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Merge pull request #885 from ricequant/develop
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Develop
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@Cuizi7
Cuizi7 authored May 17, 2024
2 parents 49115bc + d8d12a6 commit 5821e6a
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67 changes: 21 additions & 46 deletions messages.pot
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Original file line number Diff line number Diff line change
Expand Up @@ -8,7 +8,7 @@ msgid ""
msgstr ""
"Project-Id-Version: PROJECT VERSION\n"
"Report-Msgid-Bugs-To: EMAIL@ADDRESS\n"
"POT-Creation-Date: 2024-04-24 13:56+0800\n"
"POT-Creation-Date: 2024-05-15 14:39+0800\n"
"PO-Revision-Date: YEAR-MO-DA HO:MI+ZONE\n"
"Last-Translator: FULL NAME <EMAIL@ADDRESS>\n"
"Language-Team: LANGUAGE <[email protected]>\n"
Expand Down Expand Up @@ -73,8 +73,8 @@ msgstr ""
#: rqalpha/apis/api_base.py:173
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_future.py:66
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:103
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:140
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:343
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:141
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:344
msgid "Order Creation Failed: [{order_book_id}] No market data"
msgstr ""

Expand Down Expand Up @@ -247,41 +247,16 @@ msgstr ""
msgid "deprecated parameter[bar_dict] in before_trading function."
msgstr ""

#: rqalpha/data/bundle.py:460
msgid ""
"RQAlpha already supports backtesting using futures historical margins and"
" rates, please upgrade RQDatac to version 2.11.12 and above to use it"
msgstr ""

#: rqalpha/data/bundle.py:470 rqalpha/data/bundle.py:531
msgid ""
"Futures historical trading parameters data is being updated, please "
"wait......"
msgstr ""

#: rqalpha/data/bundle.py:522 rqalpha/data/bundle.py:706
#: rqalpha/data/bundle.py:522
msgid ""
"File {} update failed, if it is using, please update later, or you can "
"delete then update again"
msgstr ""

#: rqalpha/data/base_data_source/data_source.py:140
msgid ""
"RQDatac is not installed, "
"\"config.base.futures_time_series_trading_parameters\" will be disabled."
msgstr ""

#: rqalpha/data/base_data_source/data_source.py:145
msgid ""
"RQDatac does not have permission to obtain futures histrical trading "
"parameters, \"config.base.futures_time_series_trading_parameters\" will "
"be disabled."
msgstr ""

#: rqalpha/data/base_data_source/storages.py:81
msgid ""
"Your bundle data is too old, please use 'rqalpha update-bundle' or "
"'rqalpha download-bundle' to update it to lastest before using"
"The bundle data you are using is too old, please update it to lastest "
"before using"
msgstr ""

#: rqalpha/data/base_data_source/storages.py:97
Expand Down Expand Up @@ -337,8 +312,8 @@ msgid ""
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_future.py:50
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:112
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:157
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:113
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:158
msgid "Order Creation Failed: 0 order quantity, order_book_id={order_book_id}"
msgstr ""

Expand Down Expand Up @@ -371,39 +346,39 @@ msgid ""
"again!"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:119
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:120
msgid "insufficient cash, use all remaining cash({}) to create order"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:332
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:333
msgid ""
"function order_target_portfolio: invalid keys of target_portfolio, "
"expected order_book_ids or Instrument objects, got {} (type: {})"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:337
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:338
msgid ""
"function order_target_portfolio: invalid instrument type, excepted "
"CS/ETF/LOF/INDX, got {}"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:351
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:352
msgid ""
"function order_target_portfolio: invalid values of target_portfolio, "
"excepted float between 0 and 1, got {} (key: {})"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:360
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:361
msgid "total percent should be lower than 1, current: {}"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:380
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:381
msgid ""
"Adjust position of {id_or_ins} Failed: Invalid close/open price "
"{close_price}/{open_price}"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:693
#: rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py:694
msgid "in get_dividend, start_date {} is later than the previous test day {}"
msgstr ""

Expand Down Expand Up @@ -455,31 +430,31 @@ msgstr ""
msgid "[sys_analyser] Generate report from strategy output file"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:113
#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:111
msgid ""
"config 'base.benchmark' is deprecated, use 'mod.sys_analyser.benchmark' "
"instead"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:151
#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:149
msgid "benchmark {} not exists, please entry correct order_book_id"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:163
#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:161
msgid "benchmark {} missing data between backtest start date {} and end date {}"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:175
#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:173
msgid ""
"benchmark {} available data start date {} >= backtest start date {} or "
"end date {} <= backtest end date {}"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:243
#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:241
msgid "invalid init benchmark {}, should be in format 'order_book_id:weight'"
msgstr ""

#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:248
#: rqalpha/mod/rqalpha_mod_sys_analyser/mod.py:246
msgid "invalid weight for instrument {order_book_id}: {weight}"
msgstr ""

Expand Down
3 changes: 2 additions & 1 deletion requirements.txt
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Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,8 @@ simplejson >=3.10.0
dill ==0.2.5
PyYAML >=3.12
tabulate
rqrisk >=1.0.8
rqrisk >=1.0.9
h5py
matplotlib >=1.5.1 ; python_version >= '3.6'
matplotlib >=1.5.1,<=3.0.3 ; python_version == '3.5'
filelock
5 changes: 5 additions & 0 deletions rqalpha/config.yml
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Expand Up @@ -41,6 +41,11 @@ base:
forced_liquidation: true
# 是否开启期货历史交易参数进行回测，默认为 False
futures_time_series_trading_parameters: false
# 是否开启在回测过程中自动下载所需的 bundle 数据
# 当前支持数据：1. 盘前集合竞价成交量；2. 期货历史交易参数
auto_update_bundle: false
# 自动下载的 bundle 文件支持单独设置存储路径，若不设置则使用 data_bundle_path 路径
auto_update_bundle_path: ~


extra:
Expand Down
42 changes: 9 additions & 33 deletions rqalpha/data/base_data_source/data_source.py
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Original file line number Diff line number Diff line change
Expand Up @@ -24,23 +24,21 @@
import pandas as pd
import six
from rqalpha.utils.i18n import gettext as _
from rqalpha.const import INSTRUMENT_TYPE, TRADING_CALENDAR_TYPE, DEFAULT_ACCOUNT_TYPE
from rqalpha.const import INSTRUMENT_TYPE, TRADING_CALENDAR_TYPE
from rqalpha.interface import AbstractDataSource
from rqalpha.model.instrument import Instrument
from rqalpha.utils.datetime_func import (convert_date_to_int, convert_int_to_date, convert_int_to_datetime)
from rqalpha.utils.exception import RQInvalidArgument, RQDatacVersionTooLow
from rqalpha.utils.exception import RQInvalidArgument
from rqalpha.utils.functools import lru_cache
from rqalpha.utils.typing import DateLike
from rqalpha.environment import Environment
from rqalpha.data.bundle import update_futures_trading_parameters
from rqalpha.utils.logger import user_system_log
from rqalpha.data.base_data_source.adjust import FIELDS_REQUIRE_ADJUSTMENT, adjust_bars
from rqalpha.data.base_data_source.storage_interface import (AbstractCalendarStore, AbstractDateSet,
AbstractDayBarStore, AbstractDividendStore,
AbstractInstrumentStore)
from rqalpha.data.base_data_source.storages import (DateSet, DayBarStore, DividendStore,
ExchangeTradingCalendarStore, FutureDayBarStore,
FutureInfoStore, FuturesTradingParametersStore,InstrumentStore,
FutureInfoStore,InstrumentStore,
ShareTransformationStore, SimpleFactorStore,
YieldCurveStore, FuturesTradingParameters)

Expand Down Expand Up @@ -72,8 +70,7 @@ class BaseDataSource(AbstractDataSource):
INSTRUMENT_TYPE.PUBLIC_FUND,
)

def __init__(self, path, custom_future_info, futures_time_series_trading_parameters=False, end_date=None):
# type: (str, dict, bool, date) -> None
def __init__(self, path: str, custom_future_info: dict, *args, **kwargs) -> None:
if not os.path.exists(path):
raise RuntimeError('bundle path {} not exist'.format(os.path.abspath(path)))

Expand All @@ -89,22 +86,22 @@ def _p(name):
INSTRUMENT_TYPE.LOF: funds_day_bar_store
} # type: Dict[INSTRUMENT_TYPE, AbstractDayBarStore]

self._futures_trading_parameters_store = None
self._future_info_store = FutureInfoStore(_p("future_info.json"), custom_future_info)

self._instruments_stores = {} # type: Dict[INSTRUMENT_TYPE, AbstractInstrumentStore]
self._ins_id_or_sym_type_map = {} # type: Dict[str, INSTRUMENT_TYPE]
instruments = []

env = Environment.get_instance()
with open(_p('instruments.pk'), 'rb') as f:
for i in pickle.load(f):
if i["type"] == "Future" and Instrument.is_future_continuous_contract(i["order_book_id"]):
i["listed_date"] = datetime(1990, 1, 1)
instruments.append(Instrument(
i,
lambda i: self._future_info_store.get_tick_size(i),
lambda i, dt: self.get_futures_trading_parameters(i, dt).long_margin_ratio,
lambda i, dt: self.get_futures_trading_parameters(i, dt).short_margin_ratio
# lambda i, dt: env.data_proxy.get_futures_trading_parameters(i, dt).long_margin_ratio,
# lambda i, dt: env.data_proxy.get_futures_trading_parameters(i, dt).short_margin_ratio
))
for ins_type in self.DEFAULT_INS_TYPES:
self.register_instruments_store(InstrumentStore(instruments, ins_type))
Expand Down Expand Up @@ -133,20 +130,6 @@ def _p(name):
self._suspend_days = [DateSet(_p('suspended_days.h5'))] # type: List[AbstractDateSet]
self._st_stock_days = DateSet(_p('st_stock_days.h5'))

if futures_time_series_trading_parameters:
try:
import rqdatac
except ImportError:
user_system_log.warn(_("RQDatac is not installed, \"config.base.futures_time_series_trading_parameters\" will be disabled."))
else:
try:
update_futures_trading_parameters(path, end_date)
except (rqdatac.share.errors.PermissionDenied, RQDatacVersionTooLow):
user_system_log.warn(_("RQDatac does not have permission to obtain futures histrical trading parameters, \"config.base.futures_time_series_trading_parameters\" will be disabled."))
else:
file = os.path.join(path, "futures_trading_parameters.h5")
self._futures_trading_parameters_store = FuturesTradingParametersStore(file, custom_future_info)

def register_day_bar_store(self, instrument_type, store):
# type: (INSTRUMENT_TYPE, AbstractDayBarStore) -> None
self._day_bars[instrument_type] = store
Expand Down Expand Up @@ -382,15 +365,8 @@ def get_yield_curve(self, start_date, end_date, tenor=None):
return self._yield_curve.get_yield_curve(start_date, end_date, tenor=tenor)

@lru_cache(1024)
def get_futures_trading_parameters(self, instrument, dt):
# type: (Instrument, datetime.date) -> FuturesTradingParameters
if self._futures_trading_parameters_store:
trading_parameters = self._futures_trading_parameters_store.get_futures_trading_parameters(instrument, dt)
if trading_parameters is None:
return self._future_info_store.get_future_info(instrument.order_book_id, instrument.underlying_symbol)
return trading_parameters
else:
return self._future_info_store.get_future_info(instrument.order_book_id, instrument.underlying_symbol)
def get_futures_trading_parameters(self, instrument: Instrument, dt: datetime.date) -> FuturesTradingParameters:
return self._future_info_store.get_future_info(instrument.order_book_id, instrument.underlying_symbol)

def get_merge_ticks(self, order_book_id_list, trading_date, last_dt=None):
raise NotImplementedError
Expand Down
68 changes: 1 addition & 67 deletions rqalpha/data/base_data_source/storages.py
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Original file line number Diff line number Diff line change
Expand Up @@ -78,7 +78,7 @@ def __init__(self, f, custom_future_info):
}
self._custom_data = custom_future_info
if "margin_rate" not in self._default_data[next(iter(self._default_data))]:
raise RuntimeError(_("Your bundle data is too old, please use 'rqalpha update-bundle' or 'rqalpha download-bundle' to update it to lastest before using"))
raise RuntimeError(_("The bundle data you are using is too old, please update it to lastest before using"))

@classmethod
def _process_future_info_item(cls, item):
Expand Down Expand Up @@ -247,72 +247,6 @@ class FutureDayBarStore(DayBarStore):
DEFAULT_DTYPE = np.dtype(DayBarStore.DEFAULT_DTYPE.descr + [("open_interest", '<f8')])


class FuturesTradingParametersStore(object):
COMMISSION_TYPE_MAP = {
0: COMMISSION_TYPE.BY_MONEY,
1: COMMISSION_TYPE.BY_VOLUME
}

# 历史期货交易参数的数据在2010年4月之后才有
FUTURES_TRADING_PARAMETERS_START_DATE = 20100401

def __init__(self, path, custom_future_info):
self._path = path
self._custom_data = custom_future_info

def get_futures_trading_parameters(self, instrument, dt):
# type: (Instrument, datetime.date) -> FuturesTradingParameters or None
dt = convert_date_to_date_int(dt)
if dt < self.FUTURES_TRADING_PARAMETERS_START_DATE:
return None
order_book_id = instrument.order_book_id
underlying_symbol = instrument.underlying_symbol
data = self.get_futures_trading_parameters_all_time(order_book_id)
if data is None:
return None
else:
arr = data[data['datetime'] == dt]
if len(arr) == 0:
if dt >= convert_date_to_date_int(instrument.listed_date) and dt <= convert_date_to_date_int(instrument.de_listed_date):
user_system_log.info("Historical futures trading parameters are abnormal, the lastst parameters will be used for calculations.\nPlease contract RiceQuant to repair: 0755-26569969")
return None
custom_info = self._custom_data.get(order_book_id) or self._custom_data.get(underlying_symbol)
if custom_info:
arr[0] = self.set_custom_info(arr[0], custom_info)
futures_trading_parameters = self._to_namedtuple(arr[0])
return futures_trading_parameters

@lru_cache(1024)
def get_futures_trading_parameters_all_time(self, order_book_id):
# type: (str) -> numpy.ndarray or None
with h5_file(self._path) as h5:
try:
data = h5[order_book_id][:]
except KeyError:
return None
return data

def set_custom_info(self, arr, custom_info):
for field in custom_info:
if field == "commission_type":
if custom_info[field] == COMMISSION_TYPE.BY_MONEY:
value = 0
elif custom_info[field] == COMMISSION_TYPE.BY_VOLUME:
value = 1
else:
value = custom_info[field]
arr[field] = value
return arr

def _to_namedtuple(self, arr):
# type: (numpy.void) -> FuturesTradingParameters
dic = dict(zip(arr.dtype.names, arr))
del dic['datetime']
dic["commission_type"] = self.COMMISSION_TYPE_MAP[dic['commission_type']]
futures_trading_parameters = FuturesTradingParameters(**dic)
return futures_trading_parameters


class DividendStore(AbstractDividendStore):
def __init__(self, path):
self._path = path
Expand Down
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