"""Factor formula registry: load, compute, cache, and export user-defined qlib expressions.""" from __future__ import annotations import json from dataclasses import dataclass from datetime import datetime from pathlib import Path from typing import Any import pandas as pd import yaml from config.settings import PROJECT_ROOT, load_settings from data_pipeline.factor_loader import load_qlib_expression_factor from data_pipeline.init_qlib import init_qlib DEFAULT_REGISTRY_PATH = PROJECT_ROOT / "config" / "factor_registry.yaml" @dataclass class FactorSpec: name: str expression: str description: str = "" tags: list[str] | None = None enabled: bool = True market: str | None = None label_expr: str | None = None @classmethod def from_dict(cls, name: str, data: dict[str, Any], defaults: dict[str, Any]) -> FactorSpec: return cls( name=name, expression=str(data["expression"]), description=data.get("description", ""), tags=data.get("tags") or [], enabled=bool(data.get("enabled", True)), market=data.get("market"), label_expr=data.get("label_expr", defaults.get("label_expr")), ) def load_registry(path: str | Path | None = None) -> dict[str, Any]: path = Path(path) if path else DEFAULT_REGISTRY_PATH if not path.is_absolute(): path = PROJECT_ROOT / path if not path.exists(): raise FileNotFoundError(f"Factor registry not found: {path}") with open(path, encoding="utf-8") as f: return yaml.safe_load(f) or {} def save_registry(data: dict[str, Any], path: str | Path | None = None) -> Path: path = Path(path) if path else DEFAULT_REGISTRY_PATH if not path.is_absolute(): path = PROJECT_ROOT / path with open(path, "w", encoding="utf-8") as f: yaml.safe_dump(data, f, allow_unicode=True, sort_keys=False) return path def list_factor_specs( path: str | Path | None = None, enabled_only: bool = False, tag: str | None = None, ) -> list[FactorSpec]: raw = load_registry(path) defaults = raw.get("defaults", {}) specs = [] for name, info in raw.get("factors", {}).items(): spec = FactorSpec.from_dict(name, info, defaults) if enabled_only and not spec.enabled: continue if tag and tag not in (spec.tags or []): continue specs.append(spec) return specs def get_factor_spec(name: str, path: str | Path | None = None) -> FactorSpec: for spec in list_factor_specs(path): if spec.name == name: return spec raise KeyError(f"Factor not found in registry: {name}") def add_factor_to_registry( name: str, expression: str, description: str = "", tags: list[str] | None = None, enabled: bool = True, path: str | Path | None = None, ) -> FactorSpec: path = Path(path) if path else DEFAULT_REGISTRY_PATH if not path.is_absolute(): path = PROJECT_ROOT / path data = load_registry(path) if path.exists() else {"defaults": {}, "factors": {}} data.setdefault("factors", {})[name] = { "expression": expression, "description": description, "tags": tags or ["custom"], "enabled": enabled, } save_registry(data, path) defaults = data.get("defaults", {}) return FactorSpec.from_dict(name, data["factors"][name], defaults) def registry_output_dir() -> Path: settings = load_settings() out = settings.output_root / "factors" / "registry" out.mkdir(parents=True, exist_ok=True) return out def compute_factor( name: str, start_time: str | None = None, end_time: str | None = None, cache: bool = True, registry_path: str | Path | None = None, ) -> pd.Series: """Compute a single registered factor via qlib D.features.""" spec = get_factor_spec(name, registry_path) settings = load_settings() start_time = start_time or settings.raw["data"]["start_time"] end_time = end_time or settings.raw["data"]["end_time"] series = load_qlib_expression_factor( expression=spec.expression, instruments=spec.market or settings.market, start_time=start_time, end_time=end_time, name=spec.name, ) if cache: out_dir = registry_output_dir() meta = { "name": spec.name, "expression": spec.expression, "description": spec.description, "computed_at": datetime.now().isoformat(), "start_time": start_time, "end_time": end_time, } with open(out_dir / f"{spec.name}.meta.json", "w", encoding="utf-8") as f: json.dump(meta, f, ensure_ascii=False, indent=2) series.to_frame(spec.name).to_parquet(out_dir / f"{spec.name}.parquet") return series def compute_all_factors( enabled_only: bool = True, start_time: str | None = None, end_time: str | None = None, cache: bool = True, registry_path: str | Path | None = None, ) -> dict[str, pd.Series]: results = {} for spec in list_factor_specs(registry_path, enabled_only=enabled_only): print(f"Computing factor: {spec.name} ...") results[spec.name] = compute_factor( spec.name, start_time=start_time, end_time=end_time, cache=cache, registry_path=registry_path, ) return results def factor_series_to_panel(series: pd.Series, factor_name: str | None = None) -> pd.DataFrame: """Convert qlib MultiIndex Series to long panel (date, symbol, factor).""" factor_name = factor_name or series.name or "factor" df = series.rename(factor_name).reset_index() df = df.rename(columns={"datetime": "date", "instrument": "symbol"}) df["date"] = pd.to_datetime(df["date"]) return df def build_combined_panel( factor_names: list[str] | None = None, enabled_only: bool = True, use_cache: bool = True, registry_path: str | Path | None = None, ) -> pd.DataFrame: """Merge multiple registry factors into one panel for multi-factor backtest.""" specs = list_factor_specs(registry_path, enabled_only=enabled_only) if factor_names: specs = [s for s in specs if s.name in factor_names] panels = [] out_dir = registry_output_dir() for spec in specs: cache_path = out_dir / f"{spec.name}.parquet" if use_cache and cache_path.exists(): part = pd.read_parquet(cache_path) part = part.reset_index() if isinstance(part.index, pd.MultiIndex) else part if "datetime" in part.columns: part = part.rename(columns={"datetime": "date", "instrument": "symbol"}) else: s = compute_factor(spec.name, cache=True, registry_path=registry_path) part = factor_series_to_panel(s, spec.name) col = spec.name if col not in part.columns: col = [c for c in part.columns if c not in ("date", "symbol")][0] panels.append(part[["date", "symbol", col]]) if not panels: raise ValueError("No factors to combine") merged = panels[0] for part in panels[1:]: merged = merged.merge(part, on=["date", "symbol"], how="outer") return merged.sort_values(["date", "symbol"]).reset_index(drop=True) def load_label_panel( start_time: str | None = None, end_time: str | None = None, label_expr: str | None = None, market: str | None = None, ) -> pd.DataFrame: settings = load_settings() init_qlib() from qlib.data import D market = market or settings.market start_time = start_time or settings.raw["data"]["start_time"] end_time = end_time or settings.raw["data"]["end_time"] label_expr = label_expr or settings.raw["data"].get("label_expr", "Ref($close, -2)/Ref($close, -1) - 1") label = D.features( D.instruments(market), [label_expr], start_time=start_time, end_time=end_time, freq=settings.freq, ) label.columns = ["label"] panel = label.reset_index().rename(columns={"datetime": "date", "instrument": "symbol"}) panel["date"] = pd.to_datetime(panel["date"]) return panel def build_signal_source_for_factor(name: str, registry_path: str | Path | None = None) -> dict[str, Any]: spec = get_factor_spec(name, registry_path) return { "type": "factor_registry", "name": spec.name, } def export_gp_seed_formulas(output_path: str | Path | None = None, enabled_only: bool = True) -> Path: """Export registry expressions as GP mining seed formulas (one per line).""" settings = load_settings() out = Path(output_path) if output_path else settings.output_root / "factors" / "gp_seed_formulas.txt" if not out.is_absolute(): out = PROJECT_ROOT / out out.parent.mkdir(parents=True, exist_ok=True) lines = [] for spec in list_factor_specs(enabled_only=enabled_only): lines.append(f"# {spec.name}: {spec.description}") lines.append(spec.expression) lines.append("") out.write_text("\n".join(lines), encoding="utf-8") return out