Yuxuan Yan
100 lines
1.8 KiB
Python
100 lines
1.8 KiB
Python
"""Column contracts for the JoinQuant comparison plugin."""
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from typing import Final
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JOINQUANT_TARGET_COLUMNS: Final[list[str]] = [
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"date",
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"portfolio_name",
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"symbol_id",
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"jq_symbol",
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"target_shares",
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"target_value",
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"target_weight",
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"export_mode",
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"snapshot_id",
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]
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JOINQUANT_FILL_COLUMNS: Final[list[str]] = [
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"date",
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"portfolio_name",
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"symbol_id",
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"jq_symbol",
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"order_id",
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"side",
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"requested_shares",
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"filled_shares",
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"fill_price",
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"trade_value",
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"trade_cost",
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"blocked",
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"raw_status",
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]
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JOINQUANT_POSITION_COLUMNS: Final[list[str]] = [
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"date",
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"portfolio_name",
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"symbol_id",
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"jq_symbol",
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"position_shares",
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"position_value",
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"cash",
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"total_value",
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]
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JOINQUANT_PNL_COLUMNS: Final[list[str]] = [
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"date",
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"portfolio_name",
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"gross_exposure",
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"net_exposure",
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"cash",
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"total_value",
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"pnl",
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"cost",
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"turnover",
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]
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RECONCILE_COLUMNS: Final[list[str]] = [
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"date",
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"portfolio_name",
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"symbol_id",
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"jq_symbol",
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"target_shares",
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"our_filled_shares",
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"jq_filled_shares",
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"filled_share_diff",
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"our_position_shares",
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"jq_position_shares",
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"position_share_diff",
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"our_trade_price",
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"jq_trade_price",
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"trade_price_diff",
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"our_cost",
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"jq_cost",
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"cost_diff",
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"our_pnl",
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"jq_pnl",
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"pnl_diff",
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"diff_reason",
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]
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DIFF_REASONS: Final[list[str]] = [
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"MATCH",
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"SYMBOL_MAPPING",
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"PRICE_MISMATCH",
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"LOT_ROUNDING",
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"SUSPENSION",
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"LIMIT_UP_BLOCK",
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"LIMIT_DOWN_BLOCK",
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"VOLUME_OR_LIQUIDITY",
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"COST_MODEL",
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"CASH_CONSTRAINT",
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"SHORT_NOT_SUPPORTED",
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"CORPORATE_ACTION",
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"JOINQUANT_INTERNAL_ROUNDING",
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"MISSING_IN_OUR_SYSTEM",
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"MISSING_IN_JOINQUANT",
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"UNKNOWN",
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]
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