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92 Commits
Author SHA1 Message Date
Justin Gu 574b284dd5 fix(cninfo): URL 404 + type null + 表格截断 + PDF 下载（实测 601088 暴露） 2026-06-14 23:58:24 +08:00
Justin Gu 4b439920fc feat(cninfo): 新增巨潮公告检索 — 三层接入（API/CLI/Web），独立数据源 2026-06-14 23:29:19 +08:00
Justin Gu a12c2122fc feat(indicator): 新增 SAR/VWAP/AROON 三指标 + 注册 FK（30 → 34） 2026-06-14 18:46:02 +08:00
Justin Gu 5fc398255d fix(types): 修复 CI mypy strict + ruff format 失败 
mypy (13 errors → 0):
- portfolio/optimizer: register_optimizer 返回类型改为 Callable 装饰器签名
  (原标注 type[WeightOptimizer] 导致 4 个子类 Too many arguments)
- factor/engine: _datetime_to_int 用 isinstance 收窄替代 object→int 强转
- factor/analysis: 删多余 type:ignore（改由 mypy override 统一处理 scipy）
- backtest/orders, execution: np.sqrt 表达式用 float() 包裹消除 no-any-return
- MyTT.pyi: MACD 签名删除错误的 LOW/HIGH 参数（与 MyTT.py 实际签名对齐）
- pyproject: 新增 scipy mypy override (ignore_missing_imports)

ruff format: 8 个 test 文件格式化

验证: 564 passed, mypy 192 文件零错误, ruff check/format 全绿
 2026-06-13 21:21:33 +08:00
Justin Gu 88638e82ad release: v1.11.5 — scipy 依赖声明 + 文档同步 + 工程化清理 
- pyproject: 新增 science 可选依赖组（scipy），dev 纳入 scipy；版本号 1.11.5
- factor/analysis: spearman 分支加 scipy 软依赖保护，缺失时友好报错
- mac/client: 板块排行吞异常处补 logger.debug
- CLAUDE.md: 架构章节补全 mac/ex/unified/portfolio/factor/offline/screen 子包
- .gitignore: 补全 .coverage、signals.json
- README: 补 1.11.5 changelog
 2026-06-13 21:10:35 +08:00
Justin Gu be41746aa9 fix(backtest): _find_bar_index 用 to_numpy().argmax() 取真实位置 
idxmax() 返回 index label，后续 iloc[] 按位置取行；当 df.index 非默认
RangeIndex 时 label != position，撮合会取错 K 线。两处分支统一改为位置索引。
新增 2 例非连续 index 回归测试。
 2026-06-13 21:10:15 +08:00
Justin Gu 095c88f735 fix(transport): ping 容错 TdxConnectionError，避免单台服务器拖垮测速 
ping_host 仅 except OSError，但握手期 _recv_exact_sock 抛的 TdxConnectionError
继承自 TdxError(Exception) 而非 OSError，逃出捕获后经 ping_all 的 fut.result()
重新抛出，导致非交易时间服务器 accept 后立即 FIN 时整个 easy-tdx ping 崩溃。
- ping_host: except (OSError, TdxConnectionError)，对齐 docstring 返回 None
- ping_all: fut.result() 加 try/except 防御层，单 host 失败只跳过不崩
- 新增 2 例回归测试
 2026-06-13 21:09:55 +08:00
GitHubandClaude a6ed0eac16 docs: add quantitative guide, update README + CHANGELOG, bump v1.11.1 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 22:12:19 +08:00
GitHubandClaude 06f2e1f1a2 feat(backtest): add AttributionAnalyzer with Brinson, factor, cost attribution 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 21:10:50 +08:00
GitHub 0945e47990 feat(backtest): integrate SlippageModel + ExecutionModel into BacktestEngine 2026-06-12 21:04:24 +08:00
GitHub d18af98855 feat(backtest): add LimitExecution 2026-06-12 20:59:59 +08:00
GitHub fe68d9da95 feat(backtest): add TWAPExecution + VWAPExecution 2026-06-12 20:56:57 +08:00
GitHub 0772666be3 feat(backtest): add ExecutionModel ABC + ImmediateExecution 2026-06-12 20:53:07 +08:00
GitHub 6414c2cc11 feat(backtest): integrate SlippageModel into OrderSimulator 2026-06-12 20:50:42 +08:00
GitHub d081eeb265 feat(backtest): add SquareRootSlippage + VolumeSlippage 2026-06-12 20:47:03 +08:00
GitHub 4098af02bf feat(backtest): add SlippageModel ABC + FixedSlippage + PercentSlippage 2026-06-12 20:44:28 +08:00
GitHub b7b72b10d1 feat(portfolio): add optimizer, risk model, rebalance engine, CLI pfactor command, bump v1.13.0 2026-06-12 20:25:50 +08:00
GitHubandClaude e6a69d51e4 feat(portfolio): add optimizer, risk model, and rebalance engine 
- WeightOptimizer base class with registry (equal, factor_weighted, risk_parity, mean_variance)
- RiskModel with shrinkage covariance estimation and portfolio risk metrics
- RebalanceEngine for multi-period backtesting with commission/slippage
- 20 unit tests covering all components

Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 20:22:31 +08:00
GitHub 303964ea67 feat(factor): add analysis/transform exports, CLI analyze command, bump v1.12.0 2026-06-12 20:11:28 +08:00
GitHub 9d7bf84d5d feat(factor): add FactorAnalyzer with IC/quantile/turnover/decay analysis 2026-06-12 20:09:08 +08:00
GitHub c6f2580b73 feat(factor): add factor preprocessing pipeline (winsorize/zscore/rank/fill/orthogonalize) 2026-06-12 20:08:10 +08:00
GitHubandClaude d5fa572a43 style: ruff format factor module 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 19:58:34 +08:00
GitHub f47a6df776 feat(cli): add 'easy-tdx factor list' command 2026-06-12 19:55:40 +08:00
GitHub d9bb37f750 feat(factor): wire up builtin factor auto-registration and export 2026-06-12 19:53:18 +08:00
GitHubandClaude c9be1f85d9 feat(factor): add 19 builtin factors (momentum/volatility/quality/volume/technical/chanlun/value) 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 19:50:05 +08:00
GitHubandClaude e766cace73 feat(factor): add FactorEngine with single/cross-section/forward-return compute 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 19:47:08 +08:00
GitHub 67d9963f20 feat(factor): add Factor base class and registry 2026-06-12 19:43:54 +08:00
GitHubandClaude de2b37e1e3 fix(web): use redoc@2.2.0 standalone bundle (v3 is ESM-only) 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 17:06:54 +08:00
GitHubandClaude 79c81cc3b6 fix(web): override redoc endpoint with pinned JS v3.0.0-rc.0 
FastAPI does not accept redoc_js_url as a constructor param — the old
approach silently ignored it, leaving the default redoc@next CDN URL
(which returns 404). Manually register /redoc with get_redoc_html()
using the fixed v3.0.0-rc.0 bundle URL.

Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 17:05:25 +08:00
GitHubandClaude 9848d754a8 fix(web): use redoc@3.0.0-rc.0 bundle 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 16:55:21 +08:00
GitHubandClaude 0d673f1972 fix(web): pin ReDoc JS to v2.1.3 (cdn redoc@next returns 404) 
Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 16:54:03 +08:00
GitHubandClaude 46c5d3cc05 fix(web): guard MAC client None + filter _raw bytes from Ex responses 
- get_mac_client() now raises TdxConnectionError (503) when MAC client
  is None, matching get_ex_client() behavior. Previously returned None
  causing AttributeError (500) on all 12 MAC endpoints.
- _records_to_df_resp() filters out internal _raw: bytes fields from
  Ex dataclass models. Previously asdict() included binary protocol
  data that is not JSON-serializable and would cause 500 errors.

Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 16:51:47 +08:00
GitHubandClaude d17895e92b feat(web): full Web API parity with CLI — 18 new endpoints (v1.10.2) 
- Board analysis: list/members/belong/summary/ranking/change-ranking (6)
- Capital flow, symbol info, server info (3)
- Quote list, auction, unusual (3)
- Extended market: bars/quote/minute/transaction (4)
- Technical indicators: list + compute (2)
- Multi-client DI: AsyncMacClient + AsyncExTdxClient lifecycle
- 6 MAC enum converters, DictResponse, ComputeIndicatorsRequest schemas
- Web API endpoints: 22 → 40

Co-Authored-By: Claude <noreply@anthropic.com>
 2026-06-12 16:46:48 +08:00
Justin Gu 0e74752701 fix(web): validate market/category input — support lowercase, reject invalid with 400 
Root cause: _market_from_str/_market/_category in routers used bare
MarketEnum[key]/Market[key] without .upper() or try/except, so
lowercase or invalid values (sz, ZZZ) threw uncaught KeyError → 500.

Fix: extract shared convert.py with market_from_str/category_from_str
that do .upper() + ValueError on invalid input.  All 4 routers updated.
4 regression tests added for case-insensitive and invalid input.
 2026-06-12 03:26:29 +08:00
Justin Gu 9d7a9161f7 fix(web): remove TYPE_CHECKING guard for AsyncTdxClient in deps.py 
The typing.cast(AsyncTdxClient, ...) evaluated AsyncTdxClient at
runtime, but the import was gated behind TYPE_CHECKING, causing
NameError in production.  Direct import is safe here — web module
already depends on easy_tdx core.
 2026-06-12 03:21:39 +08:00
Justin Gu eb8a7a5675 feat(web): add FastAPI app factory, all routers, CLI serve command, and tests 
- App factory with lifespan management and CORS middleware
- Market router: security list, quotes, market stat, fund-flow
- Bars router: kline, index kline, minute, transaction
- Finance router: xdxr, finance, company info, financial records
- Block router: block file parsing
- Chanlun router: POST /chanlun/analyze
- Realtime router: WebSocket /ws/realtime/{symbol}
- CLI: easy-tdx serve command
- 16 unit tests, all passing offline (no network)
 2026-06-12 03:08:12 +08:00
Justin Gu 9dc70566a5 feat(web): add Pydantic schemas and error handling 2026-06-12 03:02:04 +08:00
Justin Gu 7f44ba1d06 feat(web): scaffold web API module with [web] optional dependency 2026-06-12 03:00:49 +08:00
GitHubandClaude Opus 4.8 fd03e2a334 fix: ruff format compliance for CI 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-11 22:56:23 +08:00
GitHubandClaude Opus 4.8 e290ea3f21 feat: add board N-day change ranking (v1.9.10) 
- Add get_board_change_ranking() to MacClient and AsyncMacClient
- Add 'board-change-ranking' CLI command (--type/--date/--days/--top/--asc)
- Calculate N-day price change from board index K-lines directly
- Default to listing all boards; --top N to truncate
- 12 unit tests covering calculation, edges, sorting

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-11 17:40:51 +08:00
Justin Gu 786c7e3619 fix: remove unused type: ignore comments for mypy strict 2026-06-11 04:30:39 +08:00
Justin Gu c25570eb86 fix: mypy strict — type annotate co_filename in _get_strategy_file 2026-06-11 04:27:54 +08:00
Justin Gu c9ed57e66d fix: parallel scan pickle bug — pass strategy file path instead of class to child processes 2026-06-11 04:24:09 +08:00
Justin Gu 15cc7680c4 release: v1.9.7 — CLI全量集成（workers/cache/chanlun-level/portfolio/multi-level）+ bugfix 2026-06-11 03:57:48 +08:00
Justin Gu 92edc189bb feat: realtime event-driven market data push framework 
- Add EventBus for async publish/subscribe market events
- Add MarketEvent dataclass with tick/bar/signal/error types
- Add RealtimeStrategy base class with on_tick/on_bar callbacks
- Add emit_signal() for strategy-to-engine signal publishing
- Support per-symbol and global subscriptions
- API skeleton: transport-level subscription TBD
- Add 10 tests covering events, bus, and strategy
 2026-06-11 02:34:00 +08:00
Justin Gu 9c39ad054d feat: multi-stock portfolio backtest engine 
- Add PortfolioBacktestEngine for shared-capital multi-stock backtesting
- Support equal allocation mode (total_cash / N per stock)
- Individual BacktestEngine per stock with allocated capital
- Aggregate performance via capital-weighted returns
- Add StockData, PortfolioResult data classes
- Add 4 tests: basic run, equal allocation, empty stocks, serialization
 2026-06-11 02:31:43 +08:00
Justin Gu fa5bd2d44d feat: add MyTT.pyi type stubs, enable strict mypy 
- Create type stub file for 50+ MyTT indicator functions
- Covers all 31 functions used in the project + common utilities
- Remove mypy disallow_untyped_defs/calls override for MyTT
- MyTT now covered by strict mypy via .pyi stubs
 2026-06-11 02:29:47 +08:00
Justin Gu f4dc28c5d2 feat: add append_klines for incremental chanlun analysis 
- Store previous DataFrame in ChanlunAnalyser after process_klines
- Add append_klines(df_new) to concatenate and recompute
- Handles datetime deduplication automatically
- Raises RuntimeError if called before initial process_klines
- Add 2 tests: append + recompute, error without init
 2026-06-11 02:25:42 +08:00
Justin Gu 6d74c2e5eb feat: enhance multi-level chanlun analysis with trend/overlap/divergence 
- Add trend_direction detection (up/down/None) via consecutive bi analysis
- Add bi_overlap detection for consolidation identification
- Add divergence_possible check (2+ ZS + diminishing amplitude)
- Return type changed from dict[str, int] to dict[str, Any]
- Backward compatible: all original fields preserved
- Extract 3 helper functions for clean separation of concerns
 2026-06-11 02:22:31 +08:00
Justin Gu ec8d21b7e2 feat: incremental scanning with mtime-based cache 
- Add cache_file param to SignalScanner for persistent scan cache
- Cache stores {filepath: {mtime, result}} as JSON
- On rescan, skip files with unchanged mtime (reuse cached results)
- Files with changed mtime are rescanned and cache updated
- Add 3 tests: cache reuse, no-cache full scan, cache invalidation
 2026-06-11 02:17:52 +08:00