update
This commit is contained in:
jack
@@ -1,9 +0,0 @@
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# -*- coding: utf-8 -*-
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"""
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核心模块 - 包含API客户端和数据模型
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"""
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from .api_client import WorldQuantBrainSimulate
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from .models import AlphaMetrics, SimulationResult
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__all__ = ['WorldQuantBrainSimulate', 'AlphaMetrics', 'SimulationResult']
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@@ -1,158 +0,0 @@
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# -*- coding: utf-8 -*-
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import os.path
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import httpx
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import time
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from httpx import BasicAuth
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from typing import Dict, Any, Optional, Tuple
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class WorldQuantBrainSimulate:
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def __init__(self, credentials_file='account.txt'):
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self.credentials_file = credentials_file
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self.client = None
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self.brain_api_url = 'https://api.worldquantbrain.com'
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"""读取本地账号密码"""
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def load_credentials(self) -> Tuple[str, str]:
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if not os.path.exists(self.credentials_file):
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print("未找到 account.txt 文件")
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with open(self.credentials_file, 'w') as f:
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f.write("")
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print("account.txt 文件已创建，请填写账号密码, 格式: ['username', 'password]")
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exit(1)
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with open(self.credentials_file) as f:
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credentials = eval(f.read())
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return credentials[0], credentials[1]
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"""登录认证"""
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def login(self) -> bool:
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username, password = self.load_credentials()
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self.client = httpx.Client(auth=BasicAuth(username, password))
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response = self.client.post(f'{self.brain_api_url}/authentication')
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print(f"登录状态: {response.status_code}")
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if response.status_code == 201:
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print("登录成功!")
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print(f"账户信息: {response.json()}")
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return True
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else:
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print(f"登录失败: {response.json()}")
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return False
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"""模拟Alpha因子"""
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def simulate_alpha(self, expression: str, settings: Optional[Dict[str, Any]] = None) -> Dict[str, Any]:
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if self.client is None:
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raise Exception("请先登录")
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default_settings = {
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'instrumentType': 'EQUITY',
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'region': 'USA',
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'universe': 'TOP3000',
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'delay': 1,
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'decay': 0,
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'neutralization': 'INDUSTRY',
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'truncation': 0.08,
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'pasteurization': 'ON',
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'unitHandling': 'VERIFY',
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'nanHandling': 'OFF',
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'language': 'FASTEXPR',
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'visualization': False,
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}
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if settings:
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default_settings.update(settings)
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simulation_data = {
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'type': 'REGULAR',
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'settings': default_settings,
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'regular': expression
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}
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sim_resp = self.client.post(f'{self.brain_api_url}/simulations', json=simulation_data)
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print(f"模拟提交状态: {sim_resp.status_code}")
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sim_progress_url = sim_resp.headers['location']
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print(f"进度URL: {sim_progress_url}")
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while True:
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sim_progress_resp = self.client.get(sim_progress_url)
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retry_after_sec = float(sim_progress_resp.headers.get("Retry-After", 0))
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if retry_after_sec == 0:
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break
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if sim_progress_resp.json():
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result = sim_progress_resp.json()
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progress = result['progress']
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if progress:
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print(f"模拟进度: {float(progress)*100}%")
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print(f"等待 {retry_after_sec} 秒...")
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time.sleep(retry_after_sec)
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# 如果因子模拟不通过, 获取一下失败信息
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if sim_progress_resp.json()["status"] == "ERROR":
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result = sim_progress_resp.json()["message"]
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print(f"因子模拟失败: {result}")
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# 返回一个特殊标识，表示模拟失败
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return {"status": "error", "message": result}
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alpha_id = sim_progress_resp.json()["alpha"]
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print(f"生成的Alpha ID: {alpha_id}")
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# 获取详细的性能指标
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metrics = self.get_alpha_metrics(alpha_id)
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return {"status": "success", "alpha_id": alpha_id, "metrics": metrics}
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"""获取Alpha因子的详细指标"""
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def get_alpha_metrics(self, alpha_id: str) -> Dict[str, Any]:
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if self.client is None:
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raise Exception("请先登录")
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try:
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# 获取Alpha的基本信息和指标
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alpha_url = f'{self.brain_api_url}/alphas/{alpha_id}'
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alpha_resp = self.client.get(alpha_url)
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if alpha_resp.status_code in [200, 201]:
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alpha_data = alpha_resp.json()
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# 以后可能需要获取其他参数
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if alpha_data.get('metrics'):
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alpha_data = alpha_data.get('metrics')
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return alpha_data or {}
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else:
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print(f"获取Alpha指标失败: {alpha_resp.status_code}")
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# 返回一个空的字典结构
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return {
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"train": {},
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"is": {},
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"test": {},
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"grade": None,
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"stage": None,
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"status": None,
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"dateCreated": None,
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"id": alpha_id
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}
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except Exception as e:
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print(f"获取指标时出错: {str(e)}")
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# 返回一个空的字典结构
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return {
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"train": {},
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"is": {},
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"test": {},
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"grade": None,
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"stage": None,
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"status": None,
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"dateCreated": None,
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"id": alpha_id
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}
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def close(self):
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"""关闭连接"""
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if self.client:
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self.client.close()
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@@ -0,0 +1,176 @@
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# -*- coding: utf-8 -*-
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"""数据库管理层"""
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import psycopg2
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from typing import List, Optional
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from config.settings import settings
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from models.entities import SimulationResult, AlphaExpression
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class DatabaseManager:
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"""数据库管理类"""
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def __init__(self):
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self.connection = None
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self.init_database()
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def create_database(self) -> None:
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"""创建数据库（如果不存在）"""
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try:
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# 先连接到默认的postgres数据库来创建alpha数据库
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conn = psycopg2.connect(
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host=settings.DATABASE_CONFIG["host"],
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port=settings.DATABASE_CONFIG["port"],
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database="postgres",
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user=settings.DATABASE_CONFIG["user"],
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password=settings.DATABASE_CONFIG["password"]
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)
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conn.autocommit = True
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cursor = conn.cursor()
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# 检查数据库是否存在
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cursor.execute("SELECT 1 FROM pg_catalog.pg_database WHERE datname = %s",
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(settings.DATABASE_CONFIG["database"],))
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exists = cursor.fetchone()
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if not exists:
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cursor.execute(f"CREATE DATABASE {settings.DATABASE_CONFIG['database']}")
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print(f"数据库 {settings.DATABASE_CONFIG['database']} 创建成功")
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else:
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print(f"数据库 {settings.DATABASE_CONFIG['database']} 已存在")
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cursor.close()
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conn.close()
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except Exception as e:
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print(f"创建数据库时出错: {e}")
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raise
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def get_connection(self) -> psycopg2.extensions.connection:
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"""获取数据库连接"""
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if self.connection is None or self.connection.closed:
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self.connection = psycopg2.connect(
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host=settings.DATABASE_CONFIG["host"],
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port=settings.DATABASE_CONFIG["port"],
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database=settings.DATABASE_CONFIG["database"],
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user=settings.DATABASE_CONFIG["user"],
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password=settings.DATABASE_CONFIG["password"]
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)
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return self.connection
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def init_database(self) -> None:
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"""初始化数据库和表结构"""
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# 先创建数据库
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self.create_database()
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# 然后连接到此数据库创建表
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conn = self.get_connection()
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cursor = conn.cursor()
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# 创建 alpha_prepare 表
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cursor.execute('''
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CREATE TABLE IF NOT EXISTS alpha_prepare
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(
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id
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SERIAL
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PRIMARY
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KEY,
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alpha
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TEXT
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NOT
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NULL
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UNIQUE,
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unused
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BOOLEAN
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NOT
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NULL
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DEFAULT
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TRUE,
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created_time
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TIMESTAMP
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DEFAULT
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CURRENT_TIMESTAMP
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)
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''')
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# 创建 simulation 表
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cursor.execute('''
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CREATE TABLE IF NOT EXISTS simulation
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(
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id
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SERIAL
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PRIMARY
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KEY,
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expression
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TEXT
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NOT
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NULL,
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time_consuming
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REAL
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NOT
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NULL,
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status
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TEXT
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NOT
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NULL,
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timestamp
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TEXT
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NOT
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NULL,
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alpha_id
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TEXT,
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message
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TEXT,
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created_time
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TIMESTAMP
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DEFAULT
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CURRENT_TIMESTAMP
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)
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''')
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conn.commit()
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print(f"数据库 {settings.DATABASE_CONFIG['database']} 表结构初始化完成")
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def get_unused_alpha(self) -> List[str]:
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"""获取所有未使用的alpha表达式"""
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conn = self.get_connection()
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cursor = conn.cursor()
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cursor.execute("SELECT alpha FROM alpha_prepare WHERE unused = TRUE")
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results = cursor.fetchall()
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alpha_list = [result[0] for result in results]
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return alpha_list
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def mark_alpha_used(self, alpha: str) -> None:
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"""将alpha标记为已使用"""
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conn = self.get_connection()
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cursor = conn.cursor()
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cursor.execute("UPDATE alpha_prepare SET unused = FALSE WHERE alpha = %s", (alpha,))
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conn.commit()
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def insert_simulation_result(self, result: SimulationResult) -> None:
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"""插入模拟结果到simulation表"""
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conn = self.get_connection()
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cursor = conn.cursor()
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cursor.execute('''
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INSERT INTO simulation
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(expression, time_consuming, status, timestamp, alpha_id, message)
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VALUES (%s, %s, %s, %s, %s, %s)
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''', (
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result.expression,
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result.time_consuming,
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result.status,
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result.timestamp,
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result.alpha_id,
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result.message or ""
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))
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conn.commit()
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def close_connection(self) -> None:
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"""关闭数据库连接"""
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if self.connection and not self.connection.closed:
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self.connection.close()
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@@ -1,62 +0,0 @@
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# -*- coding: utf-8 -*-
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from dataclasses import dataclass
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from typing import Dict, Any, Optional
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@dataclass
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class TrainMetrics:
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"""训练集指标"""
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sharpe_ratio: Optional[float] = None
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annual_return: Optional[float] = None
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max_drawdown: Optional[float] = None
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turnover: Optional[float] = None
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fitness: Optional[float] = None
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pnl: Optional[float] = None
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book_size: Optional[float] = None
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long_count: Optional[float] = None
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short_count: Optional[float] = None
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margin: Optional[float] = None
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@dataclass
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class TestMetrics:
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"""测试集指标"""
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sharpe_ratio: Optional[float] = None
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annual_return: Optional[float] = None
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max_drawdown: Optional[float] = None
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turnover: Optional[float] = None
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fitness: Optional[float] = None
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pnl: Optional[float] = None
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@dataclass
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class AlphaInfo:
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"""Alpha基本信息"""
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grade: Optional[str] = None
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stage: Optional[str] = None
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status: Optional[str] = None
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date_created: Optional[str] = None
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checks: Optional[Dict[str, Any]] = None
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@dataclass
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class AlphaMetrics:
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"""Alpha因子完整指标"""
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train_metrics: TrainMetrics
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is_metrics: TestMetrics
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test_metrics: TestMetrics
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alpha_info: AlphaInfo
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alpha_id: Optional[str] = None
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@dataclass
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class SimulationResult:
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"""模拟结果"""
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expression: str
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time_consuming: float
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formatted_time: str
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alpha_id: str
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status: str
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description: str
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simulation_timestamp: str
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metrics: Optional[Dict[str, Any]] = None
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@@ -0,0 +1,126 @@
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# -*- coding: utf-8 -*-
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"""Alpha模拟器核心类"""
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import time
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import httpx
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from datetime import datetime
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from typing import List, Tuple
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from config.settings import settings
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from models.entities import SimulationResult, TokenInfo
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from core.database import DatabaseManager
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from services.auth_service import AuthService
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from services.alpha_service import AlphaService
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from services.notification_service import NotificationService
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class AlphaSimulator:
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"""Alpha模拟器主类"""
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def __init__(self):
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self.db_manager = DatabaseManager()
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self.auth_service = AuthService()
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self.client = None
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self.token_info = None
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self.alpha_service = None
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def __del__(self):
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"""析构函数，确保数据库连接被关闭"""
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if hasattr(self, 'db_manager'):
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self.db_manager.close_connection()
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def initialize(self) -> None:
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"""初始化模拟器"""
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self.client = httpx.Client()
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self.login()
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def login(self) -> TokenInfo:
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"""登录并初始化alpha服务"""
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self.token_info = self.auth_service.login(self.client)
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self.alpha_service = AlphaService(self.client)
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return self.token_info
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def needs_token_refresh(self) -> bool:
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"""检查是否需要刷新token"""
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if not self.token_info:
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return True
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return self.token_info.expiry < settings.TOKEN_REFRESH_THRESHOLD
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|
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def load_alpha_list(self) -> List[str]:
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"""从数据库加载未使用的alpha表达式"""
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return self.db_manager.get_unused_alpha()
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def run_batch_simulation(self, alpha_list: List[str]) -> Tuple[int, int]:
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"""运行批量模拟"""
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success_count = 0
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fail_count = 0
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for i in range(0, len(alpha_list), settings.BATCH_SIZE):
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batch = alpha_list[i:i + settings.BATCH_SIZE]
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print(f"\n开始处理第 {i // settings.BATCH_SIZE + 1} 批因子，共 {len(batch)} 个")
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|
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for expression in batch:
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result = self._simulate_single_alpha(expression)
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if result.status == "ok":
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success_count += 1
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else:
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fail_count += 1
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|
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print(f"第 {i // settings.BATCH_SIZE + 1} 批处理完成")
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|
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self._print_summary(success_count, fail_count)
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return success_count, fail_count
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|
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def _simulate_single_alpha(self, expression: str) -> SimulationResult:
|
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"""模拟单个Alpha表达式"""
|
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print(f"\n模拟因子: {expression}")
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start_time = time.time()
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|
||||
try:
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result = self.alpha_service.simulate_alpha(expression)
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end_time = time.time()
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time_consuming = round(end_time - start_time, 2)
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|
||||
simulation_result = SimulationResult(
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expression=expression,
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time_consuming=time_consuming,
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status=result["status"],
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||||
timestamp=datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
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||||
alpha_id=result.get("alpha_id"),
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||||
message=result.get("message", "")
|
||||
)
|
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|
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if result["status"] == "ok":
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print(f"✅ 模拟成功 - Alpha ID: {result['alpha_id']} - 耗时: {time_consuming}秒")
|
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else:
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print(f"❌ 模拟失败 - {result.get('message', '未知错误')}")
|
||||
|
||||
except Exception as e:
|
||||
end_time = time.time()
|
||||
time_consuming = round(end_time - start_time, 2)
|
||||
simulation_result = SimulationResult(
|
||||
expression=expression,
|
||||
time_consuming=time_consuming,
|
||||
status="err",
|
||||
message=str(e),
|
||||
timestamp=datetime.now().strftime("%Y-%m-%d %H:%M:%S")
|
||||
)
|
||||
print(f"❌ 模拟异常 - {str(e)}")
|
||||
|
||||
# 保存结果并标记为已使用
|
||||
self._save_simulation_result(simulation_result)
|
||||
return simulation_result
|
||||
|
||||
def _save_simulation_result(self, result: SimulationResult) -> None:
|
||||
"""保存模拟结果到数据库"""
|
||||
self.db_manager.mark_alpha_used(result.expression)
|
||||
self.db_manager.insert_simulation_result(result)
|
||||
|
||||
def _print_summary(self, success_count: int, fail_count: int) -> None:
|
||||
"""打印总结信息"""
|
||||
now = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
|
||||
print(f"\n总计: 成功 {success_count} 个, 失败 {fail_count} 个")
|
||||
print(f"完成时间: {now}")
|
||||
print(f"所有结果已保存到 PostgreSQL 数据库 {settings.DATABASE_CONFIG['database']} 的 simulation 表中")
|
||||
|
||||
# 发送通知
|
||||
NotificationService.send_to_gotify(success_count, fail_count)
|
||||
Reference in New Issue
Block a user