321 lines
12 KiB
Python
321 lines
12 KiB
Python
"""因子计算页面。"""
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from datetime import date, datetime, timedelta
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from typing import List, Optional, Sequence
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import streamlit as st
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from app.features.factors import DEFAULT_FACTORS, FactorSpec, compute_factor_range
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from app.ui.progress_state import factor_progress
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from app.ui.shared import LOGGER, LOG_EXTRA
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from app.utils.data_access import DataBroker
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from app.utils.db import db_session
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def _get_latest_trading_date() -> datetime.date:
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"""获取数据库中的最新交易日期"""
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with db_session(read_only=True) as conn:
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result = conn.execute(
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"""
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SELECT trade_date
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FROM daily_basic
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WHERE trade_date <= :today
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GROUP BY trade_date
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ORDER BY trade_date DESC
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LIMIT 1
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""",
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{"today": datetime.now().strftime("%Y%m%d")}
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).fetchone()
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if result and result[0]:
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return datetime.strptime(str(result[0]), "%Y%m%d").date()
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return datetime.now().date() - timedelta(days=1)
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def _get_all_stocks() -> List[str]:
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"""获取所有股票代码"""
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try:
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# 从daily表获取所有股票代码
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with db_session(read_only=True) as conn:
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latest_date = _get_latest_trading_date()
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result = conn.execute(
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"""
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SELECT DISTINCT ts_code
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FROM daily
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WHERE trade_date = :trade_date
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""",
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{"trade_date": latest_date.strftime("%Y%m%d")}
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).fetchall()
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return [row["ts_code"] for row in result if row and row["ts_code"]] if result else []
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except Exception as exc:
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LOGGER.exception("获取股票列表失败", extra={**LOG_EXTRA, "error": str(exc)})
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st.error(f"获取股票列表失败: {exc}")
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return []
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def _normalize_universe(universe: Optional[Sequence[str]]) -> List[str]:
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"""去重并规范股票代码格式。"""
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if not universe:
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return []
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seen: dict[str, None] = {}
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for code in universe:
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normalized = code.strip().upper()
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if normalized and normalized not in seen:
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seen[normalized] = None
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return list(seen.keys())
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def _get_trade_dates_between(
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start: date,
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end: date,
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universe: Optional[Sequence[str]] = None,
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) -> List[date]:
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"""获取区间内存在行情数据的交易日期列表。"""
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if end < start:
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return []
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start_str = start.strftime("%Y%m%d")
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end_str = end.strftime("%Y%m%d")
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params: List[str] = [start_str, end_str]
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query = (
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"SELECT DISTINCT trade_date FROM daily "
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"WHERE trade_date BETWEEN ? AND ?"
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)
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scoped_universe = _normalize_universe(universe)
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if scoped_universe:
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placeholders = ", ".join("?" for _ in scoped_universe)
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query += f" AND ts_code IN ({placeholders})"
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params.extend(scoped_universe)
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query += " ORDER BY trade_date"
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with db_session(read_only=True) as conn:
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rows = conn.execute(query, params).fetchall()
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return [
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datetime.strptime(str(row["trade_date"]), "%Y%m%d").date()
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for row in rows
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if row and row["trade_date"]
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]
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def _estimate_total_workload(
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trade_dates: Sequence[date],
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universe: Optional[Sequence[str]],
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) -> int:
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"""估算本次计算需要处理的证券数量，用于驱动进度条。"""
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trade_days = list(trade_dates)
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if not trade_days:
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return 0
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scoped_universe = _normalize_universe(universe)
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if scoped_universe:
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return len(scoped_universe) * len(trade_days)
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start_str = min(trade_days).strftime("%Y%m%d")
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end_str = max(trade_days).strftime("%Y%m%d")
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with db_session(read_only=True) as conn:
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row = conn.execute(
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"""
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SELECT COUNT(DISTINCT ts_code) AS cnt
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FROM daily
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WHERE trade_date BETWEEN ? AND ?
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""",
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(start_str, end_str),
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).fetchone()
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universe_size = int(row["cnt"]) if row and row["cnt"] is not None else 0
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return universe_size * len(trade_days)
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def render_factor_calculation() -> None:
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"""渲染因子计算页面。"""
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st.subheader("📊 因子计算")
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st.caption("计算指定日期范围的因子值")
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# 1. 时间范围选择
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col1, col2 = st.columns(2)
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with col1:
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latest_date = _get_latest_trading_date()
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end_date = st.date_input(
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"计算截止日期",
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value=latest_date,
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help="选择因子计算的截止日期"
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)
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with col2:
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lookback_days = st.slider(
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"回溯天数",
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min_value=1,
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max_value=365,
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value=30,
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step=1,
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help="选择计算的历史数据长度"
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)
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start_date = end_date - timedelta(days=lookback_days)
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st.info(f"计算范围: {start_date} 至 {end_date} (共{lookback_days}天)")
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# 2. 因子选择
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st.markdown("##### 选择要计算的因子")
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# 按因子类型分组
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factor_groups = {
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"动量类因子": [f for f in DEFAULT_FACTORS if f.name.startswith("mom_")],
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"波动率类因子": [f for f in DEFAULT_FACTORS if f.name.startswith("volat_")],
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"换手率类因子": [f for f in DEFAULT_FACTORS if f.name.startswith("turn_")],
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"估值类因子": [f for f in DEFAULT_FACTORS if f.name.startswith("val_")],
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"量价类因子": [f for f in DEFAULT_FACTORS if f.name.startswith("volume_")],
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"市场类因子": [f for f in DEFAULT_FACTORS if f.name.startswith("market_")],
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"其他因子": [f for f in DEFAULT_FACTORS if not any(f.name.startswith(prefix)
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for prefix in ["mom_", "volat_", "turn_", "val_", "volume_", "market_"])]
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}
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selected_factors = []
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for group_name, factors in factor_groups.items():
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if factors:
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st.markdown(f"###### {group_name}")
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cols = st.columns(3)
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for i, factor in enumerate(factors):
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if cols[i % 3].checkbox(
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factor.name,
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value=True, # 默认全选
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help=factor.description if hasattr(factor, 'description') else None,
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key=f"factor_checkbox_{factor.name}_{group_name}" # 添加唯一key
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):
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selected_factors.append(factor)
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if not selected_factors:
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st.warning("请至少选择一个因子进行计算")
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return
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# 3. 股票池选择
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st.markdown("##### 股票池范围")
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pool_type = st.radio(
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"选择股票池",
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["全部A股", "沪深300", "中证500", "中证1000", "自定义"],
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index=0,
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horizontal=True
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)
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universe: Optional[List[str]] = None
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if pool_type != "全部A股":
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broker = DataBroker()
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if pool_type == "自定义":
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custom_codes = st.text_area(
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"输入股票代码列表(每行一个)",
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help="请输入股票代码，每行一个，例如: 000001.SZ"
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)
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if custom_codes:
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universe = [
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code.strip()
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for code in custom_codes.split("\n")
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if code.strip()
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]
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else:
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index_code = {
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"沪深300": "000300.SH",
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"中证500": "000905.SH",
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"中证1000": "000852.SH"
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}[pool_type]
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universe = broker.get_index_stocks(
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index_code,
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end_date.strftime("%Y%m%d")
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)
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# 4. 计算选项
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st.markdown("##### 计算选项")
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skip_existing = st.checkbox(
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"跳过已计算的因子",
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value=True,
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help="如果勾选，将跳过数据库中已存在的因子计算结果"
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)
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# 5. 开始计算按钮
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if st.button("开始计算因子", disabled=not selected_factors):
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# 重置状态
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st.session_state.pop('factor_calculation_results', None)
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st.session_state.pop('factor_calculation_error', None)
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factor_progress.reset()
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scoped_universe = _normalize_universe(universe) or None
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trade_dates = _get_trade_dates_between(start_date, end_date, scoped_universe)
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if not trade_dates:
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st.warning("所选时间窗口内无可用交易日数据，请先执行数据同步。")
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return
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total_workload = _estimate_total_workload(trade_dates, scoped_universe)
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factor_progress.start_calculation(
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total_securities=max(total_workload, 1),
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total_batches=len(trade_dates),
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)
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with st.spinner("正在计算因子..."):
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try:
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results = compute_factor_range(
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start=min(trade_dates),
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end=max(trade_dates),
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factors=selected_factors,
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ts_codes=scoped_universe,
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skip_existing=skip_existing,
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)
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except Exception as exc:
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LOGGER.exception("因子计算失败", extra={**LOG_EXTRA, "error": str(exc)})
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factor_progress.error_occurred(str(exc))
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st.session_state.factor_calculation_error = str(exc)
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st.error(f"❌ 因子计算失败: {exc}")
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else:
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factor_progress.complete_calculation(
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f"因子计算完成，共生成 {len(results)} 条因子记录"
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)
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factor_names = [spec.name for spec in selected_factors]
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stock_count = len({item.ts_code for item in results}) if results else 0
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st.session_state.factor_calculation_results = {
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'results': results,
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'factors': factor_names,
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'date_range': f"{trade_dates[0]} 至 {trade_dates[-1]}",
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'stock_count': stock_count,
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'trade_days': len(trade_dates),
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}
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st.success("✅ 因子计算完成！")
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# 6. 显示计算结果
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if 'factor_calculation_results' in st.session_state and st.session_state.factor_calculation_results:
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results = st.session_state.factor_calculation_results
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st.success("✅ 因子计算完成！")
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col1, col2, col3 = st.columns(3)
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with col1:
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st.metric("计算因子数量", len(results['factors']))
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with col2:
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st.metric("涉及股票数量", results['stock_count'])
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with col3:
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st.metric("交易日数量", results.get('trade_days', 0))
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st.caption(f"时间范围：{results['date_range']}")
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# 显示计算详情
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with st.expander("查看计算详情"):
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if results['results']:
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# 转换为DataFrame显示
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import pandas as pd
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df_data = []
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for result in results['results']:
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for factor_name, value in result.values.items():
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df_data.append({
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'日期': result.trade_date,
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'股票代码': result.ts_code,
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'因子名称': factor_name,
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'因子值': value
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})
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if df_data:
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df = pd.DataFrame(df_data)
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st.dataframe(df.head(100), width="stretch") # 只显示前100条
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st.info(f"共 {len(df_data)} 条因子记录（显示前100条）")
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else:
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st.info("没有找到因子计算结果")
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# 7. 显示错误信息
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if 'factor_calculation_error' in st.session_state and st.session_state.factor_calculation_error:
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st.error(f"❌ 因子计算失败: {st.session_state.factor_calculation_error}")
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