claude_dev
8972d1058f
添加 compute_factors 方法到 AlphaLabSession： - 在 __init__ 添加 _loaded_symbols 和 _loaded_bars 缓存 - load_symbols 现在缓存 bar 数据供 compute_factors 使用 - compute_factors 使用缓存的 bars 调用 AlphaDataset - 使用懒导入避免本地 Python 3.14 缺少 polars/vnpy.alpha 的 ImportError 测试 (container only): - test_compute_factors_calls_prepare_and_fetch 验证 AlphaDataset 调用 Co-Authored-By: Claude <noreply@anthropic.com>
90 lines
3.2 KiB
Python
90 lines
3.2 KiB
Python
"""AlphaLab session management - lazy import vnpy.alpha to avoid ImportError when alphalens missing."""
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import sys
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import os
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_VNPY_SRC = os.path.abspath(os.path.join(os.path.dirname(__file__), "..", "vnpy_v4.4.0"))
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if _VNPY_SRC not in sys.path:
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sys.path.insert(0, _VNPY_SRC)
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class AlphaLabSession:
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"""Session manager for vnpy.alpha AlphaLab operations."""
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def __init__(self, lab_path: str):
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"""
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Initialize AlphaLab session.
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Args:
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lab_path: Path to AlphaLab directory
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"""
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from vnpy.alpha.lab import AlphaLab
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self.lab_path = lab_path
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self.lab = AlphaLab(lab_path)
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self._loaded_symbols: list[str] = []
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self._loaded_bars: dict[str, list] = {}
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def load_symbols(self, symbols: list[str], start: str, end: str, cfg) -> None:
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"""
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Load symbol data from database and save to AlphaLab.
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Args:
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symbols: List of vt_symbols to load
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start: Start date (YYYY-MM-DD)
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end: End date (YYYY-MM-DD)
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cfg: Database configuration object
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"""
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from sanguo_data.datareader import read_db_daily
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from .data_adapter import save_alpha_lab_data
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for symbol in symbols:
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bars = read_db_daily(symbol, start, end, cfg)
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if bars:
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save_alpha_lab_data(bars, self.lab_path)
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# Cache bars for compute_factors
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if symbol not in self._loaded_symbols:
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self._loaded_symbols.append(symbol)
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self._loaded_bars[symbol] = bars
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def compute_factors(self, factor_names: list[str], train_period: tuple, valid_period: tuple, test_period: tuple):
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"""
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Compute factors using cached bars and vnpy.alpha AlphaDataset.
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Args:
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factor_names: List of factor names to compute
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train_period: Training period tuple (start, end)
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valid_period: Validation period tuple (start, end)
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test_period: Test period tuple (start, end)
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Returns:
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polars DataFrame with computed factors for test period
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"""
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# Lazy imports to avoid ImportError on local Python 3.14 without polars/vnpy.alpha
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import polars as pl
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from vnpy.alpha.dataset import AlphaDataset, Segment
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from .registry import get_factor
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from .data_adapter import convert_bars_to_alpha_df
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# Gather all cached bars across loaded symbols
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all_bars = []
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for symbol in self._loaded_symbols:
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all_bars.extend(self._loaded_bars.get(symbol, []))
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# Convert bars to AlphaLab DataFrame format
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df = convert_bars_to_alpha_df(all_bars)
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# Create AlphaDataset with the specified periods
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ds = AlphaDataset(df, train_period, valid_period, test_period)
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# Add each factor to the dataset
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for name in factor_names:
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factor = get_factor(name)
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if factor is None:
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continue # Skip unknown factors
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ds.add_feature(name, factor["expression"])
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# Prepare data (compute features)
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ds.prepare_data(max_workers=1)
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# Return test period data
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return ds.fetch_raw(Segment.TEST)
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