joinquant-skill

JoinQuant Skill

Generate quantitative strategy code that runs on the JoinQuant platform without modification.

When to Use This Skill

Yes:

• Stock backtest / paper trading / live trading on JoinQuant (聚宽)
• ETF rotation, multi-factor stock selection, momentum, mean reversion strategies
• Futures (期货) strategies on JoinQuant
• Margin trading (融资融券) strategies
• Strategy code review / lint to catch hallucinated APIs and future-function violations
• Translating a strategy idea into JoinQuant API calls

No:

• Local data analysis without JoinQuant (use jqdatasdk directly, or pandas/numpy)
• Strategy backtesting on other platforms (vectorbt, backtrader, vn.py — use those skills instead)
• Pure machine learning model training (no JoinQuant-specific API needed)
• Live trading on broker APIs other than JoinQuant simulated trading (CTP, Interactive Brokers, etc. need different skills)

Default Mode

Most user requests fall into one of three patterns. Detect the pattern first, then route:

| Pattern | Trigger | Action | |---|---|---| | Quick code | "帮我写一个 X 策略" / "用聚宽实现 Y" | Pick template, fill in user-specific parts, return ready-to-paste code | | API question | "聚宽里 get_price 的 fq 参数是什么意思" / "set_option 都有哪些选项" | Load matching references/XX-*.md and answer based on it | | Code review | "帮我审一下我这段聚宽代码" / paste of existing code | Run mental strategy_lint.py against it (or actually call it), point out hallucinated APIs and missing safeguards |

Progressive Disclosure: 14 API Categories

DO NOT load all references at once (294KB total, would burn context). Pattern-match the user request and load only the relevant category file:

| Category | Reference file | Triggered by keywords | |---|---|---| | 策略设置 | references/01-strategy-setup.md | initialize, set_benchmark, set_option, set_order_cost, set_slippage, run_daily, run_weekly, run_monthly | | 数据获取 | references/02-data-getters.md | get_price, attribute_history, history, get_current_data, get_fundamentals, get_money_flow, get_concept, get_industry | | jqlib 因子库 | references/03-jqlib.md | alpha101, alpha191, technical_analysis, jqfactor | | 数据处理 | references/04-data-processing.md | get_factor_values, calc_factor_history, neutralize, winsorize, standardlize | | 组合优化 | references/05-portfolio-optimization.md | optimizer, max_sharpe, min_variance, target_return, mean_variance | | 交易函数 | references/06-trading.md | order, order_value, order_target, order_target_value, cancel_order, get_open_orders | | 对象 | references/07-objects.md | Order, Position, Portfolio, OrderCost, OrderStyle, MarketOrderStyle, LimitOrderStyle | | 其他函数 | references/08-misc-functions.md | record, log, write_file, send_message | | 多投资组合 | references/09-multi-portfolio.md | set_subportfolios, SubPortfolioConfig, transfer_cash | | Tick 级 | references/10-tick-strategy.md | tick, get_ticks, every_tick | | 融资融券 | references/11-margin-trading.md | margincash_open, margincash_close, marginsec_open, marginsec_close, set_margin_rate | | 期货 | references/12-futures.md | get_dominant_future, futures, set_future_commission | | 归因分析 | references/13-attribution-analysis.md | brinson, factor analysis, attribution | | 引擎机制 | references/14-strategy-engine.md | 撮合, 复权, 滑点, 税费, 风险指标, alpha, beta, sharpe, max drawdown |

If the user mentions a function name not in any keyword list, use scripts/api_search.py <keyword> to find it across all references.

Templates

5 production-ready templates in templates/:

| Template | When to use | |---|---| | 01-basic-single-stock.py | First-time users, single stock, simple MA crossover. The "hello world" of JoinQuant. | | 02-multi-factor.py | Multi-factor stock selection (PE / market cap / momentum), monthly rebalance. Most common "real" strategy structure. | | 03-etf-rotation.py | ETF rotation by momentum ranking. Popular among retail investors. | | 04-momentum-stock.py | Cross-sectional momentum on stock pool, weekly rebalance. | | 05-mean-reversion.py | Bollinger / RSI mean reversion. Volatility-aware. |

When generating code, start from a template, modify, do not write from scratch. Reasons:

1. Templates already include the boilerplate (set_benchmark, set_option, set_order_cost, set_slippage)
2. Templates have correct timing (run_daily / run_weekly with proper time arg)
3. Templates avoid future-function pitfalls (count-based instead of date-based slicing)

Lint Tool

Before returning generated code to user, mentally (or actually) run strategy_lint.py:

python scripts/strategy_lint.py <user_strategy.py>

Critical checks:

• ❌ Hallucinated API calls (e.g., jqdata.get_stock_data() doesn't exist)
• ❌ Future function: using non-count get_price or attribute_history with hardcoded future dates
• ❌ Missing set_option('use_real_price', True) (mandatory for accurate backtest)
• ❌ Missing set_order_cost(...) and set_slippage(...)
• ❌ Order placed in before_trading_start / after_trading_end (forbidden, will be rejected)
• ❌ Use of deprecated APIs (update_universe etc.)
• ⚠️ Recommend g. global vars for state across bars instead of module globals
• ⚠️ Recommend cluster-aware sizing for high-correlation assets

Things That Must Survive Generation

When advising on a strategy, never lose:

• Always set use_real_price=True. Traditional pre-adjusted price has future-function bias. This is non-negotiable.
• set_order_cost and set_slippage are mandatory. Without them, backtest is unrealistic and will mislead the user.
• run_daily time argument matters. 'open' runs at 09:30, 'every_bar' runs every bar (minute or daily). Wrong choice causes wrong execution timing.
• g. is the only safe global state. Module-level globals can leak across runs in some JoinQuant environments.
• order_value > order for capital management. Computing share count manually is error-prone with stock splits.
• order_target_value for rebalancing, never compute "current value - target value" yourself.
• Don't pip install anything inside JoinQuant. The platform is sandboxed; only its preinstalled libraries work.

Workflow

A typical end-to-end strategy session:

1. User describes idea in natural language
2. AI: pick matching template (e.g., 03-etf-rotation.py)
3. AI: ask 2-3 clarifying questions:
   - 标的池范围（指数成分 / 自定义列表）
   - 调仓频率（日 / 周 / 月）
   - 风险控制（止损 / 仓位上限 / 行业中性）
4. AI: generate strategy code modifying template
5. AI: run mental lint (or actual) — fix issues
6. User: paste into JoinQuant online editor, click 编译运行
7. If errors: re-load relevant references/XX-*.md, fix
8. User: review backtest curve, iterate

For high-stakes (live trading) strategies, additionally:

• Reference references/14-strategy-engine.md for slippage, commission, risk metrics
• Reference references/11-margin-trading.md if leverage involved
• Discuss model risk explicitly (overfitting, regime change, transaction cost realism)

Files

| File | Role | |---|---| | README.md | Project intro | | WORKFLOW.md | Strategy development end-to-end (✅ complete) | | INSTALL_CN.md | Chinese install guide (✅ complete) | | api文档/api.txt | Original 294KB API docs (raw backup) | | references/01-14-.md | 14 progressive-disclosure category files (✅ all complete) | | templates/01-05-.py | 5 production templates (✅ complete) | | scripts/strategy_lint.py | Lint tool — black/whitelist hybrid (✅ operational) | | scripts/strategy_scaffold.py | Generate scaffold from description (✅ operational) | | scripts/api_search.py | Search API by keyword (✅ operational) | | examples/case-mean-reversion/ | End-to-end case: RSI mean reversion (✅) | | examples/case-etf-rotation/ | End-to-end case: ETF monthly rotation (✅) | | examples/bad-strategy-for-lint-test.py | Negative-test sample for lint regression (✅) | | factors/ | (v2) Barra-style factor library, 7 categories | | factor_lab/ | (v2) Single-factor IC / grouping / decay anal