V0.9.52 更新一批代码

.github/workflows/pythonpackage.yml

@@ -5,7 +5,7 @@ name: Python package
 
 on:
   push:
-    branches: [ master, V0.9.51 ]
+    branches: [ master, V0.9.52 ]
   pull_request:
     branches: [ master ]
 

czsc/__init__.py

@@ -115,6 +115,10 @@
     get_trading_dates,
 )
 
+from czsc.utils.trade import (
+    adjust_holding_weights,
+)
+
 # streamlit 量化分析组件
 from czsc.utils.st_components import (
     show_daily_return,
@@ -140,6 +144,8 @@
     show_strategies_symbol,
     show_strategies_dailys,
     show_holds_backtest,
+    show_symbols_corr,
+    show_feature_returns,
 )
 
 from czsc.utils.bi_info import (
@@ -166,6 +172,9 @@
     rolling_tanh,
     feature_adjust,
     normalize_corr,
+    feature_to_weight,
+    feature_returns,
+    feature_sectional_corr,
 )
 
 
@@ -177,10 +186,10 @@
 )
 
 
-__version__ = "0.9.51"
+__version__ = "0.9.52"
 __author__ = "zengbin93"
 __email__ = "zeng_bin8888@163.com"
-__date__ = "20240512"
+__date__ = "20240526"
 
 
 def welcome():

czsc/connectors/research.py

@@ -11,6 +11,8 @@
 import czsc
 import glob
 import pandas as pd
+from datetime import datetime
+
 
 # 投研共享数据的本地缓存路径，需要根据实际情况修改
 cache_path = os.environ.get("czsc_research_cache", r"D:\CZSC投研数据")
@@ -65,5 +67,20 @@ def get_raw_bars(symbol, freq, sdt, edt, fq="前复权", **kwargs):
     kline = kline[(kline["dt"] >= pd.to_datetime(sdt)) & (kline["dt"] <= pd.to_datetime(edt))]
     if kline.empty:
         return []
-    _bars = czsc.resample_bars(kline, freq, raw_bars=raw_bars, base_freq="1分钟")
+
+    df = kline.copy()
+    if symbol in ["SFIC9001", "SFIF9001", "SFIH9001"]:
+        # 股指：仅保留 09:31 - 11:30, 13:01 - 15:00
+        # 历史遗留问题，股指有一段时间，收盘时间是 15:15
+        dt1 = datetime.strptime("09:31:00", "%H:%M:%S")
+        dt2 = datetime.strptime("11:30:00", "%H:%M:%S")
+        c1 = (df["dt"].dt.time >= dt1.time()) & (df["dt"].dt.time <= dt2.time())
+
+        dt3 = datetime.strptime("13:01:00", "%H:%M:%S")
+        dt4 = datetime.strptime("15:00:00", "%H:%M:%S")
+        c2 = (df["dt"].dt.time >= dt3.time()) & (df["dt"].dt.time <= dt4.time())
+
+        df = df[c1 | c2].copy().reset_index(drop=True)
+
+    _bars = czsc.resample_bars(df, freq, raw_bars=raw_bars, base_freq="1分钟")
     return _bars

czsc/connectors/tq_connector.py

@@ -17,6 +17,64 @@
 from tqsdk import TqApi, TqAuth, TqSim, TqBacktest, TargetPosTask, BacktestFinished, TqAccount, TqKq  # noqa
 
 
+def format_kline(df, freq=Freq.F1):
+    """对分钟K线进行格式化"""
+    freq = Freq(freq)
+    rows = df.to_dict("records")
+    raw_bars = []
+    for i, row in enumerate(rows):
+        bar = RawBar(
+            symbol=row["symbol"],
+            id=i,
+            freq=freq,
+            dt=datetime.fromtimestamp(row["datetime"] / 1e9) + timedelta(minutes=1),
+            open=row["open"],
+            close=row["close"],
+            high=row["high"],
+            low=row["low"],
+            vol=row["volume"],
+            amount=row["volume"] * row["close"],
+        )
+        raw_bars.append(bar)
+    return raw_bars
+
+
+def create_symbol_trader(api: TqApi, symbol, **kwargs):
+    """创建一个品种的 CzscTrader, 回测与实盘场景同样适用
+
+    :param api: TqApi, 天勤API实例
+    :param symbol: str, 合约代码，要求符合天勤的规范
+    :param kwargs: dict, 其他参数
+
+        - sdt: str, 开始日期
+        - files_position: list[str], 策略配置文件路径
+        - adj_type: str, 复权类型，可选值：'F', 'B', 'N'，默认为 'F'，前复权
+
+    """
+    adj_type = kwargs.get("adj_type", "F")
+    files_position = kwargs.get("files_position")
+    tactic = czsc.CzscJsonStrategy(symbol=symbol, files_position=files_position)
+    kline = api.get_kline_serial(symbol, int(tactic.base_freq.strip("分钟")) * 60, data_length=10000, adj_type=adj_type)
+    quote = api.get_quote(symbol)
+    raw_bars = format_kline(kline, freq=tactic.base_freq)
+    if kwargs.get("sdt"):
+        sdt = pd.to_datetime(kwargs.get("sdt")).date()
+    else:
+        sdt = (pd.Timestamp.now() - pd.Timedelta(days=1)).date()
+    trader = tactic.init_trader(raw_bars, sdt=sdt)
+    target_pos = TargetPosTask(api, quote.underlying_symbol)
+
+    meta = {
+        "symbol": symbol,
+        "kline": kline,
+        "quote": quote,
+        "trader": trader,
+        "base_freq": tactic.base_freq,
+        "target_pos": target_pos,
+    }
+    return meta
+
+
 # https://doc.shinnytech.com/tqsdk/latest/usage/mddatas.html 代码规则
 symbols = [
     # https://www.jiaoyixingqiu.com/shouxufei/jiaoyisuo/SHFE