feat(data): 添加个股资金流向接口并重构速率限制配置

- 新增 moneyflow 资金流向数据同步模块
- 实现接口级速率限制配置（sync_config.py）
- 更新流动性相关因子定义
- 添加非对称量化损失函数

src/scripts/register_factors.py

@@ -34,112 +34,99 @@ from src.config.settings import get_settings
 # ============================================================================
 
 FACTORS: List[Dict[str, Any]] =[
-    # ==================== 第一类：筹码集中度与离散度因子 ====================
     {
-        "name": "chip_dispersion_90",
-        "desc": "90%筹码离散度：衡量市场90%持仓筹码的宽度，值越小表示筹码越高度集中（单峰密集），往往是洗盘结束的前兆",
-        "dsl": "(cost_95pct - cost_5pct) / (cost_95pct + cost_5pct)",
+        "name": "amihud_illiq_20",
+        "desc": "Amihud非流动性指标(20日)：绝对收益率/成交额。该值越大，说明少量的资金就能砸盘或拉升，流动性极差，隐含极高的风险补偿预期",
+        "dsl": "ts_mean(abs(pct_chg) / (amount + 1), 20)",
     },
     {
-        "name": "chip_dispersion_70",
-        "desc": "70%核心筹码离散度：剔除极端的底部死筹和高位套牢盘，反映中间70%主流资金的成本集中度",
-        "dsl": "(cost_85pct - cost_15pct) / (cost_85pct + cost_15pct)",
+        "name": "amivest_liq_20",
+        "desc": "Amivest流动性指标(20日)：Amihud的倒数变种，衡量推动1%价格变化需要的资金量。值越低，流动性溢价越高",
+        "dsl": "ts_mean(amount / (abs(pct_chg) + 0.001), 20)",
     },
     {
-        "name": "cost_skewness",
-        "desc": "筹码偏度：反映筹码分布的不对称性。大于1说明上方套牢盘拖尾严重，小于1说明下方获利盘雄厚",
-        "dsl": "(cost_95pct - cost_50pct) / (cost_50pct - cost_5pct)",
+        "name": "atr_price_impact",
+        "desc": "真实波幅价格冲击(20日)：以ATR(真实波幅)代替绝对收益，剔除跳空影响后的真实交易冲击",
+        "dsl": "ts_atr(high, low, close, 20) / close / (ts_mean(amount, 20) + 1)",
     },
     {
-        "name": "dispersion_change_20",
-        "desc": "筹码集中度近期变化率：过去20天筹码宽度的变化比例，持续下降说明主力正在暗中吸筹",
-        "dsl": "ts_pct_change((cost_95pct - cost_5pct) / cost_50pct, 20)",
+        "name": "hui_heubel_ratio",
+        "desc": "Hui-Heubel流动性比率：利用高低价区间占均价的比例，除以成交额占比，捕捉阶段性区间的深度非流动性",
+        "dsl": "((ts_max(high, 20) - ts_min(low, 20)) / ts_min(low, 20)) / (ts_mean(amount, 20) + 1)",
     },
 
-    # ==================== 第二类：筹码相对位置与压力/支撑因子 ====================
+    # --- 维度 2: 交易摩擦与隐形价差类 (Spread Proxies) ---
+    # 逻辑：A股没有Tick级买卖价差数据，通常用日线的高低价或自协方差来推导隐形买卖价差。价差越大，交易成本越高，持有需高收益补偿。
     {
-        "name": "price_to_avg_cost",
-        "desc": "整体浮盈比例：当前价格相对加权平均成本的溢价率。高溢价有均值回归压力，负溢价代表超跌",
-        "dsl": "(close - weight_avg) / weight_avg",
+        "name": "corwin_schultz_spread_20",
+        "desc": "Corwin-Schultz买卖价差代理：利用每日(最高价-最低价)/收盘价的均值衡量交易摩擦，摩擦越大的股票往往带有小盘股超额收益",
+        "dsl": "ts_mean((high - low) / close, 20)",
     },
     {
-        "name": "price_to_median_cost",
-        "desc": "中位数成本偏离度：价格相对于50%分位点（绝对半数人持仓价）的偏离，向上突破通常是右侧买点",
-        "dsl": "(close - cost_50pct) / cost_50pct",
+        "name": "roll_spread_20",
+        "desc": "Roll买卖价差代理(20日)：经典微观结构模型，计算相邻两日收益率的负协方差的平方根，反映做市商的隐形报价跳跃",
+        "dsl": "sqrt(max_(-ts_cov(change, ts_delay(change, 1), 20), 0))",
     },
     {
-        "name": "mean_median_dev",
-        "desc": "均值中位数背离：均值显著大于中位数说明高位筹码堆积，上涨阻力大",
-        "dsl": "(weight_avg - cost_50pct) / cost_50pct",
+        "name": "gibbs_effective_spread",
+        "desc": "有效价差代理：使用日内振幅减去隔夜跳空幅度后的纯日内摩擦成本",
+        "dsl": "ts_mean(((high - low) - abs(open - ts_delay(close, 1))) / close, 20)",
     },
     {
-        "name": "trap_pressure",
-        "desc": "高位套牢盘压力指数：当前价格距离上方95%高位套牢成本的距离。距离越大，反弹的真空期阻力越小",
-        "dsl": "(cost_95pct - close) / close",
-    },
-    {
-        "name": "bottom_profit",
-        "desc": "底部支撑底仓利润率：当前价格距离底部5%筹码的利润空间。暴跌时大于0说明底仓极度稳定",
-        "dsl": "(close - cost_5pct) / cost_5pct",
-    },
-    {
-        "name": "history_position",
-        "desc": "历史区间分位点：当前价格在个股上市以来历史最高点和最低点之间的相对位置",
-        "dsl": "(close - his_low) / (his_high - his_low)",
+        "name": "overnight_illiq_20",
+        "desc": "隔夜非流动性：开盘价相对于昨日收盘的跳空幅度，除以昨日成交额。隔夜极易跳空的股票具有夜间流动性溢价",
+        "dsl": "ts_mean(abs(open - ts_delay(close, 1)) / (ts_delay(amount, 1) + 1), 20)",
     },
 
-    # ==================== 第三类：胜率相关的动量与反转因子 ====================
+    # --- 维度 3: 流动性风险与枯竭类 (Liquidity Risk & Depletion) ---
+    # 逻辑：投资者不仅讨厌“平时流动性差”，更讨厌“流动性极其不稳定”。
     {
-        "name": "winner_rate_surge_5",
-        "desc": "获利盘短期爆发力：胜率在过去5天内的变化值，急剧上升是极强的动量做多信号",
-        "dsl": "ts_delta(winner_rate, 5)",
+        "name": "illiq_volatility_20",
+        "desc": "Amihud非流动性的波动率(20日)：衡量价格冲击的不确定性（即流动性风险本身）。波动越大的股越容易踩踏",
+        "dsl": "ts_std(abs(pct_chg) / (amount + 1), 20)",
     },
     {
-        "name": "winner_rate_cs_rank",
-        "desc": "获利盘高位反转信号：全市场胜率截面排名，极端高胜率往往面临多头踩踏的获利了结压力（反转因子）",
-        "dsl": "cs_rank(winner_rate)",
+        "name": "amount_cv_20",
+        "desc": "成交额变异系数(20日)：成交额的波动率除以均值。反映股票被市场关注的极度不稳定性",
+        "dsl": "ts_std(amount, 20) / (ts_mean(amount, 20) + 1)",
     },
     {
-        "name": "winner_rate_dev_20",
-        "desc": "获利盘均线偏离：当前胜率相对过去20天平均胜率的偏离程度，捕捉筹码情绪的边际超买/超卖",
-        "dsl": "winner_rate - ts_mean(winner_rate, 20)",
+        "name": "amount_skewness_20",
+        "desc": "成交额偏度(20日)：正偏度意味着平时成交极度清淡，偶尔脉冲式放量。这种“死鱼”状态是经典的非流动性特征",
+        "dsl": "ts_skew(amount, 20)",
     },
     {
-        "name": "winner_rate_volatility",
-        "desc": "获利盘波动率：过去20天胜率的波动率。波动率低且胜率高说明单边上涨极度稳健",
-        "dsl": "ts_std(winner_rate, 20)",
+        "name": "low_vol_days_20",
+        "desc": "流动性枯竭天数：过去20天内，成交额低于长期(60日)均值一半的极端缩量天数",
+        "dsl": "ts_count(amount < ts_mean(amount, 60) * 0.5, 20)",
     },
     {
-        "name": "smart_money_accumulation",
-        "desc": "潜在主力吸筹隐蔽指标：胜率的60日时序分位数减去价格的时序分位数。值越大说明‘价平而获利盘增’，底部吸筹明显",
-        "dsl": "ts_rank(winner_rate, 60) - ts_rank(close, 60)",
+        "name": "liquidity_shock_momentum",
+        "desc": "流动性恶化动量：近期(5日)非流动性相较于长期的变化。正值代表流动性正在迅速干涸",
+        "dsl": "ts_mean(abs(pct_chg) / (amount + 1), 5) - ts_mean(abs(pct_chg) / (amount + 1), 20)",
     },
 
-    # ==================== 第四类：量价与筹码交乘因子 ====================
+    # --- 维度 4: 非对称流动性类 (Asymmetric / Downside Illiquidity) ---
+    # 逻辑：买入时没问题，但“大跌时卖不出去（流动性丧失）”是最致命的风险，这部分风险被定价的权重最高。
     {
-        "name": "winner_vol_corr_20",
-        "desc": "放量突破筹码密集区：胜率与成交量的20日时序相关性，正相关说明增量资金在主动解套上方筹码",
-        "dsl": "ts_corr(winner_rate, vol, 20)",
+        "name": "downside_illiq_20",
+        "desc": "下行非流动性：仅在股价下跌日计算的价格冲击。捕捉‘跌时没人接盘’的极端流动性折价",
+        "dsl": "ts_sum(where(change < 0, abs(change) / (amount + 1), 0), 20) / (ts_count(change < 0, 20) + 1)",
     },
     {
-        "name": "cost_base_momentum",
-        "desc": "成本重心上移换手率：过去20天加权平均成本的变化幅度，快速上移说明高位换手极其充分",
-        "dsl": "ts_pct_change(weight_avg, 20)",
+        "name": "upside_illiq_20",
+        "desc": "上行非流动性：仅在股价上涨日计算的价格冲击。捕捉‘涨时抛压极轻’的状态",
+        "dsl": "ts_sum(where(change > 0, abs(change) / (amount + 1), 0), 20) / (ts_count(change > 0, 20) + 1)",
     },
     {
-        "name": "bottom_cost_stability",
-        "desc": "底部坚如磐石因子：底部5%成本的60天波动率相对于中位数的比值，波动越小说明死筹越稳固",
-        "dsl": "ts_std(cost_5pct, 60) / cost_50pct",
+        "name": "illiq_asymmetry_20",
+        "desc": "非对称流动性比率：下行流动性恶化程度除以加上行流动性恶化程度。该值远大于1说明下跌时发生严重踩踏，股票本身必须折价（预期收益率补偿极高）",
+        "dsl": "(ts_sum(where(change < 0, abs(change)/(amount+1), 0), 20) + 1) / (ts_sum(where(change > 0, abs(change)/(amount+1), 0), 20) + 1)",
     },
     {
-        "name": "pivot_reversion",
-        "desc": "盈亏分界线乖离修复：价格偏离50%分位点除以近20日价格标准差，用于寻找超跌后的均值回归买点",
-        "dsl": "(close - cost_50pct) / ts_std(close, 20)",
-    },
-    {
-        "name": "chip_transition",
-        "desc": "强弱筹码切换度：上方厚度与下方厚度差值的20日变化量。由正变负说明筹码彻底完成了自上而下的转移（洗盘结束）",
-        "dsl": "ts_delta((cost_85pct - cost_50pct) - (cost_50pct - cost_15pct), 20)",
+        "name": "pastor_stambaugh_proxy",
+        "desc": "Pastor-Stambaugh流动性贝塔代理：收益率与滞后一期带有符号(涨跌)成交额的相关性。反映市场由于流动性短缺导致的价格过度反转现象",
+        "dsl": "ts_corr(change, sign(ts_delay(change, 1)) * ts_delay(amount, 1), 20)",
     },
 ]