Add JoinQuant comparison plugin
This commit is contained in:
Yuxuan Yan
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"""Generate a standalone JoinQuant wrapper strategy.
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The module also defines default JoinQuant strategy hooks by executing the same
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template with ``run1`` / ``target_shares`` defaults. That means this file can be
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copied directly into JoinQuant for a quick smoke test, while the CLI can still
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write a configured standalone file for a real run.
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"""
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from __future__ import annotations
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from pathlib import Path
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from string import Template
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from typing import Literal
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WrapperMode = Literal["target_shares", "target_value"]
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_WRAPPER_TEMPLATE = Template(
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r'''# Standalone JoinQuant target wrapper generated by chinese-equity-quant.
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# Copy this file and the exported daily CSV target files into JoinQuant.
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#
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# The file loader is isolated in _read_target_file(). The default implementation
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# uses JoinQuant's read_file API for uploaded files. If your JoinQuant runtime
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# allows HTTP or another storage backend, replace only that function.
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import csv
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import io
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import json
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PORTFOLIO_NAME = "${portfolio_name}"
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TARGET_MODE = "${mode}"
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ALLOW_SHORT = ${allow_short}
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TARGET_FILE_PREFIX = "" # Optional uploaded-file prefix, for example "run1/"
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def initialize(context):
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set_benchmark("000300.XSHG")
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set_option("use_real_price", True)
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g.portfolio_name = PORTFOLIO_NAME
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g.target_mode = TARGET_MODE
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g.targets_by_date = {}
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run_daily(load_targets, time="before_open")
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run_daily(rebalance_at_open, time="open")
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run_daily(record_after_close, time="after_close")
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def _today_text(context):
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return context.current_dt.strftime("%Y-%m-%d")
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def _today_file_name(context):
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return context.current_dt.strftime("%Y%m%d") + ".csv"
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def _read_target_file(file_name):
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data = read_file(TARGET_FILE_PREFIX + file_name)
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if isinstance(data, bytes):
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data = data.decode("utf-8")
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return data
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def _load_target_rows(context):
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file_name = _today_file_name(context)
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text = _read_target_file(file_name)
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rows = list(csv.DictReader(io.StringIO(text)))
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clean_rows = []
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for row in rows:
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if row.get("portfolio_name") and row["portfolio_name"] != PORTFOLIO_NAME:
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continue
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jq_symbol = row.get("jq_symbol") or row.get("security") or row.get("symbol")
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if not jq_symbol:
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log.warn("Skipping target row with no jq_symbol: %s" % row)
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continue
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if TARGET_MODE == "target_shares":
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target = int(float(row.get("target_shares") or 0))
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elif TARGET_MODE == "target_value":
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target = float(row.get("target_value") or 0.0)
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else:
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raise ValueError("Unsupported TARGET_MODE: %s" % TARGET_MODE)
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if not ALLOW_SHORT and target < 0:
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log.warn(
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"SHORT_NOT_SUPPORTED clipping %s target from %s to 0" %
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(jq_symbol, target)
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)
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target = 0
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clean_rows.append({"jq_symbol": jq_symbol, "target": target, "raw": row})
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return clean_rows
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def load_targets(context):
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date_text = _today_text(context)
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try:
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rows = _load_target_rows(context)
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except Exception as exc:
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log.error("Failed to load JoinQuant target file for %s: %s" % (date_text, exc))
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rows = []
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g.targets_by_date[date_text] = rows
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log.info("JOINQUANT_TARGET_LOAD|%s" % json.dumps({
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"date": date_text,
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"portfolio_name": PORTFOLIO_NAME,
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"target_mode": TARGET_MODE,
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"n_targets": len(rows),
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}, sort_keys=True))
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def rebalance_at_open(context):
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date_text = _today_text(context)
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rows = g.targets_by_date.get(date_text, [])
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target_symbols = set()
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for row in rows:
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security = row["jq_symbol"]
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target_symbols.add(security)
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if TARGET_MODE == "target_shares":
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order_target(security, int(row["target"]))
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else:
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order_target_value(security, float(row["target"]))
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log.info("JOINQUANT_ORDER_SUBMIT|%s" % json.dumps({
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"date": date_text,
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"portfolio_name": PORTFOLIO_NAME,
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"jq_symbol": security,
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"target_mode": TARGET_MODE,
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"target": row["target"],
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}, sort_keys=True))
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for security in list(context.portfolio.positions.keys()):
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if security not in target_symbols:
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order_target(security, 0)
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log.info("JOINQUANT_ORDER_CLOSE|%s" % json.dumps({
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"date": date_text,
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"portfolio_name": PORTFOLIO_NAME,
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"jq_symbol": security,
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}, sort_keys=True))
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def _position_records(context):
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records = []
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cash = float(context.portfolio.available_cash)
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total_value = float(context.portfolio.total_value)
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for security, position in context.portfolio.positions.items():
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records.append({
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"date": _today_text(context),
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"portfolio_name": PORTFOLIO_NAME,
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"jq_symbol": security,
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"position_shares": int(position.total_amount),
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"position_value": float(position.value),
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"cash": cash,
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"total_value": total_value,
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})
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return records
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def _trade_records(context):
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records = []
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try:
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trades = get_trades()
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except Exception:
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trades = {}
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for trade_id, trade in trades.items():
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amount = int(getattr(trade, "amount", 0))
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price = float(getattr(trade, "price", 0.0))
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security = getattr(trade, "security", "")
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side = "buy" if amount >= 0 else "sell"
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records.append({
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"date": _today_text(context),
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"portfolio_name": PORTFOLIO_NAME,
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"jq_symbol": security,
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"order_id": str(getattr(trade, "order_id", trade_id)),
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"side": side,
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"filled_shares": amount,
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"fill_price": price,
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"trade_value": abs(amount * price),
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"trade_cost": float(getattr(trade, "commission", 0.0)),
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"raw_status": "filled",
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})
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return records
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def record_after_close(context):
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date_text = _today_text(context)
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for record in _trade_records(context):
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log.info("JOINQUANT_FILL|%s" % json.dumps(record, sort_keys=True))
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for record in _position_records(context):
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log.info("JOINQUANT_POSITION|%s" % json.dumps(record, sort_keys=True))
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log.info("JOINQUANT_PNL|%s" % json.dumps({
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"date": date_text,
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"portfolio_name": PORTFOLIO_NAME,
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"cash": float(context.portfolio.available_cash),
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"total_value": float(context.portfolio.total_value),
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}, sort_keys=True))
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'''
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)
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# Make this module itself usable as a JoinQuant strategy with defaults.
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exec(_WRAPPER_TEMPLATE.substitute(
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portfolio_name="run1",
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mode="target_shares",
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allow_short="False",
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))
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def render_wrapper_strategy(
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*,
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portfolio_name: str,
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mode: WrapperMode = "target_shares",
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allow_short: bool = False,
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) -> str:
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"""Render the standalone JoinQuant wrapper strategy source."""
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if mode not in {"target_shares", "target_value"}:
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raise ValueError("mode must be 'target_shares' or 'target_value'")
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return _WRAPPER_TEMPLATE.substitute(
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portfolio_name=portfolio_name,
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mode=mode,
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allow_short="True" if allow_short else "False",
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)
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def write_wrapper_strategy(
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*,
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portfolio_name: str,
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mode: WrapperMode = "target_shares",
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out_path: str | Path,
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allow_short: bool = False,
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) -> Path:
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"""Write a configured standalone JoinQuant wrapper strategy."""
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path = Path(out_path)
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path.parent.mkdir(parents=True, exist_ok=True)
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path.write_text(
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render_wrapper_strategy(
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portfolio_name=portfolio_name,
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mode=mode,
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allow_short=allow_short,
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),
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encoding="utf-8",
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)
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return path
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