File size: 8,407 Bytes
590a501 | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 | """Bridge ML-Alpha-Research-System into web_development API."""
from __future__ import annotations
import asyncio
import sys
from pathlib import Path
from typing import Any
from fastapi import APIRouter, HTTPException
from pydantic import BaseModel, Field
WORKSPACE_ROOT = Path(__file__).resolve().parents[4]
if str(WORKSPACE_ROOT) not in sys.path:
sys.path.insert(0, str(WORKSPACE_ROOT))
router = APIRouter(prefix="/research", tags=["research"])
def _ensure_research_enabled():
from app.services.platform_manager import platform_manager
if not platform_manager.qlib_research_enabled:
raise HTTPException(
status_code=503,
detail="Qlib 研究模块未启动。请先 POST /api/platform/services/qlib_research/start",
)
class BacktestRequest(BaseModel):
strategy: str = "topk_dropout"
segment: str = "test"
start: str | None = None
end: str | None = None
class FactorAddRequest(BaseModel):
name: str
expression: str
description: str = ""
tags: str = "custom"
class OperatorTreeRequest(BaseModel):
name: str = "custom_factor"
tree: dict[str, Any] = Field(default_factory=dict)
@router.get("/health")
async def research_health():
from app.services.platform_manager import platform_manager
return {
"status": "ok" if platform_manager.qlib_research_enabled else "stopped",
"workspace": str(WORKSPACE_ROOT),
"modules": ["factor_registry", "operator_builder", "strategies", "quantaalpha"],
}
@router.get("/factors")
async def list_factors(enabled_only: bool = True):
_ensure_research_enabled()
from factor_engine.formula_registry import list_factor_specs
loop = asyncio.get_event_loop()
specs = await loop.run_in_executor(None, lambda: list_factor_specs(enabled_only=enabled_only))
factors = [
{
"name": s.name,
"expression": getattr(s, "expression", ""),
"description": s.description,
"tags": s.tags or [],
"category": (s.tags or ["custom"])[0],
"enabled": s.enabled,
}
for s in specs
]
return {"factors": factors}
@router.post("/factors/{name}/compute")
async def compute_factor_api(name: str):
_ensure_research_enabled()
from factor_engine.formula_registry import compute_factor
loop = asyncio.get_event_loop()
try:
series = await loop.run_in_executor(None, lambda: compute_factor(name, cache=True))
return {"name": name, "count": int(series.notna().sum()), "cached": True}
except Exception as exc:
raise HTTPException(status_code=400, detail=str(exc))
@router.post("/factors/{name}/backtest")
async def backtest_factor_api(name: str, body: BacktestRequest | None = None):
_ensure_research_enabled()
from factor_engine.single_factor_backtest import backtest_single_factor
body = body or BacktestRequest()
loop = asyncio.get_event_loop()
try:
result = await loop.run_in_executor(
None,
lambda: backtest_single_factor(
name,
strategy_name=body.strategy,
segment=body.segment,
start_time=body.start,
end_time=body.end,
),
)
return result
except Exception as exc:
raise HTTPException(status_code=400, detail=str(exc))
@router.get("/factors/summary")
async def factors_ic_summary():
_ensure_research_enabled()
import pandas as pd
from config.settings import load_settings
path = load_settings().factor_registry_output_dir() / "ic_summary.csv"
if not path.exists():
return []
df = pd.read_csv(path)
return df.to_dict(orient="records")
@router.post("/factors")
async def add_factor_api(body: FactorAddRequest):
_ensure_research_enabled()
from factor_engine.formula_registry import add_factor_to_registry
loop = asyncio.get_event_loop()
tags = [t.strip() for t in body.tags.split(",") if t.strip()]
spec = await loop.run_in_executor(
None,
lambda: add_factor_to_registry(body.name, body.expression, body.description, tags),
)
return {"name": spec.name, "expression": spec.expression}
@router.get("/operators")
async def list_operators():
_ensure_research_enabled()
from factor_engine.operator_builder import get_operator_catalog, list_built_factors
catalog = get_operator_catalog()
built = [
{"name": s.name, "description": s.description, "enabled": s.enabled}
for s in list_built_factors(enabled_only=False)
]
operators = []
for field in catalog.get("fields", []):
operators.append({"name": field, "category": "field", "description": "行情字段"})
for op in catalog.get("unary", []):
operators.append({"name": op, "category": "unary", "description": "一元算子"})
for op in catalog.get("binary", []):
operators.append({"name": op, "category": "binary", "description": "二元算子"})
for op in catalog.get("rolling", []):
operators.append({"name": op, "category": "rolling", "description": "滚动窗口算子"})
return {"catalog": catalog, "built_factors": built, "operators": operators}
@router.post("/operators/build")
async def build_operator_tree(body: OperatorTreeRequest):
_ensure_research_enabled()
from factor_engine.operator_builder import tree_to_qlib_expression
loop = asyncio.get_event_loop()
try:
expr = await loop.run_in_executor(None, lambda: tree_to_qlib_expression(body.tree))
return {"name": body.name, "expression": expr}
except Exception as exc:
raise HTTPException(status_code=400, detail=str(exc))
@router.post("/operators/{name}/build")
async def build_operator_factor(name: str, register: bool = True):
_ensure_research_enabled()
from factor_engine.operator_builder import build_expression, register_built_factor
loop = asyncio.get_event_loop()
try:
if register:
expr = await loop.run_in_executor(None, lambda: register_built_factor(name))
else:
expr = await loop.run_in_executor(None, lambda: build_expression(name))
return {"name": name, "expression": expr, "registered": register}
except Exception as exc:
raise HTTPException(status_code=400, detail=str(exc))
@router.get("/strategies")
async def list_research_strategies():
_ensure_research_enabled()
from strategies.registry import list_strategies
items = list_strategies()
strategies = [
{
"name": s.get("name"),
"description": s.get("description", ""),
"class": s.get("class_path", "builtins"),
}
for s in items
]
return {"strategies": strategies}
@router.post("/strategies/backtest")
async def run_strategy_backtest_api(body: dict[str, Any]):
_ensure_research_enabled()
from strategies.runner import run_strategy_backtest, save_backtest_result
from config.settings import load_settings
signal_source = body.get("signal_source") or {
"type": "factor_registry",
"name": body.get("factor_name", "momentum_5d"),
}
loop = asyncio.get_event_loop()
try:
result = await loop.run_in_executor(
None,
lambda: run_strategy_backtest(
strategy_name=body.get("strategy", "topk_dropout"),
signal_source=signal_source,
start_time=body.get("start"),
end_time=body.get("end"),
),
)
out = load_settings().output_root / "backtest" / body.get("strategy", "topk_dropout")
await loop.run_in_executor(None, lambda: save_backtest_result(result, out))
return {
"strategy": result.strategy_name,
"signal_stats": result.signal_stats,
"risk": result.risk.to_dict() if not result.risk.empty else {},
"output_dir": str(out),
}
except Exception as exc:
raise HTTPException(status_code=400, detail=str(exc))
@router.get("/strategies/suites")
async def list_strategy_suites():
_ensure_research_enabled()
import yaml
from config.settings import load_settings
path = load_settings().strategy_config_path
with open(path, encoding="utf-8") as f:
data = yaml.safe_load(f)
return data.get("suites", {})
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