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CLAUDE.md

RQAlpha is an algorithmic trading system for quantitative trading with backtesting and live trading capabilities.

License: Non-commercial use only (Apache 2.0). Commercial use requires authorization from Ricequant.

Quick Commands

# Run backtest
rqalpha run -f strategy.py -s 2014-01-01 -e 2016-01-01 --account stock 100000

# With RQData connection
rqalpha run --rqdatac-uri tcp://user:password@host:port -f strategy.py -s 2014-01-01 -e 2016-01-01 --account stock 100000

# Download bundle data
rqalpha download-bundle

# Update bundle
rqalpha update-bundle --rqdatac-uri tcp://user:password@host:port

# Generate examples
rqalpha examples -d ./examples

# Run tests
pytest
pytest tests/unittest/
pytest tests/integration_tests/

Project-Specific Rules

When Writing Strategies

  1. Always consult documentation first: Read docs/source/intro/tutorial.rst and docs/source/api/base_api.rst before writing strategies
  2. Use correct API signatures: Check docs/source/api/base_api.rst for function parameters and return types
  3. Follow strategy lifecycle: Implement init(), before_trading(), handle_bar(), after_trading() in correct order
  4. Stock code format: Always use format like "000001.XSHE" (code + exchange)
  5. Date format: Use 'YYYY-MM-DD' format for dates

When Debugging/Testing

  1. Write minimal reproducible examples: Create smallest possible strategy that reproduces the bug
  2. Use logger, not print: Use logger.info() instead of print() in strategies
  3. Add assertions: Verify expected behavior with assertions in test code
  4. Short date ranges: Use 1-3 month ranges for faster iteration during testing

Code Modifications

  1. Chinese comments OK: Domain-specific logic can use Chinese comments
  2. Follow PEP 8: Standard Python style guide
  3. Test before commit: Run pytest to ensure tests pass

Key Architecture Points

  • Environment singleton: Access via Environment.get_instance() - central registry for all components
  • Event-driven: Mods subscribe to events (BAR, TICK, BEFORE_TRADING, etc.)
  • Mod system: Extensibility through AbstractMod interface
  • Data bundle: HDF5 format stored in ~/.rqalpha/bundle/
  • Config hierarchy: CLI args > strategy __config__ > config file > defaults

Detailed Documentation

For detailed information, see:

  • Architecture: docs/claude/architecture.md - Core components and system design
  • Strategy Writing: docs/claude/strategy-guide.md - How to write strategies with API reference
  • Bug Reproduction: docs/claude/bug-reproduction.md - Writing backtests to reproduce bugs
  • Development: docs/claude/development.md - Development guidelines and debugging

Official documentation:

  • Tutorial: docs/source/intro/tutorial.rst
  • API Reference: docs/source/api/base_api.rst
  • Examples: docs/source/intro/examples.rst