Rqsdk 815 (#938)

* Remove debug print statement from the plot function in the system analyser module.

* Add debug logging for Matplotlib backend in plot function of system analyser module

* add FutureArbitrage

* update version

* update

* update

---------

Co-authored-by: 崔子琦 <oscarcui@ricequant.com>
Co-authored-by: Cuizi7 <Cuizi7@users.noreply.github.com>
Co-authored-by: pitaya <wangjiangfeng77qq@163.com>
Co-authored-by: Don <lin.dongzhao@ricequant.com>

Author: 4 people

rqalpha/const.py

@@ -158,6 +158,7 @@ class INSTRUMENT_TYPE(CustomEnum):
     SPOT = "Spot"
     REPO = "Repo"
     REITs = "REITs"
+    FutureArbitrage = "FutureArbitrage"
 
 
 # noinspection PyPep8Naming

rqalpha/data/base_data_source/data_source.py

@@ -31,6 +31,7 @@
 from rqalpha.utils.exception import RQInvalidArgument
 from rqalpha.utils.functools import lru_cache
 from rqalpha.utils.typing import DateLike
+from rqalpha.utils.logger import system_log
 from rqalpha.environment import Environment
 from rqalpha.data.base_data_source.adjust import FIELDS_REQUIRE_ADJUSTMENT, adjust_bars
 from rqalpha.data.base_data_source.storage_interface import (AbstractCalendarStore, AbstractDateSet,
@@ -94,10 +95,16 @@ def _p(name):
         instruments = []
 
         env = Environment.get_instance()
+        unsupported_types = []
         with open(_p('instruments.pk'), 'rb') as f:
             for i in pickle.load(f):
                 if i["type"] == "Future" and Instrument.is_future_continuous_contract(i["order_book_id"]):
                     i["listed_date"] = datetime(1990, 1, 1)
+                if i["type"] not in INSTRUMENT_TYPE:
+                    if i["type"] not in unsupported_types:
+                        unsupported_types.append(i["type"])
+                        system_log.warning(f"Unsupported type: {i['type']}")
+                    continue
                 instruments.append(Instrument(
                     i, 
                     lambda i: self._future_info_store.get_tick_size(i),

rqalpha/data/base_data_source/storages.py

@@ -135,7 +135,7 @@ def __init__(self, instruments, instrument_type):
 
         for ins in instruments:
             if ins.type != instrument_type:
-                continue
+                    continue
             self._instruments[ins.order_book_id] = ins
             self._sym_id_map[ins.symbol] = ins.order_book_id
 

rqalpha/mod/rqalpha_mod_sys_analyser/__init__.py

@@ -108,7 +108,6 @@ def plot(result_pickle_file_path, show, plot_save_file, plot_open_close_points,
     from .plot import plot_result
 
     result_dict = pd.read_pickle(result_pickle_file_path)
-    print(plot_open_close_points, plot_weekly_indicators)
     plot_result(result_dict, show, plot_save_file, plot_weekly_indicators, plot_open_close_points)
 
 

rqalpha/mod/rqalpha_mod_sys_analyser/mod.py

@@ -420,7 +420,8 @@ def tear_down(self, code, exception=None):
         total_portfolios = df.set_index('date').sort_index()
         if self._benchmark:
             total_portfolios["benchmark_unit_net_value"] = (self._benchmark_daily_returns + 1).cumprod()
-            total_portfolios["excess_unit_net_value"] = total_portfolios["unit_net_value"] - total_portfolios["benchmark_unit_net_value"]
+            total_portfolios["arithmetic_excess_unit_net_value"] = total_portfolios["unit_net_value"] - total_portfolios["benchmark_unit_net_value"]
+            total_portfolios["geometric_excess_unit_net_value"] = total_portfolios["unit_net_value"] / total_portfolios["benchmark_unit_net_value"] - 1
         df.index = df['date']
         weekly_nav = df.resample("W").last().set_index("date").unit_net_value.dropna()
         monthly_nav = df.resample("M").last().set_index("date").unit_net_value.dropna()

rqalpha/mod/rqalpha_mod_sys_analyser/plot/plot.py

@@ -26,6 +26,7 @@
 
 import rqalpha
 from rqalpha.const import POSITION_EFFECT
+from rqalpha.utils.logger import system_log
 from .utils import IndicatorInfo, LineInfo, max_dd as _max_dd, SpotInfo, max_ddd as _max_ddd
 from .utils import weekly_returns, trading_dates_index
 from .consts import PlotTemplate, DefaultPlot
@@ -245,6 +246,8 @@ def plot_result(
 
     _plot(summary["strategy_file"], sub_plots, strategy_name)
 
+    system_log.debug(f"Matplotlib backend: {pyplot.get_backend()}")
+    
     if save:
         file_path = save
         if os.path.isdir(save):

rqalpha/model/instrument.py

@@ -109,7 +109,7 @@ def de_listed_date(self):
     def type(self):
         # type: () -> str
         """
-        [sty] 合约类型，目前支持的类型有: ‘CS’, ‘INDX’, ‘LOF’, ‘ETF’, ‘Future’
+        [str] 合约类型，目前支持的类型有: ‘CS’, ‘INDX’, ‘LOF’, ‘ETF’, ‘Future’
         """
         return INSTRUMENT_TYPE[self.__dict__["type"]]
 

setup.cfg

@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqalpha
-version = 5.6.3
+version = 5.6.4
 
 [versioneer]
 VCS = git