import time import httpx import datetime def login(): username = "jack0210_@hotmail.com" password = "!QAZ2wsx+0913" timeout = httpx.Timeout(60.0, connect=10.0) limits = httpx.Limits(max_keepalive_connections=20, max_connections=100) transport = httpx.HTTPTransport(retries=3) s = httpx.Client( auth=(username, password), timeout=timeout, limits=limits, transport=transport ) print("[INFO] 正在登录...") response = s.post('https://api.worldquantbrain.com/authentication') print(f"[INFO] 登录响应: {response.content}") return s def wait_get(s, url: str, max_retries: int = 10): print(f"[WAIT_GET] 开始请求: {url[:80]}...") retries = 0 while retries < max_retries: print(f"[WAIT_GET] 第 {retries + 1} 次尝试...") simulation_progress = s.get(url) 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 else: # 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 # 429 - Rate Limit 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 def get_alphas(s, start_date, end_date, sharpe_th, fitness_th, region, alpha_num, usage): 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 = [] count = 0 for i in range(0, alpha_num, 100): print(f"[GET_ALPHAS] 处理偏移量: {i}") url_e = "https://api.worldquantbrain.com/users/self/alphas?limit=100&offset=%d" % (i) \ + "&status=UNSUBMITTED%1FIS_FAIL&dateCreated%3E=" + start_date \ + "T00:00:00-04:00&dateCreated%3C=" + end_date \ + "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" url_c = "https://api.worldquantbrain.com/users/self/alphas?limit=100&offset=%d" % (i) \ + "&status=UNSUBMITTED%1FIS_FAIL&dateCreated%3E=" + start_date \ + "T00:00:00-04:00&dateCreated%3C=" + end_date \ + "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" urls = [url_e] if usage != "submit": urls.append(url_c) for url in urls: print(f"[GET_ALPHAS] 请求URL: {url[:100]}...") response = s.get(url) print(f"[GET_ALPHAS] 响应状态码: {response.status_code}") try: alpha_list = response.json()["results"] print(f"[GET_ALPHAS] 获取到 {len(alpha_list)} 个alpha") for j in range(len(alpha_list)): alpha_id = alpha_list[j]["id"] name = alpha_list[j]["name"] dateCreated = alpha_list[j]["dateCreated"] sharpe = alpha_list[j]["is"]["sharpe"] fitness = alpha_list[j]["is"]["fitness"] turnover = alpha_list[j]["is"]["turnover"] margin = alpha_list[j]["is"]["margin"] longCount = alpha_list[j]["is"]["longCount"] shortCount = alpha_list[j]["is"]["shortCount"] decay = alpha_list[j]["settings"]["decay"] exp = alpha_list[j]['regular']['code'] count += 1 if (longCount + shortCount) > 100: if sharpe < -sharpe_th: exp = "-%s" % exp rec = [alpha_id, exp, sharpe, turnover, fitness, margin, dateCreated, decay] print(f"[GET_ALPHAS] 符合条件的alpha: {rec}") if turnover > 0.7: rec.append(decay * 4) elif turnover > 0.6: rec.append(decay * 3 + 3) elif turnover > 0.5: rec.append(decay * 3) elif turnover > 0.4: rec.append(decay * 2) elif turnover > 0.35: rec.append(decay + 4) elif turnover > 0.3: rec.append(decay + 2) output.append(rec) except Exception as e: print(f"[GET_ALPHAS] 处理第 {i} 个时出错: {e}, 重新登录...") s = login() print(f"[GET_ALPHAS] 总共获取 {count} 个alpha, 符合条件的有 {len(output)} 个") return output, s 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: print(f"[CHECK_NON_ZERO] 数据不足{required_streak}条, 跳过检查") return True def check_column(column_data): if len(column_data) < required_streak: return True current_streak_count = 0 current_streak_value = None for value in column_data: if value != 0: if value == current_streak_value: current_streak_count += 1 else: current_streak_value = value current_streak_count = 1 else: current_streak_value = None current_streak_count = 0 if current_streak_count >= required_streak: return False return True column1_values = [] column2_values = [] for row in data: if len(row) >= 3: column1_values.append(row[1]) 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: is_col1_all_zeros = all(v == 0 for v in column1_values) is_col2_all_zeros = all(v == 0 for v in column2_values) if is_col1_all_zeros or is_col2_all_zeros: print(f"[CHECK_NON_ZERO] {alpha_id} 不合法: 存在全零列") return False if not check_column(column1_values): print(f"[CHECK_NON_ZERO] {alpha_id} 不合法: 列1存在连续非零值") return False if not check_column(column2_values): print(f"[CHECK_NON_ZERO] {alpha_id} 不合法: 列2存在连续非零值") return False print(f"[CHECK_NON_ZERO] {alpha_id} 通过检查") return True 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 = [] print(f"[PNL_CHECK] 正在获取PNL数据...") 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: print(f"[PNL_CHECK] {alpha_id} 无PNL记录, 判定为不合法") return False date_list = [] for record in records: try: date_obj = datetime.datetime.strptime(record[0], '%Y-%m-%d').date() date_list.append(date_obj) except Exception: print(f"[PNL_CHECK] {alpha_id} 日期解析失败, 判定为不合法") return False min_date = min(date_list) max_date = max(date_list) 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: 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 zero_streak_threshold = 5 * 252 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): max_streak = current_streak = 0 for val in arr: current_streak = current_streak + 1 if val else 0 max_streak = max(max_streak, current_streak) return max_streak 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: 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)) 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): return False print(f"[PNL_CHECK] {alpha_id} 合法") return True def mute(s, alpha_id): print(f"[MUTE] 正在隐藏Alpha: {alpha_id}") url = "https://api.worldquantbrain.com/alphas/" + alpha_id data = { "hidden": True } response = s.patch(url, json=data) print(f"[MUTE] 隐藏 {alpha_id} 完成, 状态码: {response.status_code}") def main(): 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) 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 total = len(fo_tracker) for i in fo_tracker[::-1][0:]: if count % 25 == 0: print(f'\n[MAIN] =========== 进度: {count}/{total} ({count/total*100:.1f}%) ===========') count += 1 alpha_id = 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__": main()