pyproject.toml

[build-system]
requires = ["setuptools>=68", "wheel"]
build-backend = "setuptools.build_meta"

[project]
name = "mlquant"
version = "0.1.0"
description = "Reference implementation of ‘ML-Enhanced Multi-Factor Quantitative Trading’ (arXiv:2507.07107)."
readme = "README.md"
requires-python = ">=3.9"
license = { text = "MIT" }
authors = [{ name = "Yimin Du" }]
keywords = ["quant", "alpha", "factor", "portfolio", "pytorch", "markowitz"]
classifiers = [
    "Development Status :: 4 - Beta",
    "Intended Audience :: Financial and Insurance Industry",
    "Intended Audience :: Science/Research",
    "License :: OSI Approved :: MIT License",
    "Programming Language :: Python :: 3 :: Only",
    "Programming Language :: Python :: 3.9",
    "Programming Language :: Python :: 3.10",
    "Programming Language :: Python :: 3.11",
    "Topic :: Office/Business :: Financial :: Investment",
    "Topic :: Scientific/Engineering :: Artificial Intelligence",
]
dependencies = [
    "numpy>=1.24",
    "pandas>=2.0",
    "scipy>=1.10",
    "scikit-learn>=1.3",
    "torch>=2.0",
    "cvxpy>=1.4",
    "scs>=3.2",
    "pyyaml>=6.0",
    "click>=8.1",
    "rich>=13.0",
    "tqdm>=4.65",
    "yfinance>=0.2.0",
    "baostock>=0.8.8",
]

[project.optional-dependencies]
mosek = ["Mosek>=10.0"]
ecos  = ["ecos>=2.0"]
gpu = ["cupy-cuda12x>=12.0"]
dev = [
    "pytest>=7.4",
    "pytest-cov>=4.1",
    "ruff>=0.4",
    "mypy>=1.7",
    "hypothesis>=6.90",
]

[project.scripts]
mlquant = "mlquant.cli.main:main"

[project.urls]
Homepage = "https://github.com/initial-d/ml-quant-trading"
Paper    = "https://arxiv.org/abs/2507.07107"
Issues   = "https://github.com/initial-d/ml-quant-trading/issues"

[tool.setuptools.packages.find]
where = ["src"]

[tool.pytest.ini_options]
testpaths = ["tests"]
addopts   = "-ra -q --strict-markers"
filterwarnings = [
    "ignore::DeprecationWarning",
]

[tool.ruff]
line-length = 100
target-version = "py39"
extend-exclude = ["legacy"]

[tool.ruff.lint]
select = ["E", "F", "I", "B", "UP", "N", "SIM", "PL"]
ignore = ["E501", "PLR0913", "PLR2004"]

[tool.mypy]
python_version = "3.9"
ignore_missing_imports = true
exclude = "legacy/"