72 lines
2.4 KiB
Python
72 lines
2.4 KiB
Python
"""Phase 1 BarData → vnpy.alpha AlphaLab polars 格式转换。"""
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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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import polars as pl
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from pathlib import Path
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from vnpy.trader.object import BarData
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def convert_bars_to_alpha_df(bars: list[BarData]) -> pl.DataFrame:
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"""
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Convert vnpy BarData list to AlphaLab polars DataFrame format.
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Args:
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bars: List of BarData objects from Phase 1 read_db_daily
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Returns:
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polars DataFrame with columns: vt_symbol, datetime, open, high, low, close, volume, turnover, open_interest, vwap
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Note:
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SPIKE CORRECTION: AlphaLab.save_bar_data stores parquet columns as
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datetime, vt_symbol, open, high, low, close, volume, turnover, open_interest
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(NOT open_price, close_price - this was corrected in S1 spike testing)
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vwap: turnover/volume 派生(volume=0 置null),Alpha101 表达式依赖
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"""
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if not bars:
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return pl.DataFrame(schema={
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"vt_symbol": pl.Utf8,
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"datetime": pl.Datetime,
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"open": pl.Float64,
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"high": pl.Float64,
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"low": pl.Float64,
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"close": pl.Float64,
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"volume": pl.Float64,
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"turnover": pl.Float64,
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"open_interest": pl.Float64,
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"vwap": pl.Float64,
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})
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return pl.DataFrame({
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"vt_symbol": [b.vt_symbol for b in bars],
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"datetime": [b.datetime for b in bars],
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"open": [b.open_price for b in bars],
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"high": [b.high_price for b in bars],
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"low": [b.low_price for b in bars],
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"close": [b.close_price for b in bars],
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"volume": [float(b.volume) for b in bars],
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"turnover": [float(b.turnover) if b.turnover is not None else 0.0 for b in bars],
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"open_interest": [float(b.open_interest) if b.open_interest is not None else 0.0 for b in bars],
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"vwap": [(b.turnover / b.volume) if (b.turnover and b.volume) else None for b in bars],
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})
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def save_alpha_lab_data(bars: list[BarData], lab_path: str) -> Path:
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"""
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Save BarData to AlphaLab format for vnpy.alpha usage.
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Args:
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bars: List of BarData objects
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lab_path: Path to AlphaLab directory
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Returns:
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Path to the saved daily data file
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"""
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from vnpy.alpha.lab import AlphaLab
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lab = AlphaLab(lab_path)
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lab.save_bar_data(bars)
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return lab.daily_path |