Merge 75248bd into 93ec38f

docs/source/development/mod.rst

@@ -51,6 +51,7 @@ Hello World
 
 扩展 RQAlpha API
 ================
+
 如果你想为 RQAlpha 创建自己的 API，你也可以通过 Mod 来注册新的 API。在内建的 mod 中，有一个 FuncatAPIMod ，将通达信、同花顺的公式表达能力移植到 Python 中，扩展了 RQAlpha 的 API。
 
 其中的关键点，是通过了 :code:`register_api` 来注册 API。
@@ -82,3 +83,92 @@ Hello World
 
         def tear_down(self, code, exception=None):
             pass
+
+以独立 Pypi 包作为 Mod
+================
+
+RQAlpha 支持安装、卸载、启用、停止第三方Mod。
+
+.. code-block:: bash
+
+    # 以名为 "xxx" 的 Mod 为例，介绍RQAlpha 第三方Mod的使用
+
+    # 安装
+    $ rqalpha install xxx
+
+    # 卸载
+    $ rqalpha uninstall xxx
+
+    # 启用
+    $ rqalpha enable xxx
+
+    # 关闭
+    $ rqalpha disable xxx
+
+如果您希望发布自己的Mod并被 RQAlpha 的用户使用，只需要遵循简单的约定即可。
+
+下面为一个 RQAlpha Mod 的模板:
+
+.. code-block:: python3
+    from rqalpha.interface import AbstractMod
+
+
+    class XXXMod(AbstractMod):
+        def __init__(self):
+            pass
+
+        def start_up(self, env, mod_config):
+            pass
+
+        def tear_down(self, code, exception=None):
+            pass
+
+
+    def load_mod():
+        return XXXMod()
+
+
+    __mod_config__ = """
+      param1: "111"
+      param2: "222"
+    """
+
+约定如下：
+
+1.  需要定义并实现 :code:`load_mod` 函数, 其返回值为对应的继承自 :code:`AbstractMod` 的类，并且 :code:`load_mod` 所在文件必须按照 :code:`rqalpha_mod_xxx` 规则进行命名。
+2.  如果有自定义参数的话，需要实现 :code:`__mod_config__` 变量，其为字符串，配置的具体格式为 `yaml` 格式(支持注释)。RQAlpha 会自动将其扩展到默认配置项中。
+3.  当写好 Mod 以后，需要发布到 Pypi 仓库中，并且包名需要如下格式: :code:`rqalpha-mod-xxx`，一下的 setup.py 文件可作参考。
+
+.. code-block:: python3
+
+    from pip.req import parse_requirements
+
+    from setuptools import (
+        find_packages,
+        setup,
+    )
+
+    setup(
+        name='rqalpha-mod-xxx',
+        version="0.1.0",
+        description='RQAlpha Mod XXX',
+        packages=find_packages(exclude=[]),
+        author='',
+        author_email='',
+        license='Apache License v2',
+        package_data={'': ['*.*']},
+        url='',
+        install_requires=[str(ir.req) for ir in parse_requirements("requirements.txt", session=False)],
+        zip_safe=False,
+        classifiers=[
+            'Programming Language :: Python',
+            'Operating System :: Microsoft :: Windows',
+            'Operating System :: Unix',
+            'Programming Language :: Python :: 3.5',
+            'Programming Language :: Python :: 3.6',
+        ],
+    )
+
+按此编写好 Mod 并发布到 Pypi 上以后，就可以直接使用RQAlpha的命令来安装和启用该Mod了。
+
+如果您希望更多人使用您的Mod，您也可以联系我们，我们审核通过后，会在 RQAlpha 项目介绍和文档中增加您的Mod的介绍和推荐。

rqalpha/__main__.py

@@ -49,6 +49,7 @@ def update_bundle(data_bundle_path, locale):
 
 @cli.command()
 @click.help_option('-h', '--help')
+# -- Base Configuration
 @click.option('-d', '--data-bundle-path', 'base__data_bundle_path', type=click.Path(exists=True))
 @click.option('-f', '--strategy-file', 'base__strategy_file', type=click.Path(exists=True))
 @click.option('-s', '--start-date', 'base__start_date', type=Date())
@@ -65,25 +66,27 @@ def update_bundle(data_bundle_path, locale):
 @click.option('-me', '--match-engine', 'base__matching_type', type=click.Choice(['current_bar', 'next_bar']))
 @click.option('-rt', '--run-type', 'base__run_type', type=click.Choice(['b', 'p']), default="b")
 @click.option('--resume', 'base__resume_mode', is_flag=True)
+@click.option('--handle-split/--not-handle-split', 'base__handle_split', default=None, help="handle split")
+# -- Extra Configuration
 @click.option('-l', '--log-level', 'extra__log_level', type=click.Choice(['verbose', 'debug', 'info', 'error', 'none']))
 @click.option('--locale', 'extra__locale', type=click.Choice(['cn', 'en']), default="cn")
-@click.option('--handle-split/--not-handle-split', 'base__handle_split', default=None, help="handle split")
 @click.option('--disable-user-system-log', 'extra__user_system_log_disabled', is_flag=True, help='disable user system log')
+@click.option('--extra-vars', 'extra__context_vars', type=click.STRING, help="override context vars")
+@click.option("--enable-profiler", "extra__enable_profiler", is_flag=True,
+              help="add line profiler to profile your strategy")
+@click.option('--config', 'config_path', type=click.STRING, help="config file path")
+# -- Mod Configuration
+@click.option('-mc', '--mod-config', 'mod_configs', nargs=2, multiple=True, type=click.STRING, help="mod extra config")
 @click.option('-p', '--plot/--no-plot', 'mod__analyser__plot', default=None, help="plot result")
 @click.option('--plot-save', 'mod__analyser__plot_save_file', default=None, help="save plot to file")
 @click.option('--report', 'mod__analyser__report_save_path', type=click.Path(writable=True), help="save report")
 @click.option('-o', '--output-file', 'mod__analyser__output_file', type=click.Path(writable=True),
               help="output result pickle file")
 @click.option('--progress/--no-progress', 'mod__progress__enabled', default=None, help="show progress bar")
-@click.option('--extra-vars', 'extra__context_vars', type=click.STRING, help="override context vars")
-@click.option("--enable-profiler", "extra__enable_profiler", is_flag=True,
-              help="add line profiler to profile your strategy")
-@click.option('--config', 'config_path', type=click.STRING, help="config file path")
-@click.option('-mc', '--mod-config', 'mod_configs', nargs=2, multiple=True, type=click.STRING, help="mod extra config")
+@click.option('--short-stock', 'mod__risk_manager__short_stock', is_flag=True, help="enable stock shorting")
 # -- DEPRECATED ARGS && WILL BE REMOVED AFTER VERSION 1.0.0
 @click.option('-i', '--init-cash', 'base__stock_starting_cash', type=click.FLOAT)
 @click.option('-k', '--kind', 'base__strategy_type', type=click.Choice(['stock', 'future', 'stock_future']))
-# -- DEPRECATED ARGS && WILL BE REMOVED AFTER VERSION 1.0.0
 def run(**kwargs):
     """
     Start to run a strategy

rqalpha/api/api_base.py

@@ -37,7 +37,7 @@
 from ..execution_context import ExecutionContext
 from ..const import EXECUTION_PHASE, EXC_TYPE, ORDER_STATUS, SIDE, POSITION_EFFECT, ORDER_TYPE, MATCHING_TYPE, RUN_TYPE
 from ..utils import to_industry_code, to_sector_name, unwrapper
-from ..utils.exception import patch_user_exc, patch_system_exc, EXC_EXT_NAME
+from ..utils.exception import patch_user_exc, patch_system_exc, EXC_EXT_NAME, RQInvalidArgument
 from ..utils.i18n import gettext as _
 from ..model.snapshot import SnapshotObject
 from ..model.order import Order, MarketOrder, LimitOrder
@@ -83,6 +83,8 @@ def api_exc_patch(func):
         def deco(*args, **kwargs):
             try:
                 return func(*args, **kwargs)
+            except RQInvalidArgument:
+                raise
             except Exception as e:
                 if isinstance(e, TypeError):
                     exc_info = sys.exc_info()
@@ -120,7 +122,7 @@ def assure_order_book_id(id_or_ins):
     elif isinstance(id_or_ins, six.string_types):
         order_book_id = instruments(id_or_ins).order_book_id
     else:
-        raise patch_user_exc(KeyError(_("unsupported order_book_id type")))
+        raise RQInvalidArgument(_("unsupported order_book_id type"))
 
     return order_book_id
 
@@ -221,7 +223,8 @@ def subscribe(id_or_symbols):
         for item in id_or_symbols:
             current_universe.add(assure_order_book_id(item))
     else:
-        raise patch_user_exc(KeyError(_("unsupported order_book_id type")))
+        raise RQInvalidArgument(_("unsupported order_book_id type"))
+    verify_that('id_or_symbols')._are_valid_instruments("subscribe", id_or_symbols)
     Environment.get_instance().update_universe(current_universe)
 
 
@@ -251,7 +254,7 @@ def unsubscribe(id_or_symbols):
             i = assure_order_book_id(item)
             current_universe.discard(i)
     else:
-        raise patch_user_exc(KeyError(_("unsupported order_book_id type")))
+        raise RQInvalidArgument(_("unsupported order_book_id type"))
 
     Environment.get_instance().update_universe(current_universe)
 
@@ -304,7 +307,7 @@ def get_yield_curve(date=None, tenor=None):
     else:
         date = pd.Timestamp(date)
         if date > yesterday:
-            raise patch_user_exc(RuntimeError('get_yield_curve: {} >= now({})'.format(date, yesterday)))
+            raise RQInvalidArgument('get_yield_curve: {} >= now({})'.format(date, yesterday))
 
     return data_proxy.get_yield_curve(start_date=date, end_date=date, tenor=tenor)
 
@@ -398,7 +401,7 @@ def history_bars(order_book_id, bar_count, frequency, fields=None, skip_suspende
     dt = ExecutionContext.get_current_calendar_dt()
 
     if frequency == '1m' and Environment.get_instance().config.base.frequency == '1d':
-        raise patch_user_exc(ValueError('can not get minute history in day back test'))
+        raise RQInvalidArgument('can not get minute history in day back test')
 
     if (Environment.get_instance().config.base.frequency == '1m' and frequency == '1d') or \
             (frequency == '1d' and ExecutionContext.get_active().phase == EXECUTION_PHASE.BEFORE_TRADING):
@@ -663,8 +666,8 @@ def to_date(date):
             return date.date()
         except AttributeError:
             return date
-
-    raise patch_user_exc(ValueError('unknown date value: {}'.format(date)))
+    
+    raise RQInvalidArgument('unknown date value: {}'.format(date))
 
 
 @export_as_api
@@ -681,10 +684,10 @@ def get_dividend(order_book_id, start_date, adjusted=True):
     dt = ExecutionContext.get_current_trading_dt().date() - datetime.timedelta(days=1)
     start_date = to_date(start_date)
     if start_date > dt:
-        raise patch_user_exc(
-            ValueError(_('in get_dividend, start_date {} is later than the previous test day {}').format(
+        raise RQInvalidArgument(
+            _('in get_dividend, start_date {} is later than the previous test day {}').format(
                 start_date, dt
-            )))
+            ))
     order_book_id = assure_order_book_id(order_book_id)
     df = ExecutionContext.data_proxy.get_dividend(order_book_id, adjusted)
     return df[start_date:dt]

rqalpha/api/api_future.py

@@ -21,13 +21,14 @@
 
 from __future__ import division
 import six
+import numpy as np
 
 from .api_base import decorate_api_exc, instruments
 from ..execution_context import ExecutionContext
 from ..model.order import Order, MarketOrder, LimitOrder, OrderStyle
 from ..const import EXECUTION_PHASE, SIDE, POSITION_EFFECT, ORDER_TYPE
 from ..model.instrument import Instrument
-from ..utils.exception import patch_user_exc
+from ..utils.exception import patch_user_exc, RQInvalidArgument
 from ..utils.logger import user_system_log
 from ..utils.i18n import gettext as _
 from ..utils.arg_checker import apply_rules, verify_that
@@ -59,20 +60,19 @@ def order(id_or_ins, amount, side, position_effect, style):
     if amount <= 0:
         raise RuntimeError
     if isinstance(style, LimitOrder) and style.get_limit_price() <= 0:
-        raise patch_user_exc(ValueError(_("Limit order price should be positive")))
+        raise RQInvalidArgument(_("Limit order price should be positive"))
 
     order_book_id = assure_future_order_book_id(id_or_ins)
-    bar_dict = ExecutionContext.get_current_bar_dict()
-    bar = bar_dict[order_book_id]
-    price = bar.close
+
+    price = ExecutionContext.get_current_close_price(order_book_id)
 
     amount = int(amount)
 
     calendar_dt = ExecutionContext.get_current_calendar_dt()
     trading_dt = ExecutionContext.get_current_trading_dt()
     r_order = Order.__from_create__(calendar_dt, trading_dt, order_book_id, amount, side, style, position_effect)
 
-    if bar.isnan or price == 0:
+    if np.isnan(price) or price == 0:
         user_system_log.warn(_("Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
         r_order._mark_rejected(_("Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
         return r_order
@@ -173,15 +173,15 @@ def sell_close(id_or_ins, amount, style=MarketOrder()):
 def assure_future_order_book_id(id_or_symbols):
     if isinstance(id_or_symbols, Instrument):
         if id_or_symbols.type != "Future":
-            raise patch_user_exc(
-                ValueError(_("{order_book_id} is not supported in current strategy type").format(
-                    order_book_id=id_or_symbols.order_book_id)))
+            raise RQInvalidArgument(
+                _("{order_book_id} is not supported in current strategy type").format(
+                    order_book_id=id_or_symbols.order_book_id))
         else:
             return id_or_symbols.order_book_id
     elif isinstance(id_or_symbols, six.string_types):
         return assure_future_order_book_id(instruments(id_or_symbols))
     else:
-        raise patch_user_exc(KeyError(_("unsupported order_book_id type")))
+        raise RQInvalidArgument(_("unsupported order_book_id type"))
 
 
 @export_as_api

rqalpha/api/api_stock.py

@@ -31,7 +31,7 @@
 from ..model.instrument import Instrument
 from ..model.order import Order, OrderStyle, MarketOrder, LimitOrder
 from ..utils.arg_checker import apply_rules, verify_that
-from ..utils.exception import patch_user_exc
+from ..utils.exception import patch_user_exc, RQInvalidArgument
 from ..utils.i18n import gettext as _
 from ..utils.logger import user_system_log
 from ..utils.scheduler import market_close, market_open
@@ -100,10 +100,10 @@ def order_shares(id_or_ins, amount, style=MarketOrder()):
     # :return:  A unique order id.
     # :rtype: int
     if not isinstance(style, OrderStyle):
-        raise patch_user_exc(ValueError(_('style should be OrderStyle')))
+        raise RQInvalidArgument(_('style should be OrderStyle'))
     if isinstance(style, LimitOrder):
         if style.get_limit_price() <= 0:
-            raise patch_user_exc(ValueError(_("Limit order price should be positive")))
+            raise RQInvalidArgument(_("Limit order price should be positive"))
 
     order_book_id = assure_stock_order_book_id(id_or_ins)
     bar_dict = ExecutionContext.get_current_bar_dict()
@@ -239,10 +239,10 @@ def order_value(id_or_ins, cash_amount, style=MarketOrder()):
     # :return:  A unique order id.
     # :rtype: int
     if not isinstance(style, OrderStyle):
-        raise patch_user_exc(ValueError(_('style should be OrderStyle')))
+        raise RQInvalidArgument(_('style should be OrderStyle'))
     if isinstance(style, LimitOrder):
         if style.get_limit_price() <= 0:
-            raise patch_user_exc(ValueError(_("Limit order price should be positive")))
+            raise RQInvalidArgument(_("Limit order price should be positive"))
 
     order_book_id = assure_stock_order_book_id(id_or_ins)
 
@@ -317,7 +317,7 @@ def order_percent(id_or_ins, percent, style=MarketOrder()):
     # :return:  A unique order id.
     # :rtype: int
     if percent < -1 or percent > 1:
-        raise patch_user_exc(ValueError(_('percent should between -1 and 1')))
+        raise RQInvalidArgument(_('percent should between -1 and 1'))
 
     account = ExecutionContext.accounts[ACCOUNT_TYPE.STOCK]
     portfolio_value = account.portfolio.portfolio_value
@@ -436,7 +436,7 @@ def order_target_percent(id_or_ins, percent, style=MarketOrder()):
     # :return:  A unique order id.
     # :rtype: int
     if percent < 0 or percent > 1:
-        raise patch_user_exc(ValueError(_('percent should between 0 and 1')))
+        raise RQInvalidArgument(_('percent should between 0 and 1'))
     order_book_id = assure_stock_order_book_id(id_or_ins)
 
     bar_dict = ExecutionContext.get_current_bar_dict()
@@ -461,13 +461,13 @@ def assure_stock_order_book_id(id_or_symbols):
         if "XSHG" in order_book_id or "XSHE" in order_book_id:
             return order_book_id
         else:
-            raise patch_user_exc(
-                ValueError(_("{order_book_id} is not supported in current strategy type").format(
-                    order_book_id=order_book_id)))
+            raise RQInvalidArgument(
+                _("{order_book_id} is not supported in current strategy type").format(
+                    order_book_id=order_book_id))
     elif isinstance(id_or_symbols, six.string_types):
         return assure_stock_order_book_id(instruments(id_or_symbols))
     else:
-        raise patch_user_exc(KeyError(_("unsupported order_book_id type")))
+        raise RQInvalidArgument(_("unsupported order_book_id type"))
 
 
 def downsize_amount(amount, position):

rqalpha/config_template.yml

@@ -1,4 +1,4 @@
-version: 0.1.1
+version: 0.1.2
 
 # 白名单，设置可以直接在策略代码中指定哪些模块的配置项目
 whitelist: [base, extra, validator, mod]
@@ -103,6 +103,8 @@ mod:
     available_cash: true
     # available_position: 检查可平仓位是否充足，默认开启
     available_position: true
+    # short_stock: 允许裸卖空
+    short_stock: false
   analyser:
     priority: 100
     enabled: true

rqalpha/const.py

@@ -81,6 +81,7 @@ class EXECUTION_PHASE(CustomEnum):
 POSITION_EFFECT = CustomEnum("POSITION_EFFECT", [
     "OPEN",
     "CLOSE",
+    "CLOSE_TODAY",
 ])
 
 EXC_TYPE = CustomEnum("EXC_TYPE", [