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https://ghfast.top/https://github.com/aeroxw/tick-stock-panel.git
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shy3130
e0cd625ef4
- 因子平台: /factors 一级页(检验/因子库/编辑器/组合/挖掘), DSL 公式因子(25 算子点选、双语字段、我的因子模板、脏公式守卫), 版本与生命周期, 自动挖掘 L1 统计筛选 - 因子↔策略四条桥: 触发器 Zap 快建因子条件信号、因子一键生成排名策略、自定义信号 AI 提示词接入因子分组、策略回测因子归因(胜/败单入场信号日因子均值, 独立 tab, 双语因子名) - 回测: 统计卡新增盈亏比(≥1 红/<1 绿), 蒙卡回撤合并为中位/95% 双值卡(自适应字号), 高级设置基础过滤与策略编辑器参数对齐(5 组区间) - 信号库独立页 /signals(原设置 tab 迁出), 持仓提醒入导航; 挖掘并入因子页第 5 tab, /mining 旧链接重定向 - 研究线配套: 因子目录 61→77(评分/矩阵双内核), stats_v2(Newey-West/BH-FDR/DSR), enriched 管道与异动/报价服务配套调整 - 文档: README 导航与特性表、features.md 因子平台章节、操作说明书 9.2、factor-platform-plan 执行状态与 §5、二开文档桥接说明; 交流与支持节改版 - 版本 0.2.2 → 0.2.3; 后端全量 1625 passed(1 例环境性跳过), 前端 build 通过
867 lines
34 KiB
Python
867 lines
34 KiB
Python
"""Persistent factor and strategy mining HTTP API."""
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from __future__ import annotations
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import asyncio
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import json
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import math
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from collections.abc import AsyncIterator, Mapping, Sequence
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from datetime import date
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from typing import Annotated, Any, Literal
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import polars as pl
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from fastapi import APIRouter, Header, HTTPException, Query, Request
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from pydantic import BaseModel, ConfigDict, Field, field_validator, model_validator
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from sse_starlette.sse import EventSourceResponse
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from app.backtest.mining import (
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MAX_BEAM_WIDTH,
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MAX_COMBINATION_SIZE,
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MAX_FINALISTS,
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evaluate_candidate_gate,
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)
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from app.enriched_generation import EnrichedGenerationUnavailableError
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from app.factors.registry import factor_columns_view
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from app.services import preferences
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from app.services.mining_jobs import (
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RUN_STATUSES,
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SUCCESS_RUN_STATUSES,
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TERMINAL_RUN_STATUSES,
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MiningRunStore,
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MiningRunStoreError,
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MiningRunValidationError,
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)
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from app.services.mining_preflight import (
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enriched_partition_dates,
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mining_availability,
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require_mining_availability,
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)
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from app.services.mining_schedule import (
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MINING_ALGORITHM_VERSION,
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build_data_fingerprint,
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)
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router = APIRouter(prefix="/api/backtest/mining", tags=["backtest"])
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# 校验时动态读取 (含运行期注册的自定义/复合因子)
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def _known_factor_ids() -> frozenset[str]:
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return frozenset(str(item["id"]) for item in factor_columns_view())
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_MAX_ARTIFACT_BYTES = 64 * 1024 * 1024
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_SSE_POLL_SECONDS = 0.5
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_SSE_HEARTBEAT_SECONDS = 15.0
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class MiningStartRequest(BaseModel):
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model_config = ConfigDict(extra="forbid", strict=True)
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factor_names: list[str] = Field(min_length=1, max_length=48)
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strategy_ids: list[str] = Field(default_factory=list, max_length=8)
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symbols: list[str] | None = None
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asset_type: Literal["stock", "etf"] = "stock"
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start: date | None = None
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end: date | None = None
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budget_profile: Literal["exploratory", "balanced", "strict"] = "balanced"
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commission_pct: float = Field(0.0002, ge=0.0, le=0.05, allow_inf_nan=False)
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stamp_tax_pct: float = Field(0.0005, ge=0.0, le=0.05, allow_inf_nan=False)
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slippage_bps: float = Field(5.0, ge=0.0, le=1000.0, allow_inf_nan=False)
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correlation_threshold: float = Field(0.75, gt=0.0, le=1.0, allow_inf_nan=False)
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max_combination_factors: int = Field(4, ge=1, le=MAX_COMBINATION_SIZE)
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beam_width: int = Field(12, ge=1, le=MAX_BEAM_WIDTH)
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max_finalists: int = Field(MAX_FINALISTS, ge=1, le=MAX_FINALISTS)
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force: bool = False
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@field_validator("start", "end", mode="before")
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@classmethod
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def _iso_dates(cls, value: Any) -> Any:
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if isinstance(value, str):
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try:
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return date.fromisoformat(value)
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except ValueError as exc:
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raise ValueError("dates must use ISO YYYY-MM-DD format") from exc
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return value
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@field_validator("factor_names", "strategy_ids")
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@classmethod
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def _unique_ids(cls, values: list[str]) -> list[str]:
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if any(not value or len(value) > 120 for value in values):
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raise ValueError("IDs must contain 1 to 120 characters")
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if len(set(values)) != len(values):
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raise ValueError("IDs must be unique")
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return values
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@field_validator("factor_names")
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@classmethod
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def _known_factors(cls, values: list[str]) -> list[str]:
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unknown = sorted(set(values) - _known_factor_ids())
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if unknown:
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raise ValueError(f"unknown mining factors: {unknown}")
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return values
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@field_validator("symbols")
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@classmethod
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def _symbols(cls, values: list[str] | None) -> list[str] | None:
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if values is None:
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return None
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cleaned = [value for value in values if value]
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if len(cleaned) > 10_000:
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raise ValueError("symbols contains more than 10000 entries")
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if len(set(cleaned)) != len(cleaned):
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raise ValueError("symbols must be unique")
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return cleaned or None
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@model_validator(mode="after")
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def _date_range(self) -> MiningStartRequest:
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if self.start is not None and self.end is not None and self.start > self.end:
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raise ValueError("start must not be after end")
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return self
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class MiningSchedulePatch(BaseModel):
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model_config = ConfigDict(extra="forbid", strict=True)
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mining_schedule_enabled: bool | None = None
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mining_schedule_weekday: int | None = Field(None, ge=0, le=4)
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mining_budget_profile: Literal["balanced", "strict"] | None = None
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class MiningAutoStartRequest(BaseModel):
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"""自动挖掘: 因子池由 L1 统计筛选自动生成, 不接受手动指定。"""
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model_config = ConfigDict(extra="forbid", strict=True)
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asset_type: Literal["stock", "etf"] = "stock"
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start: date | None = None
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end: date | None = None
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budget_profile: Literal["exploratory", "balanced", "strict"] = "balanced"
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commission_pct: float = Field(0.0002, ge=0.0, le=0.05, allow_inf_nan=False)
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stamp_tax_pct: float = Field(0.0005, ge=0.0, le=0.05, allow_inf_nan=False)
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slippage_bps: float = Field(5.0, ge=0.0, le=1000.0, allow_inf_nan=False)
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correlation_threshold: float = Field(0.75, gt=0.0, le=1.0, allow_inf_nan=False)
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force: bool = False
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@field_validator("start", "end", mode="before")
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@classmethod
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def _iso_dates(cls, value: Any) -> Any:
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if isinstance(value, str):
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try:
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return date.fromisoformat(value)
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except ValueError as exc:
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raise ValueError("dates must use ISO YYYY-MM-DD format") from exc
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return value
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@model_validator(mode="after")
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def _date_range(self) -> MiningAutoStartRequest:
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if self.start is not None and self.end is not None and self.start > self.end:
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raise ValueError("start must not be after end")
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return self
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@router.get("/availability")
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def get_availability(
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request: Request,
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asset_type: Annotated[Literal["stock", "etf"], Query()] = "stock",
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budget_profile: Annotated[
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Literal["exploratory", "balanced", "strict"], Query()
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] = "balanced",
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start: Annotated[date | None, Query()] = None,
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end: Annotated[date | None, Query()] = None,
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) -> dict[str, Any]:
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try:
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return mining_availability(
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request.app.state.repo.store.data_dir,
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asset_type=asset_type,
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budget_profile=budget_profile,
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start=start,
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end=end,
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).to_dict()
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except ValueError as exc:
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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@router.get("/runs")
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def list_runs(
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request: Request,
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limit: Annotated[int, Query(ge=1, le=200)] = 50,
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status: Annotated[list[str] | None, Query()] = None,
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) -> dict[str, Any]:
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manager = _manager(request)
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statuses = None
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if status:
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unknown = sorted(set(status) - RUN_STATUSES)
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if unknown:
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raise HTTPException(status_code=400, detail=f"unsupported mining statuses: {unknown}")
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statuses = status
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try:
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manifests = manager.store.list_runs(limit=limit, statuses=statuses)
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return {"items": [_project_run(manager.store, item) for item in manifests]}
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except MiningRunValidationError as exc:
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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except MiningRunStoreError as exc:
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raise HTTPException(status_code=500, detail="failed to read mining runs") from exc
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@router.post("/runs")
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def start_run(payload: MiningStartRequest, request: Request) -> dict[str, Any]:
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manager = _manager(request)
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worker_request = payload.model_dump(mode="json", exclude={"force"})
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try:
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_validate_selected_strategies(
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request.app.state.strategy_engine,
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payload.strategy_ids,
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payload.asset_type,
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)
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require_mining_availability(
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request.app.state.repo.store.data_dir,
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asset_type=payload.asset_type,
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budget_profile=payload.budget_profile,
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start=payload.start,
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end=payload.end,
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)
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fingerprint = build_data_fingerprint(
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request.app.state.repo,
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request.app.state,
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worker_request,
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)
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existing = None
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if not payload.force:
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from app.services.mining_jobs import (
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ACTIVE_RUN_STATUSES,
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SUCCESS_RUN_STATUSES,
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compute_run_signature,
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)
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signature = compute_run_signature(worker_request, fingerprint)
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existing = manager.store.find_by_signature(
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signature,
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statuses=ACTIVE_RUN_STATUSES | SUCCESS_RUN_STATUSES,
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)
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manifest = manager.start(
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worker_request,
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fingerprint,
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force=payload.force,
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source="manual",
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)
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projected = _project_run(manager.store, manifest)
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projected["reused"] = existing is not None
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return projected
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except (MiningRunValidationError, ValueError) as exc:
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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except EnrichedGenerationUnavailableError as exc:
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# build_data_fingerprint 读世代时撞上正在进行的 enriched 发布 (如盘后更新):
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# 映射为 400 带指引, 而不是 500 英文堆栈。
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raise HTTPException(
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status_code=400,
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detail="行情数据正在更新(enriched 发布中), 请等数据更新完成后再开始挖掘",
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) from exc
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except MiningRunStoreError as exc:
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raise HTTPException(status_code=500, detail="failed to persist mining run") from exc
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@router.get("/runs/{run_id}")
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def get_run(run_id: str, request: Request) -> dict[str, Any]:
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store = _manager(request).store
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return _project_run(store, _required_manifest(store, run_id))
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@router.post("/runs/{run_id}/cancel")
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def cancel_run(run_id: str, request: Request) -> dict[str, Any]:
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manager = _manager(request)
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try:
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return _project_run(manager.store, manager.cancel(run_id))
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except KeyError as exc:
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raise HTTPException(status_code=404, detail="mining run not found") from exc
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except MiningRunValidationError as exc:
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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@router.post("/auto")
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def start_auto_run(payload: MiningAutoStartRequest, request: Request) -> dict[str, Any]:
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"""自动挖掘: L1 统计筛选全量因子 → 达标池 → 复用挖掘任务管理启动嵌套样本外验证。
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筛选结果随请求持久化 (request.auto_screening), 供结果页展示达标因子清单与
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失败原因分布; 无达标因子时返回 started=false 而不是报错。
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"""
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from app.services.auto_mining import screen_all_factors
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manager = _manager(request)
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data_dir = request.app.state.repo.store.data_dir
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try:
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require_mining_availability(
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data_dir,
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asset_type=payload.asset_type,
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budget_profile=payload.budget_profile,
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start=payload.start,
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end=payload.end,
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)
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engine = getattr(request.app.state, "backtest_engine", None)
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if engine is None:
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from app.backtest.engine import BacktestEngine
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engine = BacktestEngine(request.app.state.repo)
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request.app.state.backtest_engine = engine
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all_dates = enriched_partition_dates(data_dir, payload.asset_type)
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screen_end = payload.end or (all_dates[-1] if all_dates else date.today())
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screening = screen_all_factors(
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engine,
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asset_type=payload.asset_type,
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start=payload.start,
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end=screen_end,
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profile=payload.budget_profile,
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)
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except (MiningRunValidationError, ValueError) as exc:
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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except EnrichedGenerationUnavailableError as exc:
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raise HTTPException(
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status_code=400,
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detail="行情数据正在更新(enriched 发布中), 请等数据更新完成后再开始挖掘",
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) from exc
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if not screening["pool"]:
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return {"started": False, "reason": "no_qualified_factors", "screening": screening}
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worker_request = {
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"factor_names": screening["pool"],
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"strategy_ids": [],
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"symbols": None,
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"asset_type": payload.asset_type,
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"start": payload.start.isoformat() if payload.start else None,
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"end": payload.end.isoformat() if payload.end else None,
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"budget_profile": payload.budget_profile,
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"commission_pct": payload.commission_pct,
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"stamp_tax_pct": payload.stamp_tax_pct,
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"slippage_bps": payload.slippage_bps,
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"correlation_threshold": payload.correlation_threshold,
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"max_combination_factors": 4,
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"beam_width": 12,
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"max_finalists": MAX_FINALISTS,
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"auto": True,
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"auto_screening": screening,
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}
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try:
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fingerprint = build_data_fingerprint(
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request.app.state.repo,
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request.app.state,
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worker_request,
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)
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manifest = manager.start(
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worker_request,
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fingerprint,
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force=payload.force,
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source="auto",
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)
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except (MiningRunValidationError, ValueError) as exc:
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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except EnrichedGenerationUnavailableError as exc:
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raise HTTPException(
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status_code=400,
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detail="行情数据正在更新(enriched 发布中), 请等数据更新完成后再开始挖掘",
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) from exc
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except MiningRunStoreError as exc:
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raise HTTPException(status_code=500, detail="failed to persist mining run") from exc
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return {"started": True, "run": _project_run(manager.store, manifest), "screening": screening}
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@router.get("/runs/{run_id}/result")
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def get_result(run_id: str, request: Request) -> dict[str, Any]:
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store = _manager(request).store
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manifest = _required_manifest(store, run_id)
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status = str(manifest["status"])
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if status not in SUCCESS_RUN_STATUSES:
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status_code = 409 if status not in TERMINAL_RUN_STATUSES else 422
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raise HTTPException(
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status_code=status_code,
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detail=f"mining result is unavailable for status {status}",
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)
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try:
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summary = store.read_summary(run_id)
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frames = {
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name: _read_registered_artifact(store, manifest, name)
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for name in ("factors", "correlation", "candidates", "folds")
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}
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return _project_result(manifest, summary, frames)
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except (
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MiningRunStoreError,
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OSError,
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pl.exceptions.PolarsError,
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ValueError,
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) as exc:
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raise HTTPException(
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status_code=500,
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detail="mining result artifacts are unavailable",
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) from exc
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|
|
|
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@router.get("/runs/{run_id}/events")
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def stream_events(
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run_id: str,
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request: Request,
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last_event_id: str | None = Header(None, alias="Last-Event-ID"),
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) -> EventSourceResponse:
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store = _manager(request).store
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_required_manifest(store, run_id)
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cursor = _event_cursor(last_event_id)
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async def generate() -> AsyncIterator[dict[str, str]]:
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nonlocal cursor
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last_emit = asyncio.get_running_loop().time()
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terminal_sent = False
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first_batch = True
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while not await request.is_disconnected():
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events = await asyncio.to_thread(store.read_events, run_id, after_id=cursor)
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if first_batch and events and int(events[0]["id"]) > cursor + 1:
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summary = await asyncio.to_thread(store.read_summary, run_id)
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progress = summary.get("progress")
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if isinstance(progress, Mapping):
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yield {
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"id": str(cursor),
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"event": "progress",
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"data": json.dumps(progress, ensure_ascii=False, allow_nan=False),
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}
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last_emit = asyncio.get_running_loop().time()
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first_batch = False
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for event in events:
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cursor = int(event["id"])
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event_type = "failed" if event.get("type") == "error" else str(event["type"])
|
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payload = dict(event.get("payload") or {})
|
|
if event_type in TERMINAL_RUN_STATUSES:
|
|
payload.setdefault("status", event_type)
|
|
terminal_sent = True
|
|
yield {
|
|
"id": str(cursor),
|
|
"event": event_type,
|
|
"data": json.dumps(payload, ensure_ascii=False, allow_nan=False),
|
|
}
|
|
last_emit = asyncio.get_running_loop().time()
|
|
manifest = await asyncio.to_thread(store.get, run_id)
|
|
if manifest is None:
|
|
return
|
|
status = str(manifest["status"])
|
|
if status in TERMINAL_RUN_STATUSES:
|
|
if not terminal_sent:
|
|
event_type = "failed" if status == "failed" else status
|
|
yield {
|
|
"id": str(cursor),
|
|
"event": event_type,
|
|
"data": json.dumps(
|
|
{"status": status, "message": manifest.get("error")},
|
|
ensure_ascii=False,
|
|
),
|
|
}
|
|
return
|
|
now = asyncio.get_running_loop().time()
|
|
if now - last_emit >= _SSE_HEARTBEAT_SECONDS:
|
|
yield {"event": "heartbeat", "data": "{}"}
|
|
last_emit = now
|
|
await asyncio.sleep(_SSE_POLL_SECONDS)
|
|
|
|
return EventSourceResponse(generate(), ping=_SSE_HEARTBEAT_SECONDS)
|
|
|
|
|
|
@router.post("/runs/{run_id}/candidates/{signature}/promote")
|
|
def promote_candidate(run_id: str, signature: str, request: Request) -> dict[str, Any]:
|
|
service = _candidate_service(request)
|
|
try:
|
|
return service.promote(run_id, signature)
|
|
except KeyError as exc:
|
|
raise HTTPException(status_code=404, detail="mining run or candidate not found") from exc
|
|
except ValueError as exc:
|
|
raise HTTPException(status_code=400, detail=str(exc)) from exc
|
|
except RuntimeError as exc:
|
|
raise HTTPException(status_code=500, detail=str(exc)) from exc
|
|
|
|
|
|
@router.post("/runs/{run_id}/candidates/{signature}/publish")
|
|
def publish_candidate(run_id: str, signature: str, request: Request) -> dict[str, Any]:
|
|
service = _candidate_service(request)
|
|
try:
|
|
return service.publish(run_id, signature)
|
|
except KeyError as exc:
|
|
raise HTTPException(status_code=404, detail="mining run or candidate not found") from exc
|
|
except FileExistsError as exc:
|
|
raise HTTPException(status_code=409, detail=str(exc)) from exc
|
|
except ValueError as exc:
|
|
raise HTTPException(status_code=400, detail=str(exc)) from exc
|
|
except RuntimeError as exc:
|
|
raise HTTPException(status_code=500, detail=str(exc)) from exc
|
|
|
|
|
|
@router.get("/config")
|
|
def get_config() -> dict[str, Any]:
|
|
return preferences.get_mining_schedule()
|
|
|
|
|
|
@router.patch("/config")
|
|
def update_config(payload: MiningSchedulePatch) -> dict[str, Any]:
|
|
current = preferences.get_mining_schedule()
|
|
updates = payload.model_dump(exclude_none=True)
|
|
if not updates:
|
|
raise HTTPException(status_code=400, detail="at least one mining config field is required")
|
|
merged = {**current, **updates}
|
|
try:
|
|
return preferences.set_mining_schedule(
|
|
merged["mining_schedule_enabled"],
|
|
merged["mining_schedule_weekday"],
|
|
merged["mining_budget_profile"],
|
|
)
|
|
except ValueError as exc:
|
|
raise HTTPException(status_code=400, detail=str(exc)) from exc
|
|
|
|
|
|
def _manager(request: Request):
|
|
manager = getattr(request.app.state, "mining_manager", None)
|
|
if manager is None:
|
|
raise HTTPException(status_code=503, detail="mining manager is unavailable")
|
|
return manager
|
|
|
|
|
|
def _candidate_service(request: Request):
|
|
service = getattr(request.app.state, "mining_candidate_service", None)
|
|
if service is not None:
|
|
return service
|
|
from app.backtest.candidates import CandidateStore
|
|
from app.services.mining_candidates import MiningCandidateService
|
|
|
|
manager = _manager(request)
|
|
data_dir = request.app.state.repo.store.data_dir
|
|
monitor_engine = getattr(request.app.state, "monitor_engine", None)
|
|
service = MiningCandidateService(
|
|
data_dir,
|
|
manager.store,
|
|
CandidateStore(data_dir),
|
|
request.app.state.strategy_engine,
|
|
monitor_state_invalidator=(
|
|
monitor_engine.invalidate_strategy_state
|
|
if monitor_engine is not None
|
|
else None
|
|
),
|
|
)
|
|
request.app.state.mining_candidate_service = service
|
|
return service
|
|
|
|
|
|
def _required_manifest(store: MiningRunStore, run_id: str) -> dict[str, Any]:
|
|
try:
|
|
manifest = store.get(run_id)
|
|
except MiningRunValidationError as exc:
|
|
raise HTTPException(status_code=400, detail=str(exc)) from exc
|
|
except MiningRunStoreError as exc:
|
|
raise HTTPException(status_code=500, detail="failed to read mining run") from exc
|
|
if manifest is None:
|
|
raise HTTPException(status_code=404, detail="mining run not found")
|
|
return manifest
|
|
|
|
|
|
def _project_run(store: MiningRunStore, manifest: Mapping[str, Any]) -> dict[str, Any]:
|
|
run_id = str(manifest["run_id"])
|
|
summary = store.read_summary(run_id)
|
|
events = store.read_events(run_id)
|
|
source = next(
|
|
(
|
|
event.get("payload", {}).get("source")
|
|
for event in events
|
|
if event.get("type") == "queued" and event.get("payload", {}).get("source")
|
|
),
|
|
None,
|
|
)
|
|
if source is None and isinstance(manifest.get("data_fingerprint"), Mapping):
|
|
source = manifest["data_fingerprint"].get("source")
|
|
compact = _summary_projection(summary) if manifest["status"] in SUCCESS_RUN_STATUSES else None
|
|
return {
|
|
"run_id": run_id,
|
|
"signature": manifest["run_signature"],
|
|
"status": manifest["status"],
|
|
"request": manifest.get("request") or {},
|
|
"source": source or "manual",
|
|
"created_at": manifest.get("created_at"),
|
|
"updated_at": manifest.get("updated_at"),
|
|
"started_at": manifest.get("started_at"),
|
|
"finished_at": manifest.get("finished_at"),
|
|
"data_as_of": summary.get("data_as_of"),
|
|
"progress": (
|
|
summary.get("progress")
|
|
if isinstance(summary.get("progress"), Mapping)
|
|
else None
|
|
),
|
|
"error": manifest.get("error"),
|
|
"summary": compact,
|
|
}
|
|
|
|
|
|
def _request_summary(manifest: Mapping[str, Any]) -> dict[str, Any]:
|
|
request = manifest.get("request") or {}
|
|
factor_names = request.get("factor_names")
|
|
strategy_ids = request.get("strategy_ids")
|
|
return {
|
|
"asset_type": request.get("asset_type") or "stock",
|
|
"budget_profile": request.get("budget_profile") or "balanced",
|
|
"start": request.get("start"),
|
|
"end": request.get("end"),
|
|
"factor_count": len(factor_names) if isinstance(factor_names, list) else 0,
|
|
"strategy_count": len(strategy_ids) if isinstance(strategy_ids, list) else 0,
|
|
"commission_pct": _finite(request.get("commission_pct")),
|
|
"stamp_tax_pct": _finite(request.get("stamp_tax_pct")),
|
|
"slippage_bps": _finite(request.get("slippage_bps")),
|
|
"correlation_threshold": _finite(request.get("correlation_threshold")),
|
|
}
|
|
|
|
|
|
def _summary_projection(summary: Mapping[str, Any]) -> dict[str, Any]:
|
|
worker = summary.get("worker") if isinstance(summary.get("worker"), Mapping) else {}
|
|
return {
|
|
"factor_count": int(summary.get("factor_count") or 0),
|
|
"selected_factor_count": int(summary.get("selected_factor_count") or 0),
|
|
"candidate_count": int(summary.get("candidate_count") or 0),
|
|
"valid_fold_count": int(summary.get("valid_fold_count") or 0),
|
|
"skipped_fold_count": int(summary.get("skipped_fold_count") or 0),
|
|
"confidence": summary.get("confidence") or "low",
|
|
"budget_exhausted": bool(summary.get("budget_exhausted", False)),
|
|
"elapsed_ms": _finite(summary.get("elapsed_ms")),
|
|
"peak_rss_bytes": _optional_int(worker.get("peak_rss_bytes")),
|
|
}
|
|
|
|
|
|
def _read_registered_artifact(
|
|
store: MiningRunStore,
|
|
manifest: Mapping[str, Any],
|
|
name: str,
|
|
) -> pl.DataFrame:
|
|
artifacts = manifest.get("artifacts")
|
|
if not isinstance(artifacts, Mapping) or name not in artifacts:
|
|
raise ValueError(f"mining artifact is not registered: {name}")
|
|
raw_path = artifacts[name]
|
|
if not isinstance(raw_path, str):
|
|
raise ValueError(f"mining artifact registration is invalid: {name}")
|
|
run_dir = store.artifact_path(str(manifest["run_id"]), name).parent # type: ignore[arg-type]
|
|
registered = (run_dir / raw_path).resolve()
|
|
if not registered.is_relative_to(run_dir.resolve()):
|
|
raise ValueError(f"mining artifact escapes its run directory: {name}")
|
|
if registered.suffix.lower() != ".parquet" or not registered.is_file():
|
|
raise ValueError(f"mining artifact is unavailable: {name}")
|
|
if registered.stat().st_size > _MAX_ARTIFACT_BYTES:
|
|
raise ValueError(f"mining artifact exceeds size limit: {name}")
|
|
return pl.read_parquet(registered)
|
|
|
|
|
|
def _project_result(
|
|
manifest: Mapping[str, Any],
|
|
summary: Mapping[str, Any],
|
|
frames: Mapping[str, pl.DataFrame],
|
|
) -> dict[str, Any]:
|
|
factors = [_clean_record(row) for row in frames["factors"].to_dicts()]
|
|
correlation = _project_correlation(frames["correlation"])
|
|
fold_records = [_project_fold(row) for row in frames["folds"].to_dicts()]
|
|
candidates = _project_candidates(frames["candidates"], fold_records)
|
|
selected_signature = candidates[0]["signature"] if candidates else None
|
|
folds = [
|
|
_public_fold(row)
|
|
for row in fold_records
|
|
if row["regime_state"] == "overall"
|
|
and (selected_signature is None or row["candidate_signature"] == selected_signature)
|
|
]
|
|
regimes = _project_regimes(fold_records, selected_signature)
|
|
worker = summary.get("worker") if isinstance(summary.get("worker"), Mapping) else {}
|
|
threshold = _finite((manifest.get("request") or {}).get("correlation_threshold"))
|
|
correlation["threshold"] = threshold if threshold is not None else 0.75
|
|
return {
|
|
"run_id": manifest["run_id"],
|
|
"methodology_version": summary.get("methodology_version") or "factor_v2",
|
|
"algorithm_version": summary.get("algorithm_version") or MINING_ALGORITHM_VERSION,
|
|
"data_as_of": summary.get("data_as_of"),
|
|
"request_summary": _request_summary(manifest),
|
|
"summary": _summary_projection(summary),
|
|
"factors": factors,
|
|
"correlation": correlation,
|
|
"regimes": regimes,
|
|
"candidates": candidates,
|
|
"folds": folds,
|
|
"telemetry": {
|
|
"elapsed_ms": _finite(summary.get("elapsed_ms")),
|
|
"peak_rss_bytes": _optional_int(worker.get("peak_rss_bytes")),
|
|
"panel_scans": _optional_int(summary.get("panel_scans")),
|
|
"matrix_bytes": _optional_int(summary.get("matrix_bytes")),
|
|
"serialized_result_bytes": _optional_int(worker.get("serialized_result_bytes")),
|
|
"phase_ms": _finite_mapping(summary.get("phase_ms")),
|
|
},
|
|
}
|
|
|
|
|
|
def _project_correlation(frame: pl.DataFrame) -> dict[str, Any]:
|
|
required = {"factor_x", "factor_y", "rho", "pair_count"}
|
|
if not required.issubset(frame.columns):
|
|
raise ValueError("correlation artifact schema is invalid")
|
|
labels = sorted(set(frame["factor_x"].to_list()) | set(frame["factor_y"].to_list()))
|
|
positions = {str(label): index for index, label in enumerate(labels)}
|
|
matrix: list[list[float | None]] = [[None for _ in labels] for _ in labels]
|
|
counts: list[list[int | None]] = [[None for _ in labels] for _ in labels]
|
|
for row in frame.iter_rows(named=True):
|
|
left = positions[str(row["factor_x"])]
|
|
right = positions[str(row["factor_y"])]
|
|
matrix[left][right] = _finite(row["rho"])
|
|
counts[left][right] = _optional_int(row["pair_count"])
|
|
return {"labels": labels, "matrix": matrix, "pair_counts": counts}
|
|
|
|
|
|
def _project_fold(row: Mapping[str, Any]) -> dict[str, Any]:
|
|
projected = _clean_record(row)
|
|
projected["selected_factors"] = _json_string_list(row.get("selected_factors_json"))
|
|
projected["candidate_signature"] = row.get("candidate_signature")
|
|
projected["regime_state"] = str(row.get("regime_state") or "overall")
|
|
projected["n_dates"] = int(row.get("n_dates") or 0)
|
|
return projected
|
|
|
|
|
|
def _public_fold(row: Mapping[str, Any]) -> dict[str, Any]:
|
|
return {
|
|
key: row.get(key)
|
|
for key in (
|
|
"fold", "label", "train_start", "train_end", "test_start", "test_end",
|
|
"selected_factors", "total_return", "sharpe", "max_drawdown", "n_trades",
|
|
"skipped", "reason", "evaluation_kind",
|
|
)
|
|
}
|
|
|
|
|
|
def _project_candidates(
|
|
frame: pl.DataFrame,
|
|
folds: Sequence[Mapping[str, Any]],
|
|
) -> list[dict[str, Any]]:
|
|
required = {"signature", "name", "kind", "factor_names_json", "confidence"}
|
|
if not required.issubset(frame.columns):
|
|
raise ValueError("candidates artifact schema is invalid")
|
|
candidates = []
|
|
for row in frame.to_dicts():
|
|
candidate = _clean_record(row)
|
|
candidate.pop("definition_json", None)
|
|
candidate.pop("factor_names_json", None)
|
|
candidate["factor_names"] = _json_string_list(row.get("factor_names_json"))
|
|
signature = str(row["signature"])
|
|
candidate["folds"] = [
|
|
_public_fold(fold)
|
|
for fold in folds
|
|
if fold["regime_state"] == "overall"
|
|
and fold["candidate_signature"] == signature
|
|
]
|
|
gate = evaluate_candidate_gate(
|
|
confidence=row.get("confidence"),
|
|
valid_folds=row.get("valid_folds"),
|
|
positive_fold_ratio=row.get("oos_positive_fold_ratio"),
|
|
sharpe=row.get("oos_sharpe"),
|
|
max_drawdown=row.get("oos_max_drawdown"),
|
|
n_trades=row.get("oos_n_trades"),
|
|
)
|
|
candidate["gate"] = {
|
|
"qualified": gate.qualified,
|
|
"reasons": list(gate.reasons),
|
|
}
|
|
candidates.append(candidate)
|
|
candidates.sort(
|
|
key=lambda item: (
|
|
-(item.get("oos_sharpe") if item.get("oos_sharpe") is not None else -math.inf),
|
|
str(item["signature"]),
|
|
)
|
|
)
|
|
return candidates
|
|
|
|
|
|
def _project_regimes(
|
|
folds: Sequence[Mapping[str, Any]],
|
|
signature: str | None,
|
|
) -> list[dict[str, Any]]:
|
|
labels = {"overall": "整体", "strong": "强势", "range": "震荡", "weak": "弱势"}
|
|
result = []
|
|
for state in ("overall", "strong", "range", "weak"):
|
|
rows = [
|
|
row
|
|
for row in folds
|
|
if row["regime_state"] == state
|
|
and (signature is None or row["candidate_signature"] == signature)
|
|
and not row.get("skipped")
|
|
]
|
|
result.append({
|
|
"state": state,
|
|
"label": labels[state],
|
|
"n_dates": sum(int(row.get("n_dates") or 0) for row in rows),
|
|
"total_return": _mean(row.get("total_return") for row in rows),
|
|
"sharpe": _mean(row.get("sharpe") for row in rows),
|
|
"max_drawdown": _minimum(row.get("max_drawdown") for row in rows),
|
|
})
|
|
return result
|
|
|
|
|
|
def _validate_selected_strategies(
|
|
strategy_engine: Any,
|
|
strategy_ids: Sequence[str],
|
|
asset_type: str,
|
|
) -> None:
|
|
for strategy_id in strategy_ids:
|
|
strategy = strategy_engine.get(strategy_id)
|
|
if strategy.meta.get("research_only"):
|
|
raise ValueError(f"research template cannot be mined as existing: {strategy_id}")
|
|
if strategy.execution_backend != "matrix_native":
|
|
raise ValueError(f"mining strategy is not matrix-native: {strategy_id}")
|
|
if "1d" not in strategy.meta.get("timeframes", ["1d"]):
|
|
raise ValueError(f"mining strategy is not daily-compatible: {strategy_id}")
|
|
if asset_type not in strategy.meta.get("asset_types", ["stock"]):
|
|
raise ValueError(f"mining strategy does not support {asset_type}: {strategy_id}")
|
|
|
|
|
|
def _event_cursor(value: str | None) -> int:
|
|
if value in (None, ""):
|
|
return 0
|
|
try:
|
|
cursor = int(value)
|
|
except ValueError as exc:
|
|
raise HTTPException(status_code=400, detail="Last-Event-ID must be an integer") from exc
|
|
if cursor < 0:
|
|
raise HTTPException(status_code=400, detail="Last-Event-ID must be non-negative")
|
|
return cursor
|
|
|
|
|
|
def _json_string_list(value: Any) -> list[str]:
|
|
if not isinstance(value, str):
|
|
return []
|
|
parsed = json.loads(value)
|
|
if not isinstance(parsed, list) or any(not isinstance(item, str) for item in parsed):
|
|
raise ValueError("artifact JSON list is invalid")
|
|
return parsed
|
|
|
|
|
|
def _clean_record(row: Mapping[str, Any]) -> dict[str, Any]:
|
|
return {
|
|
str(key): (_finite(value) if isinstance(value, float) else value)
|
|
for key, value in row.items()
|
|
}
|
|
|
|
|
|
def _finite(value: Any) -> float | None:
|
|
if value is None:
|
|
return None
|
|
try:
|
|
number = float(value)
|
|
except (TypeError, ValueError):
|
|
return None
|
|
return number if math.isfinite(number) else None
|
|
|
|
|
|
def _optional_int(value: Any) -> int | None:
|
|
number = _finite(value)
|
|
return int(number) if number is not None else None
|
|
|
|
|
|
def _finite_mapping(value: Any) -> dict[str, float] | None:
|
|
if not isinstance(value, Mapping):
|
|
return None
|
|
return {
|
|
str(key): number
|
|
for key, item in value.items()
|
|
if (number := _finite(item)) is not None
|
|
}
|
|
|
|
|
|
def _mean(values: Sequence[Any] | Any) -> float | None:
|
|
finite = [number for value in values if (number := _finite(value)) is not None]
|
|
return sum(finite) / len(finite) if finite else None
|
|
|
|
|
|
def _minimum(values: Sequence[Any] | Any) -> float | None:
|
|
finite = [number for value in values if (number := _finite(value)) is not None]
|
|
return min(finite) if finite else None
|