From 62673ea329931a2d30c32670565b2c6cbb254639 Mon Sep 17 00:00:00 2001
From: claude_dev <claude-dev@sanguo.local>
Date: Wed, 26 Aug 2026 05:27:28 +0800
Subject: [PATCH] =?UTF-8?q?fix(factor):=20load=E5=86=85=E5=AD=98=E6=A0=B9?=
 =?UTF-8?q?=E6=B2=BBv2=E2=80=94=E2=80=94=E7=B1=BB=E5=9E=8B=E8=BD=AC?=
 =?UTF-8?q?=E6=8D=A2=E4=B8=8B=E6=B2=89chunk=E7=BA=A7(dt=E8=A7=A3=E6=9E=90/?=
 =?UTF-8?q?vt=5Fsymbol=E5=B8=B8=E9=87=8F=E5=88=97/=E5=88=97=E8=A3=81?=
 =?UTF-8?q?=E5=89=AA),=E5=AD=97=E7=AC=A6=E4=B8=B2=E4=B8=89=E5=88=97?=
 =?UTF-8?q?=E6=B4=BB=E4=B8=8D=E8=BF=872100=E8=A1=8C=E5=B0=8F=E5=9D=97,conc?=
 =?UTF-8?q?at=E4=BB=85=E7=A2=B0=E7=B2=BE=E7=AE=80=E7=B1=BB=E5=9E=8B?=
 =?UTF-8?q?=E5=88=97;=E5=89=8D=E8=BD=AElazy=E5=8C=96=E6=9C=AA=E5=8E=8B?=
 =?UTF-8?q?=E4=BD=8F=E7=9A=846.6GB=E5=B3=B0=E5=80=BC=E6=BA=90=E5=A4=B4?=
 =?UTF-8?q?=E5=8D=B3Utf8=E5=A4=9A=E4=BB=BD=E6=8B=B7=E8=B4=9D=20[vps]?=
MIME-Version: 1.0
Content-Type: text/plain; charset=UTF-8
Content-Transfer-Encoding: 8bit

---
 sanguo_factor/universe.py | 36 +++++++++++++++++-------------------
 1 file changed, 17 insertions(+), 19 deletions(-)

diff --git a/sanguo_factor/universe.py b/sanguo_factor/universe.py
index 2310d61..8ebd309 100644
--- a/sanguo_factor/universe.py
+++ b/sanguo_factor/universe.py
@@ -73,33 +73,31 @@ def load_universe_bars(
         finally:
             conn.close()
         if rows:
-            chunks.append(pl.DataFrame(
-                rows,
-                schema={"symbol": pl.Utf8, "exchange": pl.Utf8, "dt": pl.Utf8,
-                        "volume": pl.Float64, "turnover": pl.Float64, "open_interest": pl.Float64,
-                        "open": pl.Float64, "high": pl.Float64, "low": pl.Float64, "close": pl.Float64},
-                orient="row",
-            ))
+            chunks.append(
+                pl.DataFrame(rows, schema={
+                    "symbol": pl.Utf8, "exchange": pl.Utf8, "dt": pl.Utf8,
+                    "volume": pl.Float64, "turnover": pl.Float64, "open_interest": pl.Float64,
+                    "open": pl.Float64, "high": pl.Float64, "low": pl.Float64, "close": pl.Float64,
+                }, orient="row")
+                .with_columns(
+                    pl.col("dt").str.slice(0, 10).str.to_datetime("%Y-%m-%d").alias("datetime"),
+                    pl.lit(f"{sym}.{ex}").alias("vt_symbol"),
+                    pl.when(pl.col("volume") > 0)
+                    .then(pl.col("turnover") / pl.col("volume"))
+                    .otherwise(None).alias("vwap"),
+                )
+                .select(["vt_symbol", "datetime", "open", "high", "low", "close",
+                         "volume", "turnover", "open_interest", "vwap"])
+            )
     if not chunks:
         return _empty_alpha_df()
 
     df = pl.concat(chunks)
-    chunks.clear()  # 立即释放逐symbol块(~1G),勿持有到函数尾
-    # transform 链 lazy 单次物化:eager 逐步链每步全量拷贝,峰值3-4倍;lazy 融合后~1.5倍
+    chunks.clear()
     df = (
         df.lazy()
-        .with_columns(
-            pl.col("dt").str.slice(0, 10).str.to_datetime("%Y-%m-%d").alias("datetime"),
-            (pl.col("symbol") + "." + pl.col("exchange")).alias("vt_symbol"),
-            pl.when(pl.col("volume") > 0)
-            .then(pl.col("turnover") / pl.col("volume"))
-            .otherwise(None)
-            .alias("vwap"),
-        )
         .sort(["vt_symbol", "datetime"])
         .with_columns(pl.int_range(pl.len()).over("vt_symbol").alias("bar_idx"))
-        .select(["vt_symbol", "datetime", "open", "high", "low", "close",
-                 "volume", "turnover", "open_interest", "vwap", "bar_idx"])
         .collect()
     )
     return df