466 lines
15 KiB
Python
466 lines
15 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 build_rebalance_plan, convert_symbol
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# __PORTABLE_CORE_BUNDLE_END__
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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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"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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def initialize(context):
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"""Configure a daily-open clock that executes a first-week-close signal."""
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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_config = dict(CONFIG)
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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
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g.quant60_last_universe = None
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g.quant60_last_universe_as_of = None
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g.quant60_skipped_orders = []
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g.quant60_pending_first_session = None
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g.quant60_last_callback_date = None
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run_daily(rebalance, time="open")
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def _close_history(symbol, count):
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raw = attribute_history(
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symbol,
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count,
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unit="1d",
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fields=["close"],
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skip_paused=False,
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df=False,
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fq="pre",
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)
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values = list(raw.get("close", [])) if hasattr(raw, "get") else []
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if len(values) != int(count):
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raise PriceHistoryUnavailable(
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"%s needs %d completed daily closes, got %d"
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% (symbol, int(count), len(values))
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)
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output = []
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for value in values:
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try:
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number = float(value)
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except (TypeError, ValueError):
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raise PriceHistoryUnavailable(
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"%s contains a missing/non-numeric close" % symbol
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)
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if not math.isfinite(number) or number <= 0.0:
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raise PriceHistoryUnavailable(
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"%s contains a missing/non-positive close" % symbol
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)
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output.append(number)
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return output
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def _close_histories(symbols, count):
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raw = history(
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int(count),
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unit="1d",
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field="close",
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security_list=list(symbols),
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df=False,
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skip_paused=False,
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fq="pre",
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)
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if not hasattr(raw, "get"):
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raise PriceHistoryUnavailable("history returned an invalid payload")
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output = {}
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for symbol in symbols:
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values = list(raw.get(symbol, []))
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if len(values) != int(count):
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raise PriceHistoryUnavailable(
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"%s needs %d completed daily closes, got %d"
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% (symbol, int(count), len(values))
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)
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clean = []
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for value in values:
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try:
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number = float(value)
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except (TypeError, ValueError):
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raise PriceHistoryUnavailable(
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"%s contains a missing/non-numeric close" % symbol
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)
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if not math.isfinite(number) or number <= 0.0:
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raise PriceHistoryUnavailable(
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"%s contains a missing/non-positive close" % symbol
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)
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clean.append(number)
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output[convert_symbol(symbol, "canonical")] = clean
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return output
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def _decision_universe(context):
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config = g.quant60_config
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if config.get("universe_mode") == "fixed":
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values = list(config["universe"])
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else:
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as_of = _as_date(
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getattr(context, "previous_date", None),
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"previous_date",
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)
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values = get_index_stocks(
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config["index_symbol"],
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date=as_of,
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)
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if not values:
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raise PriceHistoryUnavailable(
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"no PIT index members for %s on %s"
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% (config["index_symbol"], as_of.isoformat())
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)
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g.quant60_last_universe_as_of = as_of.isoformat()
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normalized = sorted(
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set(convert_symbol(symbol, "joinquant") for symbol in values)
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)
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if not normalized:
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raise PriceHistoryUnavailable("decision universe is empty")
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g.quant60_last_universe = list(normalized)
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return normalized
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def _filter_st_universe(context, symbols):
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if not g.quant60_config.get("exclude_st", True):
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return list(symbols)
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as_of = _as_date(
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getattr(context, "previous_date", None),
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"previous_date",
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)
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raw = get_extras(
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"is_st",
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list(symbols),
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end_date=as_of,
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count=1,
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df=False,
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)
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if not hasattr(raw, "get"):
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raise PriceHistoryUnavailable(
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"get_extras is_st returned an invalid payload"
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)
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output = []
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for symbol in symbols:
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values = list(raw.get(symbol, []))
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if len(values) != 1:
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raise PriceHistoryUnavailable(
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"%s needs one PIT is_st value on %s"
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% (symbol, as_of.isoformat())
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)
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try:
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numeric = float(values[0])
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except (TypeError, ValueError):
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raise PriceHistoryUnavailable(
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"%s contains a non-boolean PIT is_st value" % symbol
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)
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if not math.isfinite(numeric) or numeric not in (0.0, 1.0):
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raise PriceHistoryUnavailable(
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"%s contains an invalid PIT is_st value" % symbol
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)
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if not bool(numeric):
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output.append(symbol)
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if not output:
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raise PriceHistoryUnavailable(
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"PIT ST exclusion removed the entire decision universe"
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)
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g.quant60_last_universe = list(output)
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return output
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def _position_amount(position, name, default=0):
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value = getattr(position, name, default)
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return int(value or 0)
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def _snapshot_portfolio(context, managed):
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current = {}
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sellable = {}
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managed = set(convert_symbol(symbol, "canonical") for symbol in managed)
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dynamic = g.quant60_config.get("universe_mode") == "pit_index"
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positions = getattr(context.portfolio, "positions", {})
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for symbol, position in positions.items():
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canonical = convert_symbol(str(symbol), "canonical")
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quantity = _position_amount(position, "total_amount")
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if quantity and canonical not in managed and not dynamic:
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raise UnmanagedPositionError(
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"account contains unmanaged position %s; use a dedicated "
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"strategy account or reconcile ownership before trading" % canonical
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)
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if canonical not in managed and not dynamic:
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continue
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current[canonical] = quantity
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sellable[canonical] = _position_amount(
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position, "closeable_amount", current[canonical]
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)
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equity = float(getattr(context.portfolio, "total_value", 0.0) or 0.0)
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return current, sellable, equity
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def _is_star_board(symbol):
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code = str(symbol).split(".", 1)[0]
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return code.startswith("688") or code.startswith("689")
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def _order_request(symbol, delta):
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"""Build a fail-closed hosted order request from current market data.
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JoinQuant rejects an unprotected market order for STAR Market securities.
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A limit at the exchange daily bound supplies equivalent worst-price
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protection while keeping the rebalance target expressed in exact shares.
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"""
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try:
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item = get_current_data()[symbol]
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except Exception as exc:
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g.quant60_skipped_orders.append(
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{"symbol": symbol, "reason": "current_data_unavailable", "detail": str(exc)}
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)
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return None
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if bool(getattr(item, "paused", False)):
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g.quant60_skipped_orders.append(
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{"symbol": symbol, "reason": "paused"}
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)
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return None
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if not _is_star_board(symbol):
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return {"style": None}
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field = "high_limit" if int(delta) > 0 else "low_limit"
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raw_price = getattr(item, field, None)
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try:
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protection_price = float(raw_price)
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except (TypeError, ValueError):
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protection_price = float("nan")
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if (
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not math.isfinite(protection_price)
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or protection_price <= 0.0
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or protection_price >= 10000.0
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):
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g.quant60_skipped_orders.append(
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{
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"symbol": symbol,
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"reason": "star_protection_price_invalid",
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"detail": field,
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}
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)
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return None
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try:
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style = LimitOrderStyle(protection_price)
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except Exception as exc:
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g.quant60_skipped_orders.append(
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{
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"symbol": symbol,
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"reason": "star_protection_style_unavailable",
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"detail": str(exc),
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}
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)
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return None
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return {"style": style}
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def compute_plan(context):
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"""Return the portable plan without submitting orders."""
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config = g.quant60_config
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required = int(config["lookback"]) + int(config["skip"]) + 1
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platform_universe = _decision_universe(context)
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platform_universe = _filter_st_universe(
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context,
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platform_universe,
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)
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price_history = _close_histories(platform_universe, required)
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current, sellable, equity = _snapshot_portfolio(
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context,
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platform_universe,
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)
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if equity <= 0:
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raise ValueError("portfolio.total_value must be positive")
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plan = build_rebalance_plan(
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price_history=price_history,
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current=current,
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sellable=sellable,
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equity=equity,
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lookback=config["lookback"],
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skip=config["skip"],
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top_n=config["top_n"],
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max_weight=config["max_weight"],
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gross_target=config["gross_target"],
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cash_buffer=config["cash_buffer"],
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lot_size=config["lot_size"],
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)
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return plan
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def _execute_rebalance(context):
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"""Submit the portable plan's exact executable share deltas."""
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plan = compute_plan(context)
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order_deltas = plan["orders"]
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current, _, unused_equity = _snapshot_portfolio(
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context,
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g.quant60_last_universe or g.quant60_config["universe"],
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)
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del unused_equity
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all_symbols = set(current)
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all_symbols.update(order_deltas)
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# Exits first. The requested target is current + executable delta, not the
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# unconstrained portfolio target; this preserves T+1 sellable caps and odd
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# lots from the portable plan.
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for canonical in sorted(
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all_symbols,
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key=lambda item: (
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int(order_deltas.get(item, 0)) > 0,
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item,
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),
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):
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delta = int(order_deltas.get(canonical, 0))
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if delta == 0:
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continue
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platform_symbol = convert_symbol(canonical, "joinquant")
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request = _order_request(platform_symbol, delta)
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if request is None:
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continue
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target = int(current.get(canonical, 0)) + delta
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if request["style"] is None:
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order_target(platform_symbol, target)
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else:
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order_target(
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platform_symbol,
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target,
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style=request["style"],
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)
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g.quant60_last_plan = plan
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return plan
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def _as_date(value, name):
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if hasattr(value, "date"):
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value = value.date()
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if not hasattr(value, "isocalendar"):
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raise ClockStateError("%s must be a date/datetime" % name)
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return value
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def rebalance(context):
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"""Execute on the session immediately after a week's first close.
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A daily state machine is used instead of ``run_weekly(..., 2)`` so a
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one-session holiday week still executes on the next available session.
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"""
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current_date = _as_date(getattr(context, "current_dt", None), "current_dt")
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previous_date = _as_date(
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getattr(context, "previous_date", None),
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"previous_date",
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)
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if g.quant60_last_callback_date == current_date:
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return None
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pending = g.quant60_pending_first_session
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is_first_session = (
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previous_date.isocalendar()[:2]
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!= current_date.isocalendar()[:2]
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)
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if pending is not None:
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if previous_date != pending:
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raise ClockStateError(
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"pending first-session close is not the immediately "
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"previous trading session"
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)
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# Consume the clock token before crossing any hosted order boundary.
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# A partial API failure must not make a callback retry duplicate the
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# already accepted prefix of the order list.
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g.quant60_pending_first_session = (
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current_date if is_first_session else None
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)
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g.quant60_last_callback_date = current_date
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plan = _execute_rebalance(context)
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return plan
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if is_first_session:
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g.quant60_pending_first_session = current_date
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g.quant60_last_callback_date = current_date
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return None
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