Dev/plot

requirements_dev.txt

@@ -5,12 +5,13 @@ python-dateutil >=2.5.3
 six >=1.10.0
 logbook >=1.0.0
 click >=7.0
-jsonpickle ==0.9.4
 simplejson >=3.10.0
-dill ==0.2.5
 PyYAML >=3.12
 tabulate
-rqrisk >=0.0.9
 h5py
-matplotlib >=1.5.1 ; python_version >= '3.6'
-matplotlib >=1.5.1,<=3.0.3 ; python_version == '3.5'
+
+# pip install jsonpickle==0.9.4 
+# pip install dill==0.2.5
+# pip install rqrisk
+# mamba install matplotlib
+# pip install . -e

rqalpha/apis/api_abstract.py

@@ -175,7 +175,7 @@ def order_percent(id_or_ins, percent, price_or_style=None, price=None, style=Non
     *common_rules
 )
 @instype_singledispatch
-def order_target_value(id_or_ins, cash_amount, price_or_style=None, price=None, style=None):
+def order_target_value(id_or_ins, cash_amount, price_or_style=None, price=None, style=None, allow_fraction_lot=False):
     # type: (Union[str, Instrument], float, TUPLE_PRICE_OR_STYLE_TYPE, Optional[float], Optional[OrderStyle]) -> Optional[Order]
     """
     买入/卖出并且自动调整该证券的仓位到一个目标价值。

rqalpha/main.py

@@ -301,14 +301,7 @@ def set_loggers(config):
     from rqalpha.utils.logger import init_logger
     from rqalpha.utils import logger
     extra_config = config.extra
-
-    init_logger()
-
-    for log in [system_log, user_system_log]:
-        log.level = getattr(logbook, config.extra.log_level.upper(), logbook.NOTSET)
-
-    user_log.level = logbook.DEBUG
-
+    init_logger(level=extra_config.log_level, log_to_file = extra_config.log_to_file, log_to_console=extra_config.log_to_console, file_name = extra_config.log_file)
     for logger_name, level in extra_config.logger:
         getattr(logger, logger_name).level = getattr(logbook, level.upper())
 

rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py

@@ -56,6 +56,8 @@
 export_as_api(sector_code, name='sector_code')
 
 KSH_MIN_AMOUNT = 200
+ROUND_LOT_PRECISION = 1e-10
+
 
 
 def _get_account_position_ins(id_or_ins):
@@ -70,12 +72,14 @@ def _get_account_position_ins(id_or_ins):
     return account, position, ins
 
 
-def _round_order_quantity(ins, quantity) -> int:
+def _round_order_quantity(ins, quantity, allow_fraction_lot = False) -> int:
     if ins.type == "CS" and ins.board_type == "KSH":
         # KSH can buy(sell) 201, 202 shares
         return 0 if abs(quantity) < KSH_MIN_AMOUNT else int(quantity)
     else:
         round_lot = ins.round_lot
+        if allow_fraction_lot:
+            round_lot = ROUND_LOT_PRECISION
         try:
             return int(Decimal(quantity) / Decimal(round_lot)) * round_lot
         except ValueError:
@@ -94,7 +98,7 @@ def _get_order_style_price(order_book_id, style):
     raise RuntimeError(f"no support {style} order style")
 
 
-def _submit_order(ins, amount, side, position_effect, style, current_quantity, auto_switch_order_value, zero_amount_as_exception=True):
+def _submit_order(ins, amount, side, position_effect, style, current_quantity, auto_switch_order_value, zero_amount_as_exception=True, allow_fraction_lot = False):
     env = Environment.get_instance()
     if isinstance(style, LimitOrder) and np.isnan(style.get_limit_price()):
         raise RQInvalidArgument(_(u"Limit order price should not be nan."))
@@ -106,7 +110,7 @@ def _submit_order(ins, amount, side, position_effect, style, current_quantity, a
 
     if (side == SIDE.BUY and current_quantity != -amount) or (side == SIDE.SELL and current_quantity != abs(amount)):
         # 在融券回测中，需要用买单作为平空，对于此种情况下出现的碎股，亦允许一次性申报卖出
-        amount = _round_order_quantity(ins, amount)
+        amount = _round_order_quantity(ins, amount, allow_fraction_lot)
 
     if amount == 0:
         if zero_amount_as_exception:
@@ -124,12 +128,12 @@ def _submit_order(ins, amount, side, position_effect, style, current_quantity, a
     return env.submit_order(order)
 
 
-def _order_shares(ins, amount, style, quantity, auto_switch_order_value, zero_amount_as_exception=True):
+def _order_shares(ins, amount, style, quantity, auto_switch_order_value, zero_amount_as_exception=True, allow_fraction_lot = False):
     side, position_effect = (SIDE.BUY, POSITION_EFFECT.OPEN) if amount > 0 else (SIDE.SELL, POSITION_EFFECT.CLOSE)
-    return _submit_order(ins, amount, side, position_effect, style, quantity, auto_switch_order_value, zero_amount_as_exception)
+    return _submit_order(ins, amount, side, position_effect, style, quantity, auto_switch_order_value, zero_amount_as_exception, allow_fraction_lot)
 
 
-def _order_value(account, position, ins, cash_amount, style, zero_amount_as_exception=True):
+def _order_value(account, position, ins, cash_amount, style, zero_amount_as_exception=True, allow_fraction_lot = False):
     env = Environment.get_instance()
     if cash_amount > 0:
         cash_amount = min(cash_amount, account.cash)
@@ -144,8 +148,11 @@ def _order_value(account, position, ins, cash_amount, style, zero_amount_as_exce
 
     amount = int(Decimal(cash_amount) / Decimal(price))
     round_lot = int(ins.round_lot)
+    if allow_fraction_lot:
+        amount = float(Decimal(cash_amount) / Decimal(price))
+        round_lot = ROUND_LOT_PRECISION
     if cash_amount > 0:
-        amount = _round_order_quantity(ins, amount)
+        amount = _round_order_quantity(ins, amount, allow_fraction_lot = allow_fraction_lot)
         while amount > 0:
             expected_transaction_cost = env.get_order_transaction_cost(Order.__from_create__(
                 ins.order_book_id, amount, SIDE.BUY, LimitOrder(price), POSITION_EFFECT.OPEN
@@ -158,11 +165,10 @@ def _order_value(account, position, ins, cash_amount, style, zero_amount_as_exce
                 reason = _(u"Order Creation Failed: 0 order quantity, order_book_id={order_book_id}").format(order_book_id=ins.order_book_id)
                 env.order_creation_failed(order_book_id=ins.order_book_id, reason=reason)
             return
-
     if amount < 0:
         amount = max(amount, -position.closable)
 
-    return _order_shares(ins, amount, style, position.quantity, auto_switch_order_value=False, zero_amount_as_exception=zero_amount_as_exception)
+    return _order_shares(ins, amount, style, position.quantity, auto_switch_order_value=False, zero_amount_as_exception=zero_amount_as_exception, allow_fraction_lot = allow_fraction_lot)
 
 
 @order_shares.register(INST_TYPE_IN_STOCK_ACCOUNT)
@@ -188,7 +194,7 @@ def stock_order_percent(id_or_ins, percent, price_or_style=None, price=None, sty
 
 
 @order_target_value.register(INST_TYPE_IN_STOCK_ACCOUNT)
-def stock_order_target_value(id_or_ins, cash_amount, price_or_style=None, price=None, style=None):
+def stock_order_target_value(id_or_ins, cash_amount, price_or_style=None, price=None, style=None, allow_fraction_lot=False):
     account, position, ins = _get_account_position_ins(id_or_ins)
     open_style, close_style = calc_open_close_style(price, style, price_or_style)
     if cash_amount == 0:
@@ -197,7 +203,7 @@ def stock_order_target_value(id_or_ins, cash_amount, price_or_style=None, price=
         )
     _delta = cash_amount - position.market_value
     _style = open_style if _delta > 0 else close_style
-    return _order_value(account, position, ins, _delta, _style, zero_amount_as_exception=False)
+    return _order_value(account, position, ins, _delta, _style, zero_amount_as_exception=False, allow_fraction_lot = allow_fraction_lot)
 
 
 @order_target_percent.register(INST_TYPE_IN_STOCK_ACCOUNT)

rqalpha/mod/rqalpha_mod_sys_analyser/plot/plot.py

@@ -170,14 +170,13 @@ def _plot(title: str, sub_plots: List[SubPlot], strategy_name):
     img_height = sum(s.height for s in sub_plots)
     water_mark = WaterMark(IMG_WIDTH, img_height, strategy_name)
     fig = pyplot.figure(title, figsize=(IMG_WIDTH, img_height), dpi=water_mark.dpi, clear=True)
-    water_mark.plot(fig)
 
     gs = gridspec.GridSpec(img_height, 8, figure=fig)
     last_height = 0
     for p in sub_plots:
         p.plot(pyplot.subplot(gs[last_height:last_height + p.height, :p.right_pad]))
         last_height += p.height
-
+        
     pyplot.tight_layout()
     return fig
 
@@ -253,3 +252,5 @@ def plot_result(
 
     if show:
         pyplot.show()
+    else:
+        pyplot.close()    

rqalpha/utils/logger.py

@@ -14,7 +14,7 @@
 #         详细的授权流程，请联系 [email protected] 获取。
 import logbook
 from logbook import Logger, StderrHandler
-
+import logging
 logbook.set_datetime_format("local")
 
 
@@ -32,37 +32,58 @@
 
 DATETIME_FORMAT = "%Y-%m-%d %H:%M:%S.%f"
 
+def configure_logger(
+    logger, 
+    level=logging.DEBUG, 
+    log_to_file=False, 
+    log_to_console=True, 
+    file_name='app_log.log'
+):
+    # Create a logger
+    logger.setLevel(level)
+    # Avoid adding handlers multiple times
+    if not logger.handlers:
+        # Create formatter
+        formatter = logging.Formatter('%(asctime)s - %(name)s - %(levelname)s - %(message)s')
+
+        # Create handlers based on configuration
+        if log_to_file:
+            file_handler = logging.FileHandler(file_name)
+            file_handler.setLevel(level)
+            file_handler.setFormatter(formatter)
+            logger.addHandler(file_handler)
+
+        if log_to_console:
+            console_handler = logging.StreamHandler()
+            console_handler.setLevel(level)
+            console_handler.setFormatter(formatter)
+            logger.addHandler(console_handler)
+
+    return logger
+
 
 def user_log_processor(record):
     from rqalpha.environment import Environment
     time = Environment.get_instance().calendar_dt
     if time is not None:
         record.time = time
 
-
-user_log_group = logbook.LoggerGroup(processor=user_log_processor)
-
-
 # loggers
 # 用户代码logger日志
-user_log = Logger("user_log")
+user_log = logging.getLogger("user_log")
 # 给用户看的系统日志
-user_system_log = Logger("user_system_log")
-
-user_log_group.add_logger(user_log)
-user_log_group.add_logger(user_system_log)
-
+user_system_log = logging.getLogger("user_system_log")
 # 系统日志
-system_log = Logger("system_log")
+system_log =  logging.getLogger("system_log")
 
 original_print = print
 
 
-def init_logger():
-    system_log.handlers = [StderrHandler(bubble=True)]
-    user_log.handlers = [StderrHandler(bubble=True)]
-    user_system_log.handlers = [StderrHandler(bubble=True)]
-
+def init_logger(level, log_to_file=False, log_to_console=True, file_name='app_log.log'):
+    _level = logging._nameToLevel[level.upper()]
+    configure_logger(logger=system_log, level = _level, log_to_file=log_to_file, log_to_console = log_to_console, file_name = file_name)
+    configure_logger(logger=user_log, level = _level, log_to_file=log_to_file, log_to_console = log_to_console, file_name = file_name)
+    configure_logger(logger=user_system_log, level = _level, log_to_file=log_to_file, log_to_console = log_to_console, file_name = file_name)
 
 def user_print(*args, **kwargs):
     sep = kwargs.get("sep", " ")

setup.py

@@ -48,7 +48,8 @@
 
 setup(
     name='rqalpha',
-    version=versioneer.get_version(),
+    # remove .dirty in version
+    version=versioneer.get_version() if ".dirty" not in versioneer.get_version() else versioneer.get_version().split('.dirty')[0],
     cmdclass=versioneer.get_cmdclass(),
     description='Ricequant Algorithm Trading System',
     packages=find_packages(exclude=[]),