"""选股用例入口(ARCHITECTURE_v2 §14 Selection Engine · 业务层)。 - 输入:SelectionQuery(universe + method + factors/conditions + top_n/pct + as_of) - 装配:股票池(universe 过滤)→ 行情长表(含预热窗口)→ Selection Engine (method=score 因子评分 / method=condition 结构化条件) - 输出:SelectionResult(可解释:factor_values / filter_status / selection_reason) - 未来函数红线:行情只取 <= as_of;财务条件只取 announce_date <= as_of 的已公告值(v2 §9) MVP 为同步执行(单日全市场因子/条件计算量轻);如需异步可复用 Job 链路。 """ from __future__ import annotations from datetime import date, timedelta import pandas as pd from app.domain.entities.market import FinancialIndicator from app.domain.entities.selection import SelectionQuery, SelectionResult from app.domain.repositories.market import ( DailyBarRepository, FinancialRepository, StockRepository, ) from app.quant.selection import ( condition_needed_columns, factor_columns, run_condition_selection, run_score_selection, ) from app.quant.service import load_daily_df from app.quant.universe import filter_stocks, resolve_members _FUNDAMENTAL_PREFIX = "fundamental." class SelectionService: """选股用例入口:select(query) → SelectionResult(当前或历史 as_of)。""" def __init__( self, stock_repo: StockRepository, daily_repo: DailyBarRepository, financial_repo: FinancialRepository | None = None, index_repo=None, ) -> None: self._stock_repo = stock_repo self._daily_repo = daily_repo self._financial_repo = financial_repo self._index_repo = index_repo def select(self, query: SelectionQuery) -> SelectionResult: as_of = query.as_of or date.today() stocks = filter_stocks( self._stock_repo.list(), query.universe, as_of=as_of, members=resolve_members(self._index_repo, query.universe, as_of), ) if not stocks: return self._run(query, pd.DataFrame(), stocks, as_of, financial={}) symbols = [s.symbol for s in stocks] if query.method == "score": columns = sorted(factor_columns(query)) else: columns = sorted(condition_needed_columns(query)) daily = load_daily_df( self._daily_repo, symbols, as_of - timedelta(days=query.warmup_days), as_of, columns, adjust=query.price_adjustment, ) financial: dict[str, FinancialIndicator] = {} if query.method == "condition" and self._uses_fundamental(query): financial = self._load_financial(symbols, as_of) return self._run(query, daily, stocks, as_of, financial) # ---- 内部 ---- def _run( self, query: SelectionQuery, daily: pd.DataFrame, stocks: list, as_of: date, financial: dict[str, FinancialIndicator], ) -> SelectionResult: if query.method == "score": return run_score_selection(daily, query, as_of) return run_condition_selection(daily, stocks, query, as_of, financial) @staticmethod def _uses_fundamental(query: SelectionQuery) -> bool: for c in query.conditions: if c.field.startswith(_FUNDAMENTAL_PREFIX) or ( c.ref is not None and c.ref.startswith(_FUNDAMENTAL_PREFIX) ): return True return False def _load_financial( self, symbols: list[str], as_of: date ) -> dict[str, FinancialIndicator]: """按 announce_date <= as_of 批量取财务,每 symbol 保留最新一版。""" if self._financial_repo is None: raise ValueError("condition 引用了 fundamental.* 字段,但未注入 FinancialRepository") getter = getattr(self._financial_repo, "list_announced_many", None) if getter is not None: rows = list(getter(symbols, as_of)) else: # 回退逐只 rows = [] for sym in symbols: rows.extend(self._financial_repo.list_announced(sym, as_of)) by_symbol: dict[str, FinancialIndicator] = {} for row in rows: cur = by_symbol.get(row.symbol) if cur is None or (row.announce_date, row.report_date) > ( cur.announce_date, cur.report_date, ): by_symbol[row.symbol] = row return by_symbol