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[![image](https://img.shields.io/pypi/v/zvt.svg)](https://pypi.org/project/zvt/) | ||
[![image](https://img.shields.io/pypi/l/zvt.svg)](https://pypi.org/project/zvt/) | ||
[![image](https://img.shields.io/pypi/pyversions/zvt.svg)](https://pypi.org/project/zvt/) | ||
[![Build Status](https://api.travis-ci.org/zvtvz/zvt.svg?branch=master)](https://travis-ci.org/zvtvz/zvt) | ||
[![codecov.io](https://codecov.io/github/zvtvz/zvt/coverage.svg?branch=master)](https://codecov.io/github/zvtvz/zvt) | ||
[![HitCount](http://hits.dwyl.io/zvtvz/zvt.svg)](http://hits.dwyl.io/zvtvz/zvt) | ||
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**Read this in other languages: [English](README-en.md).** | ||
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ZVT is a quant trading platform written after rethinking trading based on [fooltrader](https://github.com/foolcage/fooltrader), | ||
which includes scalable data recorder, api, factor calculation, stock picking, backtesting, and unified visualization layer, | ||
focus on **low frequency**, **multi-level**, **multi-targets** full market analysis and trading framework. | ||
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## 🔖 Useage examples | ||
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### Sector fund flow analysis | ||
<p align="center"><img src='./docs/imgs/data-usage/money-flow.gif'/></p> | ||
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### Market history pe distribution | ||
<p align="center"><img src='./docs/imgs/data-usage/sh-pe-distribution.gif'/></p> | ||
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### Multi-market pe comparison | ||
<p align="center"><img src='./docs/imgs/data-usage/compare-pe.gif'/></p> | ||
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### Margin financing trend | ||
<p align="center"><img src='./docs/imgs/data-usage/margin-trending.gif'/></p> | ||
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### Foreign capital flow (Shanghai / Shenzhen-Hong Kong Stock Connect) | ||
<p align="center"><img src='./docs/imgs/data-usage/cross-market-trading.gif'/></p> | ||
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### Dividend comparison | ||
<p align="center"><img src='./docs/imgs/data-usage/compare-dividend.gif'/></p> | ||
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### Dividend financing comparison | ||
<p align="center"><img src='./docs/imgs/data-usage/filter-entity.gif'/></p> | ||
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### Balance sheet analysis | ||
<p align="center"><img src='./docs/imgs/data-usage/balance-sheet.gif'/></p> | ||
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### Custom factor | ||
<p align="center"><img src='./docs/imgs/data-usage/tech-factor.gif'/></p> | ||
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## examples | ||
[*code examples*](./zvt/trader/examples) | ||
### Algorithmic trading signals and performance | ||
<p align="center"><img src='./docs/imgs/trader_list_view.gif'/></p> | ||
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### Multi-targets transaction | ||
<p align="center"><img src='./docs/imgs/multiple-stock-macd.gif'/></p> | ||
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### real time digital currency trading | ||
<p align="center"><img src='./docs/imgs/realtime_signals.gif'/></p> | ||
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### stock picker | ||
<p align="center"><img src='./docs/imgs/fundamental-selector-in-notebook.png'/></p> | ||
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<p align="center"><img src='./docs/imgs/technical-selector-in-notebook.gif'/></p> | ||
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The entire framework is highly scalable, and only needs to write very little code to expand each module. The extended tutorials for each module are to be improved, and waiting for your contribution. | ||
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## ✨ Features | ||
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- **Enrich comprehensive out-of-the-box and updatable data** | ||
- china market data: stock meta, financial statements, major shareholder behavior, executive transactions, dividend financing details, stock market capital flow, margin financing, dragon and tiger charts, etc. | ||
- Market pe, pb, capital flow, margin financing, foreign investment trends, etc. | ||
- crypto currency data | ||
- Standardization of data, multi-data source (provider) cross-validation, completion | ||
- **Simple and extensible data framework** | ||
- **Uniform and simple API, support sql query, support pandas** | ||
- Scalable factor, abstracting a unified calculation for single- and multi-targets operations | ||
- Provides a unified way of visualizing the factor | ||
- **Concise and unified visual analysis method** | ||
- Support multi-targets, multi-factor, multi-level backtesting | ||
- Real-time visualization of factors, trading signals and strategies | ||
- Support a variety of real trading (implementation) | ||
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## 🔰 install | ||
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### quick start | ||
#### 1.clone | ||
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``` | ||
git clone https://github.com/zvtvz/zvt.git | ||
``` | ||
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setup virtual env(python>=3.6),install requirements | ||
``` | ||
pip3 install -r requirements.txt | ||
``` | ||
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#### 2.import the project(pycharm is good for it,vscode is ok too) | ||
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unzip data sample for the tests | ||
``` | ||
python3 init_data_sample.py | ||
pytest tests | ||
``` | ||
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#### 3.download the data and run | ||
change DATA_PATH(default datasample is just for testing) | ||
``` | ||
DATA_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', 'data')) | ||
``` | ||
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eastmoney: https://pan.baidu.com/s/1CMAlCRYwlhGVxS6drYUEgA 提取码: q2qn | ||
netease: https://pan.baidu.com/s/1kMhEVO0kH_Pn6wXKyqvJEA 提取码: ijxg | ||
sina: https://pan.baidu.com/s/1eusW65sdK_WE4icnt8JS1g 提取码: uux3 | ||
joinquant: https://pan.baidu.com/s/1ijrgjUd1WkRMONrwRQU-4w 提取码: dipd | ||
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unzip them to DATA_PATH | ||
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run the main entry app | ||
``` | ||
python3 index.py | ||
``` | ||
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for updating the data,please refer to [recorders](./zvt/recorders) | ||
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## detailed documentation | ||
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[http://zvt.foolcage.com](http://zvt.foolcage.com) | ||
[https://zvtvz.github.io/zvt](https://zvtvz.github.io/zvt) | ||
> docs is waiting for your contribution,especially english docs | ||
## 💌 buy me a cup of coffee | ||
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If you think the project is helpful to you, you can buy me a cup of coffee | ||
<img src="./docs/imgs/alipay-cn.png" width="25%" alt="Alipay"> | ||
<img src="./docs/imgs/wechat-cn.png" width="25%" alt="Wechat"> | ||
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## 💡 contribution | ||
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Looking forward to more developers participating in the development of zvt, I will promise Reivew PR as soon as possible and respond promptly. But submit PR please make sure | ||
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1. Pass all unit tests, if it is new, please add unit test to it | ||
2. Compliance with development specifications | ||
3. Update the corresponding document if needed | ||
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Developers are also welcome to provide more examples for zvt to complement the documentation, located at [zvt/docs] (https://github.com/zvtvz/zvt/docs) | ||
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## Contact information | ||
QQ group:300911873 | ||
check http://www.imqq.com/html/FAQ_en/html/Discussions_3.html | ||
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wechat Public number (some tutorials would be here): | ||
<img src="./docs/imgs/gongzhonghao.jpg" width="25%" alt="Wechat"> |
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- [快速开始](README.md "zvt quick start") | ||
- [设计哲学](design-philosophy.md "zvt design philosophy") | ||
- [简介](README.md "about zvt") | ||
- [快速开始](quick-start.md "zvt quick start") | ||
- [数据](data.md "zvt data") | ||
- [因子计算](factor.md "zvt factor") | ||
- [回测](trader.md "zvt trader") | ||
- [设计哲学](design-philosophy.md "zvt design philosophy") | ||
- [支持项目](donate.md "donate for zvt") |
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## 💡贡献 | ||
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期待能有更多的开发者参与到 zvt 的开发中来,我会保证尽快 Reivew PR 并且及时回复。但提交 PR 请确保 | ||
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1. 通过所有单元测试,如若是新功能,请为其新增单元测试 | ||
2. 遵守开发规范 | ||
3. 如若需要,请更新相对应的文档 | ||
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也非常欢迎开发者能为 zvt 提供更多的示例,共同来完善文档。 | ||
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## 💌请作者喝杯咖啡 | ||
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如果你觉得项目对你有帮助,可以请作者喝杯咖啡 | ||
<img src="./imgs/alipay-cn.png" width="25%" alt="Alipay"> | ||
<img src="./imgs/wechat-cn.png" width="25%" alt="Wechat"> | ||
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## 🤝联系方式 | ||
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QQ群:300911873 | ||
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个人微信:foolcage 添加暗号:zvt | ||
<img src="./imgs/wechat.jpeg" width="25%" alt="Wechat"> | ||
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------ | ||
公众号: | ||
<img src="./imgs/gongzhonghao.jpg" width="25%" alt="Wechat"> | ||
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------ | ||
知乎专栏: | ||
https://zhuanlan.zhihu.com/automoney |
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## 1. 🔖5分钟用起来 | ||
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>一个系统,如果5分钟用不起来,那肯定是设计软件的人本身就没想清楚,并且其压根就没打算自己用。 | ||
### 1.1 安装 | ||
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假设你已经在>=python3.6的环境中(建议新建一个干净的virtual env环境) | ||
``` | ||
pip3 install zvt -i http://pypi.douban.com/simple --trusted-host pypi.douban.com | ||
pip3 show zvt | ||
``` | ||
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如果不是最新版本 | ||
``` | ||
pip install --upgrade zvt -i http://pypi.douban.com/simple --trusted-host pypi.douban.com | ||
``` | ||
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> 请根据需要决定是否使用豆瓣镜像源 | ||
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### 1.2 进入ipython,体验一把 | ||
``` | ||
In [1]: import os | ||
#这一句会进入测试环境,使用自带的测试数据 | ||
In [2]: os.environ["TESTING_ZVT"] = "1" | ||
In [3]: from zvt import * | ||
{'data_path': '/Users/xuanqi/zvt-test-home/data', | ||
'domain_module': 'zvt.domain', | ||
'email_password': '', | ||
'email_username': '', | ||
'http_proxy': '127.0.0.1:1087', | ||
'https_proxy': '127.0.0.1:1087', | ||
'jq_password': '', | ||
'jq_username': '', | ||
'log_path': '/Users/xuanqi/zvt-test-home/logs', | ||
'smtp_host': 'smtpdm.aliyun.com', | ||
'smtp_port': '80', | ||
'ui_path': '/Users/xuanqi/zvt-test-home/ui', | ||
'wechat_app_id': '', | ||
'wechat_app_secrect': '', | ||
'zvt_home': '/Users/xuanqi/zvt-test-home'} | ||
In [5]: from zvt.api import * | ||
In [6]: df = get_kdata(entity_id='stock_sz_000338',provider='joinquant') | ||
n [8]: df.tail() | ||
Out[8]: | ||
id entity_id timestamp provider code name level open close high low volume turnover change_pct turnover_rate | ||
timestamp | ||
2019-10-29 stock_sz_000338_2019-10-29 stock_sz_000338 2019-10-29 joinquant 000338 潍柴动力 1d 12.00 11.78 12.02 11.76 28533132.0 3.381845e+08 None None | ||
2019-10-30 stock_sz_000338_2019-10-30 stock_sz_000338 2019-10-30 joinquant 000338 潍柴动力 1d 11.74 12.05 12.08 11.61 42652561.0 5.066013e+08 None None | ||
2019-10-31 stock_sz_000338_2019-10-31 stock_sz_000338 2019-10-31 joinquant 000338 潍柴动力 1d 12.05 11.56 12.08 11.50 77329380.0 9.010439e+08 None None | ||
2019-11-01 stock_sz_000338_2019-11-01 stock_sz_000338 2019-11-01 joinquant 000338 潍柴动力 1d 11.55 12.69 12.70 11.52 160732771.0 1.974125e+09 None None | ||
2019-11-04 stock_sz_000338_2019-11-04 stock_sz_000338 2019-11-04 joinquant 000338 潍柴动力 1d 12.77 13.00 13.11 12.77 126673139.0 1.643788e+09 None None | ||
``` | ||
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### 1.3 财务数据 | ||
``` | ||
In [12]: from zvt.domain import * | ||
In [13]: df = get_finance_factor(entity_id='stock_sz_000338',columns=FinanceFactor.important_cols()) | ||
In [14]: df.tail() | ||
Out[14]: | ||
basic_eps total_op_income net_profit op_income_growth_yoy net_profit_growth_yoy roe rota gross_profit_margin net_margin timestamp | ||
timestamp | ||
2018-10-31 0.73 1.182000e+11 6.001000e+09 0.0595 0.3037 0.1647 0.0414 0.2164 0.0681 2018-10-31 | ||
2019-03-26 1.08 1.593000e+11 8.658000e+09 0.0507 0.2716 0.2273 0.0589 0.2233 0.0730 2019-03-26 | ||
2019-04-29 0.33 4.521000e+10 2.591000e+09 0.1530 0.3499 0.0637 0.0160 0.2166 0.0746 2019-04-29 | ||
2019-08-30 0.67 9.086000e+10 5.287000e+09 0.1045 0.2037 0.1249 0.0315 0.2175 0.0759 2019-08-30 | ||
2019-10-31 0.89 1.267000e+11 7.058000e+09 0.0721 0.1761 0.1720 0.0435 0.2206 0.0736 2019-10-31 | ||
``` | ||
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### 1.4 跑个策略 | ||
``` | ||
In [15]: from zvt.samples import * | ||
In [16]: t = MyMaTrader(codes=['000338'], level=IntervalLevel.LEVEL_1DAY, start_timestamp='2018-01-01', | ||
...: end_timestamp='2019-06-30', trader_name='000338_ma_trader') | ||
In [17]: t.run() | ||
``` | ||
测试数据里面包含的SAMPLE_STOCK_CODES = ['000001', '000783', '000778', '603220', '601318', '000338', '002572', '300027'],试一下传入其任意组合,即可看多标的的效果。 | ||
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<p align="center"><img src='./imgs/output-value.jpg'/></p> | ||
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## 2. 📝正式环境 | ||
项目支持多环境切换,默认情况下,不设置环境变量TESTING_ZVT即为正式环境 | ||
``` | ||
In [1]: from zvt import * | ||
{'data_path': '/Users/xuanqi/zvt-home/data', | ||
'domain_module': 'zvt.domain', | ||
'email_password': '', | ||
'email_username': '', | ||
'http_proxy': '127.0.0.1:1087', | ||
'https_proxy': '127.0.0.1:1087', | ||
'jq_password': '', | ||
'jq_username': '', | ||
'log_path': '/Users/xuanqi/zvt-home/logs', | ||
'smtp_host': 'smtpdm.aliyun.com', | ||
'smtp_port': '80', | ||
'ui_path': '/Users/xuanqi/zvt-home/ui', | ||
'wechat_app_id': '', | ||
'wechat_app_secrect': '', | ||
'zvt_home': '/Users/xuanqi/zvt-home'} | ||
``` | ||
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>如果你不想使用使用默认的zvt_home目录,请设置环境变量ZVT_HOME再运行。 | ||
所有操作跟测试环境是一致的,只是操作的目录不同。 | ||
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### 2.1 下载历史数据(可选) | ||
东财数据: https://pan.baidu.com/s/1CMAlCRYwlhGVxS6drYUEgA 提取码: q2qn | ||
资金流,板块数据(新浪): https://pan.baidu.com/s/1eusW65sdK_WE4icnt8JS1g 提取码: uux3 | ||
市场概况,沪/深港通,融资融券数据(聚宽): https://pan.baidu.com/s/1ijrgjUd1WkRMONrwRQU-4w 提取码: dipd | ||
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把下载的数据解压到正式环境的data_path(所有db文件放到该目录下,没有层级结构) | ||
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数据的更新是增量的,下载历史数据只是为了节省时间,全部自己更新也是可以的。 | ||
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### 2.2 注册聚宽(可选) | ||
项目数据支持多provider,在数据schema一致性的基础上,可根据需要进行选择和扩展,目前支持新浪,东财,网易,交易所,ccxt等免费数据。 | ||
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#### 数据的设计上是让provider来适配schema,而不是反过来,这样即使某provider不可用了,换一个即可,不会影响整个系统的使用。 | ||
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但免费数据的缺点是显而易见的:不稳定,爬取清洗数据耗时耗力,维护代价巨大,且随时可能不可用。 | ||
个人建议:如果只是学习研究,可以使用免费数据;如果是真正有意投身量化,还是选一家可靠的数据提供商。 | ||
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项目支持聚宽的数据,可戳以下链接申请使用(目前可免费使用一年) | ||
https://www.joinquant.com/default/index/sdk?channelId=953cbf5d1b8683f81f0c40c9d4265c0d | ||
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> 项目中大部分的免费数据目前都是比较稳定的,且做过严格测试,特别是东财的数据,可放心使用 | ||
> 添加其他数据提供商,请参考[数据扩展教程](http://zvt.foolcage.com/#/data_extending) | ||
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### 2.3 配置 | ||
在zvt_home目录中找到config.json进行配置: | ||
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* jq_username | ||
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聚宽数据用户名 | ||
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* jq_password | ||
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聚宽数据密码 | ||
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> TODO:其他配置项用法 | ||
### 2.4 更新数据 | ||
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``` | ||
In [1]: from zvt.domain import * | ||
In [2]: global_schemas | ||
[zvt.domain.dividend_financing.DividendFinancing, | ||
zvt.domain.dividend_financing.DividendDetail, | ||
zvt.domain.dividend_financing.SpoDetail...] | ||
``` | ||
整个系统的schema和其对应的recorders采取自注册的方式,global_schemas为系统支持的schema,而其对应的recorder以及如何更新数据,方法如下: | ||
``` | ||
In [17]: FinanceFactor.recorders | ||
Out[17]: [zvt.recorders.eastmoney.finance.china_stock_finance_factor_recorder.ChinaStockFinanceFactorRecorder] | ||
In [18]: FinanceFactor.record_data(codes=['000338']) | ||
FinanceFactor registered recorders:[<class 'zvt.recorders.eastmoney.finance.china_stock_finance_factor_recorder.ChinaStockFinanceFactorRecorder'>] | ||
auth success ( 如需说明文档请查看:https://url.cn/5oB7EOO,更多问题请联系JQData管理员,微信号:JQData02 ) | ||
INFO MainThread 2019-12-15 18:03:35,493 ChinaStockFinanceFactorRecorder:recorder.py:551 evaluate_start_end_size_timestamps entity_id:stock_sz_000338,timestamps start:2002-12-31 00:00:00,end:2019-09-30 00:00:00 | ||
INFO MainThread 2019-12-15 18:03:35,509 ChinaStockFinanceFactorRecorder:recorder.py:556 evaluate_start_end_size_timestamps latest record timestamp:2019-10-31 00:00:00 | ||
INFO MainThread 2019-12-15 18:03:35,510 ChinaStockFinanceFactorRecorder:recorder.py:348 run entity_id:stock_sz_000338,evaluate_start_end_size_timestamps result:None,None,0,None | ||
INFO MainThread 2019-12-15 18:03:35,510 ChinaStockFinanceFactorRecorder:recorder.py:357 run finish recording <class 'zvt.domain.finance.FinanceFactor'> for entity_id:stock_sz_000338,latest_timestamp:None | ||
已退出 | ||
``` | ||
* codes代表需要抓取的股票代码 | ||
* 不传入codes则是全市场抓取 | ||
* 所有的schema对应的数据更新,方法是一致的 | ||
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定时任务的方式更新可参考[runners](https://github.com/zvtvz/zvt/blob/master/zvt/recorders/eastmoney/finance0_runner.py) | ||
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## 3. 🚀开发 | ||
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### 3.1 clone代码 | ||
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``` | ||
git clone https://github.com/zvtvz/zvt.git | ||
``` | ||
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设置项目的virtual env(python>=3.6),安装依赖 | ||
``` | ||
pip3 install -r requirements.txt | ||
pip3 install pytest | ||
``` | ||
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### 3.2 测试案例 | ||
pycharm导入工程(推荐,你也可以使用其他ide),然后pytest跑测试案例 | ||
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<p align="center"><img src='./imgs/pytest.jpg'/></p> | ||
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大部分功能使用都可以从tests里面参考 |
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[![github](https://img.shields.io/github/stars/zvtvz/zvt.svg)](https://github.com/zvtvz/zvt) | ||
[![image](https://img.shields.io/pypi/v/zvt.svg)](https://pypi.org/project/zvt/) | ||
[![image](https://img.shields.io/pypi/l/zvt.svg)](https://pypi.org/project/zvt/) | ||
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ZVT是在[fooltrader](https://github.com/foolcage/fooltrader)的基础上重新思考后编写的量化项目,其包含可扩展的数据recorder,api,因子计算,选股,回测,交易,以及统一的可视化,定位为**中低频** **多级别** **多因子** **多标的** 全市场分析和交易框架。 | ||
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相比其他的量化系统,其不依赖任何中间件,**非常轻,可测试,可推断,可扩展**,尽可能避免复杂晦涩的技术,坚持用简洁的代码表达市场的逻辑。 | ||
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## ✨特性 | ||
- **丰富全面开箱即用可扩展可持续增量更新的数据** | ||
- A股数据:行情,财务报表,大股东行为,高管交易,分红融资详情,个股板块资金流向,融资融券,龙虎榜等数据 | ||
- 市场整体pe,pb,资金流,融资融券,外资动向等数据 | ||
- 数字货币数据 | ||
- 数据的标准化,多数据源(provider)交叉验证,补全 | ||
- **简洁可扩展的数据框架** | ||
- **统一简洁的API,支持sql查询,支持pandas** | ||
- 可扩展的factor,对单标的和多标的的运算抽象了一种统一的计算方式 | ||
- **支持多标的,多factor,多级别的回测方式** | ||
- 支持交易信号和策略使用到的factor的实时可视化 | ||
- 支持多种实盘交易(实现中) | ||
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## 💯关于该文档 | ||
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该文档由[项目docs](https://github.com/zvtvz/zvt/tree/master/docs)自动生成,主要内容为项目的**基本用法**和**整体设计**,你应该仔细地阅读所有的章节。 | ||
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现实中的使用例子会在公众号和知乎专栏中长期更新,其假设你已经读过此文档。 | ||
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微信公众号: | ||
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<img src="./imgs/gongzhonghao.jpg" width="25%" alt="Wechat"> | ||
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知乎专栏: | ||
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https://zhuanlan.zhihu.com/automoney |