pybroker 包
全局导入。
子模块
- pybroker.cache 模块
CacheDateFieldsDataSourceCacheKeyIndicatorCacheKeyModelCacheKeyclear_caches()clear_data_source_cache()clear_indicator_cache()clear_model_cache()disable_caches()disable_data_source_cache()disable_indicator_cache()disable_model_cache()enable_caches()enable_data_source_cache()enable_indicator_cache()enable_model_cache()
- pybroker.common 模块
BarDataDataColDayFeeInfoFeeModeIndicatorSymbolModelSymbolOrderTypePositionIntentPositionModePriceTypeStopTypeSymbolSelectorTrainedModelbars_to_df()get_unique_sorted_dates()get_unique_sorted_dates_array()parse_timeframe()quantize()to_datetime()to_decimal()to_seconds()verify_data_source_columns()verify_date_range()
- pybroker.config 模块
StrategyConfiginitial_cashfee_modefee_amountenable_fractional_sharesround_fill_priceposition_modebuy_delaysell_delaybootstrap_samplesexit_on_last_barexit_cover_fill_priceexit_sell_fill_pricebars_per_yearreturn_signalsreturn_stopsround_test_resultleverageinterest_raterecord_portfolio_barsrecord_position_bars
- pybroker.context 模块
ExecContextExecContext.configExecContext.symbolExecContext.buy_fill_priceExecContext.buy_sharesExecContext.buy_limit_priceExecContext.buy_timeout_barsExecContext.sell_fill_priceExecContext.sell_sharesExecContext.sell_limit_priceExecContext.sell_timeout_barsExecContext.hold_barsExecContext.long_scoreExecContext.short_scoreExecContext.sessionExecContext.stop_lossExecContext.stop_loss_pctExecContext.stop_loss_limitExecContext.stop_loss_exit_priceExecContext.stop_profitExecContext.stop_profit_pctExecContext.stop_profit_limitExecContext.stop_profit_exit_priceExecContext.stop_trailingExecContext.stop_trailing_pctExecContext.stop_trailing_limitExecContext.stop_trailing_exit_priceExecContext.barsExecContext.buying_powerExecContext.calc_target_shares()ExecContext.cancel_all_pending_orders()ExecContext.cancel_pending_order()ExecContext.cancel_stop()ExecContext.cancel_stops()ExecContext.cashExecContext.closeExecContext.close_priceExecContext.cover_all_shares()ExecContext.cover_fill_priceExecContext.cover_limit_priceExecContext.cover_sharesExecContext.dtExecContext.foreign()ExecContext.has_long_positions()ExecContext.has_short_positions()ExecContext.highExecContext.high_priceExecContext.hyperparam()ExecContext.indicator()ExecContext.input()ExecContext.interval()ExecContext.long_pos()ExecContext.long_positions()ExecContext.loss_rateExecContext.lowExecContext.low_priceExecContext.margin_loanExecContext.model()ExecContext.net_cash_balanceExecContext.openExecContext.open_priceExecContext.orders()ExecContext.pending_orders()ExecContext.pos()ExecContext.positions()ExecContext.preds()ExecContext.sell_all_shares()ExecContext.set_target_shares()ExecContext.short_pos()ExecContext.short_positions()ExecContext.to_result()ExecContext.total_equityExecContext.total_marginExecContext.total_market_valueExecContext.trades()ExecContext.volumeExecContext.volume_valueExecContext.vwapExecContext.vwap_valueExecContext.win_rate
ExecResultExecResult.symbolExecResult.dateExecResult.buy_fill_priceExecResult.sell_fill_priceExecResult.long_scoreExecResult.short_scoreExecResult.hold_barsExecResult.buy_sharesExecResult.buy_limit_priceExecResult.buy_timeout_barsExecResult.sell_sharesExecResult.sell_limit_priceExecResult.sell_timeout_barsExecResult.long_stopsExecResult.short_stopsExecResult.coverExecResult.pending_order_idExecResult.exit_pos_type
IntervalContextRotationContextset_exec_ctx_data()
- pybroker.data 模块
- pybroker.eval 模块
BootConfIntervalsBootstrapResultConfIntervalDrawdownConfsDrawdownMetricsEvalMetricsEvalMetrics.trade_countEvalMetrics.initial_market_valueEvalMetrics.end_market_valueEvalMetrics.total_pnlEvalMetrics.unrealized_pnlEvalMetrics.total_return_pctEvalMetrics.annual_return_pctEvalMetrics.total_profitEvalMetrics.total_lossEvalMetrics.total_feesEvalMetrics.max_drawdownEvalMetrics.max_drawdown_pctEvalMetrics.max_drawdown_dateEvalMetrics.win_rateEvalMetrics.loss_rateEvalMetrics.winning_tradesEvalMetrics.losing_tradesEvalMetrics.avg_pnlEvalMetrics.avg_return_pctEvalMetrics.avg_trade_barsEvalMetrics.avg_profitEvalMetrics.avg_profit_pctEvalMetrics.avg_winning_trade_barsEvalMetrics.avg_lossEvalMetrics.avg_loss_pctEvalMetrics.avg_losing_trade_barsEvalMetrics.largest_winEvalMetrics.largest_win_pctEvalMetrics.largest_win_barsEvalMetrics.largest_lossEvalMetrics.largest_loss_pctEvalMetrics.largest_loss_barsEvalMetrics.max_winsEvalMetrics.max_lossesEvalMetrics.sharpeEvalMetrics.sortinoEvalMetrics.calmarEvalMetrics.profit_factorEvalMetrics.ulcer_indexEvalMetrics.upiEvalMetrics.equity_r2EvalMetrics.std_errorEvalMetrics.annual_std_errorEvalMetrics.annual_volatility_pctEvalMetrics.to_json()
EvalResultEvaluateMixinTradeStatsannual_total_return_percent()avg_profit_loss()bca_boot_conf()bootstrap_eval_all()calmar_ratio()conf_profit_factor()conf_sharpe_ratio()downside_deviation()iqr()largest_win_loss()log_profit_factor()max_drawdown_percent()max_wins_losses()r_squared()relative_entropy()sharpe_ratio()sortino_ratio()total_profit_loss()total_return_percent()win_loss_rate()winning_losing_trades()
- pybroker.ext.data 模块
- pybroker.indicator 模块
adx()aroon_diff()aroon_down()aroon_up()atr()close_minus_ma()cubic_deviation()cubic_trend()delta_on_balance_volume()detrended_rsi()highest()intraday_intensity()laguerre_rsi()linear_deviation()linear_trend()lowest()macd()money_flow()normalized_negative_volume_index()normalized_on_balance_volume()normalized_positive_volume_index()price_change_oscillator()price_intensity()price_volume_fit()quadratic_deviation()quadratic_trend()reactivity()returns()stochastic()stochastic_rsi()volume_momentum()volume_weighted_ma_ratio()
- pybroker.interval 模块
BASE_INTERVALCompressedBarsCompressedSymbolDataINTERVAL_NAME_SEPARATORIntervalDataTimeframeIntervalbase_timeframe_to_seconds()build_compressed_symbol_arrays()build_compressed_symbol_df()compress()compress_bars()compress_intervals_from_frame()compress_symbol_df()compress_symbol_from_frame()compress_symbol_intervals_from_frame()compressed_bars_to_bar_data()format_interval()indicator_interval_name()is_valid_interval()lookahead_train_dates()model_interval_name()normalize_interval()normalize_intervals()parse_indicator_interval_name()parse_model_interval_name()slice_arrays_by_dates()slice_compressed_df_by_dates()symbol_dates_from_frame()validate_base_timeframe_data()validate_interval()validate_source_name()
- pybroker.log 模块
LoggerLogger.backtest_executions_loading()Logger.backtest_executions_start()Logger.calc_bootstrap_metrics_completed()Logger.calc_bootstrap_metrics_start()Logger.debug_buy_shares_exceed_cash()Logger.debug_clear_data_source_cache()Logger.debug_clear_indicator_cache()Logger.debug_clear_model_cache()Logger.debug_compute_indicators()Logger.debug_disable_data_source_cache()Logger.debug_disable_indicator_cache()Logger.debug_disable_model_cache()Logger.debug_enable_data_source_cache()Logger.debug_enable_indicator_cache()Logger.debug_enable_model_cache()Logger.debug_filled_buy_order()Logger.debug_filled_sell_order()Logger.debug_get_data_source_cache()Logger.debug_get_indicator_cache()Logger.debug_get_model_cache()Logger.debug_place_buy_order()Logger.debug_place_sell_order()Logger.debug_position_limit_reached()Logger.debug_schedule_order()Logger.debug_set_data_source_cache()Logger.debug_set_indicator_cache()Logger.debug_set_model_cache()Logger.debug_timeout_order()Logger.debug_unfilled_buy_order()Logger.debug_unfilled_sell_order()Logger.debug_unscheduled_order()Logger.disable()Logger.disable_progress_bar()Logger.download_bar_data_completed()Logger.download_bar_data_start()Logger.enable()Logger.enable_progress_bar()Logger.indicator_data_loading()Logger.indicator_data_start()Logger.info_download_bar_data_start()Logger.info_indicator_data_start()Logger.info_invalidate_data_source_cache()Logger.info_loaded_bar_data()Logger.info_loaded_indicator_data()Logger.info_loaded_model()Logger.info_loaded_models()Logger.info_optimize_search_space()Logger.info_optimize_sequential_trials()Logger.info_train_model_completed()Logger.info_train_model_start()Logger.info_train_split_start()Logger.info_walkforward_between_time()Logger.info_walkforward_on_days()Logger.loaded_bar_data()Logger.loaded_indicator_data()Logger.loaded_models()Logger.optimize_start()Logger.train_split_completed()Logger.train_split_start()Logger.walkforward_completed()Logger.walkforward_start()Logger.warn_set_model_cache_failed()
- pybroker.model 模块
CachedModelIntervalBoundModelLagSeriesKeyModelInputModelLoaderModelSourceModelTrainerModelsMixinapply_lags_to_model_input()apply_lags_to_model_input_pooled()apply_prepare_input_data()build_lag_feature_matrix()build_lag_feature_matrix_pooled()cached_stacked_lags()compute_lag_series_cache()history_date_offset()merge_interval_lag_series_cache()merge_lag_series_cache()merge_lag_series_cache_from_arrays()merge_lag_series_cache_from_store()model()model_input_from_arrays()model_input_from_frame()shift_array()symbol_history_arrays()
- pybroker.optimize 模块
HyperparamObjectiveBundleOptimizeMixinOptimizeResultSearchSpaceWindowOptimizeResultWindowOptimizeResult.paramsWindowOptimizeResult.studyWindowOptimizeResult.train_scoreWindowOptimizeResult.train_start_dateWindowOptimizeResult.train_end_dateWindowOptimizeResult.test_start_dateWindowOptimizeResult.test_end_dateWindowOptimizeResult.execution_symbolsWindowOptimizeResult.to_json()WindowOptimizeResult.to_json_str()
build_run_hyperparams()collect_hyperparams()collect_search_space()hyperparam()make_objective()
- pybroker.parallel 模块
- pybroker.portfolio 模块
EntryOrderPortfolioPortfolio.cashPortfolio.equityPortfolio.market_valuePortfolio.feesPortfolio.fee_amountPortfolio.enable_fractional_sharesPortfolio.ordersPortfolio.marginPortfolio.margin_loanPortfolio.pnlPortfolio.long_positionsPortfolio.short_positionsPortfolio.symbolsPortfolio.barsPortfolio.position_barsPortfolio.win_ratePortfolio.loss_ratePortfolio.buy()Portfolio.capture_bar()Portfolio.check_stops()Portfolio.exit_position()Portfolio.incr_bars()Portfolio.remove_stop()Portfolio.remove_stops()Portfolio.sell()
PortfolioBarPositionPositionBarStopStopRecordTrade
- pybroker.scope 模块
ColumnScopeIndicatorScopeIntervalScopeModelInputScopePendingOrderPendingOrderScopePendingOrderScope.add()PendingOrderScope.advance_retry_bars()PendingOrderScope.contains()PendingOrderScope.get()PendingOrderScope.has_orders()PendingOrderScope.mark_attempted()PendingOrderScope.orders()PendingOrderScope.remove()PendingOrderScope.remove_all()PendingOrderScope.retry_bars()PendingOrderScope.was_attempted()
PredictionScopePriceScopeStaticScopeStaticScope.loggerStaticScope.data_source_cacheStaticScope.data_source_cache_nsStaticScope.indicator_cacheStaticScope.indicator_cache_nsStaticScope.model_cacheStaticScope.model_cache_nsStaticScope.default_data_colsStaticScope.custom_data_colsStaticScope.all_data_colsStaticScope.clear_params()StaticScope.freeze_data_cols()StaticScope.get_hyperparam()StaticScope.get_indicator()StaticScope.get_indicator_names()StaticScope.get_model_source()StaticScope.has_hyperparam()StaticScope.has_indicator()StaticScope.has_model_source()StaticScope.instance()StaticScope.iter_hyperparams()StaticScope.ordered_data_colsStaticScope.param()StaticScope.register_custom_cols()StaticScope.set_hyperparam()StaticScope.set_indicator()StaticScope.set_instance()StaticScope.set_model_source()StaticScope.unfreeze_data_cols()StaticScope.unregister_custom_cols()StaticScope.validate_registered_names()
SymbolArrayStoreclear_params()column_scope_from_frame()disable_logging()disable_progress_bar()enable_logging()enable_progress_bar()get_signals()merge_symbol_array_stores()param()register_columns()run_with_scope()slice_symbol_array_store_by_dates()sym_data_from_store()sym_exec_dates_from_store()symbol_array_store_from_flat_frame()symbol_array_store_from_frame()symbol_array_store_from_indexed_df()unregister_columns()
- pybroker.slippage 模块
- pybroker.strategy 模块
- pybroker.vect 模块
adx()aroon_diff()aroon_down()aroon_up()atr()close_minus_ma()cross()cubic_deviation()cubic_trend()delta_on_balance_volume()detrended_rsi()highv()intraday_intensity()inverse_normal_cdf()laguerre_rsi()linear_deviation()linear_trend()lowv()macd()money_flow()normal_cdf()normalized_negative_volume_index()normalized_on_balance_volume()normalized_positive_volume_index()price_change_oscillator()price_intensity()price_volume_fit()quadratic_deviation()quadratic_trend()reactivity()returnv()stochastic()stochastic_rsi()sumv()volume_momentum()volume_weighted_ma_ratio()