Yuxuan Yan
56 lines
1.8 KiB
Markdown
56 lines
1.8 KiB
Markdown
# JoinQuant Comparison Plugin
|
|
|
|
This plugin exports frozen targets from the internal A-share research pipeline,
|
|
drives a standalone JoinQuant wrapper strategy, ingests JoinQuant output files,
|
|
and reconciles them against the internal reference simulator.
|
|
|
|
The plugin validates system mechanics, not alpha quality:
|
|
|
|
- date alignment
|
|
- symbol mapping
|
|
- target position generation
|
|
- open execution timing
|
|
- lot rounding and filled shares
|
|
- position carry
|
|
- trading cost and PnL accounting
|
|
- blocked trades from suspension and price limits
|
|
|
|
## Commands
|
|
|
|
```bash
|
|
uv run python cli.py joinquant export-targets \
|
|
--positions-path portfolio/run1.pq \
|
|
--portfolio-name run1 \
|
|
--mode target_shares \
|
|
--start-date 2026-07-01 \
|
|
--end-date 2026-07-31 \
|
|
--out-dir plugins_output/joinquant/targets
|
|
|
|
uv run python cli.py joinquant write-wrapper \
|
|
--portfolio-name run1 \
|
|
--mode target_shares \
|
|
--out-path plugins_output/joinquant/wrapper_strategy_run1.py
|
|
|
|
uv run python cli.py joinquant ingest \
|
|
--portfolio-name run1 \
|
|
--fills-csv path/to/jq_fills.csv \
|
|
--positions-csv path/to/jq_positions.csv \
|
|
--pnl-csv path/to/jq_pnl.csv \
|
|
--out-dir plugins_output/joinquant/ingested
|
|
|
|
uv run python cli.py joinquant reconcile \
|
|
--portfolio-name run1 \
|
|
--targets-dir plugins_output/joinquant/targets/run1 \
|
|
--our-fills-path fills/run1.pq \
|
|
--our-positions-path portfolio/run1.pq \
|
|
--our-pnl-path pnl/run1.pq \
|
|
--jq-fills-path plugins_output/joinquant/ingested/run1/fills.pq \
|
|
--jq-positions-path plugins_output/joinquant/ingested/run1/positions.pq \
|
|
--jq-pnl-path plugins_output/joinquant/ingested/run1/pnl.pq \
|
|
--out-dir plugins_output/joinquant/reconcile
|
|
```
|
|
|
|
`target_shares` is the default and uses the built integer `position_shares`
|
|
from `portfolio build`, matching what the internal simulator executes.
|
|
|