Merge f5626fd into 34b2404

rqalpha/__init__.py

@@ -17,6 +17,7 @@
 """
 from rqalpha.cmds import cli
 from rqalpha.api import export_as_api
+from rqalpha.apis import subscribe_event
 from . import data
 from . import interface
 from . import portfolio

rqalpha/apis/api_abstract.py

@@ -18,7 +18,7 @@
 from typing import Union, Optional, List
 
 from rqalpha.api import export_as_api
-from rqalpha.execution_context import ExecutionContext
+from rqalpha.core.execution_context import ExecutionContext
 from rqalpha.const import EXECUTION_PHASE
 from rqalpha.model.instrument import Instrument
 from rqalpha.model.order import MarketOrder, LimitOrder, OrderStyle, Order

rqalpha/apis/api_base.py

@@ -27,7 +27,7 @@
 
 from rqalpha.apis import names
 from rqalpha.environment import Environment
-from rqalpha.execution_context import ExecutionContext
+from rqalpha.core.execution_context import ExecutionContext
 from rqalpha.utils import is_valid_price
 from rqalpha.utils.exception import RQInvalidArgument
 from rqalpha.utils.i18n import gettext as _
@@ -40,7 +40,7 @@
     EXECUTION_PHASE, ORDER_STATUS, SIDE, POSITION_EFFECT, ORDER_TYPE, MATCHING_TYPE, RUN_TYPE, POSITION_DIRECTION,
 )
 from rqalpha.model.order import Order, MarketOrder, LimitOrder, OrderStyle
-from rqalpha.events import EVENT, Event
+from rqalpha.core.events import EVENT, Event
 from rqalpha.core.strategy_context import StrategyContext
 from rqalpha.portfolio.position import Position
 
@@ -389,7 +389,7 @@ def history_bars(
     include_now=False,
     adjust_type="pre",
 ):
-    # type: (str, int, str, Optional[str], Optional[bool], Optional[bool], Optional[str]) -> np.ndarray
+    # type:(str, int, str, Optional[Union[str, List[str]]], Optional[bool], Optional[bool], Optional[str]) -> np.ndarray
     """
     获取指定合约的历史 k 线行情，同时支持日以及分钟历史数据。不能在init中调用。
 

rqalpha/apis/api_rqdatac.py

@@ -25,7 +25,7 @@
     VALID_HISTORY_FIELDS, VALID_MARGIN_FIELDS, VALID_SHARE_FIELDS, VALID_TURNOVER_FIELDS,
     VALID_CURRENT_PERFORMANCE_FIELDS, VALID_STOCK_CONNECT_FIELDS,
 )
-from rqalpha.execution_context import ExecutionContext
+from rqalpha.core.execution_context import ExecutionContext
 from rqalpha.environment import Environment
 from rqalpha.utils.arg_checker import apply_rules, verify_that
 from rqalpha.utils.exception import RQInvalidArgument

rqalpha/core/executor.py

@@ -18,7 +18,7 @@
 from copy import copy
 from datetime import datetime
 
-from rqalpha.events import EVENT, Event
+from rqalpha.core.events import EVENT, Event
 from rqalpha.utils.rq_json import convert_dict_to_json, convert_json_to_dict
 from rqalpha.utils.logger import system_log
 

rqalpha/core/strategy.py

@@ -17,11 +17,11 @@
 
 from functools import wraps
 
-from rqalpha.events import EVENT, Event
+from rqalpha.core.events import EVENT, Event
 from rqalpha.utils.logger import user_system_log
 from rqalpha.utils.i18n import gettext as _
 from rqalpha.utils.exception import ModifyExceptionFromType
-from rqalpha.execution_context import ExecutionContext
+from rqalpha.core.execution_context import ExecutionContext
 from rqalpha.const import EXECUTION_PHASE, EXC_TYPE
 from rqalpha.environment import Environment
 

rqalpha/core/strategy_universe.py

@@ -16,7 +16,7 @@
 import json
 import copy
 
-from rqalpha.events import EVENT, Event
+from rqalpha.core.events import EVENT, Event
 from rqalpha.environment import Environment
 from rqalpha.model.instrument import Instrument
 

rqalpha/data/bar_dict_price_board.py

@@ -16,7 +16,7 @@
 
 from rqalpha.interface import AbstractPriceBoard
 from rqalpha.environment import Environment
-from rqalpha.execution_context import ExecutionContext
+from rqalpha.core.execution_context import ExecutionContext
 from rqalpha.const import EXECUTION_PHASE
 
 

rqalpha/data/base_data_source/data_source.py

@@ -95,7 +95,7 @@ def register_instruments_store(self, instruments_store):
         self._instruments.extend(instruments_store.get_all_instruments())
 
     def register_dividend_store(self, instrument_type, dividend_store):
-        # type: (INSTRUMENT_TYPE, DividendStore) -> None
+        # type: (INSTRUMENT_TYPE, AbstractDividendStore) -> None
         self._dividends[instrument_type] = dividend_store
 
     def register_split_store(self, instrument_type, split_store):

rqalpha/data/base_data_source/storage_interface.py

@@ -16,13 +16,15 @@
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 
 import abc
-from typing import List, Sequence, Optional
+from typing import List
+from typing import Optional
+from typing import Sequence
 
-import pandas
 import numpy as np
+import pandas
 
-from rqalpha.utils.typing import DateLike
 from rqalpha.model.instrument import Instrument
+from rqalpha.utils.typing import DateLike
 
 
 class AbstractInstrumentStore:
@@ -55,3 +57,17 @@ def contains(self, order_book_id, dates):
         # type: (str, Sequence[DateLike]) -> Optional[List[bool]]
         # 若 DateSet 中不包含该 order_book_id 的信息则返回 None，否则返回 List[bool]
         raise NotImplementedError
+
+
+class AbstractDividendStore:
+    @abc.abstractmethod
+    def get_dividend(self, order_book_id):
+        # type: (str) -> np.ndarray
+        raise NotImplementedError
+
+
+class AbstractSimpleFactorStore:
+    @abc.abstractmethod
+    def get_factors(self, order_book_id):
+        # type: (str) -> np.ndarray
+        raise NotImplementedError

rqalpha/data/base_data_source/storages.py

@@ -21,6 +21,8 @@
 import codecs
 import pickle
 from copy import copy
+
+from rqalpha.data.base_data_source.storage_interface import AbstractSimpleFactorStore
 from rqalpha.utils.functools import lru_cache
 
 import json
@@ -34,6 +36,7 @@
 from rqalpha.model.instrument import Instrument
 
 from .storage_interface import AbstractCalendarStore, AbstractInstrumentStore, AbstractDayBarStore, AbstractDateSet
+from .storage_interface import AbstractDividendStore
 
 
 class ExchangeTradingCalendarStore(AbstractCalendarStore):
@@ -161,7 +164,7 @@ def get_date_range(self, order_book_id):
             return 20050104, 20050104
 
 
-class DividendStore:
+class DividendStore(AbstractDividendStore):
     def __init__(self, path):
         self._h5 = open_h5(path, mode="r")
 
@@ -200,7 +203,7 @@ def get_yield_curve(self, start_date, end_date, tenor):
         return df
 
 
-class SimpleFactorStore:
+class SimpleFactorStore(AbstractSimpleFactorStore):
     def __init__(self, path):
         self._h5 = open_h5(path, mode="r")
 

rqalpha/environment.py

@@ -21,7 +21,7 @@
 
 
 import rqalpha
-from rqalpha.events import EventBus
+from rqalpha.core.events import EventBus
 from rqalpha.const import INSTRUMENT_TYPE
 from rqalpha.utils.logger import system_log, user_log, user_system_log
 from rqalpha.core.global_var import GlobalVars

rqalpha/examples/extend_api/rqalpha_mod_extend_api_demo.py

@@ -40,7 +40,7 @@ def tear_down(self, code, exception=None):
 
     def _inject_api(self):
         from rqalpha.api import export_as_api
-        from rqalpha.execution_context import ExecutionContext
+        from rqalpha.core.execution_context import ExecutionContext
         from rqalpha.const import EXECUTION_PHASE
 
         @export_as_api

rqalpha/interface.py

@@ -30,104 +30,6 @@
 from rqalpha.const import POSITION_DIRECTION, TRADING_CALENDAR_TYPE
 
 
-class AbstractAccount(with_metaclass(abc.ABCMeta)):
-    """
-    账户接口，主要用于构建账户信息
-    """
-
-    @abc.abstractmethod
-    def calc_close_today_amount(self, order_book_id, trade_amount, position_direction):
-        # type: (str, Union[int, float], POSITION_DIRECTION) -> Union[int, float]
-        """
-        根据计算当前不超过 trade_amount 的最大可平仓量
-        """
-        raise NotImplementedError
-
-    @abc.abstractmethod
-    def get_state(self):
-        # type: () -> Any
-        """
-        主要用于进行持久化时候，提供对应需要持久化的数据
-        """
-        raise NotImplementedError
-
-    @abc.abstractmethod
-    def set_state(self, state):
-        # type: (Any) -> None
-        """
-        主要用于持久化恢复时，根据提供的持久化数据进行恢复Account的实现
-        """
-        raise NotImplementedError
-
-    @abc.abstractmethod
-    def get_positions(self):
-        # type: () -> Iterable[AbstractPosition]
-        """
-        获取当前账户下的全部持仓对象
-        """
-        raise NotImplementedError
-
-    @abc.abstractmethod
-    def get_position(self, order_book_id, direction):
-        # type: (str, POSITION_DIRECTION) -> AbstractPosition
-        """
-        根据指定的 order_book_id 和方向获取持仓对象
-        """
-        raise NotImplementedError
-
-    @property
-    @abc.abstractmethod
-    def frozen_cash(self):
-        # type: () -> Union[int, float]
-        """
-        返回当前账户的冻结资金
-        """
-        raise NotImplementedError
-
-    @property
-    @abc.abstractmethod
-    def cash(self):
-        # type: () -> Union[int, float]
-        """
-        返回当前账户的可用资金
-        """
-        raise NotImplementedError
-
-    @property
-    @abc.abstractmethod
-    def market_value(self):
-        # type: () -> Union[int, float]
-        # 返回当前账户的市值
-        raise NotImplementedError
-
-    @property
-    @abc.abstractmethod
-    def total_value(self):
-        # type: () -> Union[int, float]
-        """
-        返回当前账户的总权益
-        """
-        raise NotImplementedError
-
-    @property
-    @abc.abstractmethod
-    def transaction_cost(self):
-        # type: () -> Union[int, float]
-        """
-        返回当前账户的当日交易费用
-        """
-        raise NotImplementedError
-
-    @property
-    @abc.abstractmethod
-    def daily_pnl(self):
-        # type: () -> Union[int, float]
-        """
-        返回当前账户的当日盈亏
-        """
-        raise NotImplementedError
-
-
 class AbstractPosition(with_metaclass(abc.ABCMeta)):
     """
     仓位接口，主要用于构建仓位信息
@@ -677,15 +579,13 @@ class AbstractFrontendValidator(with_metaclass(abc.ABCMeta)):
     """
     @abc.abstractmethod
     def can_submit_order(self, order, account=None):
-        # type: (Order, Optional[AbstractAccount]) -> bool
         """
         判断是否可以下单
         """
         raise NotImplementedError
 
     @abc.abstractmethod
     def can_cancel_order(self, order, account=None):
-        # type: (Order, Optional[AbstractAccount]) -> bool
         """
         判读是否可以撤单
         """

rqalpha/main.py

@@ -15,33 +15,32 @@
 #         在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 
-import sys
 import datetime
+import sys
 from pprint import pformat
 
-import logbook
 import jsonpickle.ext.numpy as jsonpickle_numpy
+import logbook
 import six
-
 from rqalpha import const
-from rqalpha.core.strategy_loader import FileStrategyLoader, SourceCodeStrategyLoader, UserFuncStrategyLoader
+from rqalpha.core.executor import Executor
 from rqalpha.core.strategy import Strategy
 from rqalpha.core.strategy_context import StrategyContext
-from rqalpha.core.executor import Executor
+from rqalpha.core.strategy_loader import FileStrategyLoader, SourceCodeStrategyLoader, UserFuncStrategyLoader
 from rqalpha.data.base_data_source import BaseDataSource
 from rqalpha.data.data_proxy import DataProxy
 from rqalpha.environment import Environment
-from rqalpha.events import EVENT, Event
-from rqalpha.execution_context import ExecutionContext
+from rqalpha.core.events import EVENT, Event
+from rqalpha.core.execution_context import ExecutionContext
 from rqalpha.interface import Persistable
 from rqalpha.mod import ModHandler
 from rqalpha.model.bar import BarMap
-from rqalpha.utils import create_custom_exception, RqAttrDict, init_rqdatac_env
+from rqalpha.utils import RqAttrDict, create_custom_exception, init_rqdatac_env
 from rqalpha.utils.exception import CustomException, is_user_exc, patch_user_exc
 from rqalpha.utils.i18n import gettext as _
 from rqalpha.utils.log_capture import LogCapture
+from rqalpha.utils.logger import system_log, user_log, user_system_log
 from rqalpha.utils.persisit_helper import PersistHelper
-from rqalpha.utils.logger import system_log, user_system_log, user_log
 
 jsonpickle_numpy.register_handlers()
 
@@ -59,7 +58,7 @@ def _adjust_start_date(config, data_proxy):
             ValueError(
                 _(u"There is no data between {start_date} and {end_date}. Please check your"
                   u" data bundle or select other backtest period.").format(
-                      start_date=origin_start_date, end_date=origin_end_date)))
+                    start_date=origin_start_date, end_date=origin_end_date)))
     config.base.start_date = config.base.trading_calendar[0].date()
     config.base.end_date = config.base.trading_calendar[-1].date()
 
@@ -194,10 +193,16 @@ def run(config, source_code=None, user_funcs=None):
 
         if persist_helper:
             env.event_bus.publish_event(Event(EVENT.BEFORE_SYSTEM_RESTORED))
-            if persist_helper.restore(None):
-                user_system_log.info(_('system restored'))
-            else:
+            restored_obj_state = persist_helper.restore(None)
+            check_key = ["global_vars", "user_context", "executor", "universe"]
+            kept_current_init_data = not any(v for k, v in restored_obj_state.items() if k in check_key)
+            system_log.debug("restored_obj_state: {}".format(restored_obj_state))
+            system_log.debug("kept_current_init_data: {}".format(kept_current_init_data))
+            if kept_current_init_data:
+                # 未能恢复init相关数据 保留当前策略初始化变量(展示当前策略初始化日志)
                 log_capture.replay()
+            else:
+                user_system_log.info(_('system restored'))
             env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_RESTORED))
 
         init_succeed = True

rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py

@@ -36,7 +36,7 @@
     INSTRUMENT_TYPE
 )
 from rqalpha.environment import Environment
-from rqalpha.execution_context import ExecutionContext
+from rqalpha.core.execution_context import ExecutionContext
 from rqalpha.model.instrument import (
     Instrument, IndustryCode as industry_code, IndustryCodeItem, SectorCode as sector_code, SectorCodeItem
 )