Yuxuan Yan
67 lines
2.4 KiB
Markdown
67 lines
2.4 KiB
Markdown
# JoinQuant Comparison Plugin
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This plugin exports frozen targets from the internal A-share research pipeline,
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drives a standalone JoinQuant wrapper strategy, ingests JoinQuant output files,
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and reconciles them against the internal reference simulator.
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The plugin validates system mechanics, not alpha quality:
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- date alignment
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- symbol mapping
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- target position generation
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- open execution timing
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- lot rounding and filled shares
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- position carry
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- trading cost and PnL accounting
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- blocked trades from suspension and price limits
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## Commands
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```bash
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uv run python cli.py joinquant prepare-smoke \
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--out-dir /tmp/chinese-equity-quant-realdata
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uv run python cli.py joinquant export-targets \
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--positions-path portfolio/run1.pq \
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--portfolio-name run1 \
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--mode target_shares \
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--execution-calendar-path data/daily_bars/csi500 \
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--start-date 2026-07-01 \
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--end-date 2026-07-31 \
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--out-dir plugins_output/joinquant/targets
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uv run python cli.py joinquant write-wrapper \
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--portfolio-name run1 \
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--mode target_shares \
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--out-path plugins_output/joinquant/wrapper_strategy_run1.py
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uv run python cli.py joinquant ingest \
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--portfolio-name run1 \
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--fills-csv path/to/jq_fills.csv \
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--positions-csv path/to/jq_positions.csv \
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--pnl-csv path/to/jq_pnl.csv \
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--out-dir plugins_output/joinquant/ingested
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uv run python cli.py joinquant reconcile \
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--portfolio-name run1 \
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--targets-dir plugins_output/joinquant/targets/run1 \
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--our-fills-path fills/run1.pq \
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--our-positions-path portfolio/run1.pq \
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--our-pnl-path pnl/run1.pq \
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--jq-fills-path plugins_output/joinquant/ingested/run1/fills.pq \
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--jq-positions-path plugins_output/joinquant/ingested/run1/positions.pq \
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--jq-pnl-path plugins_output/joinquant/ingested/run1/pnl.pq \
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--out-dir plugins_output/joinquant/reconcile
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```
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`target_shares` is the default and uses the built integer `position_shares`
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from `portfolio build`, matching what the internal simulator executes.
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For strict simulator-vs-JoinQuant comparison, pass `--execution-calendar-path`
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so position dates are shifted to the next session open, matching the internal
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simulator's next-open convention.
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`prepare-smoke` automates the local side of the first sanity check: tiny real
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data download, one-stock long-only position file, internal simulation, aligned
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target export, wrapper generation, and a manifest with expected JoinQuant CSV
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export paths.
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