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This commit is contained in:
toor
2026-04-09 00:52:05 +08:00
parent 0ef8731055
commit 88ac366352
2 changed files with 155 additions and 49 deletions
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alpha_check/main.go
+19 -16
View File
@@ -6,16 +6,15 @@ import (
"fmt" "fmt"
"math" "math"
"strconv" "strconv"
"strings"
"time" "time"
"github.com/valyala/fasthttp" "github.com/valyala/fasthttp"
) )
const ( const (
baseURL = "https://api.worldquantbrain.com" baseURL = "https://api.worldquantbrain.com"
zeroStreakThreshold = 5 * 252 zeroStreakThreshold = 5 * 252
requiredDays = 2920 requiredDays = 2920
) )
type Client struct { type Client struct {
@@ -25,17 +24,17 @@ type Client struct {
} }
type AlphaRecord struct { type AlphaRecord struct {
ID string `json:"id"` ID string `json:"id"`
Name string `json:"name"` Name string `json:"name"`
DateCreated string `json:"dateCreated"` DateCreated string `json:"dateCreated"`
Sharpe float64 `json:"sharpe"` Sharpe float64 `json:"sharpe"`
Fitness float64 `json:"fitness"` Fitness float64 `json:"fitness"`
Turnover float64 `json:"turnover"` Turnover float64 `json:"turnover"`
Margin float64 `json:"margin"` Margin float64 `json:"margin"`
LongCount float64 `json:"longCount"` LongCount float64 `json:"longCount"`
ShortCount float64 `json:"shortCount"` ShortCount float64 `json:"shortCount"`
Decay int `json:"decay"` Decay int `json:"decay"`
Code string `json:"code"` Code string `json:"code"`
} }
type AlphaResponse struct { type AlphaResponse struct {
@@ -59,7 +58,11 @@ type PnlResponse struct {
func NewClient(username, password string) *Client { func NewClient(username, password string) *Client {
return &Client{ return &Client{
client: &fasthttp.Client{}, client: &fasthttp.Client{
ReadTimeout: 60 * time.Second,
WriteTimeout: 10 * time.Second,
MaxIdleConnDuration: 120 * time.Second,
},
username: username, username: username,
password: password, password: password,
} }
@@ -205,7 +208,7 @@ func GetAlphas(c *Client, startDate, endDate string, sharpeTh, fitnessTh float64
for _, item := range alphaResp.Results { for _, item := range alphaResp.Results {
alphaID := item.ID alphaID := item.ID
name := item.Name _ = item.Name // avoid unused variable
dateCreated := item.DateCreated dateCreated := item.DateCreated
sharpe := getFloat(item.Is, "sharpe") sharpe := getFloat(item.Is, "sharpe")
fitness := getFloat(item.Is, "fitness") fitness := getFloat(item.Is, "fitness")
alpha_check/main.py
+136 -33
View File
@@ -17,50 +17,89 @@ def login():
limits=limits, limits=limits,
transport=transport transport=transport
) )
print("[INFO] 正在登录...")
response = s.post('https://api.worldquantbrain.com/authentication') response = s.post('https://api.worldquantbrain.com/authentication')
print(response.content) print(f"[INFO] 登录响应: {response.content}")
return s return s
def wait_get(s, url: str, max_retries: int = 10): def wait_get(s, url: str, max_retries: int = 10):
print(f"[WAIT_GET] 开始请求: {url[:80]}...")
retries = 0 retries = 0
while retries < max_retries: while retries < max_retries:
while True: print(f"[WAIT_GET] 第 {retries + 1} 次尝试...")
simulation_progress = s.get(url) simulation_progress = s.get(url)
if simulation_progress.headers.get("Retry-After", 0) == 0: status_code = simulation_progress.status_code
content_length = simulation_progress.headers.get("content-length", "unknown")
retry_after = simulation_progress.headers.get("Retry-After", 0)
print(f"[WAIT_GET] 状态码: {status_code}, content-length: {content_length}, retry-after: {retry_after}")
# 检查 Retry-After 头（即使状态码是200也可能需要等待）
if retry_after and float(retry_after) > 0:
wait_time = float(retry_after)
print(f"[WAIT_GET] 需要等待 {wait_time} 秒后重试...")
time.sleep(wait_time)
continue # 不增加重试计数，直接再试
# 成功且有内容
if status_code < 400:
# 检查 content-length
if content_length and content_length != "0":
print(f"[WAIT_GET] 请求成功，有数据")
break break
time.sleep(float(simulation_progress.headers["Retry-After"])) else:
if simulation_progress.status_code < 400: # 200 但无内容，可能是数据还没准备好，指数退避等待
wait_time = 2 ** retries
print(f"[WAIT_GET] 状态码200但无内容，等待 {wait_time} 秒后重试...")
time.sleep(wait_time)
retries += 1
continue
# 404 - 资源不存在，不需要重试
if status_code == 404:
print(f"[WAIT_GET] 404 Not Found，跳过重试")
break break
else:
time.sleep(2 ** retries) # 429 - Rate Limit
retries += 1 if status_code == 429:
print(f"[WAIT_GET] 429 Rate Limit")
continue
# 其他错误，指数退避重试
wait_time = 2 ** retries
print(f"[WAIT_GET] 请求失败，等待 {wait_time} 秒后重试...")
time.sleep(wait_time)
retries += 1
return simulation_progress return simulation_progress
def get_alphas(start_date, end_date, sharpe_th, fitness_th, region, alpha_num, usage): def get_alphas(s, start_date, end_date, sharpe_th, fitness_th, region, alpha_num, usage):
s = login() print(f"[INFO] 开始获取Alpha列表, 参数: start_date={start_date}, end_date={end_date}, sharpe_th={sharpe_th}, fitness_th={fitness_th}, region={region}, alpha_num={alpha_num}, usage={usage}")
output = [] output = []
count = 0 count = 0
for i in range(0, alpha_num, 100): for i in range(0, alpha_num, 100):
print(i) print(f"[GET_ALPHAS] 处理偏移量: {i}")
url_e = "https://api.worldquantbrain.com/users/self/alphas?limit=100&offset=%d" % (i) \ url_e = "https://api.worldquantbrain.com/users/self/alphas?limit=100&offset=%d" % (i) \
+ "&status=UNSUBMITTED%1FIS_FAIL&dateCreated%3E=2025-" + start_date \ + "&status=UNSUBMITTED%1FIS_FAIL&dateCreated%3E=" + start_date \
+ "T00:00:00-04:00&dateCreated%3C2025-" + end_date \ + "T00:00:00-04:00&dateCreated%3C=" + end_date \
+ "T00:00:00-04:00&is.fitness%3E" + str(fitness_th) + "&is.sharpe%3E" \ + "T00:00:00-04:00&is.fitness%3E" + str(fitness_th) + "&is.sharpe%3E" \
+ str(sharpe_th) + "&settings.region=" + region + "&order=-is.sharpe&hidden=false&type!=SUPER" + str(sharpe_th) + "&settings.region=" + region + "&order=-is.sharpe&hidden=false&type!=SUPER"
url_c = "https://api.worldquantbrain.com/users/self/alphas?limit=100&offset=%d" % (i) \ url_c = "https://api.worldquantbrain.com/users/self/alphas?limit=100&offset=%d" % (i) \
+ "&status=UNSUBMITTED%1FIS_FAIL&dateCreated%3E=2025-" + start_date \ + "&status=UNSUBMITTED%1FIS_FAIL&dateCreated%3E=" + start_date \
+ "T00:00:00-04:00&dateCreated%3C2025-" + end_date \ + "T00:00:00-04:00&dateCreated%3C=" + end_date \
+ "T00:00:00-04:00&is.fitness%3C-" + str(fitness_th) + "&is.sharpe%3C-" \ + "T00:00:00-04:00&is.fitness%3C-" + str(fitness_th) + "&is.sharpe%3C-" \
+ str(sharpe_th) + "&settings.region=" + region + "&order=is.sharpe&hidden=false&type!=SUPER" + str(sharpe_th) + "&settings.region=" + region + "&order=is.sharpe&hidden=false&type!=SUPER"
urls = [url_e] urls = [url_e]
if usage != "submit": if usage != "submit":
urls.append(url_c) urls.append(url_c)
for url in urls: for url in urls:
print(f"[GET_ALPHAS] 请求URL: {url[:100]}...")
response = s.get(url) response = s.get(url)
print(f"[GET_ALPHAS] 响应状态码: {response.status_code}")
try: try:
alpha_list = response.json()["results"] alpha_list = response.json()["results"]
print(f"[GET_ALPHAS] 获取到 {len(alpha_list)} 个alpha")
for j in range(len(alpha_list)): for j in range(len(alpha_list)):
alpha_id = alpha_list[j]["id"] alpha_id = alpha_list[j]["id"]
name = alpha_list[j]["name"] name = alpha_list[j]["name"]
@@ -78,7 +117,7 @@ def get_alphas(start_date, end_date, sharpe_th, fitness_th, region, alpha_num, u
if sharpe < -sharpe_th: if sharpe < -sharpe_th:
exp = "-%s" % exp exp = "-%s" % exp
rec = [alpha_id, exp, sharpe, turnover, fitness, margin, dateCreated, decay] rec = [alpha_id, exp, sharpe, turnover, fitness, margin, dateCreated, decay]
print(rec) print(f"[GET_ALPHAS] 符合条件的alpha: {rec}")
if turnover > 0.7: if turnover > 0.7:
rec.append(decay * 4) rec.append(decay * 4)
elif turnover > 0.6: elif turnover > 0.6:
@@ -92,16 +131,18 @@ def get_alphas(start_date, end_date, sharpe_th, fitness_th, region, alpha_num, u
elif turnover > 0.3: elif turnover > 0.3:
rec.append(decay + 2) rec.append(decay + 2)
output.append(rec) output.append(rec)
except: except Exception as e:
print("%d finished re-login" % i) print(f"[GET_ALPHAS] 处理第 {i} 个时出错: {e}, 重新登录...")
s = login() s = login()
print("count: %d" % count) print(f"[GET_ALPHAS] 总共获取 {count} 个alpha, 符合条件的有 {len(output)} 个")
return output, s return output, s
def check_consecutive_non_zero_values(alpha_id, data, required_streak=200): def check_consecutive_non_zero_values(alpha_id, data, required_streak=200):
print(f"[CHECK_NON_ZERO] 检查alpha {alpha_id}, 数据长度: {len(data) if data else 0}")
if not data or len(data) < required_streak: if not data or len(data) < required_streak:
print(f"[CHECK_NON_ZERO] 数据不足{required_streak}条, 跳过检查")
return True return True
def check_column(column_data): def check_column(column_data):
@@ -133,30 +174,65 @@ def check_consecutive_non_zero_values(alpha_id, data, required_streak=200):
column1_values.append(row[1]) column1_values.append(row[1])
column2_values.append(row[2]) column2_values.append(row[2])
print(f"[CHECK_NON_ZERO] 列1数据点数: {len(column1_values)}, 列2数据点数: {len(column2_values)}")
if column1_values and column2_values: if column1_values and column2_values:
is_col1_all_zeros = all(v == 0 for v in column1_values) is_col1_all_zeros = all(v == 0 for v in column1_values)
is_col2_all_zeros = all(v == 0 for v in column2_values) is_col2_all_zeros = all(v == 0 for v in column2_values)
if is_col1_all_zeros or is_col2_all_zeros: if is_col1_all_zeros or is_col2_all_zeros:
print(alpha_id, "不合法") print(f"[CHECK_NON_ZERO] {alpha_id} 不合法: 存在全零列")
return False return False
if not check_column(column1_values): if not check_column(column1_values):
print(alpha_id, "不合法") print(f"[CHECK_NON_ZERO] {alpha_id} 不合法: 列1存在连续非零值")
return False return False
if not check_column(column2_values): if not check_column(column2_values):
print(alpha_id, "不合法") print(f"[CHECK_NON_ZERO] {alpha_id} 不合法: 列2存在连续非零值")
return False return False
print(f"[CHECK_NON_ZERO] {alpha_id} 通过检查")
return True return True
def get_alpha_pnl_legal(s, alpha_id: str) -> bool: def get_alpha_pnl_legal(s, alpha_id: str) -> bool:
print(f"\n[PNL_CHECK] ===== 开始检查Alpha: {alpha_id} =====")
not_legal_id = [] not_legal_id = []
pnl = wait_get(s, "https://api.worldquantbrain.com/alphas/" + alpha_id + "/recordsets/pnl").json() print(f"[PNL_CHECK] 正在获取PNL数据...")
records = pnl["records"] resp = wait_get(s, "https://api.worldquantbrain.com/alphas/" + alpha_id + "/recordsets/pnl")
# 检查状态码
if resp.status_code == 404:
print(f"[PNL_CHECK] {alpha_id} PNL接口返回404，可能Alpha不存在或无权限，判定为不合法")
return False
if resp.status_code >= 400:
print(f"[PNL_CHECK] {alpha_id} PNL接口返回错误状态码 {resp.status_code}，判定为不合法")
return False
# 检查响应内容是否为空
if not resp.content or len(resp.content) == 0:
print(f"[PNL_CHECK] 警告: {alpha_id} 响应内容为空！")
print(f"[PNL_CHECK] 状态码: {resp.status_code}")
print(f"[PNL_CHECK] 响应头: {dict(resp.headers)}")
print(f"[PNL_CHECK] 此Alpha可能是好的，但无法获取PNL数据，跳过处理（不隐藏）")
return True # 返回True表示不处理，不隐藏
try:
pnl = resp.json()
except Exception as e:
print(f"[PNL_CHECK] 警告: {alpha_id} JSON解析失败: {e}")
print(f"[PNL_CHECK] 响应内容前500字符: {resp.text[:500]}")
print(f"[PNL_CHECK] 状态码: {resp.status_code}")
print(f"[PNL_CHECK] 响应头: {dict(resp.headers)}")
print(f"[PNL_CHECK] 此Alpha可能是好的，但无法解析PNL数据，跳过处理（不隐藏）")
return True # 返回True表示不处理，不隐藏
records = pnl.get("records", [])
print(f"[PNL_CHECK] 获取到 {len(records)} 条PNL记录")
if not records: if not records:
print(f"[PNL_CHECK] {alpha_id} 无PNL记录, 判定为不合法")
return False return False
date_list = [] date_list = []
@@ -165,16 +241,21 @@ def get_alpha_pnl_legal(s, alpha_id: str) -> bool:
date_obj = datetime.datetime.strptime(record[0], '%Y-%m-%d').date() date_obj = datetime.datetime.strptime(record[0], '%Y-%m-%d').date()
date_list.append(date_obj) date_list.append(date_obj)
except Exception: except Exception:
print(f"[PNL_CHECK] {alpha_id} 日期解析失败, 判定为不合法")
return False return False
min_date = min(date_list) min_date = min(date_list)
max_date = max(date_list) max_date = max(date_list)
total_days = (max_date - min_date).days total_days = (max_date - min_date).days
print(f"[PNL_CHECK] 日期范围: {min_date} 到 {max_date}, 总天数: {total_days}")
if total_days < 2920: if total_days < 2920:
print(f"[PNL_CHECK] {alpha_id} 时间跨度不足8年({total_days}天), 判定为不合法")
return False return False
zero_streak_threshold = 5 * 252 zero_streak_threshold = 5 * 252
col1_zeros = [record[1] == 0 for record in records] col1_zeros = [record[1] == 0 for record in records]
print(f"[PNL_CHECK] 列1零值数量: {sum(col1_zeros)}/{len(col1_zeros)}")
def max_consecutive_zeros(arr): def max_consecutive_zeros(arr):
max_streak = current_streak = 0 max_streak = current_streak = 0
@@ -184,39 +265,61 @@ def get_alpha_pnl_legal(s, alpha_id: str) -> bool:
return max_streak return max_streak
col1_max_zero_streak = max_consecutive_zeros(col1_zeros) col1_max_zero_streak = max_consecutive_zeros(col1_zeros)
print(f"[PNL_CHECK] 列1最大连续零值: {col1_max_zero_streak}")
if col1_max_zero_streak >= zero_streak_threshold: if col1_max_zero_streak >= zero_streak_threshold:
print(f"{alpha_id} 不合法：存在连续{zero_streak_threshold // 252}年零值") print(f"[PNL_CHECK] {alpha_id} 不合法：存在连续{zero_streak_threshold // 252}年零值")
not_legal_id.append(str(alpha_id)) not_legal_id.append(str(alpha_id))
return False return False
print(f"[PNL_CHECK] 正在检查连续非零值...")
if not check_consecutive_non_zero_values(alpha_id, records): if not check_consecutive_non_zero_values(alpha_id, records):
return False return False
print(f"[PNL_CHECK] {alpha_id} 合法")
return True return True
def mute(s, alpha_id): def mute(s, alpha_id):
print(f"[MUTE] 正在隐藏Alpha: {alpha_id}")
url = "https://api.worldquantbrain.com/alphas/" + alpha_id url = "https://api.worldquantbrain.com/alphas/" + alpha_id
data = { data = {
"hidden": True "hidden": True
} }
response = s.patch(url, json=data) response = s.patch(url, json=data)
print(f"[MUTE] 隐藏 {alpha_id} 完成, 状态码: {response.status_code}")
def main(): def main():
fo_tracker, s = get_alphas('12-01', '12-31', 1, 0.5, 'USA', 1000, 'submit') print("=" * 60)
print("[MAIN] 程序启动")
print("=" * 60)
s = login()
fo_tracker, _ = get_alphas(s, '2025-09-17', '2026-12-31', 1, 0.5, 'USA', 1000, 'submit')
f_num = len(fo_tracker) f_num = len(fo_tracker)
print(f_num, "个alpha 进行pnl合法检测，请耐心等待") print(f"\n[MAIN] 共 {f_num} 个alpha 进行pnl合法检测，请耐心等待")
print(f"[MAIN] 实际列表长度: {len(fo_tracker)}")
count = 0 count = 0
print(len(fo_tracker)) total = len(fo_tracker)
for i in fo_tracker[::-1][0:]: for i in fo_tracker[::-1][0:]:
if count % 25 == 0: if count % 25 == 0:
print('===========', count, '===========') print(f'\n[MAIN] =========== 进度: {count}/{total} ({count/total*100:.1f}%) ===========')
count += 1 count += 1
if get_alpha_pnl_legal(s, i[0]) == False:
print(i[0], '已经隐藏') alpha_id = i[0]
mute(s, i[0]) print(f"\n[MAIN] 正在处理第 {count} 个alpha: {alpha_id}")
if get_alpha_pnl_legal(s, alpha_id) == False:
print(f"[MAIN] {alpha_id} 检测结果: 不合法, 执行隐藏操作")
mute(s, alpha_id)
else:
print(f"[MAIN] {alpha_id} 检测结果: 合法")
print("\n" + "=" * 60)
print(f"[MAIN] 全部处理完成, 共处理 {count} 个alpha")
print("=" * 60)
if __name__ == "__main__": if __name__ == "__main__":