Simon
0d05bfd187
- evaluation.factor_correlation_report：多因子共同日期 ∩ 后逐日横截面 Spearman 相关 取均值 → FactorCorrelationReport（冗余剔除前置，v3 §12 Correlation→Redundancy） - ResearchService.run_factor_correlation + POST /api/factor-correlations （universe/factors/period；与其它研究同装配口径） - tests/test_factor_correlation.py：矩阵对角=1/近线性±相关符号/对称/无共同日期补零、 API 冒烟；全量 pytest 通过
99 lines
3.1 KiB
Python
99 lines
3.1 KiB
Python
"""研究执行 API：/api/factor-tests 与 /api/backtests。
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Phase 3 为同步执行（样本有限）；Phase 4 将改为 Job + SSE 异步（接口契约不变）。
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最近一次结果在内存中可读，便于前端展示；持久化实验归档在 Phase 4。
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"""
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from __future__ import annotations
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from datetime import date
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from fastapi import APIRouter, HTTPException
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from pydantic import BaseModel, Field
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from app.api.deps import ResearchServiceDep
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from app.domain.entities.research import (
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BacktestResult,
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FactorCorrelationReport,
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FactorSpec,
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FactorTestReport,
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ResearchSpec,
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SelectionSpec,
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UniverseSpec,
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)
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from app.quant.factors import FactorError
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router = APIRouter(tags=["research"])
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# 内存中的最近结果（Phase 4 迁移到 Experiment 表）
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_LAST_BACKTEST: dict[str, BacktestResult] = {}
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_LAST_FACTOR_TEST: dict[str, FactorTestReport] = {}
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@router.post("/factor-tests", response_model=FactorTestReport, summary="运行单因子测试（同步）")
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def run_factor_test(
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spec: ResearchSpec,
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service: ResearchServiceDep,
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) -> FactorTestReport:
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try:
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report = service.run_factor_test(spec)
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except (ValueError, FactorError) as exc:
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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_LAST_FACTOR_TEST["default"] = report
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return report
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@router.post("/backtests", response_model=BacktestResult, summary="运行回测（同步）")
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def run_backtest(
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spec: ResearchSpec,
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service: ResearchServiceDep,
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) -> BacktestResult:
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try:
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result = service.run_backtest(spec)
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except (ValueError, FactorError) as exc:
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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_LAST_BACKTEST["default"] = result
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return result
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@router.get("/backtests/last", response_model=BacktestResult, summary="最近一次回测结果")
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def last_backtest() -> BacktestResult:
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if "default" not in _LAST_BACKTEST:
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raise HTTPException(status_code=404, detail="尚无回测结果，请先 POST /api/backtests")
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return _LAST_BACKTEST["default"]
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class FactorCorrelationRequest(BaseModel):
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"""因子相关性分析请求（v3 §12）。"""
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universe: UniverseSpec = UniverseSpec()
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factors: list[FactorSpec] = Field(min_length=2)
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period: tuple[date, date]
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price_adjustment: str = Field(default="none", pattern="^(none|qfq)$")
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@router.post(
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"/factor-correlations",
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response_model=FactorCorrelationReport,
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summary="多因子两两相关（横截面 Spearman）",
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)
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def run_factor_correlation(
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req: FactorCorrelationRequest,
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service: ResearchServiceDep,
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) -> FactorCorrelationReport:
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if req.period[0] >= req.period[1]:
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raise HTTPException(status_code=400, detail="period 必须满足 start < end")
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spec = ResearchSpec(
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type="factor_test",
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universe=req.universe,
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price_adjustment=req.price_adjustment,
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factors=req.factors,
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selection=SelectionSpec(top_n=10),
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rebalance="monthly",
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period=req.period,
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)
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try:
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return service.run_factor_correlation(spec)
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except (ValueError, FactorError) as exc:
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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