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This commit is contained in:
jack
@@ -1,27 +1,345 @@
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# -*- coding: utf-8 -*-
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import xmlrpc.client
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import os
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import sys
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import time
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import json
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import httpx
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from datetime import datetime, timedelta
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# Odoo 连接配置
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ODOO_URL = "http://192.168.31.41:32000"
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DB_NAME = "quantify"
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USERNAME = "rpc"
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PASSWORD = "aaaAAA111"
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# RPC 客户端
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common = xmlrpc.client.ServerProxy('{}/xmlrpc/2/common'.format(ODOO_URL))
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uid = common.authenticate(DB_NAME, USERNAME, PASSWORD, {})
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class OdooClient:
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"""Odoo JSON-RPC 客户端类"""
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# 搜索 alpha.expression.line 模型, 条件 字段 performance 不为空, 并按 id 升序排序
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domain = [('performance', '!=', False)]
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order = 'id asc'
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expression_line_ids = xmlrpc.client.ServerProxy('{}/xmlrpc/2/object'.format(ODOO_URL)).execute_kw(
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DB_NAME, uid, PASSWORD, 'alpha.expression.line', 'search_read',
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[domain, ['id', 'performance', 'name', 'expression_id']],
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{'order': order}
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)
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def __init__(self, url, db_name, username, password):
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"""
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初始化 Odoo 客户端并自动登录
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print(expression_line_ids)
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Args:
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url: Odoo 服务器地址
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db_name: 数据库名称
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username: 用户名
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password: 密码
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"""
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self.url = url
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self.db_name = db_name
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self.username = username
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self.password = password
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self.client = None
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self.uid = None
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# 自动登录
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self.login()
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def login(self):
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"""登录并获取 uid 和 client"""
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try:
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self.client = httpx.Client(timeout=30.0)
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# Odoo 登录
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payload = {
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"jsonrpc": "2.0",
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"method": "call",
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"params": {
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"service": "common",
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"method": "login",
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"args": [self.db_name, self.username, self.password]
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},
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"id": 1
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}
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response = self.client.post(f"{self.url}/jsonrpc", json=payload)
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result = response.json()
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# 检查是否有错误
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if "error" in result:
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raise Exception(f"登录失败: {result['error']}")
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# Odoo 的登录响应中，result 直接就是 uid
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self.uid = result.get("result")
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if not self.uid:
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raise Exception("登录失败：未获取到UID")
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print(f"登录成功，UID: {self.uid}")
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return True
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except Exception as e:
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print(f"登录失败: {e}")
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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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self.uid = None
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raise
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def logout(self):
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"""退出登录并关闭连接"""
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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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self.uid = None
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print("已退出")
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def search_data(self, model, domain, fields=None, order=None, limit=None):
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"""
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通用搜索方法
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Args:
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model: 模型名称
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domain: 搜索条件列表
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fields: 需要返回的字段列表
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order: 排序规则
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limit: 返回记录数量限制
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Returns:
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查询结果列表，失败返回 None
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"""
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if not self.client or not self.uid:
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raise Exception("未登录或连接已断开")
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# 构建参数
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args = [domain]
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if fields:
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args.append(fields)
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kwargs = {}
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if order:
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kwargs['order'] = order
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if limit:
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kwargs['limit'] = limit
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payload = {
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"jsonrpc": "2.0",
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"method": "call",
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"params": {
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"service": "object",
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"method": "execute_kw",
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"args": [
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self.db_name,
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self.uid,
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self.password,
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model,
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"search_read",
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args,
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kwargs
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]
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},
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"id": 2
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}
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try:
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response = self.client.post(f"{self.url}/jsonrpc", json=payload)
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result = response.json()
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if "error" in result:
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print(f"查询失败: {result['error']}")
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return None
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return result.get("result", [])
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except Exception as e:
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print(f"查询异常: {e}")
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return None
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def __enter__(self):
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"""上下文管理器入口"""
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return self
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def __exit__(self, exc_type, exc_val, exc_tb):
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"""上下文管理器出口，自动登出"""
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self.logout()
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# 使用 OdooClient 类重构后的函数
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def fetch_local_performance(odoo_client, model, domain, fields, limit):
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"""获取本地表现数据"""
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# 执行搜索
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result = odoo_client.search_data(model=model, domain=domain, fields=fields, order="id desc", limit=limit)
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if result:
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return result
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else:
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print("未获取到数据")
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exit(1)
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def deconstruction_data(all_data):
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"""解构并输出数据"""
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for idx, data in enumerate(all_data):
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data = json.loads(data.get('performance'))
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print(f"\n{'=' * 60}")
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print(f"策略 #{idx + 1}")
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print(f"{'=' * 60}")
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# 基础信息
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alpha_id = data.get("id")
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alpha_type = data.get("type")
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author = data.get("author")
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name = data.get("name")
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print(f"ID: {alpha_id}")
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print(f"类型: {alpha_type}")
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print(f"作者: {author}")
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print(f"名称: {name if name else '未命名'}")
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# Settings 配置
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settings = data.get("settings", {})
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print(f"\n【配置信息】")
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print(f" 品种类型: {settings.get('instrumentType')}")
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print(f" 地区: {settings.get('region')}")
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print(f" 股票池: {settings.get('universe')}")
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print(f" 延迟: {settings.get('delay')}")
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print(f" 衰减: {settings.get('decay')}")
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print(f" 中性化: {settings.get('neutralization')}")
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print(f" 截断: {settings.get('truncation')}")
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print(f" 时间区间: {settings.get('startDate')} -> {settings.get('endDate')}")
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# 因子代码
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regular = data.get('regular', {})
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code = regular.get('code')
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description = regular.get('description')
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print(f"\n【因子代码】")
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print(f" Code: {code}")
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if description:
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print(f" Desc: {description}")
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print(f" 操作符数量: {regular.get('operatorCount')}")
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# 样本内（IS）回测结果 - 重点
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in_sample = data.get('is', {})
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if in_sample:
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print(f"\n【样本内回测结果 (IS)】")
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print(f" 📉 PnL: {in_sample.get('pnl', 0):,.0f}")
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print(f" 📊 总收益率: {in_sample.get('returns', 0) * 100:.2f}%")
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print(f" 🎯 夏普比率: {in_sample.get('sharpe', 0):.2f}")
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print(f" 💪 Fitness: {in_sample.get('fitness', 0):.2f}")
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print(f" 📉 最大回撤: {in_sample.get('drawdown', 0) * 100:.2f}%")
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print(f" 🔄 换手率: {in_sample.get('turnover', 0) * 100:.2f}%")
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print(f" 📈 多头持仓数: {in_sample.get('longCount', 0)}")
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print(f" 📉 空头持仓数: {in_sample.get('shortCount', 0)}")
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print(f" 💰 保证金: {in_sample.get('margin', 0):.6f}")
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print(f" 📅 回测区间: {in_sample.get('startDate')} -> {in_sample.get('endDate')}")
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# 检查项结果 - 排序后输出
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checks = in_sample.get('checks', [])
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if checks:
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print(f"\n 【检查项】（已排序：PASS → WARNING → FAIL → PENDING）")
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# 定义排序优先级
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def sort_priority(check):
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result = check.get('result')
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priority_order = {
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'PASS': 1,
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'WARNING': 2,
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'FAIL': 3,
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'PENDING': 4
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}
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return priority_order.get(result, 5)
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# 排序
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sorted_checks = sorted(checks, key=sort_priority)
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# 输出排序后的检查项
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for check in sorted_checks:
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name_check = check.get('name')
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result = check.get('result')
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limit = check.get('limit')
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value = check.get('value')
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# 根据结果用不同符号标记
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if result == 'PASS':
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symbol = '✅'
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elif result == 'FAIL':
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symbol = '❌'
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elif result == 'WARNING':
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symbol = '⚠️'
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else:
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symbol = '⏳'
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if limit is not None and value is not None:
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print(f" {symbol} {name_check}: {result} (要求: {limit}, 实际: {value})")
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else:
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print(f" {symbol} {name_check}: {result}")
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else:
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print(f"\n【样本内回测结果 (IS)】")
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print(f" ⚠️ 无数据（因子可能在样本内阶段就失败了）")
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# 样本外（OS）结果 - 通常为空表示策略无效
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out_sample = data.get('os', {})
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train = data.get('train', {})
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test = data.get('test', {})
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if out_sample:
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print(f"\n【样本外回测结果 (OS)】")
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print(f" 夏普比率: {out_sample.get('sharpe', 0):.2f}")
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else:
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print(f"\n【样本外回测结果 (OS)】⚠️ 为空 - 因子可能未通过样本内测试")
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if train:
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print(f"\n【训练集结果 (Train)】")
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print(f" 夏普比率: {train.get('sharpe', 0):.2f}")
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if test:
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print(f"\n【测试集结果 (Test)】")
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print(f" 夏普比率: {test.get('sharpe', 0):.2f}")
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# 主题和竞赛信息
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themes = data.get('themes', [])
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if themes:
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print(f"\n【关联主题】")
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for theme in themes:
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print(f" - {theme.get('name')} (乘数: {theme.get('multiplier')}x)")
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competitions = data.get('competitions', [])
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if competitions:
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print(f"\n【关联竞赛】")
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for comp in competitions:
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print(f" - {comp.get('name')}")
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# 状态信息
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print(f"\n【状态】")
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print(f" 阶段: {data.get('stage')}")
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print(f" 状态: {data.get('status')}")
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print(f" 是否收藏: {data.get('favorite')}")
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print(f" 创建时间: {data.get('dateCreated')}")
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# 如果有分类信息
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classifications = data.get('classifications', [])
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if classifications:
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print(f"\n【分类】")
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for cls in classifications:
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print(f" - {cls.get('name')}")
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# 使用示例
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if __name__ == "__main__":
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# ============================== Odoo 连接配置 ====================================
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ODOO_URL = "http://192.168.31.41:32000"
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DB_NAME = "quantify"
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USERNAME = "rpc"
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PASSWORD = "aaaAAA111"
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# ============================== 搜索设置 ====================================
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days = 7
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now = datetime.now()
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today_zero = now.replace(hour=0, minute=0, second=0, microsecond=0)
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days_ago_zero = today_zero - timedelta(days=days)
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# 模型名称
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model = "alpha.expression.line"
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# 搜索条件
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domain = [('performance', '!=', '{}'), ('write_date', '>=', days_ago_zero.strftime('%Y-%m-%d %H:%M:%S'))]
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# 搜索字段
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fields = ['id', 'performance']
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# 搜索数量限制
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limit = 1
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try:
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odoo = OdooClient(ODOO_URL, DB_NAME, USERNAME, PASSWORD)
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all_data = fetch_local_performance(odoo, model, domain, fields, limit)
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deconstruction_data(all_data)
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except Exception as e:
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print(f"程序执行失败: {e}")
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with OdooClient(ODOO_URL, DB_NAME, USERNAME, PASSWORD) as odoo:
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all_data = fetch_local_performance(odoo)
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deconstruction_data(all_data)
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