update
This commit is contained in:
jack
@@ -0,0 +1,56 @@
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[
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{
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"name": "做空股价潜力有限",
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"expression": "-rank(ebit / capex)",
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"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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},
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{
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"name": "财务健康度标准化",
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"expression": "zscore(cash_st / debt_st)",
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"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": 0.1,
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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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},
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{
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"name": "做空12个月社交媒体讨论热度高",
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"expression": "-scl12_buzz",
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"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": 0.12,
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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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}
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]
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@@ -0,0 +1 @@
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['jack0210_@hotmail.com', '!QAZ2wsx+0913']
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@@ -0,0 +1,247 @@
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import httpx
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import json
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from concurrent.futures import ThreadPoolExecutor, as_completed
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from os.path import expanduser, exists
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from httpx import BasicAuth
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from time import sleep
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from datetime import datetime
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class WorldQuantBrainAPI:
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def __init__(self, credentials_file='brain_credentials.txt'):
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"""初始化API客户端"""
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self.credentials_file = expanduser(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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def login(self):
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"""登录认证"""
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try:
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# 检查凭证文件是否存在
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if not exists(self.credentials_file):
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print(f"❌ 凭证文件不存在: {self.credentials_file}")
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return False
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# Load credentials
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with open(self.credentials_file) as f:
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file_content = f.read().strip()
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with open(self.credentials_file) as f:
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credentials = eval(f.read())
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# Extract username and password from the list
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if len(credentials) != 2:
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print(f"❌ 凭证格式错误，应该是 [username, password] 格式，但得到: {credentials}")
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return False
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username, password = credentials
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# Create a client with basic authentication
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self.client = httpx.Client(auth=BasicAuth(username, password))
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# Send authentication request
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response = self.client.post(f'{self.brain_api_url}/authentication')
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print(f"认证状态: {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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return True
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else:
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print(f"❌ 登录失败: {response.text}")
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return False
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except json.JSONDecodeError as e:
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print(f"❌ JSON解析错误: {e}")
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print(f"📄 文件内容: {file_content if 'file_content' in locals() else '无法读取'}")
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return False
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except Exception as e:
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print(f"❌ 登录过程中出错: {str(e)}")
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return False
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def batch_simulate_alphas(self, alphas_config_file='alphas.json', max_workers=3):
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"""批量测试多个Alpha因子（使用线程池）"""
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# 检查配置文件是否存在
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if not exists(alphas_config_file):
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print(f"❌ 配置文件 {alphas_config_file} 不存在")
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return []
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# 读取Alpha配置
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try:
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with open(alphas_config_file, 'r', encoding='utf-8') as f:
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file_content = f.read().strip()
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print(f"📄 Alpha配置文件内容预览: {file_content[:200]}...") # 只显示前200个字符
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with open(alphas_config_file, 'r', encoding='utf-8') as f:
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alpha_configs = json.load(f)
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print(f"✅ 成功读取 {len(alpha_configs)} 个Alpha配置")
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for i, config in enumerate(alpha_configs):
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print(f" {i+1}. {config.get('name', '未命名')}")
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except json.JSONDecodeError as e:
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print(f"❌ 配置文件 JSON格式错误: {e}")
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print(f"📄 出错的文件内容: {file_content if 'file_content' in locals() else '无法读取'}")
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return []
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except Exception as e:
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print(f"❌ 读取配置文件时出错: {str(e)}")
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return []
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print(f"📁 读取到 {len(alpha_configs)} 个Alpha配置")
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# 登录
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if not self.login():
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print("❌ 登录失败，无法继续")
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return []
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results = []
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# 使用线程池并发执行
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with ThreadPoolExecutor(max_workers=max_workers) as executor:
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# 提交所有任务
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future_to_alpha = {
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executor.submit(self.simulate_alpha, config): config
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for config in alpha_configs
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}
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# 收集结果
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for future in as_completed(future_to_alpha):
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config = future_to_alpha[future]
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try:
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result = future.result()
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results.append(result)
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except Exception as e:
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print(f"❌ {config.get('name', '未知Alpha')} 执行失败: {str(e)}")
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results.append({
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'name': config.get('name', '未知Alpha'),
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'success': False,
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'error': str(e)
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})
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# 打印汇总结果
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self._print_summary(results)
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return results
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def simulate_alpha(self, alpha_config):
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"""模拟单个Alpha因子"""
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if self.client is None:
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raise Exception("请先调用 login() 方法登录")
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name = alpha_config.get('name', '未命名Alpha')
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expression = alpha_config['expression']
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settings = alpha_config.get('settings', {})
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print(f"\n🚀 开始模拟: {name}")
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print(f"📝 表达式: {expression}")
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simulation_data = {
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'type': 'REGULAR',
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'settings': settings,
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'regular': expression
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}
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try:
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# 发送模拟数据
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sim_resp = self.client.post(
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f'{self.brain_api_url}/simulations',
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json=simulation_data,
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)
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print(f"📤 模拟提交状态: {sim_resp.status_code}")
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if sim_resp.status_code != 201:
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print(f"❌ {name} 提交失败: {sim_resp.text}")
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return {'name': name, 'success': False, 'error': f'提交失败: {sim_resp.status_code}'}
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# 获取进度URL并轮询结果
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sim_progress_url = sim_resp.headers['location']
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print(f"⏳ {name} 进度URL获取成功")
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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: # simulation done!
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break
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print(f"⏰ {name} 等待 {retry_after_sec} 秒...")
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sleep(retry_after_sec)
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# 获取最终的alpha ID
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result_data = sim_progress_resp.json()
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alpha_id = result_data["alpha"]
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print(f"✅ {name} 模拟完成! Alpha ID: {alpha_id}")
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return {
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'name': name,
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'expression': expression,
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'alpha_id': alpha_id,
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'success': True,
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'result_data': result_data
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}
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except Exception as e:
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print(f"❌ {name} 模拟过程中出错: {str(e)}")
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return {'name': name, 'success': False, 'error': str(e)}
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def _print_summary(self, results):
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"""打印测试结果汇总"""
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print("\n" + "=" * 50)
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print("📊 Alpha测试结果汇总")
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print("=" * 50)
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success_count = sum(1 for r in results if r.get('success', False))
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failed_count = len(results) - success_count
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print(f"✅ 成功: {success_count} 个")
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print(f"❌ 失败: {failed_count} 个")
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print("\n成功详情:")
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for result in results:
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if result.get('success'):
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print(f" ✓ {result['name']}: {result['alpha_id']}")
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if failed_count > 0:
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print("\n失败详情:")
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for result in results:
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if not result.get('success'):
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print(f" ✗ {result['name']}: {result.get('error', '未知错误')}")
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def close(self):
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"""关闭客户端连接"""
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if self.client:
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self.client.close()
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self.client = None
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# 使用示例
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if __name__ == "__main__":
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# 创建API实例
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wq_api = WorldQuantBrainAPI()
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try:
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# 1. 批量测试所有Alpha
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print("🎯 开始批量测试Alpha因子...")
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start_time = datetime.now()
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results = wq_api.batch_simulate_alphas(
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alphas_config_file='alphas.json',
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max_workers=2 # 并发数量，根据API限制调整
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)
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end_time = datetime.now()
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print(f"\n⏱️ 测试总耗时: {(end_time - start_time).total_seconds():.2f} 秒")
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# 2. 提取成功的Alpha ID
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successful_alphas = [r for r in results if r.get('success')]
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alpha_ids = [r['alpha_id'] for r in successful_alphas]
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print(f"\n📋 成功模拟的Alpha数量: {len(alpha_ids)}")
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for alpha in successful_alphas:
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print(f" - {alpha['name']}: {alpha['alpha_id']}")
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except Exception as e:
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print(f"❌ 程序执行出错: {str(e)}")
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import traceback
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traceback.print_exc() # 打印完整的错误堆栈
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finally:
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# 确保连接关闭
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wq_api.close()
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@@ -0,0 +1,100 @@
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import httpx
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import json
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from httpx import BasicAuth
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from time import sleep
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class WorldQuantBrainAPI:
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def __init__(self, credentials_file='brain_credentials.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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def load_credentials(self):
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"""读取本地账号密码"""
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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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def login(self):
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"""登录认证"""
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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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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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def simulate_alpha(self, expression, settings=None):
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"""模拟Alpha因子"""
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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(
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f'{self.brain_api_url}/simulations',
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json=simulation_data,
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)
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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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print(sim_progress_resp.json())
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print(f"等待 {retry_after_sec} 秒...")
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sleep(retry_after_sec)
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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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return alpha_id
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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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if __name__ == "__main__":
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api = WorldQuantBrainAPI()
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try:
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# 读取账号密码并登录
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if api.login():
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# 模拟Alpha因子
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alpha_id = api.simulate_alpha("liabilities/assets")
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print(f"模拟完成，Alpha ID: {alpha_id}")
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finally:
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api.close()
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@@ -0,0 +1 @@
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||||
null
|
||||
Reference in New Issue
Block a user