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akg-factor-bridge
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容器化改造

This commit is contained in:
zlt 2026-07-24 15:13:47 +08:00
parent d70ecc3d6c
commit 0bbd19f14d
1 changed files with 16 additions and 18 deletions
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30
factors.py
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@ -93,24 +93,20 @@ def build_upside(start, end):
cons = cons[cons["k"].isin(set(price["k"]))] cons = cons[cons["k"].isin(set(price["k"]))]
if cons.empty: if cons.empty:
return _EMPTY return _EMPTY
cons["asof_date"] = pd.to_datetime(cons["asof_date"]) # 强制两侧键同分辨率 datetime64[ns]（pandas 2.x 不同来源可能 us/ns 混，
price["trade_date"] = pd.to_datetime(price["trade_date"]) # merge_asof 会报 incompatible merge keys）
out = [] cons["asof_date"] = pd.to_datetime(cons["asof_date"]).astype("datetime64[ns]")
cons_sorted = cons.sort_values("asof_date") price["trade_date"] = pd.to_datetime(price["trade_date"]).astype("datetime64[ns]")
for k, pg in price.groupby("k"): left = price[["trade_date", "k", "close"]].sort_values("trade_date")
cg = cons_sorted[cons_sorted["k"] == k] right = cons[["asof_date", "k", "target_mid_avg"]].sort_values("asof_date")
if cg.empty: m = pd.merge_asof(left, right, left_on="trade_date", right_on="asof_date",
continue by="k", direction="backward") # 每股取 asof<=当日最新目标价
m = pd.merge_asof(pg.sort_values("trade_date"), m = m.dropna(subset=["target_mid_avg", "close"])
cg[["asof_date", "target_mid_avg"]],
left_on="trade_date", right_on="asof_date", direction="backward")
m = m.dropna(subset=["target_mid_avg"])
if m.empty: if m.empty:
continue return _EMPTY
m["factor_value"] = m["target_mid_avg"].astype(float) / m["close"] - 1.0 m["factor_value"] = m["target_mid_avg"].astype(float) / m["close"] - 1.0
m["stock_code"] = k m = m.rename(columns={"k": "stock_code"})
out.append(m[["trade_date", "stock_code", "factor_value"]]) return m[["trade_date", "stock_code", "factor_value"]]
return pd.concat(out) if out else _EMPTY
# ---------------------------------------------------------------- 事件 # ---------------------------------------------------------------- 事件
@ -132,6 +128,8 @@ def build_event(start, end):
ev = ev[ev["ts_code"].isin(uni)].copy() ev = ev[ev["ts_code"].isin(uni)].copy()
if ev.empty: if ev.empty:
return _EMPTY return _EMPTY
ev["event_type"] = ev["event_type"].fillna("")
ev["direction"] = ev["direction"].fillna("") # 多数事件无 direction(NULL→NaN)，先填空防 .strip 崩
ev["pol"] = [_polarity(t, d) for t, d in zip(ev["event_type"], ev["direction"])] ev["pol"] = [_polarity(t, d) for t, d in zip(ev["event_type"], ev["direction"])]
ev = ev[ev["pol"] != 0.0] ev = ev[ev["pol"] != 0.0]
if ev.empty: if ev.empty: