wehub-resource-sync
481 lines
15 KiB
Python
481 lines
15 KiB
Python
import json
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import shelve
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import pickle
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from pathlib import Path
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from datetime import datetime, timedelta
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from collections import defaultdict
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from functools import lru_cache
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import polars as pl
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from vnpy.trader.object import BarData
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from vnpy.trader.constant import Interval
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from vnpy.trader.utility import extract_vt_symbol
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from .logger import logger
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from .dataset import AlphaDataset, to_datetime
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from .model import AlphaModel
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class AlphaLab:
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"""Alpha Research Laboratory"""
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def __init__(self, lab_path: str) -> None:
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"""Constructor"""
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# Set data paths
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self.lab_path: Path = Path(lab_path)
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self.daily_path: Path = self.lab_path.joinpath("daily")
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self.minute_path: Path = self.lab_path.joinpath("minute")
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self.component_path: Path = self.lab_path.joinpath("component")
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self.dataset_path: Path = self.lab_path.joinpath("dataset")
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self.model_path: Path = self.lab_path.joinpath("model")
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self.signal_path: Path = self.lab_path.joinpath("signal")
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self.contract_path: Path = self.lab_path.joinpath("contract.json")
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# Create folders
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for path in [
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self.lab_path,
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self.daily_path,
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self.minute_path,
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self.component_path,
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self.dataset_path,
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self.model_path,
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self.signal_path
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]:
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if not path.exists():
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path.mkdir(parents=True)
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def save_bar_data(self, bars: list[BarData]) -> None:
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"""Save bar data"""
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if not bars:
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return
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# Get file path
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bar: BarData = bars[0]
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if bar.interval == Interval.DAILY:
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file_path: Path = self.daily_path.joinpath(f"{bar.vt_symbol}.parquet")
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elif bar.interval == Interval.MINUTE:
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file_path = self.minute_path.joinpath(f"{bar.vt_symbol}.parquet")
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elif bar.interval:
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logger.error(f"Unsupported interval {bar.interval.value}")
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return
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data: list = []
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for bar in bars:
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bar_data: dict = {
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"datetime": bar.datetime.replace(tzinfo=None),
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"open": bar.open_price,
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"high": bar.high_price,
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"low": bar.low_price,
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"close": bar.close_price,
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"volume": bar.volume,
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"turnover": bar.turnover,
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"open_interest": bar.open_interest
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}
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data.append(bar_data)
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new_df: pl.DataFrame = pl.DataFrame(data)
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# If file exists, read and merge
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if file_path.exists():
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old_df: pl.DataFrame = pl.read_parquet(file_path)
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new_df = pl.concat([old_df, new_df])
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new_df = new_df.unique(subset=["datetime"])
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new_df = new_df.sort("datetime")
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# Save to file
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new_df.write_parquet(file_path)
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def load_bar_data(
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self,
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vt_symbol: str,
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interval: Interval | str,
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start: datetime | str,
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end: datetime | str
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) -> list[BarData]:
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"""Load bar data"""
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# Convert types
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if isinstance(interval, str):
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interval = Interval(interval)
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start = to_datetime(start)
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end = to_datetime(end)
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# Get folder path
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if interval == Interval.DAILY:
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folder_path: Path = self.daily_path
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elif interval == Interval.MINUTE:
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folder_path = self.minute_path
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else:
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logger.error(f"Unsupported interval {interval.value}")
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return []
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# Check if file exists
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file_path: Path = folder_path.joinpath(f"{vt_symbol}.parquet")
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if not file_path.exists():
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logger.error(f"File {file_path} does not exist")
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return []
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# Open file
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df: pl.DataFrame = pl.read_parquet(file_path)
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# Filter by date range
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df = df.filter((pl.col("datetime") >= start) & (pl.col("datetime") <= end))
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# Convert to BarData objects
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bars: list[BarData] = []
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symbol, exchange = extract_vt_symbol(vt_symbol)
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for row in df.iter_rows(named=True):
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bar = BarData(
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symbol=symbol,
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exchange=exchange,
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datetime=row["datetime"],
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interval=interval,
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open_price=row["open"],
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high_price=row["high"],
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low_price=row["low"],
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close_price=row["close"],
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volume=row["volume"],
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turnover=row["turnover"],
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open_interest=row["open_interest"],
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gateway_name="DB"
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)
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bars.append(bar)
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return bars
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def load_bar_df(
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self,
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vt_symbols: list[str],
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interval: Interval | str,
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start: datetime | str,
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end: datetime | str,
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extended_days: int
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) -> pl.DataFrame | None:
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"""Load bar data as DataFrame"""
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if not vt_symbols:
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return None
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# Convert types
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if isinstance(interval, str):
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interval = Interval(interval)
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start = to_datetime(start) - timedelta(days=extended_days)
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end = to_datetime(end) + timedelta(days=extended_days // 10)
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# Get folder path
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if interval == Interval.DAILY:
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folder_path: Path = self.daily_path
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elif interval == Interval.MINUTE:
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folder_path = self.minute_path
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else:
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logger.error(f"Unsupported interval {interval.value}")
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return None
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# Read data for each symbol
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dfs: list = []
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for vt_symbol in vt_symbols:
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# Check if file exists
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file_path: Path = folder_path.joinpath(f"{vt_symbol}.parquet")
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if not file_path.exists():
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logger.error(f"File {file_path} does not exist")
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continue
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# Open file
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df: pl.DataFrame = pl.read_parquet(file_path)
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# Filter by date range
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df = df.filter((pl.col("datetime") >= start) & (pl.col("datetime") <= end))
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# Specify data types
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df = df.with_columns(
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pl.col("open"),
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pl.col("high"),
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pl.col("low"),
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pl.col("close"),
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pl.col("volume"),
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pl.col("turnover"),
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pl.col("open_interest"),
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(pl.col("turnover") / pl.col("volume")).alias("vwap")
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)
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# Check for empty data
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if df.is_empty():
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continue
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# Normalize prices
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close_0: float = df.select(pl.col("close")).item(0, 0)
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df = df.with_columns(
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(pl.col("open") / close_0).alias("open"),
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(pl.col("high") / close_0).alias("high"),
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(pl.col("low") / close_0).alias("low"),
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(pl.col("close") / close_0).alias("close"),
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)
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# Convert zeros to NaN for suspended trading days
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numeric_columns: list = df.columns[1:] # Extract numeric columns
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mask: pl.Series = df[numeric_columns].sum_horizontal() == 0 # Sum by row, if 0 then suspended
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df = df.with_columns( # Convert suspended day values to NaN
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[pl.when(mask).then(float("nan")).otherwise(pl.col(col)).alias(col) for col in numeric_columns]
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)
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# Add symbol column
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df = df.with_columns(pl.lit(vt_symbol).alias("vt_symbol"))
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# Cache in list
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dfs.append(df)
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# Concatenate results
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result_df: pl.DataFrame = pl.concat(dfs)
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return result_df
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def save_component_data(
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self,
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index_symbol: str,
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index_components: dict[str, list[str]]
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) -> None:
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"""Save index component data"""
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file_path: Path = self.component_path.joinpath(f"{index_symbol}")
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with shelve.open(str(file_path)) as db:
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db.update(index_components)
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@lru_cache # noqa
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def load_component_data(
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self,
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index_symbol: str,
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start: datetime | str,
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end: datetime | str
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) -> dict[datetime, list[str]]:
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"""Load index component data as DataFrame"""
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file_path: Path = self.component_path.joinpath(f"{index_symbol}")
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start = to_datetime(start)
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end = to_datetime(end)
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with shelve.open(str(file_path)) as db:
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keys: list[str] = list(db.keys())
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keys.sort()
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index_components: dict[datetime, list[str]] = {}
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for key in keys:
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dt: datetime = datetime.strptime(key, "%Y-%m-%d")
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if start <= dt <= end:
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index_components[dt] = db[key]
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return index_components
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def load_component_symbols(
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self,
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index_symbol: str,
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start: datetime | str,
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end: datetime | str
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) -> list[str]:
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"""Collect index component symbols"""
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index_components: dict[datetime, list[str]] = self.load_component_data(
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index_symbol,
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start,
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end
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)
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component_symbols: set[str] = set()
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for vt_symbols in index_components.values():
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component_symbols.update(vt_symbols)
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return list(component_symbols)
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def load_component_filters(
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self,
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index_symbol: str,
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start: datetime | str,
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end: datetime | str
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) -> dict[str, list[tuple[datetime, datetime]]]:
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"""Collect index component duration filters"""
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index_components: dict[datetime, list[str]] = self.load_component_data(
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index_symbol,
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start,
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end
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)
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# Get all trading dates and sort
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trading_dates: list[datetime] = sorted(index_components.keys())
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# Initialize component duration dictionary
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component_filters: dict[str, list[tuple[datetime, datetime]]] = defaultdict(list)
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# Get all component symbols
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all_symbols: set[str] = set()
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for vt_symbols in index_components.values():
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all_symbols.update(vt_symbols)
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# Iterate through each component to identify its duration in the index
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for vt_symbol in all_symbols:
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period_start: datetime | None = None
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period_end: datetime | None = None
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# Iterate through each trading day to identify continuous holding periods
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for trading_date in trading_dates:
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if vt_symbol in index_components[trading_date]:
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if period_start is None:
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period_start = trading_date
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period_end = trading_date
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else:
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if period_start and period_end:
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component_filters[vt_symbol].append((period_start, period_end))
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period_start = None
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period_end = None
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# Handle the last holding period
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if period_start and period_end:
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component_filters[vt_symbol].append((period_start, period_end))
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return component_filters
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def add_contract_setting(
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self,
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vt_symbol: str,
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long_rate: float,
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short_rate: float,
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size: float,
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pricetick: float
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) -> None:
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"""Add contract information"""
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contracts: dict = {}
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if self.contract_path.exists():
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with open(self.contract_path, encoding="UTF-8") as f:
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contracts = json.load(f)
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contracts[vt_symbol] = {
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"long_rate": long_rate,
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"short_rate": short_rate,
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"size": size,
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"pricetick": pricetick
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}
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with open(self.contract_path, mode="w+", encoding="UTF-8") as f:
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json.dump(
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contracts,
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f,
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indent=4,
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ensure_ascii=False
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)
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def load_contract_setttings(self) -> dict:
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"""Load contract settings"""
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contracts: dict = {}
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if self.contract_path.exists():
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with open(self.contract_path, encoding="UTF-8") as f:
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contracts = json.load(f)
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return contracts
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def save_dataset(self, name: str, dataset: AlphaDataset) -> None:
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"""Save dataset"""
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file_path: Path = self.dataset_path.joinpath(f"{name}.pkl")
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with open(file_path, mode="wb") as f:
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pickle.dump(dataset, f)
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def load_dataset(self, name: str) -> AlphaDataset | None:
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"""Load dataset"""
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file_path: Path = self.dataset_path.joinpath(f"{name}.pkl")
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if not file_path.exists():
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logger.error(f"Dataset file {name} does not exist")
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return None
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with open(file_path, mode="rb") as f:
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dataset: AlphaDataset = pickle.load(f)
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return dataset
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def remove_dataset(self, name: str) -> bool:
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"""Remove dataset"""
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file_path: Path = self.dataset_path.joinpath(f"{name}.pkl")
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if not file_path.exists():
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logger.error(f"Dataset file {name} does not exist")
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return False
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file_path.unlink()
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return True
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def list_all_datasets(self) -> list[str]:
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"""List all datasets"""
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return [file.stem for file in self.dataset_path.glob("*.pkl")]
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def save_model(self, name: str, model: AlphaModel) -> None:
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"""Save model"""
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file_path: Path = self.model_path.joinpath(f"{name}.pkl")
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with open(file_path, mode="wb") as f:
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pickle.dump(model, f)
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def load_model(self, name: str) -> AlphaModel | None:
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"""Load model"""
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file_path: Path = self.model_path.joinpath(f"{name}.pkl")
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if not file_path.exists():
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logger.error(f"Model file {name} does not exist")
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return None
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with open(file_path, mode="rb") as f:
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model: AlphaModel = pickle.load(f)
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return model
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def remove_model(self, name: str) -> bool:
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"""Remove model"""
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file_path: Path = self.model_path.joinpath(f"{name}.pkl")
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if not file_path.exists():
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logger.error(f"Model file {name} does not exist")
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return False
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file_path.unlink()
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return True
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def list_all_models(self) -> list[str]:
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"""List all models"""
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return [file.stem for file in self.model_path.glob("*.pkl")]
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def save_signal(self, name: str, signal: pl.DataFrame) -> None:
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"""Save signal"""
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file_path: Path = self.signal_path.joinpath(f"{name}.parquet")
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signal.write_parquet(file_path)
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def load_signal(self, name: str) -> pl.DataFrame | None:
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"""Load signal"""
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file_path: Path = self.signal_path.joinpath(f"{name}.parquet")
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if not file_path.exists():
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logger.error(f"Signal file {name} does not exist")
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return None
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return pl.read_parquet(file_path)
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def remove_signal(self, name: str) -> bool:
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"""Remove signal"""
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file_path: Path = self.signal_path.joinpath(f"{name}.parquet")
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if not file_path.exists():
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logger.error(f"Signal file {name} does not exist")
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return False
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file_path.unlink()
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return True
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def list_all_signals(self) -> list[str]:
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"""List all signals"""
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return [file.stem for file in self.signal_path.glob("*.parquet")]
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