feat(factor): batch_eval接入财务因子——特征列join+端到端IC(财务批P0 WP3) [nas]
- run_batch_eval 增 fund_data_dir 参数;仅因子列表含 category=fundamental 时 build_fundamental_features(bars 的 codes+trading_dates) join 进 alpha_df (列白名单经 join 扩展,量价批零开销零改动路径) - __init__ 补挂 fundamental_library(import sanguo_factor 全家可见) - 端到端3测: 财务4因子IC落库/量价+财务混批/纯量价无静态域回归 - 修顺序依赖: 其它测试清 _REGISTRY 只重挂alpha → 本批两模块 autouse 幂等重注册 [nas] Co-Authored-By: Claude Code <noreply@anthropic.com>
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@@ -1,3 +1,4 @@
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"""Sanguo factor module for vnpy alpha strategies."""
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from . import library # noqa: F401 (triggers _register_all to register built-in factors)
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from . import alpha_datasets # noqa: F401 挂载 Alpha101/158(导入即注册)
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from . import fundamental_library # noqa: F401 财务因子 P0 批(导入即注册)
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@@ -22,6 +22,8 @@ from .registry import get_factor
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from . import eval_store
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from .metrics import summarize_factor
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from .fast_ops import register_fast_ops
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from . import fundamental_library # noqa: F401 财务因子 import 即注册(alpha_datasets 同模式)
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from .fundamental_adapter import build_fundamental_features, DEFAULT_STATIC_DIR
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def _forward_return_matrices(close_wide: pd.DataFrame, periods=(1, 5, 10)) -> dict[int, pd.DataFrame]:
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@@ -43,9 +45,15 @@ def run_batch_eval(
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cfg=None,
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progress_cb=None,
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vnpy_db_override: str | None = None,
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fund_data_dir: str | None = None,
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run_id: str | None = None,
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) -> dict:
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"""跑一轮批量评估,结果增量写入 eval_db,返回摘要."""
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"""跑一轮批量评估,结果增量写入 eval_db,返回摘要.
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fund_data_dir: 财务静态域根目录(None → cfg.data_paths["static_dir"] →
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NAS 默认 /volume1/stock/sanguo_vnpy_v2/data/static);仅当因子列表含
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category="fundamental" 时才读取并 join(量价批零开销)。
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"""
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from vnpy.alpha.dataset.utility import calculate_by_expression
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# Register fast polars operators (idempotent)
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@@ -63,6 +71,17 @@ def run_batch_eval(
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alpha_df = bars.select(["vt_symbol", "datetime", "open", "high", "low", "close",
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"volume", "turnover", "vwap"])
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# 财务因子批: 特征列 join 进 alpha_df(表达式引擎按列名直接消费;bars 释放前完成)
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fund_names = [n for n in factor_names
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if (get_factor(n) or {}).get("category") == "fundamental"]
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if fund_names:
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static_dir = fund_data_dir or cfg.data_paths.get("static_dir") or DEFAULT_STATIC_DIR
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feat_df = build_fundamental_features(
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codes=bars["vt_symbol"].unique().to_list(),
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start=start, end=end, data_dir=static_dir,
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trading_dates=bars["datetime"].unique().sort(),
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)
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alpha_df = alpha_df.join(feat_df, on=["vt_symbol", "datetime"], how="left")
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# Pre-compute per-symbol warmup cutoff dates (bar_idx >= WARMUP_BARS 的首日)
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# 用于替代 per-factor hash join，改为 pivot 后 pandas 广播掩码置 NaN
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cutoffs = (
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@@ -0,0 +1,101 @@
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# tests/factor/test_fundamental_batch.py
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"""财务因子批端到端: 合成行情库 + 合成静态域 → batch_eval 出 IC 指标."""
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import sqlite3
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import sys, os
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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 pytest
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from sanguo_factor import alpha_datasets # 挂载量价因子
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from sanguo_factor import fundamental_library # noqa: F401 挂载财务因子(import 即注册)
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from sanguo_factor.batch_eval import run_batch_eval
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from sanguo_factor import eval_store
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@pytest.fixture(autouse=True)
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def _ensure_fundamental_registered():
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"""其它测试模块清空 _REGISTRY 后只重挂 alpha/builtin(顺序依赖前科),
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这里逐测试幂等重注册财务因子,保证本模块与顺序无关."""
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fundamental_library._register_all()
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_DDL = """
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CREATE TABLE dbbardata(
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symbol TEXT, exchange TEXT, datetime TEXT, interval TEXT,
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volume REAL, turnover REAL, open_interest REAL,
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open_price REAL, high_price REAL, low_price REAL, close_price REAL)
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"""
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_STOCKS = [("600000", "SSE"), ("000001", "SZSE"), ("300001", "SZSE")]
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@pytest.fixture(scope="module")
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def db(tmp_path_factory):
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"""3 只 × 2022-06~2024-01 合成日线(与合成财务域同代码;趋势构造截面差异)."""
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alpha_datasets.mount_all()
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p = tmp_path_factory.mktemp("fb")
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db = str(p / "qt.db")
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conn = sqlite3.connect(db)
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conn.execute(_DDL)
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import pandas as pd
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days = pd.bdate_range("2022-06-01", "2024-01-05")
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drift = {"600000": 0.0012, "000001": -0.0006, "300001": 0.0004}
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base = {"600000": 10.0, "000001": 5.0, "300001": 20.0}
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for i, day in enumerate(days):
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d = day.strftime("%Y-%m-%d")
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rows = []
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for sym, ex in _STOCKS:
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px = base[sym] * (1.0 + drift[sym]) ** i
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rows.append((sym, ex, f"{d} 00:00:00", "d", 100.0, px * 100.0, 0,
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px, px, px, px))
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conn.executemany("INSERT INTO dbbardata VALUES(?,?,?,?,?,?,?,?,?,?,?)", rows)
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conn.commit()
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conn.close()
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return db
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def test_fundamental_end_to_end(db, synthetic_static, tmp_path):
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eval_db = str(tmp_path / "fund_eval.db")
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out = run_batch_eval(
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factor_names=["fund_roe_ttm", "fund_tacc", "fund_ep_ttm",
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"fund_forecast_type"],
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start="2023-02-01", end="2023-12-31",
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eval_db=eval_db, label="fund_t", cfg=None, vnpy_db_override=db,
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fund_data_dir=synthetic_static,
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)
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assert out["factors_done"] == 4
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assert out["errors"] == []
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for name in ("fund_roe_ttm", "fund_tacc", "fund_ep_ttm", "fund_forecast_type"):
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m = eval_store.get_detail(eval_db, out["run_id"], name)["metrics"]
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assert "error" not in m, f"{name}: {m.get('error')}"
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# 截面 3 只 → 逐日 rank IC 可算(预告因子 2023-07-15 后才有效, count 少但非零)
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assert isinstance(m["1"]["ic_mean"], float) or m["1"]["ic_mean"] is None
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assert m["1"]["count"] >= 0
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def test_mixed_batch_price_plus_fundamental(db, synthetic_static, tmp_path):
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"""量价+财务同批混跑: 白名单 join 只在含财务因子时发生,互不干扰."""
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eval_db = str(tmp_path / "mix_eval.db")
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out = run_batch_eval(
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factor_names=["ma_20", "fund_sue_np"],
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start="2023-02-01", end="2023-06-30",
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eval_db=eval_db, label="mix_t", cfg=None, vnpy_db_override=db,
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fund_data_dir=synthetic_static,
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)
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assert out["errors"] == []
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rows = eval_store.get_rows(eval_db, out["run_id"])
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assert {r["factor"] for r in rows} == {"ma_20", "fund_sue_np"}
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# SUE 在 2023-06-30 前可见的报告期均无完整 8 期窗 → 全 NaN → eliminated 非 error
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m = eval_store.get_detail(eval_db, out["run_id"], "fund_sue_np")["metrics"]
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assert "error" not in m
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def test_pure_price_batch_untouched(db, tmp_path):
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"""纯量价批不传静态域照常跑(回归: 未新增强依赖)."""
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eval_db = str(tmp_path / "px_eval.db")
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out = run_batch_eval(
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factor_names=["roc_5"], start="2023-02-01", end="2023-03-31",
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eval_db=eval_db, label="px_t", cfg=None, vnpy_db_override=db,
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)
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assert out["errors"] == []
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assert out["factors_done"] == 1
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