Support Python2/3; add AlphaLiveTradeInstance

config/data_config.json

@@ -1,5 +1,5 @@
 {
   "remote.data.address": "tcp://data.tushare.org:8910",
-  "remote.data.username": "Your Username",
-  "remote.data.password": "Your Password"
+  "remote.data.username": "YourTelNumber",
+  "remote.data.password": "YourToken"
 }

config/trade_config.json

@@ -1,5 +1,5 @@
 {
   "remote.trade.address": "tcp://gw.quantos.org:8901",
-  "remote.trade.username": "Your Username",
-  "remote.trade.password": "Your Password"
+  "remote.trade.username": "YourTelNumber",
+  "remote.trade.password": "YourToken"
 }

doc/realtime.md

@@ -3,7 +3,7 @@
 使用**JAQS**进行回测与实盘运行的代码具有高一致性，回测满意后，只需以下几点改动，即可接入实盘/模拟撮合：
 
 1. 使用实盘交易的交易接口：将`BacktestTradeApi`替换为`RealTimeTradeApi`
-2. 使用实盘交易主程序：将`EventBacktestInstance`替换为`EventRealTimeInstance`
+2. 使用实盘交易主程序：将`EventBacktestInstance`替换为`EventLiveTradeInstance`
 3. 在数据接口`RemoteDataService`中订阅所要交易品种的行情
 4. 在主程序最后添加`time.sleep(9999999)`. 保证在事件循环运行中，主程序不会提前终止
 5. 实时行情均为逐笔或Tick数据，即使订阅多个品种，行情数据仍会逐个到达`strategy.on_tick()`函数
@@ -13,7 +13,7 @@
 ```python
 props = {'symbol': 'rb1801.SHF'}
 tapi = RealTimeTradeApi()
-ins = EventRealTimeInstance()
+ins = EventLiveTradeInstance()
 
 tapi.use_strategy(3)
 

doc/source/jaqs.data.dataapi.rst

@@ -12,14 +12,6 @@ jaqs\.data\.dataapi\.data\_api module
     :undoc-members:
     :show-inheritance:
 
-jaqs\.data\.dataapi\.jrpc module
---------------------------------
-
-.. automodule:: jaqs.data.dataapi.jrpc
-    :members:
-    :undoc-members:
-    :show-inheritance:
-
 jaqs\.data\.dataapi\.jrpc\_py module
 ------------------------------------
 

doc/source/jaqs.trade.rst

@@ -29,6 +29,14 @@ jaqs\.trade\.common module
     :undoc-members:
     :show-inheritance:
 
+jaqs\.trade\.livetrade module
+-----------------------------
+
+.. automodule:: jaqs.trade.livetrade
+    :members:
+    :undoc-members:
+    :show-inheritance:
+
 jaqs\.trade\.model module
 -------------------------
 
@@ -45,14 +53,6 @@ jaqs\.trade\.portfoliomanager module
     :undoc-members:
     :show-inheritance:
 
-jaqs\.trade\.realtime module
-----------------------------
-
-.. automodule:: jaqs.trade.realtime
-    :members:
-    :undoc-members:
-    :show-inheritance:
-
 jaqs\.trade\.strategy module
 ----------------------------
 

doc/source/realtime.rst

@@ -4,7 +4,7 @@
 使用\ **JAQS**\ 进行回测与实盘运行的代码具有高一致性，回测满意后，只需以下几点改动，即可接入实盘/模拟撮合：
 
 #. 使用实盘交易的交易接口：将\ ``BacktestTradeApi``\ 替换为\ ``RealTimeTradeApi``
-#. 使用实盘交易主程序：将\ ``EventBacktestInstance``\ 替换为\ ``EventRealTimeInstance``
+#. 使用实盘交易主程序：将\ ``EventBacktestInstance``\ 替换为\ ``EventLiveTradeInstance``
 #. 在数据接口\ ``RemoteDataService``\ 中订阅所要交易品种的行情
 #. 在主程序最后添加\ ``time.sleep(9999999)``.
    保证在事件循环运行中，主程序不会提前终止
@@ -16,7 +16,7 @@
 
     props = {'symbol': 'rb1801.SHF'}
     tapi = RealTimeTradeApi()
-    ins = EventRealTimeInstance()
+    ins = EventLiveTradeInstance()
 
     tapi.use_strategy(3)
 

example/alpha/FamaFrench.py

@@ -11,6 +11,8 @@
 start_date 20140101
 end_date   20170301
 """
+from __future__ import print_function
+from __future__ import absolute_import
 import time
 
 import pandas as pd
@@ -126,4 +128,4 @@ def test_backtest_analyze():
     test_backtest_analyze()
 
     t3 = time.time() - t_start
-    print "\n\n\nTime lapsed in total: {:.1f}".format(t3)
+    print("\n\n\nTime lapsed in total: {:.1f}".format(t3))

example/alpha/Graham.py

@@ -14,6 +14,8 @@
 start_date 20140101
 end_date   20170301
 """
+from __future__ import print_function
+from __future__ import absolute_import
 import time
 
 import numpy as np
@@ -158,4 +160,4 @@ def test_backtest_analyze():
     test_backtest_analyze()
 
     t3 = time.time() - t_start
-    print "\n\n\nTime lapsed in total: {:.1f}".format(t3)
+    print("\n\n\nTime lapsed in total: {:.1f}".format(t3))

example/alpha/ICCombine.py

@@ -17,6 +17,8 @@
 2. do not care about them when construct portfolio
 3. subtract market value and re-normalize weights (positions) after (daily) market open, before sending orders
 """
+from __future__ import print_function
+from __future__ import absolute_import
 import time
 import numpy as np
 import numpy.linalg as nlg
@@ -294,5 +296,5 @@ def test_backtest_analyze():
     test_backtest_analyze()
 
     t3 = time.time() - t_start
-    print "\n\n\nTime lapsed in total: {:.1f}".format(t3)
+    print("\n\n\nTime lapsed in total: {:.1f}".format(t3))
 

example/alpha/config_path.py

@@ -1,5 +1,6 @@
 # encoding: UTF-8
 
+from __future__ import print_function
 import os
 
 

example/alpha/select_stocks_industry_head.py

@@ -12,6 +12,8 @@
 start_date 20170101
 end_date   20171001
 """
+from __future__ import print_function
+from __future__ import absolute_import
 import time
 
 import pandas as pd
@@ -131,4 +133,4 @@ def test_backtest_analyze():
     test_backtest_analyze()
 
     t3 = time.time() - t_start
-    print "\n\n\nTime lapsed in total: {:.1f}".format(t3)
+    print("\n\n\nTime lapsed in total: {:.1f}".format(t3))

example/alpha/select_stocks_pe_profit.py

@@ -9,6 +9,8 @@
 start_date 20170101
 end_date   20171001
 """
+from __future__ import print_function
+from __future__ import absolute_import
 import time
 
 from jaqs.data import RemoteDataService
@@ -117,5 +119,5 @@ def test_backtest_analyze():
     test_backtest_analyze()
 
     t3 = time.time() - t_start
-    print "\n\n\nTime lapsed in total: {:.1f}".format(t3)
+    print("\n\n\nTime lapsed in total: {:.1f}".format(t3))
 

example/alpha/single_factor_weight.py

@@ -10,6 +10,8 @@
 end_date   20171001
 
 """
+from __future__ import print_function
+from __future__ import absolute_import
 import time
 
 from jaqs.data import RemoteDataService
@@ -114,4 +116,4 @@ def test_backtest_analyze():
     test_backtest_analyze()
 
     t3 = time.time() - t_start
-    print "\n\n\nTime lapsed in total: {:.1f}".format(t3)
+    print("\n\n\nTime lapsed in total: {:.1f}".format(t3))

example/alpha/wine_industry_momentum.py

@@ -1,15 +1,20 @@
 # -*- encoding: utf-8 -*-
+"""
+Both backtest and live trading are included.
+"""
 
+from __future__ import print_function
+from __future__ import absolute_import
 import time
 
 from jaqs.data import RemoteDataService
-from jaqs.trade import AlphaBacktestInstance
+from jaqs.trade import AlphaBacktestInstance, AlphaLiveTradeInstance
 
 import jaqs.util as jutil
 from jaqs.trade import PortfolioManager
 import jaqs.trade.analyze as ana
 from jaqs.trade import AlphaStrategy
-from jaqs.trade import AlphaTradeApi
+from jaqs.trade import AlphaTradeApi, RealTimeTradeApi
 from jaqs.trade import model
 from jaqs.data import DataView
 
@@ -21,14 +26,15 @@
 backtest_result_dir_path = '../../output/wine_industry_momentum'
 
 BENCHMARK = '399997.SZ'
+is_backtest = False
 
 
 def test_save_dataview():
     ds = RemoteDataService()
     ds.init_from_config(data_config)
     dv = DataView()
 
-    props = {'start_date': 20170101, 'end_date': 20171001, 'universe': BENCHMARK,
+    props = {'start_date': 20170901, 'end_date': 20171129, 'universe': BENCHMARK,
              'fields': 'close,volume,sw1',
              'freq': 1}
 
@@ -63,27 +69,37 @@ def test_alpha_strategy_dataview():
 
         "init_balance": 1e8,
         "position_ratio": 1.0,
+        "strategy_no": 44
     }
     props.update(data_config)
     props.update(trade_config)
 
-    trade_api = AlphaTradeApi()
-
     stock_selector = model.StockSelector()
     stock_selector.add_filter(name='rank_ret_top10', func=my_selector)
 
     strategy = AlphaStrategy(stock_selector=stock_selector, pc_method='equal_weight')
     pm = PortfolioManager()
 
-    bt = AlphaBacktestInstance()
+    if is_backtest:
+        bt = AlphaBacktestInstance()
+        trade_api = AlphaTradeApi()
+        ds = None
+    else:
+        bt = AlphaLiveTradeInstance()
+        trade_api = RealTimeTradeApi(props)
+        ds = RemoteDataService()
 
-    context = model.Context(dataview=dv, instance=bt, strategy=strategy, trade_api=trade_api, pm=pm)
+    context = model.Context(dataview=dv, instance=bt, strategy=strategy, trade_api=trade_api, pm=pm, data_api=ds)
     stock_selector.register_context(context)
 
     bt.init_from_config(props)
     bt.run_alpha()
-
-    bt.save_results(folder_path=backtest_result_dir_path)
+
+    if is_backtest:
+        bt.save_results(folder_path=backtest_result_dir_path)
+    else:
+        goal_positions = strategy.goal_positions
+        print(goal_positions)
 
 
 def test_backtest_analyze():
@@ -93,16 +109,16 @@ def test_backtest_analyze():
 
     ta.initialize(dataview=dv, file_folder=backtest_result_dir_path)
 
-    ta.do_analyze(result_dir=backtest_result_dir_path, selected_sec=list(ta.universe)[:3],
-                  brinson_group='sw1')
+    ta.do_analyze(result_dir=backtest_result_dir_path, selected_sec=list(ta.universe)[:3], brinson_group='sw1')
 
 
 if __name__ == "__main__":
     t_start = time.time()
 
-    # test_save_dataview()
-    # test_alpha_strategy_dataview()
-    test_backtest_analyze()
+    test_save_dataview()
+    test_alpha_strategy_dataview()
+    if is_backtest:
+        test_backtest_analyze()
 
     t3 = time.time() - t_start
-    print "\n\n\nTime lapsed in total: {:.1f}".format(t3)
+    print("\n\n\nTime lapsed in total: {:.1f}".format(t3))

example/eventdriven/CalendarSpread.py

@@ -1,5 +1,7 @@
 # encoding: utf-8
 
+from __future__ import print_function
+from __future__ import absolute_import
 import numpy as np
 import statsmodels.api as sm
 
@@ -97,29 +99,29 @@ def on_quote(self, quote):
 
     def on_trade(self, ind):
         if self.output:
-            print "\nStrategy on trade: "
+            print("\nStrategy on trade: ")
             print(ind)
             print(self.ctx.pm.get_trade_stat(ind.symbol))
         self.pos = self.ctx.pm.get_pos(ind.symbol)
 
     def on_order_status(self, ind):
         if self.output:
-            print "\nStrategy on order status: "
+            print("\nStrategy on order status: ")
             print(ind)
 
     def on_task_rsp(self, rsp):
         if self.output:
-            print "\nStrategy on task rsp: "
+            print("\nStrategy on task rsp: ")
             print(rsp)
 
     def on_order_rsp(self, rsp):
         if self.output:
-            print "\nStrategy on order rsp: "
+            print("\nStrategy on order rsp: ")
             print(rsp)
 
     def on_task_status(self, ind):
         if self.output:
-            print "\nStrategy on task ind: "
+            print("\nStrategy on task ind: ")
             print(ind)
 
 

example/eventdriven/DoubleMA.py

@@ -1,5 +1,7 @@
 # encoding: utf-8
 
+from __future__ import print_function
+from __future__ import absolute_import
 import time
 
 import numpy as np
@@ -9,7 +11,7 @@
 from jaqs.data import RemoteDataService
 from jaqs.data.basic import Bar, Quote
 from jaqs.trade import model
-from jaqs.trade import EventRealTimeInstance
+from jaqs.trade import EventLiveTradeInstance
 from jaqs.trade import EventBacktestInstance
 from jaqs.trade import RealTimeTradeApi, BacktestTradeApi
 from jaqs.trade import PortfolioManager
@@ -118,18 +120,18 @@ def on_quote(self, quote_dic):
         self.on_tick(quote)
 
     def on_trade(self, ind):
-        print "\nStrategy on trade: "
+        print("\nStrategy on trade: ")
         print(ind)
         self.pos = self.ctx.pm.get_pos(self.symbol)
 
     def on_order_status(self, ind):
         if self.output:
-            print "\nStrategy on order status: "
+            print("\nStrategy on order status: ")
             print(ind)
 
     def on_task_status(self, ind):
         if self.output:
-            print "\nStrategy on task ind: "
+            print("\nStrategy on task ind: ")
             print(ind)
 
 
@@ -148,7 +150,7 @@ def run_strategy():
         props = {'symbol': 'rb1801.SHF',
                  'strategy.no': 46}
         tapi = RealTimeTradeApi(trade_config)
-        ins = EventRealTimeInstance()
+        ins = EventLiveTradeInstance()
 
     props.update(data_config)
     props.update(trade_config)