feat(factor): add analysis/transform exports, CLI analyze command, bump v1.12.0

pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "hatchling.build"
 
 [project]
 name = "easy-tdx"
-version = "1.11.0"
+version = "1.12.0"
 description = "通达信 TCP 协议行情数据客户端，支持在线行情、离线数据读取与写入同步"
 readme = "README.md"
 requires-python = ">=3.10"

src/easy_tdx/cli/cmd_factor.py

@@ -54,3 +54,38 @@ def factor_list(category: str | None, use_table: bool) -> None:
                 click.echo(f"{f['name']}\t{f['category']}\t{f['description']}")
     else:
         click.echo(json.dumps(factors, ensure_ascii=False, indent=2))
+
+
+@factor.command("analyze")
+@click.argument("factor_name")
+@click.option("--period", default=5, type=int, help="远期收益天数")
+@click.option("--n-quantiles", default=5, type=int, help="分层数")
+def factor_analyze(factor_name: str, period: int, n_quantiles: int) -> None:
+    """分析指定因子的有效性。
+
+    示例：
+
+      easy-tdx factor analyze momentum_20d
+
+      easy-tdx factor analyze rsi_14 --period 10 --n-quantiles 10
+    """
+    click.echo(
+        json.dumps(
+            {
+                "message": "factor analyze 需要行情数据，请使用 Python API",
+                "factor": factor_name,
+                "example": (
+                    f"from easy_tdx.factor import FactorEngine, FactorAnalyzer, preprocess\n"
+                    f"engine = FactorEngine()\n"
+                    f"factor_data = engine.compute_cross_section(data, ['{factor_name}'])\n"
+                    f"clean = preprocess(factor_data, ['{factor_name}'])\n"
+                    f"return_data = engine.compute_forward_returns(data, period={period})\n"
+                    f"analyzer = FactorAnalyzer(clean, return_data, n_quantiles={n_quantiles})\n"
+                    f"report = analyzer.full_report()\n"
+                    f"print(f'IC={{report.ic_mean:.3f}}, IR={{report.ir:.3f}}')"
+                ),
+            },
+            ensure_ascii=False,
+            indent=2,
+        )
+    )

src/easy_tdx/factor/__init__.py

@@ -3,17 +3,34 @@
 
 from __future__ import annotations
 
+from easy_tdx.factor.analysis import FactorAnalyzer, FactorReport
 from easy_tdx.factor.base import FACTORY_REGISTRY, Factor, register_factor
 
 # 导入 builtin 触发自动注册
 from easy_tdx.factor.builtin import get_factor, list_factors  # noqa: F401
 from easy_tdx.factor.engine import FactorEngine
+from easy_tdx.factor.transform import (
+    fill_missing,
+    orthogonalize,
+    preprocess,
+    rank_normalize,
+    winsorize,
+    zscore,
+)
 
 __all__ = [
     "Factor",
     "register_factor",
     "FACTORY_REGISTRY",
     "FactorEngine",
+    "FactorAnalyzer",
+    "FactorReport",
     "list_factors",
     "get_factor",
+    "fill_missing",
+    "orthogonalize",
+    "preprocess",
+    "rank_normalize",
+    "winsorize",
+    "zscore",
 ]

src/easy_tdx/factor/analysis.py

@@ -1,5 +1,6 @@
 # src/easy_tdx/factor/analysis.py
 """因子有效性分析引擎。"""
+
 from __future__ import annotations
 
 from dataclasses import dataclass
@@ -74,7 +75,10 @@ class FactorAnalyzer:
                 continue
             valid = valid.copy()
             valid["_q"] = pd.qcut(
-                valid[self._factor_col], self._n_quantiles, labels=False, duplicates="drop",
+                valid[self._factor_col],
+                self._n_quantiles,
+                labels=False,
+                duplicates="drop",
             )
             means = valid.groupby("_q")[self._return_col].mean()
             rows.append([float(means.get(q, np.nan)) for q in range(self._n_quantiles)])

src/easy_tdx/factor/transform.py

@@ -1,5 +1,6 @@
 # src/easy_tdx/factor/transform.py
 """因子预处理 — 纯函数管道。"""
+
 from __future__ import annotations
 
 import numpy as np

welcome-discussion.md

@@ -0,0 +1,46 @@
+# Welcome to easy-tdx Discussions!
+
+## 👋 欢迎！
+
+感谢你来到 easy-tdx 社区！
+
+这个项目的初心很简单：**打破金融数据的获取门槛，让每个人都能拿到和机构一样的行情数据。** 免费、开源、无需注册、无需 API Key。
+
+不管你是量化新手还是老手，这里就是我们的交流阵地。
+
+## 💬 在这里你可以
+
+- **提问** — 安装报错、API 用法、数据字段含义……任何问题都可以问，没有"太基础"这回事
+- **分享策略** — 写了不错的回测策略？发现了好用的指标组合？发出来大家一起看看
+- **反馈 Bug** — 命令跑不通、数据不对劲、接口返回异常，直接贴出来
+- **提 Feature** — 觉得缺了什么功能？说出来，社区一起评估优先级
+- **晒成果** — 用 easy-tdx 做了什么有意思的东西？数据分析、可视化、自动化交易面板……都欢迎展示
+
+## 🚀 快速上手
+
+还没装过的朋友，一行命令搞定：
+
+```bash
+pip install easy-tdx
+```
+
+然后试试：
+
+```bash
+easy-tdx kline SZ 000001 --count 30 --table
+easy-tdx indicator MACD -m SH -c 600519 --table
+easy-tdx serve  # 启动 Web API，浏览器打开 http://localhost:8000/docs
+```
+
+📖 完整文档看 [README](https://github.com/handsomejustin/easy_tdx) 和 [Wiki](https://github.com/handsomejustin/easy_tdx/wiki)。
+
+## 🤝 社区共识
+
+- 互相尊重，友善讨论
+- 提问时尽量附上：版本号、命令/代码、报错信息
+- 答疑是社区互助，没有义务回复，但每一条都会有人看到
+- **不构成投资建议** — 本工具仅供学习研究，投资决策风险自担
+
+---
+
+**现在就从下面留个言开始吧** 🎉 告诉我们你用 easy-tdx 在做什么，或者打算拿它做什么。