Yuxuan Yan
220 lines
8.5 KiB
Python
220 lines
8.5 KiB
Python
"""CLI commands for the JoinQuant comparison plugin."""
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from __future__ import annotations
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import click
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from plugins.joinquant.export_targets import export_targets
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from plugins.joinquant.ingest import ingest_joinquant_outputs
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from plugins.joinquant.reconcile import reconcile_joinquant
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from plugins.joinquant.smoke import prepare_smoke_test
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from plugins.joinquant.wrapper_strategy import write_wrapper_strategy
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@click.group(name="joinquant")
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def joinquant():
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"""Compare internal portfolio simulation with JoinQuant output."""
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@joinquant.command("export-targets")
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@click.option("--positions-path", required=True, help="Portfolio positions parquet from `portfolio build`")
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@click.option("--portfolio-name", required=True, help="Portfolio run to export")
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@click.option(
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"--mode",
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"mode",
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type=click.Choice(["target_shares", "target_value"]),
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default="target_shares",
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show_default=True,
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help="JoinQuant target order mode",
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)
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@click.option("--start-date", default=None, help="Inclusive YYYY-MM-DD start date")
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@click.option("--end-date", default=None, help="Inclusive YYYY-MM-DD end date")
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@click.option(
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"--execution-calendar-path",
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default=None,
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help="Daily data parquet/dataset used to shift position dates to next execution session",
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)
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@click.option("--out-dir", default="plugins_output/joinquant/targets", show_default=True)
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@click.option("--force", is_flag=True, help="Overwrite frozen target/snapshot files")
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def export_targets_cmd(
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positions_path,
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portfolio_name,
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mode,
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start_date,
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end_date,
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execution_calendar_path,
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out_dir,
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force,
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):
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"""Export frozen daily target files for JoinQuant."""
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snapshots = export_targets(
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positions_path=positions_path,
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portfolio_name=portfolio_name,
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mode=mode,
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start_date=start_date,
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end_date=end_date,
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execution_calendar_path=execution_calendar_path,
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out_dir=out_dir,
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force=force,
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)
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click.echo(f"Exported JoinQuant targets: {len(snapshots)} day(s)")
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for snapshot in snapshots:
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click.echo(
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f" {snapshot['date']}: {snapshot['n_symbols']} symbols, "
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f"sha256={str(snapshot['file_sha256'])[:12]}"
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)
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@joinquant.command("ingest")
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@click.option("--portfolio-name", required=True, help="Portfolio run name")
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@click.option("--fills-csv", required=True, help="JoinQuant fills CSV")
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@click.option("--positions-csv", required=True, help="JoinQuant positions CSV")
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@click.option("--pnl-csv", required=True, help="JoinQuant daily PnL CSV")
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@click.option("--out-dir", default="plugins_output/joinquant/ingested", show_default=True)
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def ingest_cmd(portfolio_name, fills_csv, positions_csv, pnl_csv, out_dir):
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"""Normalize JoinQuant CSV exports to parquet."""
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paths = ingest_joinquant_outputs(
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portfolio_name=portfolio_name,
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fills_csv=fills_csv,
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positions_csv=positions_csv,
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pnl_csv=pnl_csv,
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out_dir=out_dir,
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)
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click.echo(f"Saved JoinQuant fills: {paths['fills']}")
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click.echo(f"Saved JoinQuant positions: {paths['positions']}")
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click.echo(f"Saved JoinQuant pnl: {paths['pnl']}")
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@joinquant.command("reconcile")
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@click.option("--portfolio-name", required=True, help="Portfolio run name")
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@click.option("--targets-dir", required=True, help="Directory containing exported daily target files")
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@click.option("--our-fills-path", required=True, help="Internal simulator fills parquet")
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@click.option("--our-positions-path", required=True, help="Internal portfolio positions parquet")
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@click.option("--our-pnl-path", required=True, help="Internal simulator PnL parquet")
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@click.option("--jq-fills-path", required=True, help="Normalized JoinQuant fills parquet")
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@click.option("--jq-positions-path", required=True, help="Normalized JoinQuant positions parquet")
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@click.option("--jq-pnl-path", required=True, help="Normalized JoinQuant PnL parquet")
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@click.option("--out-dir", default="plugins_output/joinquant/reconcile", show_default=True)
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@click.option("--share-tolerance", default=0.0, show_default=True, type=float)
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@click.option("--price-rel-tolerance", default=1e-4, show_default=True, type=float)
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@click.option("--pnl-tolerance", default=1.0, show_default=True, type=float)
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@click.option("--booksize", default=None, type=float, help="Booksize for value tolerance inference")
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def reconcile_cmd(
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portfolio_name,
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targets_dir,
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our_fills_path,
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our_positions_path,
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our_pnl_path,
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jq_fills_path,
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jq_positions_path,
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jq_pnl_path,
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out_dir,
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share_tolerance,
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price_rel_tolerance,
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pnl_tolerance,
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booksize,
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):
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"""Write per-symbol and daily JoinQuant reconciliation reports."""
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paths = reconcile_joinquant(
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portfolio_name=portfolio_name,
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targets_dir=targets_dir,
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our_fills_path=our_fills_path,
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our_positions_path=our_positions_path,
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our_pnl_path=our_pnl_path,
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jq_fills_path=jq_fills_path,
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jq_positions_path=jq_positions_path,
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jq_pnl_path=jq_pnl_path,
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out_dir=out_dir,
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share_tolerance=share_tolerance,
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price_rel_tolerance=price_rel_tolerance,
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pnl_tolerance=pnl_tolerance,
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booksize=booksize,
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)
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click.echo(f"Saved reconciliation parquet: {paths['daily_reconcile']}")
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click.echo(f"Saved reconciliation summary: {paths['summary_md']}")
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click.echo(f"Saved reconciliation CSV: {paths['summary_csv']}")
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@joinquant.command("write-wrapper")
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@click.option("--portfolio-name", required=True, help="Portfolio run name")
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@click.option(
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"--mode",
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"mode",
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type=click.Choice(["target_shares", "target_value"]),
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default="target_shares",
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show_default=True,
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)
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@click.option("--out-path", required=True, help="Path for generated standalone strategy")
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@click.option("--allow-short", is_flag=True, help="Do not clip negative targets in the generated wrapper")
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def write_wrapper_cmd(portfolio_name, mode, out_path, allow_short):
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"""Generate a standalone JoinQuant wrapper strategy."""
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path = write_wrapper_strategy(
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portfolio_name=portfolio_name,
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mode=mode,
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out_path=out_path,
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allow_short=allow_short,
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)
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click.echo(f"Saved JoinQuant wrapper strategy: {path}")
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@joinquant.command("prepare-smoke")
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@click.option("--out-dir", required=True, help="Root directory for generated smoke-test artifacts")
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@click.option(
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"--universe",
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default="sh600000,sz000001,sh600519,sz002594,sz300750",
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show_default=True,
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help="Universe for the tiny real-data download",
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)
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@click.option("--trade-symbol", default="sh600000", show_default=True)
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@click.option("--start-date", default="2024-01-02", show_default=True)
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@click.option("--end-date", default="2024-01-12", show_default=True)
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@click.option("--portfolio-name", default="jq_smoke_one_stock_long", show_default=True)
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@click.option("--shares", default=1000, show_default=True, type=int)
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@click.option("--booksize", default=1_000_000.0, show_default=True, type=float)
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@click.option("--max-signal-dates", default=3, show_default=True, type=int)
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@click.option("--cost-bps", default=5.0, show_default=True, type=float)
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@click.option("--slippage-bps", default=5.0, show_default=True, type=float)
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@click.option("--volume-frac", default=0.02, show_default=True, type=float)
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@click.option("--force", is_flag=True, help="Overwrite existing frozen target files")
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def prepare_smoke_cmd(
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out_dir,
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universe,
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trade_symbol,
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start_date,
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end_date,
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portfolio_name,
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shares,
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booksize,
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max_signal_dates,
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cost_bps,
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slippage_bps,
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volume_frac,
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force,
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):
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"""Prepare a one-command local real-data JoinQuant smoke test."""
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manifest = prepare_smoke_test(
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out_dir=out_dir,
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universe=universe,
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trade_symbol=trade_symbol,
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start_date=start_date,
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end_date=end_date,
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portfolio_name=portfolio_name,
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shares=shares,
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booksize=booksize,
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max_signal_dates=max_signal_dates,
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cost_bps=cost_bps,
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slippage_bps=slippage_bps,
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volume_frac=volume_frac,
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force=force,
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)
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click.echo(f"Prepared JoinQuant smoke manifest: {manifest['manifest_path']}")
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click.echo(f"Wrapper: {manifest['wrapper_path']}")
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click.echo(f"Targets: {manifest['targets_dir']}")
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click.echo(f"Expected JoinQuant exports: {manifest['joinquant_export_dir']}")
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summary = manifest["local_summary"]
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click.echo(
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f"Local simulator: {summary['n_pnl_rows']} days, "
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f"PnL={summary['total_pnl']:,.2f}, cost={summary['total_cost']:,.2f}, "
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f"blocked={summary['blocked_trades']}"
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)
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