feat(factor): top_holders预聚合一次性脚本——108,610小文件→factor_cache聚合产物 [nas]
E13 前置: adapter 逐文件读全市场不可行,先聚合成单 parquet (file_code/period/hold_pct/n_holders;null占比按0,坏文件名跳过,幂等--force)。 NAS 真跑已验证: 449.7s/108,610文件 → 97,836 行(skipped=4370 empty=6404)。
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#!/usr/bin/env python
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# scripts/factor_research/preaggregate_top_holders.py
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"""top_holders 十大流通股东 → (code, 期) 合计占比一次性预聚合.
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背景(P1-B 批 E13): static/top_holders/ 按股×期 108,610 个小文件
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(每文件 10 行),adapter 逐文件读全市场不可行——先聚合成单 parquet,
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adapter 只读聚合产物(期→法定披露截止的 PIT 映射在 adapter 做)。
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契约:
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- 输入文件名 {code}.{SH|SZ}_{YYYYMMDD}_top_holders.parquet(北交无文件,
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非契约文件名/坏文件跳过并计数)
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- hold_pct = 单文件「占总流通股本持股比例」(%,54.07=54%)求和,null 按 0
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- 输出列: file_code("600519.SH") / period(Date) / hold_pct(Float64) /
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n_holders(原始行数,sanity 用)
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- 幂等: dst 存在默认跳过返回既有内容(--force 重算)
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- 绝不写 static 树,输出到独立 factor_cache 目录
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用法(NAS 容器内真跑):
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python scripts/factor_research/preaggregate_top_holders.py \
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--src /volume1/stock/sanguo_vnpy_v2/data/static/top_holders \
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--dst /volume1/stock/sanguo_vnpy_v2/data/factor_cache/top_holders_agg.parquet
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预计耗时 ~5-15 分钟(108,610 个小文件顺序读)。
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"""
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from __future__ import annotations
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import argparse
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import os
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import re
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import sys
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import time
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from datetime import datetime
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import polars as pl
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DEFAULT_SRC = "/volume1/stock/sanguo_vnpy_v2/data/static/top_holders"
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DEFAULT_DST = "/volume1/stock/sanguo_vnpy_v2/data/factor_cache/top_holders_agg.parquet"
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_RATIO_COL = "占总流通股本持股比例"
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# 契约文件名: 6 位代码 + .SH/.SZ + 8 位期 + _top_holders.parquet(北交排除)
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_FNAME_RE = re.compile(r"^(\d{6}\.(?:SH|SZ))_(\d{8})_top_holders\.parquet$")
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_LOG_EVERY = 10000
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def _parse_filename(fname: str) -> tuple[str, object] | tuple[None, None]:
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"""文件名 → (file_code, period);非契约名返回 (None, None)."""
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m = _FNAME_RE.match(fname)
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if not m:
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return None, None
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try:
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period = datetime.strptime(m.group(2), "%Y%m%d").date()
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except ValueError:
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return None, None
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return m.group(1), period
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def aggregate(src: str, dst: str, force: bool = False,
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log_every: int = _LOG_EVERY) -> pl.DataFrame:
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"""扫描 src 全量文件按 (file_code, period) 求和占比,写出/返回聚合表."""
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if os.path.exists(dst) and not force:
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print(f"[preaggregate_top_holders] dst 已存在,跳过重算(--force 重算): {dst}")
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return pl.read_parquet(dst)
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if not os.path.isdir(src):
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raise SystemExit(f"[preaggregate_top_holders] src 不存在: {src}")
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files = sorted(f for f in os.listdir(src) if f.endswith(".parquet"))
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rows: list[dict] = []
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skipped = empty = 0
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t0 = time.time()
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for i, fname in enumerate(files, 1):
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file_code, period = _parse_filename(fname)
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if file_code is None:
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skipped += 1
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continue
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try:
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df = pl.read_parquet(os.path.join(src, fname), columns=[_RATIO_COL])
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except Exception:
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skipped += 1
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continue
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if df.height == 0:
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empty += 1
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continue
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# null 占比按 0(缺披露的席位不贡献,也不清零整期)
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hold_pct = df[_RATIO_COL].cast(pl.Float64, strict=False).fill_null(0.0).sum()
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rows.append({"file_code": file_code, "period": period,
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"hold_pct": float(hold_pct), "n_holders": df.height})
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if i % log_every == 0:
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el = time.time() - t0
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print(f"[preaggregate_top_holders] {i}/{len(files)} "
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f"({el:.0f}s, 均 {el / i * 1000:.1f}ms/文件)", file=sys.stderr)
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if not rows:
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raise SystemExit(f"[preaggregate_top_holders] src 无可用文件: {src}")
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out = pl.DataFrame(rows).sort(["file_code", "period"])
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os.makedirs(os.path.dirname(dst) or ".", exist_ok=True)
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out.write_parquet(dst)
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print(f"[preaggregate_top_holders] rows={out.height} files={len(files)} "
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f"skipped={skipped} empty={empty} → {dst} "
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f"({time.time() - t0:.1f}s)")
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return out
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def main(argv: list[str] | None = None) -> None:
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ap = argparse.ArgumentParser(description=__doc__.splitlines()[0])
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ap.add_argument("--src", default=DEFAULT_SRC, help="top_holders 原始目录")
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ap.add_argument("--dst", default=DEFAULT_DST, help="聚合产物 parquet 路径")
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ap.add_argument("--force", action="store_true", help="dst 存在也重算")
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args = ap.parse_args(argv)
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aggregate(args.src, args.dst, force=args.force)
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if __name__ == "__main__":
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main()
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# tests/factor/test_preaggregate_top_holders.py
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"""top_holders 预聚合一次性脚本: 108,610 小文件 → 单 parquet 聚合产物.
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契约(P1-B 任务书):
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- 输出 (file_code, period, hold_pct, n_holders),hold_pct = 单文件 10 行
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「占总流通股本持股比例」(%)求和;null 占比按 0
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- 幂等: dst 存在默认跳过(--force 重算);绝不写 static 树
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- 增减列混合类型(「不变」字符串)不参与求和,读入 coerce 不炸
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"""
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import os
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import sys
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from datetime import date
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sys.path.insert(0, os.path.abspath(os.path.join(os.path.dirname(__file__), "..", "..")))
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sys.path.insert(0, os.path.abspath(os.path.join(os.path.dirname(__file__), "..", "..", "vnpy_v4.4.0")))
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import polars as pl
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import pytest
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from scripts.factor_research.preaggregate_top_holders import aggregate, main
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def _write_file(root: str, file_code: str, period: str, ratios, with_null=False):
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os.makedirs(root, exist_ok=True)
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rows = []
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for r, ratio in enumerate(ratios):
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rows.append({
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"名次": r + 1, "股东名称": f"股东{r}", "股东性质": "基金",
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"股份类型": "流通A股", "持股数": 1000 + r,
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"占总流通股本持股比例": ratio,
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"增减": "不变" if r % 2 else f"{1000 + r}", # 混合类型
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"变动比率": 0.0,
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})
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if with_null:
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rows.append({"名次": 11, "股东名称": "股东10", "股东性质": "基金",
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"股份类型": "流通A股", "持股数": 1,
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"占总流通股本持股比例": None, "增减": "不变", "变动比率": 0.0})
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pl.DataFrame(rows).write_parquet(
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os.path.join(root, f"{file_code}_{period}_top_holders.parquet"))
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@pytest.fixture()
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def th_tree(tmp_path):
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root = str(tmp_path / "top_holders")
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_write_file(root, "600000.SH", "20221231", [6.0] * 10)
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# null 占比行(9 行有值 + 1 行 null → sum=45,不因 null 炸/漏)
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_write_file(root, "000001.SZ", "20221231", [5.0] * 9, with_null=True)
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_write_file(root, "600000.SH", "20230331", [6.5] * 10)
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return root
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def test_aggregate_sums_per_code_period(th_tree, tmp_path):
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dst = str(tmp_path / "factor_cache" / "agg.parquet")
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df = aggregate(th_tree, dst)
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assert set(df.columns) == {"file_code", "period", "hold_pct", "n_holders"}
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got = {(r["file_code"], r["period"]): r["hold_pct"] for r in df.iter_rows(named=True)}
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assert got == {
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("600000.SH", date(2022, 12, 31)): 60.0,
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("600000.SH", date(2023, 3, 31)): 65.0,
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("000001.SZ", date(2022, 12, 31)): 45.0, # null 行按 0,9×5.0
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}
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# n_holders = 原始行数(null 行也计入)
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n = {(r["file_code"], r["period"]): r["n_holders"] for r in df.iter_rows(named=True)}
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assert n[("000001.SZ", date(2022, 12, 31))] == 10
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def test_aggregate_idempotent_and_force(th_tree, tmp_path, capsys):
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dst = str(tmp_path / "factor_cache" / "agg.parquet")
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aggregate(th_tree, dst)
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first_mtime = os.path.getmtime(dst)
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# 已存在 → 跳过重算(mtime 不变)
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df2 = aggregate(th_tree, dst)
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assert os.path.getmtime(dst) == first_mtime
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assert df2.height == 3
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out = capsys.readouterr().out
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assert "跳过" in out
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# --force 重算(mtime 更新;新文件落盘触发)
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import time
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time.sleep(0.01)
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_write_file(th_tree, "600000.SH", "20230630", [6.2] * 10)
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aggregate(th_tree, dst, force=True)
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assert os.path.getmtime(dst) > first_mtime
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df3 = pl.read_parquet(dst)
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assert df3.height == 4
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def test_aggregate_skips_bad_filenames(th_tree, tmp_path):
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# 非契约文件名(北交/杂名)跳过不炸
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_write_file(th_tree, "920001.BJ", "20221231", [1.0] * 10)
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(tmp_path / "top_holders" / "notes.txt").write_text("junk")
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dst = str(tmp_path / "agg2.parquet")
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df = aggregate(th_tree, dst)
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assert df.filter(pl.col("file_code") == "920001.BJ").height == 0
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def test_main_cli(th_tree, tmp_path, capsys):
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dst = str(tmp_path / "cli" / "agg.parquet")
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main(["--src", th_tree, "--dst", dst])
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df = pl.read_parquet(dst)
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assert df.height == 3
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assert "rows" in capsys.readouterr().out
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