def _genSpecificRisk(self):
Args = {"RiskDB":self.RiskDB,
"RiskESTDTs":self.RiskESTDTs,
"TargetTable":self.TargetTable,
"ModelArgs":self.Config.ModelArgs,
"FactorCovESTArgs":self.Config.FactorCovESTArgs,
"SpecificRiskESTArgs":self.Config.SpecificRiskESTArgs}
if Args["ModelArgs"]['运行模式']=='串行':
_SpecificRiskGeneration(Args)
else:
nTask = len(self.RiskESTDTs)
nPrcs = min((nTask,self.Config.ModelArgs["子进程数"]))
ProgBar = ProgressBar(max_value=nTask)
Procs, Main2SubQueue, Sub2MainQueue = startMultiProcess(pid="0", n_prc=nPrcs, target_fun=_SpecificRiskGeneration,
arg=Args, partition_arg=["RiskESTDTs"],
main2sub_queue="None", sub2main_queue="Single")
iProg = 0
ProgBar.start()
while (iProg<nTask):
iPID,iErrorCode,iMsg = Sub2MainQueue.get()
if iErrorCode==-1:
for iProc in Procs:
if iProc.is_alive(): iProc.terminate()
print('进程 '+iPID+' :运行失败:'+str(iMsg))
break
else:
iProg += 1
ProgBar.update(iProg)
ProgBar.finish()
for iPID,iPrcs in Procs.items(): iPrcs.join()
return 0
def _genFactorAndSpecificReturn(self):
Args = {"FT":self.FT,
"RiskDB":self.RiskDB,
"RegressDTs":self.RegressDTs,
"TargetTable":self.TargetTable,
"ModelArgs":self.Config.ModelArgs}
if Args["ModelArgs"]['运行模式']=='串行':
_FactorAndSpecificReturnGeneration(Args)
else:
nTask = len(self.RegressDTs)
nPrcs = min(nTask, self.Config.ModelArgs["子进程数"])
Procs,Main2SubQueue,Sub2MainQueue = startMultiProcess(pid="0", n_prc=nPrcs, target_fun=_FactorAndSpecificReturnGeneration,
arg=Args, partition_arg=["RegressDTs"], n_partition_tail=1,
main2sub_queue="None", sub2main_queue="Single")
iProg = 0
with ProgressBar(max_value=nTask) as ProgBar:
while (iProg<nTask):
iPID, iErrorCode, iMsg = Sub2MainQueue.get()
if iErrorCode==-1:
for iProc in Procs:
if iProc.is_alive(): iProc.terminate()
self._QS_Logger.error("进程: "+iPID+" 运行失败: "+str(iMsg))
break
else:
iProg += 1
ProgBar.update(iProg)
for iPID,iPrcs in Procs.items(): iPrcs.join()
return 0
def _runMultiProcs(self, subprocess_num):
nPrcs = min(subprocess_num, len(self.Modules))
Args = {
"mdl": self,
"module_inds": np.arange(len(self.Modules)).tolist(),
"OutputPipe": QSPipe()
}
TotalStartT = time.perf_counter()
print("==========历史回测==========", "1. 初始化", sep="\n", end="\n")
Procs, Main2SubQueue, Sub2MainQueue = startMultiProcess(
pid="0",
n_prc=nPrcs,
target_fun=_runModel,
arg=Args,
partition_arg=["module_inds"],
main2sub_queue=None,
sub2main_queue="Single")
nTask = nPrcs * len(self._QS_TestDateTimes)
InitStage, CalcStage, EndStage = 0, 0, 0
self._Output = {}
while True:
if CalcStage >= nTask:
ProgBar.finish()
print(
("耗时 : %.2f" % (time.perf_counter() - CalcStageStartT, )),
"3. 结果生成",
sep="\n",
end="\n")
CalcStage = -1
EndStageStartT = time.perf_counter()
if EndStage >= nPrcs:
print(("耗时 : %.2f" % (time.perf_counter() - EndStageStartT, )),
("总耗时 : %.2f" % (time.perf_counter() - TotalStartT, )),
"=" * 28,
sep="\n",
end="\n")
break
iStage = Sub2MainQueue.get()
if iStage == 0: # 初始化阶段
if InitStage == 0:
print(
("耗时 : %.2f" % (time.perf_counter() - TotalStartT, )),
"2. 循环计算",
sep="\n",
end="\n")
CalcStageStartT = time.perf_counter()
ProgBar = ProgressBar(max_value=nTask)
ProgBar.start()
InitStage += 1
elif iStage == 1: # 计算阶段
CalcStage += 1
ProgBar.update(CalcStage)
elif iStage == 2: # 结果生成阶段
EndStage += 1
self._Output.update(Args["OutputPipe"].get())
for iPID, iPrcs in Procs.items():
iPrcs.join()
return 0
def _genFactorCovariance(self):
Args = {"RiskDB":self.RiskDB,
"RiskESTDTs":self.RiskESTDTs,
"TargetTable":self.TargetTable,
"ModelArgs":self.Config.ModelArgs,
"FactorCovESTArgs":self.Config.FactorCovESTArgs,
"EigenfactorRiskAdjustmentArgs":self.Config.EigenfactorRiskAdjustmentArgs,
"FactorVolatilityRegimeAdjustmentArgs":self.Config.FactorVolatilityRegimeAdjustmentArgs}
if Args["ModelArgs"]['运行模式']=='串行':
_FactorCovarianceGeneration(Args)
else:
nTask = len(self.RiskESTDTs)
nPrcs = min((nTask,self.Config.ModelArgs["子进程数"]))
ProgBar = ProgressBar(max_value=nTask)
Procs,Main2SubQueue,Sub2MainQueue = startMultiProcess(pid="0", n_prc=nPrcs, target_fun=_FactorCovarianceGeneration,
arg=Args, partition_arg=["RiskESTDTs"],
main2sub_queue="None", sub2main_queue="Single")
iProg = 0
ProgBar.start()
while (iProg<nTask):
iPID,iErrorCode,iMsg = Sub2MainQueue.get()
if iErrorCode==-1:
for iProc in Procs:
if iProc.is_alive(): iProc.terminate()
print('进程 '+iPID+' :运行失败:'+str(iMsg))
break
else:
iProg += 1
ProgBar.update(iProg)
ProgBar.finish()
for iPID,iPrcs in Procs.items():
iPrcs.join()
#if self.Config.ModelArgs["FactorVolatilityRegimeAdjustment"]:# TODO
#print("Factor Volatility Regime Adjustment进行中...")
#FactorReturnDates = pd.Series(self.RiskDB.getFactorReturnDateTime(self.TargetTable))
#iFactorReturn = None
#iFactorReturnDates = []
#FactorVolatility = []# 用于FactorVolatilityRegimeAdjustment
#iSampleDates = []# 用于FactorVolatilityRegimeAdjustment
#for iDate in self.RiskESTDTs:
#iLastDates = iSampleDates
#iSampleDates = self.getTableDate(self.TargetTable,end_date=iDate)
#if self.Config.FactorVolatilityRegimeAdjustmentArgs["样本长度"]>0:
#iSampleDates = iSampleDates[max((0,len(iSampleDates)-1-self.Config.FactorVolatilityRegimeAdjustmentArgs["样本长度"])):]
#iNewSampleDates = list(set(iSampleDates).difference(set(iLastDates)))
#iNewSampleDates.sort()
#FactorVolatility = self.RiskDB.readFactorReturn(self.TargetTable,dates=None)
#iFactorVolatility = pd.Series(np.diag(iFactorCov)**0.5)
#print("Factor Volatility Regime Adjustment完成")
return 0