposed >= max_weight - 1e-15:
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weights[symbol] = max_weight
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capped.append(symbol)
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if not capped:
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for symbol in sorted(active):
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weights[symbol] = remaining * active[symbol] / score_sum
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remaining = 0.0
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break
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for symbol in capped:
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active.pop(symbol)
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remaining -= max_weight
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remaining = max(0.0, remaining)
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return weights
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def round_board_lot(quantity, lot_size=100):
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"""Round an absolute long position down to a board-lot quantity."""
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lot_size = int(lot_size)
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if lot_size <= 0:
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raise ValueError("lot_size must be positive")
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if not math.isfinite(float(quantity)):
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raise ValueError("quantity must be finite")
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quantity = max(0, int(quantity))
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return quantity // lot_size * lot_size
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def _is_star_market(symbol):
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code, exchange = _split_symbol(symbol)
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return exchange == "XSHG" and code.startswith(("688", "689"))
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def target_quantities(
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weights, prices, equity, lot_size=100, cash_buffer=0.02
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):
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"""Convert target weights to affordable board-lot long quantities."""
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equity = float(equity)
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cash_buffer = float(cash_buffer)
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if (
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not math.isfinite(equity)
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or equity < 0.0
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or not math.isfinite(cash_buffer)
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or not 0.0 <= cash_buffer < 1.0
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):
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raise ValueError("invalid equity or cash_buffer")
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positive_weights = []
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for raw_symbol, raw_weight in weights.items():
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weight = float(raw_weight)
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if not math.isfinite(weight):
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raise ValueError(
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"weight must be finite for %s" % normalize_symbol(raw_symbol)
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)
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positive_weights.append(max(0.0, weight))
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requested_gross = _sum_numeric(positive_weights)
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gross_ceiling = 1.0 - cash_buffer
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scale = (
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min(1.0, gross_ceiling / requested_gross)
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if requested_gross > 0.0
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else 1.0
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)
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result = {}
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for raw_symbol in sorted(weights):
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symbol = normalize_symbol(raw_symbol)
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weight = float(weights[raw_symbol])
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if not math.isfinite(weight):
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raise ValueError("weight must be finite for %s" % symbol)
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weight = max(0.0, weight)
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price = prices.get(raw_symbol)
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if price is None:
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price = prices.get(symbol)
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if price is None:
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raise KeyError("missing price for %s" % symbol)
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price = float(price)
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if price <= 0.0 or not math.isfinite(price):
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raise ValueError("invalid price for %s" % symbol)
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# Weights are absolute equity weights. cash_buffer is a ceiling, not
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# a second multiplicative haircut: gross=.95 and buffer=.02 stays .95.
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budget = equity * weight * scale
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quantity = round_board_lot(budget / price, lot_size)
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# STAR Market auction orders must contain at least 200 shares. Keep
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# the portable planner conservative and on the configured 100-share
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# grid even though quantities above 200 may increment by one share.
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if _is_star_market(symbol) and 0 < quantity < 200:
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quantity = 0
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result[symbol] = quantity
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return result
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def order_deltas(
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targets, current, sellable=None, lot_size=100
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):
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"""Return signed board-lot orders; negative sells respect sellable quantity."""
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canonical_targets = {}
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canonical_current = {}
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canonical_sellable = {}
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for symbol, quantity in targets.items():
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canonical_targets[normalize_symbol(symbol)] = max(0, int(quantity))
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for symbol, quantity in current.items():
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canonical_current[normalize_symbol(symbol)] = max(0, int(quantity))
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if sellable is not None:
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for symbol, quantity in sellable.items():
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canonical_sellable[normalize_symbol(symbol)] = max(0, int(quantity))
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result = {}
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symbols = sorted(set(canonical_targets) | set(canonical_current))
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for symbol in symbols:
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target = round_board_lot(canonical_targets.get(symbol, 0), lot_size)
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if _is_star_market(symbol) and 0 < target < 200:
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target = 0
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held = canonical_current.get(symbol, 0)
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delta = target - held
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if delta > 0:
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delta = round_board_lot(delta, lot_size)
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if _is_star_market(symbol) and 0 < delta < 200:
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delta = 0
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elif delta < 0:
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available = held
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if sellable is not None:
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available = min(held, canonical_sellable.get(symbol, 0))
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requested = min(-delta, available)
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# A complete liquidation may submit the entire odd-lot balance.
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# This also covers the STAR exception for a remaining balance
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# below 200 shares. Partial orders stay on the configured grid.
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full_liquidation = (
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target == 0
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and requested == held
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and available >= held
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)
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if full_liquidation:
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delta = -held
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else:
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delta = -round_board_lot(requested, lot_size)
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if _is_star_market(symbol) and 0 < -delta < 200:
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delta = 0
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if delta:
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result[symbol] = delta
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return result
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def build_rebalance_plan(
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price_history,
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current,
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sellable,
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equity,
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lookback=20,
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skip=0,
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top_n=10,
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max_weight=0.20,
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gross_target=1.0,
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cash_buffer=0.02,
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lot_size=100,
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):
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"""Build the complete portable signal -> weight -> quantity -> order plan."""
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ranked = rank_momentum(price_history, lookback, skip, top_n)
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scores = dict(ranked)
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weights = capped_target_weights(scores, max_weight, gross_target, 0.0)
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for raw_symbol in price_history:
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symbol = normalize_symbol(raw_symbol)
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if symbol not in scores:
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scores[symbol] = momentum_score(
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price_history[raw_symbol], lookback, skip
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)
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if symbol not in weights:
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weights[symbol] = 0.0
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prices = {}
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for raw_symbol, history in price_history.items():
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if not history:
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continue
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prices[normalize_symbol(raw_symbol)] = history[-1]
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targets = target_quantities(
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weights, prices, equity, lot_size, cash_buffer
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)
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orders = order_deltas(targets, current, sellable, lot_size)
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return {
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"scores": scores,
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"weights": weights,
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"targets": targets,
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"orders": orders,
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}
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__all__ = [
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"build_rebalance_plan",
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"capped_target_weights",
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"convert_symbol",
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"momentum_score",
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"normalize_symbol",
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"order_deltas",
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"rank_momentum",
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"round_board_lot",
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"target_quantities",
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]
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