def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(dict(self._BenchmarkFT.getFactorMetaData(key="DataType")))
self.add_trait("BenchmarkPrice", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="基准价格", order=6))
self.BenchmarkPrice = searchNameInStrList(DefaultNumFactorList, ['价','Price','price'])
self.BenchmarkID = self._BenchmarkFT.getID(ifactor_name=self.BenchmarkPrice)[0]
if self._RateFT is not None:
DefaultNumFactorList, DefaultStrFactorList = getFactorList(dict(self._RateFT.getFactorMetaData(key="DataType")))
self.add_trait("RiskFreeRate", Enum(None, *DefaultNumFactorList, arg_type="SingleOption", label="无风险利率", order=8))
return super().__QS_initArgs__()
def _on_FactorTable_changed(self, obj, name, old, new):
if self.FactorTable is not None:
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self.FactorTable.getFactorMetaData(key="DataType")))
self.add_trait(
"PriceFactor",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="价格因子",
order=1))
self.PriceFactor = searchNameInStrList(DefaultNumFactorList,
['价', 'Price', 'price'])
self.add_trait(
"BenchmarkID",
Enum(*self.FactorTable.getID(ifactor_name=self.PriceFactor),
arg_type="SingleOption",
label="基准ID",
order=2))
else:
self.add_trait(
"PriceFactor",
Enum(None, arg_type="SingleOption", label="价格因子", order=1))
self.add_trait(
"BenchmarkID",
Enum(None, arg_type="SingleOption", label="基准ID", order=2))
def __QS_initArgs__(self):
super().__QS_initArgs__()
DefaultNumFactorList, DefaultStrFactorList = getFactorList(dict(self._MarketFT.getFactorMetaData(key="DataType")))
self.add_trait("Last", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="最新价", order=6, option_range=DefaultNumFactorList))
self.Last = searchNameInStrList(DefaultNumFactorList, ['新','收','Last','last','close','Close'])
self.BuyLimit = _TradeLimit(account=self, direction="Buy")
self.SellLimit = _TradeLimit(account=self, direction="Sell")
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(dict(self._FactorTable.getFactorMetaData(key="DataType")))
self.add_trait("TestFactor", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="测试因子", order=0))
self.add_trait("PriceFactor", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="价格因子", order=2))
self.PriceFactor = searchNameInStrList(DefaultNumFactorList, ['价','Price','price'])
self.add_trait("ClassFactor", Enum(*(["无"]+DefaultStrFactorList), arg_type="SingleOption", label="类别因子", order=3))
self.add_trait("WeightFactor", Enum(*(["等权"]+DefaultNumFactorList), arg_type="SingleOption", label="权重因子", order=4))
def __QS_initArgs__(self):
self.remove_trait("LongWeightAlloction")
self.remove_trait("ShortWeightAlloction")
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._FT.getFactorMetaData(key="DataType")))
DefaultNumFactorList.insert(0, None)
self.add_trait(
"ExpectedReturn",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="预期收益",
order=5))
self.add_trait(
"BenchmarkFactor",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="基准权重",
order=7))
self.add_trait(
"AmountFactor",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="成交金额",
order=8))
self.SignalAdjustment = _SignalAdjustment()
return Strategy.__QS_initArgs__(self)
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._FactorTable.getFactorMetaData(key="DataType")))
self.add_trait(
"Portfolio",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="策略组合",
order=0))
self.add_trait(
"BenchmarkPortfolio",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="基准组合",
order=1))
self.add_trait(
"GroupFactor",
Enum(*DefaultStrFactorList,
arg_type="SingleOption",
label="资产类别",
order=2))
self.add_trait(
"PriceFactor",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="价格因子",
order=3))
self.PriceFactor = searchNameInStrList(DefaultNumFactorList,
['价', 'Price', 'price'])
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._FactorTable.getFactorMetaData(key="DataType")))
self.add_trait(
"TestFactors",
ListStr(arg_type="MultiOption",
label="测试因子",
order=0,
option_range=tuple(DefaultNumFactorList)))
self.TestFactors.append(DefaultNumFactorList[0])
self.add_trait(
"PriceFactor",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="价格因子",
order=2))
self.PriceFactor = searchNameInStrList(DefaultNumFactorList,
['价', 'Price', 'price'])
self.add_trait(
"IndustryFactor",
Enum(*(["无"] + DefaultStrFactorList),
arg_type="SingleOption",
label="行业因子",
order=3))
self.add_trait(
"WeightFactor",
Enum(*(["等权"] + DefaultNumFactorList),
arg_type="SingleOption",
label="权重因子",
order=4))
def __QS_initArgs__(self):
super().__QS_initArgs__()
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._MarketFT.getFactorMetaData(key="DataType")))
DefaultNumFactorList.insert(0, None)
self.add_trait(
"Last",
Enum(*DefaultNumFactorList[1:],
arg_type="SingleOption",
label="最新价",
order=0))
self.add_trait(
"TradePrice",
Enum(*DefaultNumFactorList[1:],
arg_type="SingleOption",
label="成交价",
order=1))
self.add_trait(
"Amt",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="成交额",
order=2))
self.TradePrice = self.Last = searchNameInStrList(
DefaultNumFactorList[1:],
['新', '收', 'Last', 'last', 'close', 'Close'])
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(dict(self._FT.getFactorMetaData(key="DataType")))
self.add_trait("ExDate", Enum(*DefaultStrFactorList, arg_type="SingleOption", label="除息日", order=0))
self.add_trait("PayDate", Enum(*DefaultStrFactorList, arg_type="SingleOption", label="付息日", order=1))
self.add_trait("Interest", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="每手付息数", order=2))
self.add_trait("Principal", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="每手兑付本金数", order=3))
self.ExDate = searchNameInStrList(DefaultStrFactorList, ["除"])
self.PayDate = searchNameInStrList(DefaultStrFactorList, ["付"])
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._TargetTable.getFactorMetaData(key="DataType")))
self.add_trait(
"TargetNAV",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="目标净值",
order=0))
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._StyleTable.getFactorMetaData(key="DataType")))
self.add_trait(
"StyleNAV",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="风格净值",
order=2))
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._FactorTable.getFactorMetaData(key="DataType")))
self.add_trait(
"TestFactors",
ListStr(arg_type="MultiOption",
label="测试因子",
order=0,
option_range=tuple(DefaultNumFactorList)))
self.TestFactors.append(DefaultNumFactorList[0])
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(dict(self._FT.getFactorMetaData(key="DataType")))
DefaultNumFactorList.insert(0, None)
self.add_trait("Open", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="开盘价", order=0))
self.add_trait("High", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="最高价", order=1))
self.add_trait("Low", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="最低价", order=2))
self.add_trait("Last", Enum(*DefaultNumFactorList[1:], arg_type="SingleOption", label="最新价", order=3))
self.add_trait("Vol", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="成交量", order=4))
self.add_trait("TradePrice", Enum(*DefaultNumFactorList[1:], arg_type="SingleOption", label="成交价", order=5))
self.TradePrice = self.Last = searchNameInStrList(DefaultNumFactorList[1:], ['新','收','Last','last','close','Close'])
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._FactorTable.getFactorMetaData(key="DataType")))
self.add_trait(
"TestFactor",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="测试因子",
order=0))
self.FactorIDs = self._FactorTable.getID()
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._PriceTable.getFactorMetaData(key="DataType")))
self.add_trait(
"PriceFactor",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="价格因子",
order=3))
self.PriceFactor = searchNameInStrList(DefaultNumFactorList,
["价", "Price", "price"])
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._FactorTable.getFactorMetaData(key="DataType")))
self.add_trait(
"PriceFactor",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="价格因子",
order=0))
self.PriceFactor = searchNameInStrList(DefaultNumFactorList,
['价', 'Price', 'price'])
def __QS_initArgs__(self):
self.TurnoverBuffer = _TurnoverBuffer()
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._FT.getFactorMetaData(key="DataType")))
self.add_trait(
"TargetFactor",
Enum(*DefaultNumFactorList,
label="目标因子",
arg_type="SingleOption",
order=2))
self.GroupFactors.option_range = tuple(self._FT.FactorNames)
def __QS_initArgs__(self):
if self._FT is not None:
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._FT.getFactorMetaData(key="DataType")))
self.add_trait(
"WeightFactor",
Enum(*(["等权"] + DefaultNumFactorList),
arg_type="SingleOption",
label="权重因子",
order=1))
self.GroupFactors.option_range = tuple(self._FT.FactorNames)
self.add_trait(
"GroupWeight",
Enum(*(["等权"] + DefaultNumFactorList),
arg_type="SingleOption",
label="类别权重",
order=3))
def __QS_initArgs__(self):
super().__QS_initArgs__()
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._MarketFT.getFactorMetaData(key="DataType")))
DefaultNumFactorList.insert(0, None)
self.add_trait(
"Open",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="开盘价",
order=3))
self.add_trait(
"High",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="最高价",
order=4))
self.add_trait(
"Low",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="最低价",
order=5))
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
dict(self._FactorTable.getFactorMetaData(key="DataType")))
self.add_trait(
"Portfolio",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="策略组合",
order=0))
self.add_trait(
"BenchmarkPortfolio",
Enum(*(["无"] + DefaultNumFactorList),
arg_type="SingleOption",
label="基准组合",
order=1))
self.add_trait(
"AttributeFactors",
ListStr(arg_type="MultiOption",
label="特征因子",
order=2,
option_range=tuple(DefaultNumFactorList)))
self.AttributeFactors.append(DefaultNumFactorList[-1])
self.add_trait(
"IndustryFactor",
Enum(*(["无"] + DefaultStrFactorList),
arg_type="SingleOption",
label="行业因子",
order=3))
self.add_trait(
"PriceFactor",
Enum(*DefaultNumFactorList,
arg_type="SingleOption",
label="价格因子",
order=4))
self.PriceFactor = searchNameInStrList(DefaultNumFactorList,
['价', 'Price', 'price'])
def __QS_initArgs__(self):
DefaultNumFactorList, DefaultStrFactorList = getFactorList(dict(self._FT.getFactorMetaData(key="DataType")))
self.add_trait("ContractMapping", Enum(*DefaultStrFactorList, arg_type="SingleOption", label="合约映射", order=3))
self.ContractMapping = searchNameInStrList(DefaultStrFactorList, ['映射','map','Map'])
self.add_trait("SettlementPrice", Enum(*DefaultNumFactorList, arg_type="SingleOption", label="结算价", order=4))
self.SettlementPrice = searchNameInStrList(DefaultNumFactorList, ['结算','价','settle','Settle','price','Price'])
def __QS_genSysArgs__(self, args=None, **kwargs):
SysArgs = super().__QS_genSysArgs__(None, **kwargs)
if self.QSEnv.DSs.isEmpty():
return SysArgs
DefaultDS = (self.QSEnv.DSs[args["数据源"]] if
(args is not None) and (args.get("数据源") in self.QSEnv.DSs)
else self.QSEnv.DSs.getDefaultDS())
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
DefaultDS.DataType)
PriceFactor = searchNameInStrList(DefaultNumFactorList,
['价', 'Price', 'price'])
if (args is None) or ("数据源" not in args):
nSysArgs = len(SysArgs)
SysArgs._QS_MonitorChange = False
SysArgs.update({
"最新价":
PriceFactor,
"交易延迟":
0,
"成交价":
PriceFactor,
"买入限制":
self._genLimitArgs(None, DefaultDS.Name, True),
"卖出限制":
self._genLimitArgs(None, DefaultDS.Name, False),
"数据源":
DefaultDS.Name
})
SysArgs.ArgInfo["最新价"] = {
"type": "SingleOption",
"order": nSysArgs,
"range": DefaultNumFactorList
}
SysArgs.ArgInfo["交易延迟"] = {
"type": "Integer",
"order": nSysArgs + 1,
"min": 0,
"max": np.inf,
"single_step": 1
}
SysArgs.ArgInfo["成交价"] = {
"type": "SingleOption",
"order": nSysArgs + 2,
"range": DefaultNumFactorList
}
SysArgs.ArgInfo["买入限制"] = {"type": "ArgSet", "order": nSysArgs + 3}
SysArgs.ArgInfo["卖出限制"] = {"type": "ArgSet", "order": nSysArgs + 4}
SysArgs.ArgInfo["数据源"] = {
"type": "SingleOption",
"range": list(self.QSEnv.DSs.keys()),
"order": nSysArgs + 5,
"refresh": True,
"visible": False
}
SysArgs._QS_MonitorChange = True
return SysArgs
args._QS_MonitorChange = False
args.ArgInfo["数据源"]["range"] = list(self.QSEnv.DSs.keys())
args["数据源"] = DefaultDS.Name
if args["成交价"] not in DefaultNumFactorList:
args["成交价"] = PriceFactor
args.ArgInfo["成交价"]["range"] = DefaultNumFactorList
if args["最新价"] not in DefaultNumFactorList:
args["最新价"] = PriceFactor
args.ArgInfo["最新价"]["range"] = DefaultNumFactorList
args["买入限制"] = self._genLimitArgs(args["买入限制"],
args["数据源"],
nonbuyable=True)
args["卖出限制"] = self._genLimitArgs(args["卖出限制"],
args["数据源"],
nonbuyable=False)
args._QS_MonitorChange = True
return args
def _genLimitArgs(self, args, ds_name, nonbuyable=True):
DefaultDS = self.QSEnv.DSs[ds_name]
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
DefaultDS.DataType)
PriceFactor = searchNameInStrList(DefaultNumFactorList,
['价', 'Price', 'price'])
if args is None:
Args = {
"禁止条件":
_getDefaultNontradableIDFilter(DefaultDS, nonbuyable,
self.QSEnv),
"交易费率":
0.003,
"成交额":
"不限制",
"最小单位":
0,
"单位价格":
PriceFactor
}
ArgInfo = {
"禁止条件": {
"type": "IDFilter",
"order": 0,
"factor_list": DefaultDS.FactorNames
},
"交易费率": {
"type": "Double",
"order": 1,
"min": 0,
"max": 1,
"single_step": 0.0001,
"decimals": 4
},
"成交额": {
"type": "SingleOption",
"order": 2,
"refresh": True,
"range": ["不限制"] + DefaultNumFactorList
},
"最小单位": {
"type": "Integer",
"order": 3,
"min": 0,
"max": np.inf,
"single_step": 1
},
"单位价格": {
"type": "SingleOption",
"order": 4,
"range": DefaultNumFactorList
}
}
return QSArgs(Args, ArgInfo, self._onLimitSysArgChanged)
args._QS_MonitorChange = False
if not set(args.ArgInfo["禁止条件"]["factor_list"]).issubset(
set(DefaultDS.FactorNames)):
args["禁止条件"] = _getDefaultNontradableIDFilter(
DefaultDS, nonbuyable, self.QSEnv)
args.ArgInfo["禁止条件"]["factor_list"] = DefaultDS.FactorNames
if args["成交额"] not in DefaultNumFactorList:
args["成交额"] = "不限制"
args.ArgInfo.pop("成交额限比", None)
args.ArgInfo["成交额"]["range"] = ["不限制"] + DefaultNumFactorList
if args["单位价格"] not in DefaultNumFactorList:
args["单位价格"] = PriceFactor
args.ArgInfo["单位价格"]["range"] = DefaultNumFactorList
args._QS_MonitorChange = True
return args
def __QS_genSysArgs__(self, args=None, **kwargs):
if self.QSEnv.DSs.isEmpty():
return super().__QS_genSysArgs__(args=args, **kwargs)
DefaultDS = (self.QSEnv.DSs[args["数据源"]] if
(args is not None) and (args.get("数据源") in self.QSEnv.DSs)
else self.QSEnv.DSs.getDefaultDS())
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
DefaultDS.DataType)
PriceFactor = searchNameInStrList(DefaultNumFactorList,
['价', 'Price', 'price'])
if (args is None) or ("数据源" not in args):
SysArgs = {
"测试因子": DefaultNumFactorList[0],
"排序方向": "降序",
"分组数": 10,
"价格因子": PriceFactor,
"行业因子": "无",
"权重因子": "等权",
"划分方式": "定比",
"分类节点": [0.5],
"调仓时点": DefaultDS.getDateTime(),
"市场组合": None,
"筛选条件": None,
"随机微扰": False,
"缺失处理": "丢弃",
"数据源": DefaultDS.Name
}
ArgInfo = {}
ArgInfo["测试因子"] = {
"type": "SingleOption",
"order": 0,
"range": DefaultNumFactorList
}
ArgInfo["排序方向"] = {
"type": "SingleOption",
"order": 1,
"range": ["降序", "升序"]
}
ArgInfo["分组数"] = {
"type": "Integer",
"min": 1,
"max": np.inf,
"order": 2,
"refresh": True
}
ArgInfo["价格因子"] = {
"type": "SingleOption",
"range": DefaultNumFactorList,
"order": 3
}
ArgInfo["行业因子"] = {
"type": "SingleOption",
"range": ["无"] + DefaultDS.FactorNames,
"order": 4
}
ArgInfo["权重因子"] = {
"type": "SingleOption",
"range": ["等权"] + DefaultNumFactorList,
"order": 5
}
ArgInfo["划分方式"] = {
"type": "SingleOption",
"range": ["定比", "定量", "定界"],
"refresh": True,
"order": 6
}
if SysArgs["划分方式"] == "定比":
ArgInfo["分类节点"] = {
"type": "ArgList",
"subarg_info": {
"type": "Double",
"min": 0,
"max": 1,
"single_step": 0.01
},
"order": 7
}
elif SysArgs["划分方式"] == "定量":
ArgInfo["分类节点"] = {
"type": "ArgList",
"subarg_info": {
"type": "Integer",
"min": 0,
"max": np.inf,
"single_step": 1
},
"order": 7
}
elif SysArgs["划分方式"] == "定界":
ArgInfo["分类节点"] = {
"type": "ArgList",
"subarg_info": {
"type": "Double",
"min": -np.inf,
"max": np.inf,
"single_step": 0.01
},
"order": 7
}
ArgInfo["调仓时点"] = {"type": "DateList", "order": 6}
ArgInfo["市场组合"] = {
"type": "IDFilter",
"factor_list": DefaultDS.FactorNames,
"order": 8
}
ArgInfo["筛选条件"] = {
"type": "IDFilter",
"factor_list": DefaultDS.FactorNames,
"order": 9
}
ArgInfo["随机微扰"] = {"type": "Bool", "order": 10, "visible": False}
ArgInfo["缺失处理"] = {
"type": "SingleOption",
"range": ["丢弃", "排在最前", "排在最后"],
"order": 11,
"visible": False
}
ArgInfo["数据源"] = {
"type": "SingleOption",
"range": list(self.QSEnv.DSs.keys()),
"order": 12,
"refresh": True,
"visible": False
}
return QSArgs(SysArgs, ArgInfo, self.__QS_onSysArgChanged__)
args._QS_MonitorChange = False
args["数据源"] = DefaultDS.Name
args.ArgInfo["数据源"]["range"] = list(self.QSEnv.DSs.keys())
if args["行业因子"] not in DefaultDS.FactorNames:
args["行业因子"] = "无"
args.ArgInfo["行业因子"]["range"] = ["无"] + DefaultDS.FactorNames
if args["价格因子"] not in DefaultNumFactorList:
args["价格因子"] = PriceFactor
args.ArgInfo["价格因子"]["range"] = DefaultNumFactorList
if args["测试因子"] not in DefaultNumFactorList:
args["测试因子"] = DefaultNumFactorList[0]
args.ArgInfo["测试因子"]["range"] = DefaultNumFactorList
if not set(args["调仓时点"]).issubset(set(DefaultDS.getDateTime())):
args["调仓时点"] = DefaultDS.getDateTime()
if not set(args.ArgInfo["筛选条件"]["factor_list"]).issubset(
set(DefaultDS.FactorNames)):
args["筛选条件"] = None
args.ArgInfo["筛选条件"]["factor_list"] = DefaultDS.FactorNames
if not set(args.ArgInfo["市场组合"]["factor_list"]).issubset(
set(DefaultDS.FactorNames)):
args["市场组合"] = None
args.ArgInfo["市场组合"]["factor_list"] = DefaultDS.FactorNames
args._QS_MonitorChange = True
return args
def __QS_genSysArgs__(self, args=None, **kwargs):
AllDSNames = list(self.DSs.keys())
ArgInfo = {}
if args is None:
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
self.DSs[AllDSNames[0]].DataType)
args = {"数据源": AllDSNames[0]}
args["测试因子"] = DefaultNumFactorList[0]
args["中性因子"] = list(
set(self.DSs[AllDSNames[0]].FactorNames).difference({
"复权收盘价", "交易状态", "是否在市", "涨跌停", "特殊处理", "月收益率", "日收益率",
"周收益率"
}))
args["变量类型"] = []
for iFactor in args["中性因子"]:
if self.DSs[args["数据源"]].DataType[iFactor] == "string":
args["变量类型"].append("Dummy")
else:
args["变量类型"].append("Regular")
args["排序方向"] = "降序"
args["风险数据源"] = None
args["收益率因子"] = searchNameInStrList(DefaultNumFactorList,
["Ret", "ret", "收益"])
args["月度平均"] = False
args["基准权重"] = "等权"
args["优化器"] = "MATLAB"
elif (
(args["基准权重"] != "等权") and
(not set([args["测试因子"], args["收益率因子"], args["基准权重"]] + args["中性因子"]
).issubset(set(self.DSs[args["数据源"]].FactorNames)))
) or ((args["基准权重"] == "等权") and
(not set([args["测试因子"], args["收益率因子"]] + args["中性因子"]).issubset(
set(self.DSs[args["数据源"]].FactorNames)))): # 数据源发生了变化
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
self.DSs[args["数据源"]].DataType)
args["测试因子"] = DefaultNumFactorList[0]
args["中性因子"] = list(
set(self.DSs[AllDSNames[0]].FactorNames).difference({
"复权收盘价", "交易状态", "是否在市", "涨跌停", "特殊处理", "月收益率", "日收益率",
"周收益率"
}))
args["收益率因子"] = searchNameInStrList(DefaultNumFactorList,
["Ret", "ret", "收益"])
for iFactor in args["中性因子"]:
if self.DSs[args["数据源"]].DataType[iFactor] == "string":
args["变量类型"].append("Dummy")
else:
args["变量类型"].append("Regular")
args["基准权重"] = "等权"
else:
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
self.DSs[args["数据源"]].DataType)
ArgInfo["测试因子"] = {
"数据类型": "Str",
"取值范围": DefaultNumFactorList,
"是否刷新": False,
"order": 0,
"是否可见": True
}
ArgInfo["排序方向"] = {
"数据类型": "Str",
"取值范围": ["升序", "降序"],
"是否刷新": False,
"order": 1,
"是否可见": True
}
ArgInfo["中性因子"] = {
"数据类型": "ArgList",
"取值范围": {
"数据类型": "Str",
"取值范围": self.DSs[args["数据源"]].FactorNames
},
"是否刷新": True,
"order": 2,
"是否可见": True
}
ArgInfo["变量类型"] = {
"数据类型": "IndexedArgList",
"取值范围": [{
"数据类型": "Str",
"取值范围": ["Regular", "Dummy"]
}, args["中性因子"]],
"是否刷新": False,
"order": 3,
"是否可见": False
}
ArgInfo["风险数据源"] = {
"数据类型": "RiskDS",
"取值范围": [],
"是否刷新": False,
"order": 4,
"是否可见": True
}
ArgInfo["收益率因子"] = {
"数据类型": "Str",
"取值范围": DefaultNumFactorList,
"是否刷新": False,
"order": 5
}
ArgInfo["基准权重"] = {
"数据类型": "Str",
"取值范围": ["等权"] + DefaultNumFactorList,
"是否刷新": False,
"order": 6,
"是否可见": True
}
ArgInfo["月度平均"] = {
"数据类型": "Bool",
"取值范围": [True, False],
"是否刷新": False,
"order": 7,
"是否可见": False
}
ArgInfo["优化器"] = {
"数据类型": "Str",
"取值范围": list(BasePC.PCClasses.keys()),
"是否刷新": False,
"order": 8,
"是否可见": True
}
ArgInfo["数据源"] = {
"数据类型": "Str",
"取值范围": AllDSNames,
"是否刷新": True,
"order": 9,
"是否可见": False
}
return (args, ArgInfo)
def genSysArgInfo(self, arg=None):
# arg=None 表示初始化参数
DefaultNumFactorList, DefaultStrFactorList = getFactorList(
self.StdDataSource.DataType)
if arg is None:
arg = {}
arg['启用卖空'] = False
arg['可卖空条件'] = None
arg['限买条件'] = getDefaultNontradableIDFilter(
self.StdDataSource, True, self.QSEnv)
arg['限卖条件'] = getDefaultNontradableIDFilter(
self.StdDataSource, False, self.QSEnv)
arg['成交价'] = searchNameInStrList(DefaultNumFactorList,
['价', 'Price', 'price'])
arg['结算价'] = arg['成交价']
arg['交易费率'] = 0.003
arg['保证金率'] = 0.0
ArgInfo = {}
ArgInfo['启用卖空'] = {
'数据类型': 'Bool',
'取值范围': [True, False],
'是否刷新': False,
'序号': 0,
'是否可见': True
}
ArgInfo['可卖空条件'] = {
'数据类型': 'IDFilterStr',
'取值范围': self.StdDataSource.FactorNames,
'是否刷新': False,
'序号': 1
}
ArgInfo['限买条件'] = {
'数据类型': 'IDFilterStr',
'取值范围': self.StdDataSource.FactorNames,
'是否刷新': False,
'序号': 2
}
ArgInfo['限卖条件'] = {
'数据类型': 'IDFilterStr',
'取值范围': self.StdDataSource.FactorNames,
'是否刷新': False,
'序号': 3
}
ArgInfo['成交价'] = {
'数据类型': 'Str',
'取值范围': DefaultNumFactorList,
'是否刷新': False,
'序号': 4,
'是否可见': True
}
ArgInfo['结算价'] = {
'数据类型': 'Str',
'取值范围': DefaultNumFactorList,
'是否刷新': False,
'序号': 5,
'是否可见': True
}
ArgInfo['交易费率'] = {
'数据类型': 'Double',
'取值范围': [0, 1, 0.0005],
'是否刷新': False,
'序号': 6,
'是否可见': True
}
ArgInfo['保证金率'] = {
'数据类型': 'Double',
'取值范围': [0, 1, 0.0005],
'是否刷新': False,
'序号': 7,
'是否可见': True
}
return (arg, ArgInfo)
