# -*- mode:org; org-confirm-babel-evaluate: nil -*-
#+TITLE: abquant
#+AUTHOR: Jimmy M. Gong
#+EMAIL: yssource@163.com
#+LANGUAGE: zh-Hans
#+OPTIONS: H:3 num:nil toc:nil \n:t ::t |:t ^:nil -:nil f:t *:t <:t html-postamble:nil html-preamble:t tex:t
#+URI: /blog/%y/%m/%d/
#+DATE: 2020-01-01
#+LAYOUT: post
#+TAGS: OFFICE(o) COMPUTER(c) HOME(h) PROJECT(p) READING(r)
#+CATEGORIES:
#+DESCRIPTON: A&B professional platform for quantitative finance. God is asking & bidding Me. ABQ. GABQ. GABM.
#+KEYWORDS: quant c++
#+STARTUP: overview
#+STARTUP: logdone
* Description
A&B professional platform for quantitative finance. God is asking & bidding Me.
ABQ.
abquant 分为三大模块 a) 数据获取 b) 策略回测 c) 模拟/实盘交易
- abquant-data ::
开源项目, 快速对 *通达信* 数据的获取，除权除息，各种指数的计算
- abquant-strategy ::
闭源项目，基于 zeromg/nanomsg
- abquant-trade ::
[[https://github.com/yssource/rqalpha-mod-xtrade][xtrade]]
闭源项目
* Note
[WIP]
开发中 ...
ABQuant is an early developer preview, and is not suitable for general usage yet. Features and implementation are subject to change.
* 构建
作者本人是在 x86_64 Linux 4.19.105-1-MANJARO 上构建本项目，暂时不支持
Windows. \\
你需要安装好 clang++/llvm ccache ninja python pip poetry conan cmake/qmake 等基础开发工具
- 核心模块 cpp
- 中间层 binding ([[https://github.com/pybind/pybind11.git][pybind11]] [[https://doc.qt.io/qtforpython/shiboken2/][ +shiboken2+ ]])
- 用户接口层 python
** cpp 依赖
- ORM 层 [[https://github.com/yssource/treefrog-framework.git][treefrog-framework]] ::
#+name: treefrog-framework
#+begin_src shell :exports code
git clone -b feature/withConan https://github.com/yssource/treefrog-framework.git
cd treefrog-framework && mkdir -v qbuild && cd qbuild
conan install .. --build missing --profile ../tf.profile
conan build ..
sudo make install
sudo ldconfig
#+end_src
- abquant 核心应用层 ::
#+name: abquant-building
#+begin_src shell :exports code
git clone https://github.com/yssource/abquant-data.git
cd abquant-data && mkdir -v qbuild && cd qbuild
conan install .. --build missing --profile ../abquant.profile
conan build ..
sudo make install
sudo ldconfig
# binding
cd abquant-data && mkdir -v cbuild && cd cbuild
conan install .. --build missing --profile ../abquant.profile
conan build ..
# todo:: qbuild, cbuild 将来会直接放在 setup.py 中作为 ext_modules 完成。
# 用户只需 poetry install
#+end_src
** python 依赖安装
#+begin_src python :exports code
poetry install
poetry update
#+end_src
** 环境变量
请参照 .envrc 文件, 推荐使用 direnv 管理环境变量
#+begin_src shell :exports code
export ABQ_HOME=${PWD}
export ABQ_CXX_HOME="${ABQ_HOME}/cxx"
export LD_LIBRARY_PATH="${ABQ_HOME}/lib:${LD_LIBRARY_PATH}"
export PYTHONPATH="${ABQ_HOME}/lib:${PYTHONPATH}"
#+end_src
* Usage
** abquant config
#+name: config
#+begin_src shell :exports code
# 当前项目根目录下，拷贝 config 文件夹
mkdir -pv ~/.config/abquant && cp -rfv $PWD/cxx/config ~/.config/abquant/
#+end_src
** abquant 数据获取
- python 层获取数据源，支持 mongodb
#+name: data-saving
#+begin_src shell :exports code
# 保存所有数据
# 但是不包含除权数据，除权数据不是经常更新，请手动 "abquant stock xdxr"
abquant save base
# 股票和指数列表获取
abquant stock list
# 保存所有股票日线，日线指数
abquant stock day
abquant stock day --add '["000001", "300001", "600001"]'
# 保存所有股票分钟线，分钟指数
# Default 保存所有频率 (1min, 5min, 15min, 30min, 60min)
abquant stock min
abquant stock min --add '["000001", "300001", "600001"]'
# 保存股票分钟线，分钟指数不同频率数据 (1min, 5min, 15min, 30min, 60min)
# 1min 一分钟
abquant stock min "1min"
abquant stock min -f '["1min"]' --add '["000001", "300001", "600001"]'
# 5min 五分钟
abquant stock min -f '["5min"]'
abquant stock min -f '["5min"]' --add '["000001", "300001", "600001"]'
# ...
# 1min 一分钟和 5min 五分钟
abquant stock min -f '["1min", "5min"]'
abquant stock min -f '["1min", "5min"]' --add '["000001", "300001", "600001"]'
# 股票除权除息
abquant stock xdxr
abquant stock xdxr --add '["000001", "300001", "600001"]'
# 股票数据板块
abquant stock block
# 股票数据明细信息
abquant stock info
abquant stock info --add '["000001", "300001", "600001"]'
# 股票财务数据
abquant stock financial
# ETF 列表获取
abquant etf list
# 保存所有 ETF 日线，日线指数
abquant etf day
abquant etf day --add '["159001", "510010", "510300"]'
# 保存所有 etf 分钟线，分钟指数
# Default 保存所有频率 (1min, 5min, 15min, 30min, 60min)
abquant etf min
abquant etf min --add '["159001", "510010", "510300"]'
# 保存 etf 分钟线，分钟指数不同频率数据 (1min, 5min, 15min, 30min, 60min)
# 1min 一分钟
abquant etf min "1min"
abquant etf min -f '["1min"]' --add '["159001", "510010", "510300"]'
# 5min 五分钟
abquant etf min -f '["5min"]'
abquant etf min -f '["5min"]' --add '["159001", "510010", "510300"]'
# ...
# 1min 一分钟和 5min 五分钟
abquant etf min -f '["1min", "5min"]'
abquant etf min -f '["1min", "5min"]' --add '["159001", "510010", "510300"]'
# ...
#+end_src
#+name: error-data-saving
#+begin_src shell :results output :exports both
# 查看保存数据后的错误信息
bat ~/.config/abquant/log/error_codes.json
#+end_src
#+RESULTS: error-data-saving
: {"Stock_index_day": ["395005"], "Stock_index_min": ["395041", "395005"], "Stock_stock_min": ["300822", "603949", "603353", "300819", "300821", "002976", "688051"], "Stock_xdxr": ["002976", "603949", "300822", "688051", "603353"]}
#+name: error-data-saving
#+begin_src shell :results output :exports both
# 如果在保存数据后，发现数据错误，可以使用
abquant stock day --add '["395005"]'
abquant stock min --add '["395041", "395005", "300822", "603949", "603353", "300819", "300821", "002976", "688051"]'
abquant stock xdxr --add '["002976", "603949", "300822", "688051", "603353"]'
# 注意：这些数据错误可能是退市，已经不存在的数据。也有可能是网络原因，数据不完整，你需要具体分析。
# 在下一次保存数据时，最好先
echo "" 1> ~/.config/abquant/log/error_codes.json
#+end_src
** abquant 数据使用
#+name: cpp-data-using
#+begin_src C++ :exports code
#include <chrono>
#include "abquant/actions/abquant.hpp"
#include "abquant/actions/stockmin.hpp"
#include "abquant/actions/utils.hpp"
using namespace abq;
int main(int argc, char* argv[])
{
// abq entry_point
Abquant::start();
// QStringList codes = {"000001", "000002", "000003"};
QStringList codes = {"000001"};
const char* start = "2017-01-01";
const char* end = "2019-12-01";
MIN_FREQ freq = MIN_FREQ::FIVE;
StockMinAction sma(codes, start, end, freq);
int N = 10;
auto begin = std::chrono::high_resolution_clock::now();
for (int i = 0; i < N; ++i) {
// 分钟前复权
sma.to_fq_type(FQ_TYPE::PRE);
// 分钟后复权
// sma.to_fq_type(FQ_TYPE::POST);
}
auto finish_ = std::chrono::high_resolution_clock::now();
std::chrono::duration<double> elapsed = finish_ - begin;
qDebug() << "Elapsed time: " << elapsed.count() << " s\n";
// abq exit_point
Abquant::finish();
return 0;
}
#+end_src
** binding 层
#+name: binding-plot
#+begin_src shell :exports both
python ./bind11/test/test_plot.py
#+end_src
#+RESULTS: binding-plot
#+begin_example
open close high low vol amount date_stamp
code date
000001 2019-01-02 9.39 9.19 9.42 9.16 539386.0 4.986951e+08 1.546358e+09
2019-01-03 9.18 9.28 9.33 9.15 415537.0 3.844577e+08 1.546445e+09
2019-01-04 9.24 9.75 9.82 9.22 1481159.0 1.422150e+09 1.546531e+09
2019-01-07 9.84 9.74 9.85 9.63 865687.0 8.411664e+08 1.546790e+09
2019-01-08 9.73 9.66 9.74 9.62 402388.0 3.892478e+08 1.546877e+09
2019-01-09 9.74 9.94 10.08 9.70 1233486.0 1.229465e+09 1.546963e+09
2019-01-10 9.87 10.10 10.20 9.86 1071817.0 1.079711e+09 1.547050e+09
2019-01-11 10.11 10.20 10.22 10.05 696364.0 7.080018e+08 1.547136e+09
2019-01-14 10.22 10.11 10.25 10.07 500443.0 5.078629e+08 1.547395e+09
2019-01-15 10.11 10.24 10.28 10.09 542160.0 5.530273e+08 1.547482e+09
#+end_example
*** 注意 entry_point && exit_point
#+name: note_c++
#+begin_src C++ :exports code
int main(int argc, char* argv[])
{
// abq entry_point
Abquant::start();
// Your C++ code here.
// abq exit_point
Abquant::finish();
return 0;
}
#+end_src
#+name: note_python
#+begin_src python :exports code
from pyabquant import PyAbquant
# abq entry_point
PyAbquant.start()
# Your python code here.
code = "000001.XSHE"
start = "2020-01-01 00:00:00"
end = "2020-01-01 23:55:00"
fields = ["open", "close"]
actual = get_price(code, start, end, frequency="5min", fields=fields, adjust_type="pre")
ulog.debug(actual)
assert isinstance(actual, (pd.DataFrame))
assert actual.empty is True
# abq exit_point
PyAbquant.finish()
#+end_src
*** plotting
[[file:./screenshot/pyabqstockday.png]]
* DONE Development:
CLOSED: [2021-01-01 Fri 00:00]
:LOGBOOK:
- State "DONE" from "STARTED" [2021-01-01 Fri 00:00]
:END:
- 兼容 rqalpha apis ::
1. [X] get_price
2. [X] get_fundamentals[fn:1]
- 兼容 jointquant apis ::
1. [X] get_all_securities
2. [X] get_security_info
- 东方财富 概念 apis ::
1. [X] easymoney concept base get_blocks
2. [X] easymoney concept history get_price
* WAITING Development:
:LOGBOOK:
- State "STARTED" from "DONE" [2021-02-13 Sat 00:00]
:END:
- 对 Docker, K8s 的支持 ::
* 开发初衷
作者本人专业是理论物理，工作经验则是程序开发，很偶然在网上了解到了量化交易，觉得可以利用上以前的知识和经验，于是乎喜欢上了量化交易。
交易三部曲，a) 数据获取 b) 策略回测 c) 模拟/实盘交易 \\
市面上开源的 a,b,c 项目大部分都是 python 开发，但是在实践过程中性能都不理想，于是想
到站在巨人肩上利用 C++ 造轮子。核心模块 C++，通过中间层 binding 交给用户 python 层。
* 感谢
- [[https://github.com/QUANTAXIS/QUANTAXIS.git][QUANTAXIS]]
abquant-data 兼容 quantaxis 数据库
* 打赏
欢迎请作者喝杯咖啡 👍
| 微信 | 支付宝 |
|------------------------------------+------------------------------------|
| [[file:./screenshot/jimmy.wechat.png]] | [[file:./screenshot/jimmy.alipay.png]] |
* LICENSE
Copyright (c) 2020-present Jimmy M. Gong \\
All rights reserved.
除非遵守当前许可，否则不得使用本软件。
** 非商业用途（非商业用途指个人出于非商业目的使用本软件，或者高校、研究所等非营利机构出于教育、科研等目的使用本软件）：
遵守 [[https://www.tldrlegal.com/l/gpl-3.0][GPL3]] 和 [[https://www.tldrlegal.com/l/lgpl-3.0][LGPL3]]
除非法律有要求或以书面形式达成协议，否则本软件分发时需保持当前许可“原样”不变，且不得附加任何条件。
** 商业用途（商业用途指个人出于任何商业目的使用本软件，或者法人或其他组织出于任何目的使用本软件）：
未经原作者授权，任何个人不得出于任何商业目的使用本软件（包括但不限于向第三方
提供、销售、出租、出借、转让本软件、本软件的衍生产品、引用或借鉴了本软件功能
或源代码的产品或服务），任何法人或其他组织不得出于任何目的使用本软件，否则原
作者有权追究相应的知识产权侵权责任。 \\
在此前提下，对本软件的使用同样需要遵守 [[https://www.tldrlegal.com/l/gpl-3.0][GPL3]] 和 [[https://www.tldrlegal.com/l/lgpl-3.0][LGPL3]] 许可， [[https://www.tldrlegal.com/l/gpl-3.0][GPL3]] 和 [[https://www.tldrlegal.com/l/lgpl-3.0][LGPL3]] 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 yssource@163.com 获取。
* Footnotes
[fn:1]闭源