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31
AGENTS.md
31
AGENTS.md
@@ -937,6 +937,37 @@ LSP 报错:Syntax error on line 45
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python tests/test_sync.py
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```
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### 因子编写规范
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**⚠️ 强制要求:编写因子时,优先使用字符串表达式而非 DSL 表达式。**
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1. **推荐方式(字符串表达式)**
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```python
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from src.factors import FactorEngine
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engine = FactorEngine()
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engine.add_factor("ma20", "ts_mean(close, 20)")
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engine.add_factor("alpha", "cs_rank(ts_mean(close, 5) - ts_mean(close, 20))")
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```
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2. **不推荐方式(DSL 表达式)**
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```python
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from src.factors.api import close, ts_mean, cs_rank
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engine.register("ma20", ts_mean(close, 20)) # 不推荐
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```
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3. **原因说明**
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- 字符串表达式更易于序列化存储到因子元数据(`factors.jsonl`)
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- 字符串表达式支持从元数据动态加载和复用
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- 字符串表达式便于在配置文件中定义和维护
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- 与 `src/scripts/register_factors.py` 批量注册脚本兼容
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4. **使用场景**
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- ✅ 在 `register_factors.py` 的 `FACTORS` 列表中定义因子
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- ✅ 动态添加因子到 FactorEngine
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- ✅ 从因子元数据查询并注册因子
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### Emoji 表情禁用规则
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**⚠️ 强制要求:代码和测试文件中禁止出现 emoji 表情。**
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@@ -3,7 +3,7 @@
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本模块实现 AST 遍历器模式,用于从 DSL 表达式中提取依赖的符号。
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"""
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from typing import Set
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from typing import Set, Optional
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from src.factors.dsl import Node, Symbol, BinaryOpNode, UnaryOpNode, FunctionNode
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@@ -24,9 +24,14 @@ class DependencyExtractor:
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{'close', 'pe_ratio'}
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"""
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def __init__(self) -> None:
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"""初始化依赖提取器。"""
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def __init__(self, ignore_symbols: Optional[Set[str]] = None) -> None:
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"""初始化依赖提取器。
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Args:
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ignore_symbols: 需要忽略的符号集合(如已注册的因子名)
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"""
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self.dependencies: Set[str] = set()
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self.ignore_symbols: Set[str] = ignore_symbols or set()
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def visit(self, node: Node) -> None:
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"""访问节点,根据节点类型分发到具体处理方法。
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@@ -47,10 +52,14 @@ class DependencyExtractor:
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def _visit_symbol(self, node: Symbol) -> None:
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"""访问 Symbol 节点,提取符号名称。
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排除临时因子(以 __tmp_ 开头的符号)和已在免疫名单中的因子。
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Args:
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node: 符号节点
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"""
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self.dependencies.add(node.name)
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# 排除临时因子引用 和 已在免疫名单中的因子
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if not node.name.startswith("__tmp_") and node.name not in self.ignore_symbols:
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self.dependencies.add(node.name)
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def _visit_binary_op(self, node: BinaryOpNode) -> None:
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"""访问 BinaryOpNode 节点,递归遍历左右子节点。
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@@ -92,13 +101,16 @@ class DependencyExtractor:
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return self.dependencies.copy()
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@classmethod
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def extract_dependencies(cls, node: Node) -> Set[str]:
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def extract_dependencies(
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cls, node: Node, ignore_symbols: Optional[Set[str]] = None
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) -> Set[str]:
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"""类方法 - 从 AST 节点中提取所有依赖的符号名称。
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这是一个便捷方法,无需手动实例化 DependencyExtractor。
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Args:
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node: 表达式树的根节点
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ignore_symbols: 需要忽略的符号集合(如已注册的因子名)
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Returns:
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依赖的符号名称集合
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@@ -112,17 +124,20 @@ class DependencyExtractor:
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>>> print(deps)
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{'close', 'open'}
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"""
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extractor = cls()
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extractor = cls(ignore_symbols=ignore_symbols)
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return extractor.extract(node)
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def extract_dependencies(node: Node) -> Set[str]:
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def extract_dependencies(
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node: Node, ignore_symbols: Optional[Set[str]] = None
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) -> Set[str]:
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"""单例方法 - 从 AST 节点中提取所有依赖的符号名称。
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这是 DependencyExtractor.extract_dependencies 的便捷包装函数。
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Args:
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node: 表达式树的根节点
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ignore_symbols: 需要忽略的符号集合(如已注册的因子名)
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Returns:
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依赖的符号名称集合
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@@ -136,7 +151,7 @@ def extract_dependencies(node: Node) -> Set[str]:
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>>> print(deps)
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{'close', 'pe_ratio'}
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"""
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return DependencyExtractor.extract_dependencies(node)
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return DependencyExtractor.extract_dependencies(node, ignore_symbols=ignore_symbols)
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if __name__ == "__main__":
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@@ -115,6 +115,24 @@ class Node(ABC):
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"""大于等于: self >= other"""
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return BinaryOpNode(">=", self, _ensure_node(other))
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# ==================== 位运算符重载(用于逻辑运算) ====================
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def __and__(self, other: Any) -> BinaryOpNode:
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"""逻辑与: self & other"""
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return BinaryOpNode("&", self, _ensure_node(other))
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def __rand__(self, other: Any) -> BinaryOpNode:
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"""右逻辑与: other & self"""
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return BinaryOpNode("&", _ensure_node(other), self)
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def __or__(self, other: Any) -> BinaryOpNode:
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"""逻辑或: self | other"""
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return BinaryOpNode("|", self, _ensure_node(other))
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def __ror__(self, other: Any) -> BinaryOpNode:
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"""右逻辑或: other | self"""
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return BinaryOpNode("|", _ensure_node(other), self)
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# ==================== 抽象方法 ====================
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@abstractmethod
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238
src/factors/engine/ast_optimizer.py
Normal file
238
src/factors/engine/ast_optimizer.py
Normal file
@@ -0,0 +1,238 @@
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"""AST 优化器 - 表达式拍平。
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本模块实现将嵌套的窗口函数表达式自动提取为中间临时因子,
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解决多维窗口函数(over)嵌套导致计算为空的问题。
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核心思想:
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通过 AST 变换,将嵌套在窗口函数内的窗口函数表达式提取出来,
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作为独立的临时因子先行计算,然后主表达式引用这些临时因子。
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示例:
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原始表达式: cs_rank(ts_delay(close, 1))
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拍平后:
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- 临时因子: __tmp_0 = ts_delay(close, 1)
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- 主表达式: cs_rank(__tmp_0)
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"""
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import threading
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from typing import Dict, Tuple
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from src.factors.dsl import (
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BinaryOpNode,
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Constant,
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FunctionNode,
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Node,
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Symbol,
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UnaryOpNode,
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)
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# 模块级全局计数器,用于生成唯一的临时因子名称
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_global_counter: int = 0
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_counter_lock = threading.Lock()
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def _get_next_counter() -> int:
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"""获取下一个全局计数器值。
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Returns:
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递增后的全局计数器值
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"""
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global _global_counter
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with _counter_lock:
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_global_counter += 1
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return _global_counter
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class ExpressionFlattener:
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"""表达式拍平器。
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遍历 AST 并自动提取嵌套的窗口函数为独立临时因子。
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Attributes:
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_extracted_nodes: 存储已提取的临时因子字典
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"""
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def __init__(self) -> None:
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"""初始化拍平器。"""
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self._extracted_nodes: Dict[str, Node] = {}
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def _generate_temp_name(self) -> str:
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"""生成唯一的临时因子名称。
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使用模块级全局计数器确保跨因子注册时的唯一性。
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Returns:
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格式为 "__tmp_X" 的临时名称,其中 X 是全局递增数字
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"""
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return f"__tmp_{_get_next_counter()}"
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def _is_window_function(self, func_name: str) -> bool:
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"""判断是否为窗口函数。
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窗口函数以 "ts_"(时序)或 "cs_"(截面)开头。
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Args:
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func_name: 函数名称
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Returns:
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是否是窗口函数
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"""
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return func_name.startswith("ts_") or func_name.startswith("cs_")
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def flatten(self, node: Node) -> Tuple[Node, Dict[str, Node]]:
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"""拍平表达式。
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遍历 AST,将嵌套的窗口函数提取为临时因子。
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Args:
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node: 原始表达式根节点
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Returns:
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Tuple[拍平后的主表达式节点, 临时因子字典]
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临时因子字典: {临时名称 -> 被提取的节点}
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Example:
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>>> flattener = ExpressionFlattener()
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>>> from src.factors.dsl import Symbol, FunctionNode
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>>> close = Symbol("close")
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>>> expr = FunctionNode("cs_rank", FunctionNode("ts_delay", close, 1))
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>>> flat_expr, tmp_factors = flattener.flatten(expr)
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>>> # flat_expr = cs_rank(__tmp_0)
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>>> # tmp_factors = {"__tmp_0": ts_delay(close, 1)}
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"""
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# 重置状态(只重置提取的节点字典,计数器保持全局递增)
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self._extracted_nodes = {}
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# 从根节点开始遍历,初始状态为不在窗口函数内部
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new_node = self._flatten_recursive(node, inside_window=False)
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return new_node, self._extracted_nodes.copy()
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def _flatten_recursive(self, node: Node, inside_window: bool) -> Node:
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"""递归拍平节点。
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Args:
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node: 当前处理的节点
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inside_window: 当前是否处于窗口函数内部
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Returns:
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处理后的节点(可能是原节点或替换为 Symbol)
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"""
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# Symbol 和 Constant 是叶子节点,直接返回
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if isinstance(node, Symbol):
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return node
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if isinstance(node, Constant):
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return node
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# 处理二元运算节点
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if isinstance(node, BinaryOpNode):
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return self._flatten_binary_op(node, inside_window)
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# 处理一元运算节点
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if isinstance(node, UnaryOpNode):
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return self._flatten_unary_op(node, inside_window)
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# 处理函数调用节点
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if isinstance(node, FunctionNode):
|
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return self._flatten_function(node, inside_window)
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# 未知节点类型,直接返回
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return node
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def _flatten_binary_op(self, node: BinaryOpNode, inside_window: bool) -> Node:
|
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"""拍平二元运算节点。
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Args:
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node: 二元运算节点
|
||||
inside_window: 当前是否处于窗口函数内部
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||||
|
||||
Returns:
|
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处理后的节点
|
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"""
|
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# 递归处理左右子节点
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new_left = self._flatten_recursive(node.left, inside_window)
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new_right = self._flatten_recursive(node.right, inside_window)
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# 如果子节点没有变化,返回原节点
|
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if new_left is node.left and new_right is node.right:
|
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return node
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# 创建新的二元运算节点
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return BinaryOpNode(node.op, new_left, new_right)
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def _flatten_unary_op(self, node: UnaryOpNode, inside_window: bool) -> Node:
|
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"""拍平一元运算节点。
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|
||||
Args:
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||||
node: 一元运算节点
|
||||
inside_window: 当前是否处于窗口函数内部
|
||||
|
||||
Returns:
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处理后的节点
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"""
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# 递归处理操作数
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new_operand = self._flatten_recursive(node.operand, inside_window)
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# 如果操作数没有变化,返回原节点
|
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if new_operand is node.operand:
|
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return node
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|
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# 创建新的一元运算节点
|
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return UnaryOpNode(node.op, new_operand)
|
||||
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||||
def _flatten_function(self, node: FunctionNode, inside_window: bool) -> Node:
|
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"""拍平函数调用节点。
|
||||
|
||||
修正为后序遍历(Bottom-Up):先递归拍平参数,再决定是否提取当前节点。
|
||||
确保深层嵌套(如 3层以上)也能被彻底逐层拆解。
|
||||
|
||||
Args:
|
||||
node: 函数调用节点
|
||||
inside_window: 当前是否处于窗口函数内部
|
||||
|
||||
Returns:
|
||||
处理后的节点
|
||||
"""
|
||||
is_window = self._is_window_function(node.func_name)
|
||||
next_inside_window = inside_window or is_window
|
||||
|
||||
# 1. 优先递归处理所有参数
|
||||
new_args = []
|
||||
has_change = False
|
||||
for arg in node.args:
|
||||
new_arg = self._flatten_recursive(arg, next_inside_window)
|
||||
new_args.append(new_arg)
|
||||
if new_arg is not arg:
|
||||
has_change = True
|
||||
|
||||
# 2. 只有当参数发生变化时,才创建新的当前节点
|
||||
current_node = FunctionNode(node.func_name, *new_args) if has_change else node
|
||||
|
||||
# 3. 判断是否需要提取(此时子节点肯定已经被彻底拍平了)
|
||||
if inside_window and is_window:
|
||||
temp_name = self._generate_temp_name()
|
||||
self._extracted_nodes[temp_name] = current_node
|
||||
return Symbol(temp_name)
|
||||
|
||||
return current_node
|
||||
|
||||
|
||||
def flatten_expression(node: Node) -> Tuple[Node, Dict[str, Node]]:
|
||||
"""便捷函数 - 拍平表达式。
|
||||
|
||||
Args:
|
||||
node: 表达式树的根节点
|
||||
|
||||
Returns:
|
||||
Tuple[拍平后的主表达式节点, 临时因子字典]
|
||||
|
||||
Example:
|
||||
>>> from src.factors.dsl import Symbol, FunctionNode
|
||||
>>> close = Symbol("close")
|
||||
>>> expr = FunctionNode("cs_rank", FunctionNode("ts_delay", close, 1))
|
||||
>>> flat_expr, tmp_factors = flatten_expression(expr)
|
||||
"""
|
||||
flattener = ExpressionFlattener()
|
||||
return flattener.flatten(node)
|
||||
@@ -1,10 +1,12 @@
|
||||
"""计算引擎。
|
||||
|
||||
执行并行运算,负责将执行计划应用到数据上。
|
||||
|
||||
利用 Polars 底层 Rust 引擎的原生并行能力,通过 BFS 分层执行策略
|
||||
避免 Python 层面的多进程/多线程开销。
|
||||
"""
|
||||
|
||||
from concurrent.futures import ProcessPoolExecutor, ThreadPoolExecutor
|
||||
from typing import Any, Dict, List, Optional, Set, Union
|
||||
from typing import Dict, List, Set
|
||||
|
||||
import polars as pl
|
||||
|
||||
@@ -14,33 +16,25 @@ from src.factors.engine.data_spec import ExecutionPlan
|
||||
class ComputeEngine:
|
||||
"""计算引擎 - 执行并行运算。
|
||||
|
||||
负责将执行计划应用到数据上,支持并行计算。
|
||||
负责将执行计划应用到数据上,利用 Polars 底层 Rust 引擎的原生并行能力。
|
||||
|
||||
Attributes:
|
||||
max_workers: 最大并行工作线程数
|
||||
use_processes: 是否使用进程池(CPU 密集型任务)
|
||||
采用 BFS 分层执行策略:
|
||||
1. 构建依赖图,识别各计划间的依赖关系
|
||||
2. 按拓扑排序分层,每层包含互不依赖的计划
|
||||
3. 将每层计划打包为表达式列表,通过单次 with_columns 提交
|
||||
4. Polars 自动在所有 CPU 核心上并行计算,零拷贝内存
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
max_workers: int = 4,
|
||||
use_processes: bool = False,
|
||||
) -> None:
|
||||
"""初始化计算引擎。
|
||||
|
||||
Args:
|
||||
max_workers: 最大并行工作线程数
|
||||
use_processes: 是否使用进程池代替线程池
|
||||
"""
|
||||
self.max_workers = max_workers
|
||||
self.use_processes = use_processes
|
||||
def __init__(self) -> None:
|
||||
"""初始化计算引擎。"""
|
||||
pass
|
||||
|
||||
def execute(
|
||||
self,
|
||||
plan: ExecutionPlan,
|
||||
data: pl.DataFrame,
|
||||
) -> pl.DataFrame:
|
||||
"""执行计算计划。
|
||||
"""执行单个计算计划。
|
||||
|
||||
Args:
|
||||
plan: 执行计划
|
||||
@@ -55,16 +49,14 @@ class ComputeEngine:
|
||||
raise ValueError(f"数据缺少必要的字段: {missing_cols}")
|
||||
|
||||
# 执行计算
|
||||
result = data.with_columns([plan.polars_expr.alias(plan.output_name)])
|
||||
|
||||
return result
|
||||
return data.with_columns([plan.polars_expr.alias(plan.output_name)])
|
||||
|
||||
def execute_batch(
|
||||
self,
|
||||
plans: List[ExecutionPlan],
|
||||
data: pl.DataFrame,
|
||||
) -> pl.DataFrame:
|
||||
"""批量执行多个计算计划。
|
||||
"""顺序批量执行多个计算计划。
|
||||
|
||||
Args:
|
||||
plans: 执行计划列表
|
||||
@@ -74,10 +66,8 @@ class ComputeEngine:
|
||||
包含所有因子结果的 DataFrame
|
||||
"""
|
||||
result = data
|
||||
|
||||
for plan in plans:
|
||||
result = self.execute(plan, result)
|
||||
|
||||
return result
|
||||
|
||||
def execute_parallel(
|
||||
@@ -85,7 +75,11 @@ class ComputeEngine:
|
||||
plans: List[ExecutionPlan],
|
||||
data: pl.DataFrame,
|
||||
) -> pl.DataFrame:
|
||||
"""并行执行多个计算计划。
|
||||
"""分层并行执行计算计划(利用 Polars 原生并发优化)。
|
||||
|
||||
抛弃 Python 的多进程/多线程池,采用计算图拓扑分层(BFS DAG)。
|
||||
将每一层互不依赖的表达式列表打包,通过单次 with_columns 交给 Polars,
|
||||
由底层 Rust 引擎自动调度并行计算,实现零拷贝性能最大化。
|
||||
|
||||
Args:
|
||||
plans: 执行计划列表
|
||||
@@ -93,63 +87,70 @@ class ComputeEngine:
|
||||
|
||||
Returns:
|
||||
包含所有因子结果的 DataFrame
|
||||
|
||||
Raises:
|
||||
RuntimeError: 当存在依赖环或缺少基础依赖字段时
|
||||
"""
|
||||
# 检查计划间依赖
|
||||
independent_plans = []
|
||||
dependent_plans = []
|
||||
available_cols = set(data.columns)
|
||||
if not plans:
|
||||
return data
|
||||
|
||||
for plan in plans:
|
||||
if plan.dependencies <= available_cols:
|
||||
independent_plans.append(plan)
|
||||
result = data
|
||||
available_cols: Set[str] = set(result.columns)
|
||||
|
||||
# 复制一份计划列表用于迭代
|
||||
remaining_plans = plans.copy()
|
||||
|
||||
while remaining_plans:
|
||||
# 找出当前可以执行的所有独立计划(即依赖的所有列都已就绪)
|
||||
current_layer: List[ExecutionPlan] = []
|
||||
next_remaining: List[ExecutionPlan] = []
|
||||
|
||||
for plan in remaining_plans:
|
||||
if plan.dependencies <= available_cols:
|
||||
current_layer.append(plan)
|
||||
else:
|
||||
next_remaining.append(plan)
|
||||
|
||||
# 安全兜底:如果一轮遍历后没找到任何可执行计划,说明存在依赖环或数据缺失
|
||||
if not current_layer:
|
||||
missing = remaining_plans[0].dependencies - available_cols
|
||||
raise RuntimeError(
|
||||
f"计算发生死锁或缺少基础依赖字段!\n"
|
||||
f"因子 '{remaining_plans[0].output_name}' 缺少: {missing}"
|
||||
)
|
||||
|
||||
# 核心优化:利用 Polars 内部 Rust 级多线程引擎执行当前层
|
||||
exprs = [plan.polars_expr.alias(plan.output_name) for plan in current_layer]
|
||||
result = result.with_columns(exprs)
|
||||
|
||||
# 更新已就绪字段集合,为计算下一层做准备
|
||||
for plan in current_layer:
|
||||
available_cols.add(plan.output_name)
|
||||
else:
|
||||
dependent_plans.append(plan)
|
||||
|
||||
# 并行执行独立计划
|
||||
if independent_plans:
|
||||
ExecutorClass = (
|
||||
ProcessPoolExecutor if self.use_processes else ThreadPoolExecutor
|
||||
)
|
||||
remaining_plans = next_remaining
|
||||
|
||||
with ExecutorClass(max_workers=self.max_workers) as executor:
|
||||
futures = {
|
||||
executor.submit(self._execute_single, plan, data): plan
|
||||
for plan in independent_plans
|
||||
}
|
||||
return result
|
||||
|
||||
results = []
|
||||
for future in futures:
|
||||
plan = futures[future]
|
||||
try:
|
||||
result_col = future.result()
|
||||
results.append((plan.output_name, result_col))
|
||||
except Exception as e:
|
||||
raise RuntimeError(f"计算因子 {plan.output_name} 失败: {e}")
|
||||
|
||||
# 合并结果
|
||||
for name, series in results:
|
||||
data = data.with_columns([series.alias(name)])
|
||||
|
||||
# 顺序执行依赖计划
|
||||
for plan in dependent_plans:
|
||||
data = self.execute(plan, data)
|
||||
|
||||
return data
|
||||
|
||||
def _execute_single(
|
||||
def compute(
|
||||
self,
|
||||
plan: ExecutionPlan,
|
||||
plans: List[ExecutionPlan],
|
||||
data: pl.DataFrame,
|
||||
) -> pl.Series:
|
||||
"""执行单个计划并返回结果列。
|
||||
parallel: bool = True,
|
||||
) -> pl.DataFrame:
|
||||
"""智能计算入口。
|
||||
|
||||
根据 parallel 参数自动选择执行模式:
|
||||
- True: 使用分层并行执行(推荐)
|
||||
- False: 使用顺序执行
|
||||
|
||||
Args:
|
||||
plan: 执行计划
|
||||
plans: 执行计划列表
|
||||
data: 输入数据
|
||||
parallel: 是否使用并行执行
|
||||
|
||||
Returns:
|
||||
计算结果序列
|
||||
包含所有因子结果的 DataFrame
|
||||
"""
|
||||
result = self.execute(plan, data)
|
||||
return result[plan.output_name]
|
||||
if parallel:
|
||||
return self.execute_parallel(plans, data)
|
||||
return self.execute_batch(plans, data)
|
||||
|
||||
@@ -30,6 +30,7 @@ from src.factors.engine.data_spec import DataSpec, ExecutionPlan
|
||||
from src.factors.engine.data_router import DataRouter
|
||||
from src.factors.engine.planner import ExecutionPlanner
|
||||
from src.factors.engine.compute_engine import ComputeEngine
|
||||
from src.factors.engine.ast_optimizer import ExpressionFlattener
|
||||
|
||||
|
||||
class FactorEngine:
|
||||
@@ -56,7 +57,6 @@ class FactorEngine:
|
||||
def __init__(
|
||||
self,
|
||||
data_source: Optional[Dict[str, pl.DataFrame]] = None,
|
||||
max_workers: int = 4,
|
||||
registry: Optional["FunctionRegistry"] = None,
|
||||
metadata_path: Optional[str] = None,
|
||||
) -> None:
|
||||
@@ -64,16 +64,15 @@ class FactorEngine:
|
||||
|
||||
Args:
|
||||
data_source: 内存数据源,为 None 时使用数据库连接
|
||||
max_workers: 并行计算的最大工作线程数
|
||||
registry: 函数注册表,None 时创建独立实例
|
||||
metadata_path: 因子元数据文件路径,为 None 时不启用 metadata 功能
|
||||
metadata_path: 因子元数据文件路径,为 None 时启用默认 metadata 功能
|
||||
"""
|
||||
from src.factors.registry import FunctionRegistry
|
||||
from src.factors.parser import FormulaParser
|
||||
|
||||
self.router = DataRouter(data_source)
|
||||
self.planner = ExecutionPlanner()
|
||||
self.compute_engine = ComputeEngine(max_workers=max_workers)
|
||||
self.compute_engine = ComputeEngine()
|
||||
self.registered_expressions: Dict[str, Node] = {}
|
||||
self._plans: Dict[str, ExecutionPlan] = {}
|
||||
|
||||
@@ -92,13 +91,68 @@ class FactorEngine:
|
||||
|
||||
self._metadata = FactorManager()
|
||||
|
||||
def _register_internal(
|
||||
self,
|
||||
name: str,
|
||||
expression: Node,
|
||||
data_specs: Optional[List[DataSpec]] = None,
|
||||
) -> "FactorEngine":
|
||||
"""内部注册方法,直接注册因子表达式。
|
||||
|
||||
Args:
|
||||
name: 因子名称
|
||||
expression: DSL 表达式
|
||||
data_specs: 数据规格,None 时自动推导
|
||||
|
||||
Returns:
|
||||
self,支持链式调用
|
||||
"""
|
||||
# 检测因子依赖(在注册当前因子之前检查其他已注册因子)
|
||||
factor_deps = self._find_factor_dependencies(expression)
|
||||
|
||||
# 获取当前所有已注册的因子名称(作为免疫名单,防止被当作数据库字段)
|
||||
known_factors = set(self.registered_expressions.keys())
|
||||
|
||||
self.registered_expressions[name] = expression
|
||||
|
||||
# 预创建执行计划,过滤掉已注册的因子,防止被当作数据库字段
|
||||
plan = self.planner.create_plan(
|
||||
expression=expression,
|
||||
output_name=name,
|
||||
data_specs=data_specs,
|
||||
ignore_dependencies=known_factors,
|
||||
)
|
||||
|
||||
# 添加因子依赖信息
|
||||
plan.factor_dependencies = factor_deps
|
||||
|
||||
# 如果数据规格为空,继承依赖因子(包括临时因子)的数据规格
|
||||
if not plan.data_specs and factor_deps:
|
||||
merged_specs: List[DataSpec] = []
|
||||
for dep_name in factor_deps:
|
||||
if dep_name in self._plans:
|
||||
merged_specs.extend(self._plans[dep_name].data_specs)
|
||||
|
||||
# 去重(基于表名)
|
||||
seen_tables: set = set()
|
||||
unique_specs: List[DataSpec] = []
|
||||
for spec in merged_specs:
|
||||
if spec.table not in seen_tables:
|
||||
seen_tables.add(spec.table)
|
||||
unique_specs.append(spec)
|
||||
plan.data_specs = unique_specs
|
||||
|
||||
self._plans[name] = plan
|
||||
|
||||
return self
|
||||
|
||||
def register(
|
||||
self,
|
||||
name: str,
|
||||
expression: Node,
|
||||
data_specs: Optional[List[DataSpec]] = None,
|
||||
) -> "FactorEngine":
|
||||
"""注册因子表达式。
|
||||
"""注册因子表达式(自动处理嵌套窗口函数)。
|
||||
|
||||
Args:
|
||||
name: 因子名称
|
||||
@@ -113,22 +167,16 @@ class FactorEngine:
|
||||
>>> engine = FactorEngine()
|
||||
>>> engine.register("ma20", ts_mean(close, 20))
|
||||
"""
|
||||
# 检测因子依赖(在注册当前因子之前检查其他已注册因子)
|
||||
factor_deps = self._find_factor_dependencies(expression)
|
||||
# 使用 AST 优化器拍平嵌套窗口函数
|
||||
flattener = ExpressionFlattener()
|
||||
flat_expression, tmp_factors = flattener.flatten(expression)
|
||||
|
||||
self.registered_expressions[name] = expression
|
||||
# 先注册所有临时因子(自动推导数据规格)
|
||||
for tmp_name, tmp_node in tmp_factors.items():
|
||||
self._register_internal(tmp_name, tmp_node, data_specs=None)
|
||||
|
||||
# 预创建执行计划
|
||||
plan = self.planner.create_plan(
|
||||
expression=expression,
|
||||
output_name=name,
|
||||
data_specs=data_specs,
|
||||
)
|
||||
|
||||
# 添加因子依赖信息
|
||||
plan.factor_dependencies = factor_deps
|
||||
|
||||
self._plans[name] = plan
|
||||
# 最后注册主因子
|
||||
self._register_internal(name, flat_expression, data_specs)
|
||||
|
||||
return self
|
||||
|
||||
@@ -174,7 +222,7 @@ class FactorEngine:
|
||||
# 解析表达式为 Node
|
||||
node = self._parser.parse(dsl_expr)
|
||||
|
||||
# 委托给 register 方法
|
||||
# 委托给 register 方法(register 会处理嵌套窗口函数拍平)
|
||||
return self.register(name, node, data_specs)
|
||||
|
||||
def add_factor(
|
||||
@@ -272,21 +320,32 @@ class FactorEngine:
|
||||
if isinstance(factor_names, str):
|
||||
factor_names = [factor_names]
|
||||
|
||||
# 1. 获取执行计划
|
||||
# 1. 收集所有需要的因子(包括临时因子依赖)
|
||||
all_factor_names = self._collect_all_dependencies(factor_names)
|
||||
|
||||
# 2. 获取执行计划
|
||||
plans = []
|
||||
for name in factor_names:
|
||||
for name in all_factor_names:
|
||||
if name not in self._plans:
|
||||
raise ValueError(f"因子未注册: {name}")
|
||||
plans.append(self._plans[name])
|
||||
|
||||
# 2. 合并数据规格并获取数据
|
||||
# 3. 合并数据规格并获取数据
|
||||
all_specs = []
|
||||
for plan in plans:
|
||||
all_specs.extend(plan.data_specs)
|
||||
|
||||
# 3. 从路由器获取核心宽表
|
||||
# 去重数据规格(基于表名)
|
||||
seen_tables: set = set()
|
||||
unique_specs: List[DataSpec] = []
|
||||
for spec in all_specs:
|
||||
if spec.table not in seen_tables:
|
||||
seen_tables.add(spec.table)
|
||||
unique_specs.append(spec)
|
||||
|
||||
# 4. 从路由器获取核心宽表
|
||||
core_data = self.router.fetch_data(
|
||||
data_specs=all_specs,
|
||||
data_specs=unique_specs,
|
||||
start_date=start_date,
|
||||
end_date=end_date,
|
||||
stock_codes=stock_codes,
|
||||
@@ -295,14 +354,14 @@ class FactorEngine:
|
||||
if len(core_data) == 0:
|
||||
raise ValueError("未获取到任何数据,请检查日期范围和股票代码")
|
||||
|
||||
# 4. 按依赖顺序执行计算
|
||||
if len(plans) == 1:
|
||||
result = self.compute_engine.execute(plans[0], core_data)
|
||||
else:
|
||||
# 使用依赖感知的方式执行
|
||||
result = self._execute_with_dependencies(factor_names, core_data)
|
||||
# 5. 按依赖顺序执行计算(包含临时因子)
|
||||
result = self._execute_with_dependencies(all_factor_names, core_data)
|
||||
|
||||
return result
|
||||
# 6. 清理内存宽表,过滤掉临时因子列(__tmp_X)
|
||||
# 保留所有非临时因子列(包括原始数据列和用户请求的因子列)
|
||||
cols_to_keep = [col for col in result.columns if not col.startswith("__tmp_")]
|
||||
|
||||
return result.select(cols_to_keep)
|
||||
|
||||
def list_registered(self) -> List[str]:
|
||||
"""获取已注册的因子列表。
|
||||
@@ -501,10 +560,32 @@ class FactorEngine:
|
||||
|
||||
return False
|
||||
|
||||
def _find_factor_dependencies(self, expression: Node) -> Set[str]:
|
||||
"""查找表达式依赖的其他因子。
|
||||
def _collect_all_dependencies(self, factor_names: List[str]) -> List[str]:
|
||||
"""收集所有因子及其依赖(包括用户定义的因子和临时因子)。"""
|
||||
collected: Set[str] = set()
|
||||
result: List[str] = []
|
||||
|
||||
遍历已注册因子,检查表达式是否包含任何已注册因子的完整表达式。
|
||||
def collect_recursive(name: str):
|
||||
if name in collected:
|
||||
return
|
||||
collected.add(name)
|
||||
|
||||
# 获取执行计划并递归收集强依赖
|
||||
plan = self._plans.get(name)
|
||||
if plan:
|
||||
for dep_name in plan.factor_dependencies:
|
||||
collect_recursive(dep_name)
|
||||
|
||||
# 依赖收集完毕,再将自己加入列表(天然形成安全的计算顺序)
|
||||
result.append(name)
|
||||
|
||||
for name in factor_names:
|
||||
collect_recursive(name)
|
||||
|
||||
return result
|
||||
|
||||
def _find_factor_dependencies(self, expression: Node) -> Set[str]:
|
||||
"""查找表达式依赖的其他因子(包括临时因子和用户因子引用)。
|
||||
|
||||
Args:
|
||||
expression: 待检查的表达式
|
||||
@@ -514,13 +595,20 @@ class FactorEngine:
|
||||
"""
|
||||
deps: Set[str] = set()
|
||||
|
||||
# 检查表达式本身是否等于某个已注册因子
|
||||
# 1. 【新增】如果直接引用了已注册的因子名称(包含 __tmp_X 或用户因子)
|
||||
if (
|
||||
isinstance(expression, Symbol)
|
||||
and expression.name in self.registered_expressions
|
||||
):
|
||||
deps.add(expression.name)
|
||||
|
||||
# 2. 检查表达式本身是否等于某个已注册因子的完整 AST
|
||||
for name, registered_expr in self.registered_expressions.items():
|
||||
if self._expressions_equal(expression, registered_expr):
|
||||
deps.add(name)
|
||||
break
|
||||
|
||||
# 递归检查子节点
|
||||
# 3. 递归检查子节点
|
||||
if isinstance(expression, BinaryOpNode):
|
||||
deps.update(self._find_factor_dependencies(expression.left))
|
||||
deps.update(self._find_factor_dependencies(expression.right))
|
||||
|
||||
@@ -39,6 +39,7 @@ class ExecutionPlanner:
|
||||
expression: Node,
|
||||
output_name: str = "factor",
|
||||
data_specs: Optional[List[DataSpec]] = None,
|
||||
ignore_dependencies: Optional[Set[str]] = None,
|
||||
) -> ExecutionPlan:
|
||||
"""从表达式创建执行计划。
|
||||
|
||||
@@ -46,12 +47,15 @@ class ExecutionPlanner:
|
||||
expression: DSL 表达式节点
|
||||
output_name: 输出因子名称
|
||||
data_specs: 预定义的数据规格,None 时自动推导
|
||||
ignore_dependencies: 需要忽略的依赖符号集合(如已注册因子名)
|
||||
|
||||
Returns:
|
||||
执行计划对象
|
||||
"""
|
||||
# 1. 提取依赖
|
||||
dependencies = self.compiler.extract_dependencies(expression)
|
||||
# 1. 提取依赖时传入要忽略的符号
|
||||
dependencies = self.compiler.extract_dependencies(
|
||||
expression, ignore_symbols=ignore_dependencies
|
||||
)
|
||||
|
||||
# 2. 翻译为 Polars 表达式
|
||||
polars_expr = self.translator.translate(expression)
|
||||
|
||||
@@ -35,6 +35,8 @@ BIN_OP_MAP: Dict[type, str] = {
|
||||
ast.Pow: "**",
|
||||
ast.FloorDiv: "//",
|
||||
ast.Mod: "%",
|
||||
ast.BitAnd: "&",
|
||||
ast.BitOr: "|",
|
||||
}
|
||||
|
||||
UNARY_OP_MAP: Dict[type, str] = {
|
||||
|
||||
@@ -178,6 +178,8 @@ class PolarsTranslator:
|
||||
"<=": lambda l, r: l.le(r),
|
||||
">": lambda l, r: l.gt(r),
|
||||
">=": lambda l, r: l.ge(r),
|
||||
"&": lambda l, r: l & r,
|
||||
"|": lambda l, r: l | r,
|
||||
}
|
||||
|
||||
if node.op not in op_map:
|
||||
|
||||
367
tests/test_ast_optimizer.py
Normal file
367
tests/test_ast_optimizer.py
Normal file
@@ -0,0 +1,367 @@
|
||||
"""AST 优化器测试 - 验证嵌套窗口函数拍平功能。
|
||||
|
||||
测试因子: cs_rank(ts_delay(close, 1))
|
||||
这是一个典型的窗口函数嵌套场景,应该被自动拍平为临时因子。
|
||||
"""
|
||||
|
||||
import pytest
|
||||
import polars as pl
|
||||
import numpy as np
|
||||
from datetime import datetime, timedelta
|
||||
|
||||
from src.factors.engine import FactorEngine
|
||||
from src.factors.api import close, ts_delay, cs_rank
|
||||
from src.factors.dsl import FunctionNode
|
||||
from src.factors.engine.ast_optimizer import ExpressionFlattener
|
||||
|
||||
|
||||
def create_mock_data(
|
||||
start_date: str = "20240101",
|
||||
end_date: str = "20240131",
|
||||
n_stocks: int = 5,
|
||||
) -> pl.DataFrame:
|
||||
"""创建模拟的日线数据。"""
|
||||
start = datetime.strptime(start_date, "%Y%m%d")
|
||||
end = datetime.strptime(end_date, "%Y%m%d")
|
||||
|
||||
dates = []
|
||||
current = start
|
||||
while current <= end:
|
||||
if current.weekday() < 5: # 周一到周五
|
||||
dates.append(current.strftime("%Y%m%d"))
|
||||
current += timedelta(days=1)
|
||||
|
||||
stocks = [f"{600000 + i:06d}.SH" for i in range(n_stocks)]
|
||||
np.random.seed(42)
|
||||
|
||||
rows = []
|
||||
for date in dates:
|
||||
for stock in stocks:
|
||||
base_price = 10 + np.random.randn() * 5
|
||||
close_val = base_price + np.random.randn() * 0.5
|
||||
open_val = close_val + np.random.randn() * 0.2
|
||||
high_val = max(open_val, close_val) + abs(np.random.randn()) * 0.3
|
||||
low_val = min(open_val, close_val) - abs(np.random.randn()) * 0.3
|
||||
vol = int(1000000 + np.random.exponential(500000))
|
||||
|
||||
rows.append(
|
||||
{
|
||||
"ts_code": stock,
|
||||
"trade_date": date,
|
||||
"open": round(open_val, 2),
|
||||
"high": round(high_val, 2),
|
||||
"low": round(low_val, 2),
|
||||
"close": round(close_val, 2),
|
||||
"volume": vol,
|
||||
}
|
||||
)
|
||||
|
||||
return pl.DataFrame(rows)
|
||||
|
||||
|
||||
class TestASTOptimizer:
|
||||
"""AST 优化器测试类。"""
|
||||
|
||||
def test_flattener_basic(self):
|
||||
"""测试拍平器基本功能。"""
|
||||
from src.factors.api import close
|
||||
|
||||
flattener = ExpressionFlattener()
|
||||
|
||||
# 创建嵌套表达式: cs_rank(ts_delay(close, 1))
|
||||
expr = FunctionNode("cs_rank", FunctionNode("ts_delay", close, 1))
|
||||
|
||||
flat_expr, tmp_factors = flattener.flatten(expr)
|
||||
|
||||
# 验证临时因子被提取
|
||||
assert len(tmp_factors) == 1
|
||||
assert "__tmp_0" in tmp_factors
|
||||
|
||||
# 验证主表达式使用了 Symbol 引用
|
||||
assert isinstance(flat_expr, FunctionNode)
|
||||
assert flat_expr.func_name == "cs_rank"
|
||||
# 验证第一个参数是临时因子引用(通过 name 属性检查)
|
||||
assert hasattr(flat_expr.args[0], "name")
|
||||
assert flat_expr.args[0].name == "__tmp_0"
|
||||
|
||||
# 验证临时因子内容
|
||||
tmp_node = tmp_factors["__tmp_0"]
|
||||
assert isinstance(tmp_node, FunctionNode)
|
||||
assert tmp_node.func_name == "ts_delay"
|
||||
|
||||
print("[PASS] 拍平器基本功能测试")
|
||||
|
||||
def test_flattener_no_nested(self):
|
||||
"""测试非嵌套表达式不会被拍平。"""
|
||||
from src.factors.api import close, ts_mean
|
||||
|
||||
flattener = ExpressionFlattener()
|
||||
|
||||
# 非嵌套表达式: ts_mean(close, 20)
|
||||
expr = FunctionNode("ts_mean", close, 20)
|
||||
|
||||
flat_expr, tmp_factors = flattener.flatten(expr)
|
||||
|
||||
# 验证没有临时因子被提取
|
||||
assert len(tmp_factors) == 0
|
||||
|
||||
# 验证表达式保持不变
|
||||
assert isinstance(flat_expr, FunctionNode)
|
||||
assert flat_expr.func_name == "ts_mean"
|
||||
|
||||
print("[PASS] 非嵌套表达式测试")
|
||||
|
||||
def test_flattener_deeply_nested(self):
|
||||
"""测试多层嵌套表达式拍平。"""
|
||||
from src.factors.api import close, ts_mean
|
||||
|
||||
flattener = ExpressionFlattener()
|
||||
|
||||
# 深层嵌套: cs_rank(ts_mean(ts_delay(close, 1), 5))
|
||||
expr = FunctionNode(
|
||||
"cs_rank", FunctionNode("ts_mean", FunctionNode("ts_delay", close, 1), 5)
|
||||
)
|
||||
|
||||
flat_expr, tmp_factors = flattener.flatten(expr)
|
||||
|
||||
# 验证提取了两个临时因子(修复后正确行为)
|
||||
# ts_delay(close, 1) 被提取为 __tmp_0
|
||||
# ts_mean(__tmp_0, 5) 被提取为 __tmp_1
|
||||
assert len(tmp_factors) == 2
|
||||
assert "__tmp_0" in tmp_factors
|
||||
assert "__tmp_1" in tmp_factors
|
||||
|
||||
# 验证 __tmp_0 内容是 ts_delay(close, 1)
|
||||
tmp0_node = tmp_factors["__tmp_0"]
|
||||
assert isinstance(tmp0_node, FunctionNode)
|
||||
assert tmp0_node.func_name == "ts_delay"
|
||||
|
||||
# 验证 __tmp_1 内容是 ts_mean(__tmp_0, 5)
|
||||
tmp1_node = tmp_factors["__tmp_1"]
|
||||
assert isinstance(tmp1_node, FunctionNode)
|
||||
assert tmp1_node.func_name == "ts_mean"
|
||||
from src.factors.dsl import Symbol
|
||||
|
||||
assert isinstance(tmp1_node.args[0], Symbol)
|
||||
assert tmp1_node.args[0].name == "__tmp_0"
|
||||
|
||||
# 验证主表达式引用 __tmp_1
|
||||
assert isinstance(flat_expr, FunctionNode)
|
||||
assert flat_expr.func_name == "cs_rank"
|
||||
assert isinstance(flat_expr.args[0], Symbol)
|
||||
assert flat_expr.args[0].name == "__tmp_1"
|
||||
|
||||
print("[PASS] 多层嵌套表达式拍平测试")
|
||||
|
||||
def test_nested_window_function_engine(self):
|
||||
"""测试引擎正确处理嵌套窗口函数 cs_rank(ts_delay(close, 1))。"""
|
||||
print("\n" + "=" * 60)
|
||||
print("测试嵌套窗口函数: cs_rank(ts_delay(close, 1))")
|
||||
print("=" * 60)
|
||||
|
||||
# 1. 准备数据
|
||||
mock_data = create_mock_data("20240101", "20240131", n_stocks=5)
|
||||
print(f"\n生成模拟数据: {len(mock_data)} 行")
|
||||
|
||||
# 2. 初始化引擎
|
||||
engine = FactorEngine(data_source={"pro_bar": mock_data})
|
||||
print("引擎初始化完成")
|
||||
|
||||
# 3. 使用字符串表达式注册嵌套窗口函数
|
||||
print("\n注册因子: cs_rank(ts_delay(close, 1))")
|
||||
engine.add_factor("delayed_rank", "cs_rank(ts_delay(close, 1))")
|
||||
|
||||
# 4. 检查临时因子是否被创建
|
||||
registered_factors = engine.list_registered()
|
||||
print(f"已注册因子: {registered_factors}")
|
||||
|
||||
# 验证有临时因子被创建
|
||||
tmp_factors = [name for name in registered_factors if name.startswith("__tmp_")]
|
||||
assert len(tmp_factors) >= 1, "应该有临时因子被创建"
|
||||
print(f"临时因子: {tmp_factors}")
|
||||
|
||||
# 5. 执行计算
|
||||
print("\n执行计算...")
|
||||
result = engine.compute("delayed_rank", "20240115", "20240131")
|
||||
print(f"计算完成: {len(result)} 行")
|
||||
|
||||
# 6. 验证结果
|
||||
assert "delayed_rank" in result.columns, "结果中应该有 delayed_rank 列"
|
||||
|
||||
# 检查结果值是否在合理范围内(排名因子应该在 0-1 之间,但可能由于滞后有 null)
|
||||
non_null_values = result["delayed_rank"].drop_nulls()
|
||||
if len(non_null_values) > 0:
|
||||
assert non_null_values.min() >= 0, "排名应该在 [0, 1] 之间"
|
||||
assert non_null_values.max() <= 1, "排名应该在 [0, 1] 之间"
|
||||
|
||||
# 检查没有过多空值(考虑到开头的滞后期)
|
||||
null_count = result["delayed_rank"].is_null().sum()
|
||||
print(f"空值数量: {null_count}")
|
||||
|
||||
# 展示部分结果
|
||||
print("\n前 10 行结果:")
|
||||
sample = result.select(["ts_code", "trade_date", "close", "delayed_rank"]).head(
|
||||
10
|
||||
)
|
||||
print(sample.to_pandas().to_string(index=False))
|
||||
|
||||
print("\n" + "=" * 60)
|
||||
print("嵌套窗口函数测试通过!")
|
||||
print("=" * 60)
|
||||
|
||||
def test_multiple_nested_factors(self):
|
||||
"""测试同时注册多个嵌套因子。"""
|
||||
print("\n" + "=" * 60)
|
||||
print("测试多个嵌套因子")
|
||||
print("=" * 60)
|
||||
|
||||
mock_data = create_mock_data("20240101", "20240131", n_stocks=5)
|
||||
engine = FactorEngine(data_source={"pro_bar": mock_data})
|
||||
|
||||
# 注册多个嵌套因子(使用字符串表达式)
|
||||
print("\n注册因子1: cs_rank(ts_delay(close, 1))")
|
||||
engine.add_factor("rank1", "cs_rank(ts_delay(close, 1))")
|
||||
|
||||
print("注册因子2: ts_mean(cs_rank(close), 5)")
|
||||
engine.add_factor("rank_mean", "ts_mean(cs_rank(close), 5)")
|
||||
|
||||
# 检查已注册因子
|
||||
factors = engine.list_registered()
|
||||
print(f"\n已注册因子: {factors}")
|
||||
|
||||
# 计算所有因子
|
||||
result = engine.compute(["rank1", "rank_mean"], "20240115", "20240131")
|
||||
|
||||
assert "rank1" in result.columns
|
||||
assert "rank_mean" in result.columns
|
||||
|
||||
print(f"\n结果行数: {len(result)}")
|
||||
print(f"rank1 空值数: {result['rank1'].is_null().sum()}")
|
||||
print(f"rank_mean 空值数: {result['rank_mean'].is_null().sum()}")
|
||||
|
||||
print("\n" + "=" * 60)
|
||||
print("多个嵌套因子测试通过!")
|
||||
print("=" * 60)
|
||||
|
||||
def test_nested_vs_native_polars(self):
|
||||
"""对比测试:嵌套窗口函数 vs 原生 Polars 计算,验证数值一致性。"""
|
||||
print("\n" + "=" * 60)
|
||||
print("对比测试:cs_rank(ts_delay(close, 1)) vs 原生 Polars")
|
||||
print("=" * 60)
|
||||
|
||||
# 1. 准备数据
|
||||
mock_data = create_mock_data("20240101", "20240131", n_stocks=5)
|
||||
print(f"\n生成模拟数据: {len(mock_data)} 行")
|
||||
|
||||
# 2. 使用 FactorEngine 计算嵌套因子
|
||||
engine = FactorEngine(data_source={"pro_bar": mock_data})
|
||||
print("\n使用 FactorEngine 计算 cs_rank(ts_delay(close, 1))...")
|
||||
engine.register("delayed_rank", cs_rank(ts_delay(close, 1)))
|
||||
engine_result = engine.compute("delayed_rank", "20240115", "20240131")
|
||||
print(f"FactorEngine 结果: {len(engine_result)} 行")
|
||||
|
||||
# 3. 使用原生 Polars 计算(手动分步)
|
||||
print("\n使用原生 Polars 手动计算...")
|
||||
# 先计算 ts_delay(close, 1)
|
||||
native_result = mock_data.sort(["ts_code", "trade_date"]).with_columns(
|
||||
[pl.col("close").shift(1).over("ts_code").alias("delayed_close")]
|
||||
)
|
||||
# 再计算 cs_rank
|
||||
native_result = native_result.with_columns(
|
||||
[
|
||||
(pl.col("delayed_close").rank() / pl.col("delayed_close").count())
|
||||
.over("trade_date")
|
||||
.alias("native_delayed_rank")
|
||||
]
|
||||
)
|
||||
print(f"原生 Polars 结果: {len(native_result)} 行")
|
||||
|
||||
# 4. 合并结果进行对比
|
||||
comparison = engine_result.join(
|
||||
native_result.select(["ts_code", "trade_date", "native_delayed_rank"]),
|
||||
on=["ts_code", "trade_date"],
|
||||
how="inner",
|
||||
)
|
||||
|
||||
# 5. 验证数值一致性(允许微小浮点误差)
|
||||
diff = comparison.with_columns(
|
||||
[
|
||||
(pl.col("delayed_rank") - pl.col("native_delayed_rank"))
|
||||
.abs()
|
||||
.alias("diff")
|
||||
]
|
||||
)
|
||||
|
||||
max_diff = diff["diff"].max()
|
||||
print(f"\n最大差异: {max_diff}")
|
||||
|
||||
# 过滤掉空值后比较(开头的滞后期会有空值)
|
||||
non_null_diff = diff.filter(pl.col("diff").is_not_null())
|
||||
assert non_null_diff["diff"].max() < 1e-10, (
|
||||
f"数值差异过大: {non_null_diff['diff'].max()}"
|
||||
)
|
||||
|
||||
print("\n" + "=" * 60)
|
||||
print("数值一致性验证通过!")
|
||||
print("=" * 60)
|
||||
|
||||
def test_factor_reference_factor(self):
|
||||
"""测试因子引用另一个因子:fac2 = cs_rank(fac1)。"""
|
||||
print("\n" + "=" * 60)
|
||||
print("测试因子引用其他因子: fac2 = cs_rank(fac1)")
|
||||
print("=" * 60)
|
||||
|
||||
# 准备数据
|
||||
mock_data = create_mock_data("20240101", "20240131", n_stocks=5)
|
||||
engine = FactorEngine(data_source={"pro_bar": mock_data})
|
||||
|
||||
# 1. 注册基础因子 fac1
|
||||
print("\n注册基础因子 fac1 = ts_mean(close, 5)")
|
||||
from src.factors.api import ts_mean
|
||||
|
||||
engine.register("fac1", ts_mean(close, 5))
|
||||
|
||||
# 2. 注册引用因子 fac2,引用 fac1
|
||||
print("注册引用因子 fac2 = cs_rank(fac1)")
|
||||
engine.register("fac2", cs_rank("fac1")) # 字符串引用另一个因子
|
||||
|
||||
# 3. 验证依赖关系
|
||||
registered = engine.list_registered()
|
||||
print(f"\n已注册因子: {registered}")
|
||||
assert "fac1" in registered
|
||||
assert "fac2" in registered
|
||||
|
||||
# 4. 执行计算
|
||||
print("\n执行计算...")
|
||||
result = engine.compute(["fac1", "fac2"], "20240115", "20240131")
|
||||
print(f"计算完成: {len(result)} 行")
|
||||
|
||||
# 5. 验证结果
|
||||
assert "fac1" in result.columns, "结果中应有 fac1 列"
|
||||
assert "fac2" in result.columns, "结果中应有 fac2 列"
|
||||
|
||||
# fac2 是排名,应在 [0, 1] 之间
|
||||
assert result["fac2"].min() >= 0, "排名应在 [0, 1] 之间"
|
||||
assert result["fac2"].max() <= 1, "排名应在 [0, 1] 之间"
|
||||
|
||||
print("\n前 10 行结果:")
|
||||
sample = result.select(["ts_code", "trade_date", "close", "fac1", "fac2"]).head(
|
||||
10
|
||||
)
|
||||
print(sample.to_pandas().to_string(index=False))
|
||||
|
||||
print("\n" + "=" * 60)
|
||||
print("因子引用功能测试通过!")
|
||||
print("=" * 60)
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
test = TestASTOptimizer()
|
||||
test.test_flattener_basic()
|
||||
test.test_flattener_no_nested()
|
||||
test.test_flattener_deeply_nested()
|
||||
test.test_nested_window_function_engine()
|
||||
test.test_multiple_nested_factors()
|
||||
test.test_nested_vs_native_polars()
|
||||
test.test_factor_reference_factor()
|
||||
print("\n所有测试通过!")
|
||||
144
tests/test_bugfixes.py
Normal file
144
tests/test_bugfixes.py
Normal file
@@ -0,0 +1,144 @@
|
||||
"""测试 Bug 修复:
|
||||
1. 临时因子命名冲突修复验证
|
||||
2. 逻辑运算符支持验证
|
||||
"""
|
||||
|
||||
import sys
|
||||
|
||||
sys.path.insert(0, "D:/PyProject/ProStock")
|
||||
|
||||
from src.factors.dsl import Symbol, BinaryOpNode
|
||||
from src.factors.engine.ast_optimizer import ExpressionFlattener, flatten_expression
|
||||
|
||||
|
||||
def test_temp_name_uniqueness():
|
||||
"""测试:临时因子名称全局唯一性。"""
|
||||
print("测试 1: 临时因子命名冲突修复")
|
||||
print("-" * 50)
|
||||
|
||||
close = Symbol("close")
|
||||
open_price = Symbol("open")
|
||||
|
||||
# 创建两个表达式拍平器实例
|
||||
flattener1 = ExpressionFlattener()
|
||||
flattener2 = ExpressionFlattener()
|
||||
|
||||
# 模拟因子 A: cs_rank(ts_delay(close, 1))
|
||||
from src.factors.dsl import FunctionNode
|
||||
|
||||
expr_a = FunctionNode("cs_rank", FunctionNode("ts_delay", close, 1))
|
||||
flat_a, temps_a = flattener1.flatten(expr_a)
|
||||
|
||||
# 模拟因子 B: cs_mean(ts_delay(open, 2))
|
||||
expr_b = FunctionNode("cs_mean", FunctionNode("ts_delay", open_price, 2))
|
||||
flat_b, temps_b = flattener2.flatten(expr_b)
|
||||
|
||||
# 验证临时名称不冲突
|
||||
temp_names_a = set(temps_a.keys())
|
||||
temp_names_b = set(temps_b.keys())
|
||||
|
||||
print(f"因子 A 临时名称: {temp_names_a}")
|
||||
print(f"因子 B 临时名称: {temp_names_b}")
|
||||
|
||||
# 检查是否有名称冲突
|
||||
common_names = temp_names_a & temp_names_b
|
||||
if common_names:
|
||||
print(f"[失败] 发现命名冲突: {common_names}")
|
||||
return False
|
||||
|
||||
print("[通过] 临时因子名称全局唯一,无冲突")
|
||||
return True
|
||||
|
||||
|
||||
def test_logical_operators():
|
||||
"""测试:逻辑运算符支持。"""
|
||||
print("\n测试 2: 逻辑运算符支持")
|
||||
print("-" * 50)
|
||||
|
||||
# 测试 DSL 层
|
||||
close = Symbol("close")
|
||||
open_price = Symbol("open")
|
||||
|
||||
# 测试 & 运算符(注意 Python 运算符优先级,需要用括号)
|
||||
and_expr = (close > open_price) & (close > 0)
|
||||
print(f"DSL 表达式 ((close > open) & (close > 0)): {and_expr}")
|
||||
assert isinstance(and_expr, BinaryOpNode), "& 应生成 BinaryOpNode"
|
||||
assert and_expr.op == "&", "运算符应为 &"
|
||||
print("[通过] DSL 层支持 & 运算符")
|
||||
|
||||
# 测试 | 运算符(注意 Python 运算符优先级,需要用括号)
|
||||
or_expr = (close < open_price) | (close < 0)
|
||||
print(f"DSL 表达式 ((close < open) | (close < 0)): {or_expr}")
|
||||
assert isinstance(or_expr, BinaryOpNode), "| 应生成 BinaryOpNode"
|
||||
assert or_expr.op == "|", "运算符应为 |"
|
||||
print("[通过] DSL 层支持 | 运算符")
|
||||
|
||||
# 测试字符串解析
|
||||
from src.factors.parser import FormulaParser
|
||||
from src.factors.registry import FunctionRegistry
|
||||
|
||||
parser = FormulaParser(FunctionRegistry())
|
||||
|
||||
# 解析包含 & 的表达式
|
||||
try:
|
||||
parsed_and = parser.parse("(close > open) & (volume > 0)")
|
||||
print(f"解析器支持 & 运算符: {parsed_and}")
|
||||
print("[通过] Parser 支持 & 运算符")
|
||||
except Exception as e:
|
||||
print(f"[失败] Parser 解析 & 失败: {e}")
|
||||
return False
|
||||
|
||||
# 解析包含 | 的表达式
|
||||
try:
|
||||
parsed_or = parser.parse("(close < open) | (volume < 0)")
|
||||
print(f"解析器支持 | 运算符: {parsed_or}")
|
||||
print("[通过] Parser 支持 | 运算符")
|
||||
except Exception as e:
|
||||
print(f"[失败] Parser 解析 | 失败: {e}")
|
||||
return False
|
||||
|
||||
# 测试翻译到 Polars
|
||||
from src.factors.translator import PolarsTranslator
|
||||
import polars as pl
|
||||
|
||||
translator = PolarsTranslator()
|
||||
|
||||
try:
|
||||
polars_and = translator.translate(parsed_and)
|
||||
print(f"Polars 表达式 (&): {polars_and}")
|
||||
print("[通过] Translator 支持 & 运算符")
|
||||
except Exception as e:
|
||||
print(f"[失败] Translator 翻译 & 失败: {e}")
|
||||
return False
|
||||
|
||||
try:
|
||||
polars_or = translator.translate(parsed_or)
|
||||
print(f"Polars 表达式 (|): {polars_or}")
|
||||
print("[通过] Translator 支持 | 运算符")
|
||||
except Exception as e:
|
||||
print(f"[失败] Translator 翻译 | 失败: {e}")
|
||||
return False
|
||||
|
||||
return True
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
print("=" * 60)
|
||||
print("Bug 修复验证测试")
|
||||
print("=" * 60)
|
||||
|
||||
test1_passed = test_temp_name_uniqueness()
|
||||
test2_passed = test_logical_operators()
|
||||
|
||||
print("\n" + "=" * 60)
|
||||
print("测试结果汇总")
|
||||
print("=" * 60)
|
||||
print(f"临时因子命名冲突修复: {'[通过]' if test1_passed else '[失败]'}")
|
||||
print(f"逻辑运算符支持: {'[通过]' if test2_passed else '[失败]'}")
|
||||
|
||||
if test1_passed and test2_passed:
|
||||
print("\n所有测试通过!")
|
||||
sys.exit(0)
|
||||
else:
|
||||
print("\n存在失败的测试!")
|
||||
sys.exit(1)
|
||||
@@ -72,7 +72,7 @@ class TestFactorEngineEndToEnd:
|
||||
def engine(self, mock_data):
|
||||
"""提供配置好的 FactorEngine fixture。"""
|
||||
data_source = {"pro_bar": mock_data}
|
||||
return FactorEngine(data_source=data_source, max_workers=2)
|
||||
return FactorEngine(data_source=data_source)
|
||||
|
||||
def test_simple_symbol_expression(self, engine):
|
||||
"""测试简单的符号表达式。"""
|
||||
|
||||
Reference in New Issue
Block a user