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shy3130
0f12836401
自定义因子新增第二档编写语言 (lang=python): 受限 Python 表达式块,
只返回单个 Polars 表达式。三档编译层就此齐备: T1 DSL < T2 表达式级
Python < T3 自由 Python 策略。
- app/factors/py_expr.py: AST 白名单文法 (仅赋值/表达式语句; 名字限
ctx/pl 与已赋值局部量; 禁 import/def/lambda/循环/推导式/下划线属性/
map_*/apply/IO 类调用) + {ctx, pl} + 空 builtins 求值; ctx.col 构造期
登记依赖 (无需推导); warmup 从窗口常量保守求和 (显式声明只能增大,
少算失真是错误方向)。
- 贯通链路: FactorSpec.lang (默认 dsl, 存量零影响) → to_spec 编译分支 →
materialize 按 lang 分发 (T2 结果同样进 P2b 内容寻址缓存, 依赖即缓存键
输入) → API /validate 与 /trial 支持 lang=python。
- 验收 (docs/ext-architecture-plan.md P3): 看板口径 SKDJ — 9日RSV
(分母 0 时取 50) → EMA(α=0.5) 两级 — 的 T2 单表达式与策略文件的分阶段
列实现逐元素一致; 19 个契约测试 (含依赖登记/warmup 下限/11 种文法拒绝
形态/物化与缓存贯通), 相关回归 568 全过, ruff 新增文件全清。
Signed-off-by: shy3130 <shy3130@qq.com>
182 lines
7.5 KiB
Python
182 lines
7.5 KiB
Python
"""T2 表达式级 Python (P3) 契约测试。
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验收 (docs/ext-architecture-plan.md P3): SKDJ 类口径零 DSL 可表达 —
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看板口径 SKDJ (9日RSV → EMA(α=0.5) 两级, 分母为 0 时 RSV 取 50) 与
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策略文件里的分阶段 Polars 实现**逐元素一致**。
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其余契约:
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- ctx.col 构造期登记依赖 (进 FactorSpec.dependencies → 计划/缓存同源);
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- warmup 从窗口常量保守推断 (只多不少);
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- 文法白名单 fail-closed (import/def/lambda/循环/推导式/下划线属性/
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回调类方法/IO 类调用/未定义名字/非表达式结果全部拒绝);
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- 存储与物化链路贯通 (to_spec 注册 → materialize 计算 → 内容寻址缓存)。
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"""
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from __future__ import annotations
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import numpy as np
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import polars as pl
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import pytest
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from app.config import settings
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from app.factors import materialize_cache
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from app.factors.py_expr import compile_python_expression
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from app.factors.registry import unregister_factor
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from app.factors.store import register_definition
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# 看板口径 SKDJ — 与 custom_v1_kanban_strict 策略文件逐行同源 (分阶段列实现)
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SKDJ_T2 = '''
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llv = ctx.col("low").rolling_min(window_size=9).over("symbol")
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hhv = ctx.col("high").rolling_max(window_size=9).over("symbol")
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rsv = pl.when((hhv - llv) > 0).then((ctx.col("close") - llv) / (hhv - llv) * 100.0).otherwise(pl.lit(50.0))
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k = rsv.ewm_mean(alpha=0.5, adjust=False).over("symbol")
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d = k.ewm_mean(alpha=0.5, adjust=False).over("symbol")
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d
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'''
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def _skdj_reference(df: pl.DataFrame) -> pl.Series:
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d = df.sort(["symbol", "date"]).with_columns([
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pl.col("low").rolling_min(window_size=9).over("symbol").alias("_llv9"),
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pl.col("high").rolling_max(window_size=9).over("symbol").alias("_hhv9"),
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])
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denom = pl.col("_hhv9") - pl.col("_llv9")
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d = d.with_columns(
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pl.when(denom > 0)
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.then((pl.col("close") - pl.col("_llv9")) / denom * 100.0)
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.otherwise(pl.lit(50.0))
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.alias("_rsv")
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)
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d = d.with_columns(pl.col("_rsv").ewm_mean(alpha=0.5, adjust=False).over("symbol").alias("_sk_k"))
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d = d.with_columns(pl.col("_sk_k").ewm_mean(alpha=0.5, adjust=False).over("symbol").alias("_sk_d"))
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return d["_sk_d"]
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def _frame(n_days: int = 120) -> pl.DataFrame:
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rng = np.random.default_rng(11)
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rows = []
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for sym in ("A", "B", "C"):
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base = rng.uniform(8, 12)
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for i in range(n_days):
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close = base + rng.normal(0, 0.3) + i * 0.005
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rows.append({
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"symbol": sym, "date": 20260101 + i,
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"open": close * 0.999, "high": close + 0.2, "low": close - 0.2, "close": close,
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"volume": rng.uniform(1e4, 1e6),
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})
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return pl.DataFrame(rows).sort(["symbol", "date"])
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# ── 验收: SKDJ 等价 ──────────────────────────────────────
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def test_skdj_t2_matches_staged_reference_exactly() -> None:
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compiled = compile_python_expression(SKDJ_T2)
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assert compiled.ok, [e.message for e in compiled.errors]
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frame = _frame()
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via_t2 = frame.select(compiled.expr.alias("d"))["d"]
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reference = _skdj_reference(frame)
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assert via_t2.equals(reference)
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# 窗口预热区 (前 8 行 RSV 初始 50 口径) 也参与比较 — equals 全量逐元素
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def test_skdj_dependencies_and_warmup() -> None:
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compiled = compile_python_expression(SKDJ_T2)
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assert compiled.dependencies == frozenset({"low", "high", "close"})
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# rolling 9×2 (low/high 各一) + ewm(α=0.5→span3) ×2, +1 → 25 (保守, 只多不少)
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assert compiled.warmup_bars == 25
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# ── 编译契约 ─────────────────────────────────────────────
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def test_dependencies_tracked_from_ctx_col() -> None:
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compiled = compile_python_expression('ctx.col("close") / ctx.col("ma20") - 1')
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assert compiled.ok
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assert compiled.dependencies == frozenset({"close", "ma20"})
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def test_declared_warmup_cannot_shrink_below_inferred() -> None:
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register_definition({
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"id": "uf_py_w", "label": "w", "kind": "custom", "lang": "python",
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"formula": 'ctx.col("close").rolling_mean(window_size=30).over("symbol")',
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"warmup_bars": 5, "status": "active", # 声明小于推断 → 取推断 (下限)
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})
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from app.factors.registry import get_factor
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try:
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assert get_factor("uf_py_w").warmup_bars == 31
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finally:
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unregister_factor("uf_py_w")
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@pytest.mark.parametrize("source, fragment", [
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("import os", "不允许的语法: Import"),
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("def f():\n return 1", "不允许的语法"),
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("ctx.col('close').map_batches(lambda s: s)", "不允许的语法: Lambda"),
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("x = 0\nfor i in range(3):\n x = x + i", "不允许的语法: For"),
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("y = [ctx.col('close') for _ in range(2)]", "不允许的语法: ListComp"),
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("ctx.col('close').__class__", "下划线属性"),
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("ctx.col('close').map_elements(str)", "回调"),
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("pl.read_csv('/etc/passwd')", "IO 类调用"),
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("unknown_name + 1", "未定义的名字"),
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("42", "结果必须是单个 Polars 表达式"),
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("pl.col('close') + 1", "至少通过 ctx.col"), # 绕过 ctx → 无依赖登记
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])
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def test_grammar_rejects_unsafe_or_malformed(source: str, fragment: str) -> None:
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compiled = compile_python_expression(source)
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assert not compiled.ok
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messages = [e.message for e in compiled.errors]
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assert any(fragment in m for m in messages), messages
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def test_builtin_functions_unavailable() -> None:
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compiled = compile_python_expression("len(ctx.col('close'))")
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assert not compiled.ok # 空 builtins: NameError → E212 求值失败
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def test_declared_warmup_can_grow() -> None:
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register_definition({
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"id": "uf_py_w2", "label": "w2", "kind": "custom", "lang": "python",
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"formula": 'ctx.col("close").rolling_mean(window_size=10).over("symbol")',
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"warmup_bars": 60, "status": "active",
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})
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from app.factors.registry import get_factor
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try:
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assert get_factor("uf_py_w2").warmup_bars == 60 # 声明更大 → 生效
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finally:
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unregister_factor("uf_py_w2")
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def test_unknown_lang_rejected() -> None:
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with pytest.raises(ValueError, match="未知 lang"):
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register_definition({
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"id": "uf_py_bad", "label": "b", "kind": "custom", "lang": "sql",
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"formula": "select 1", "status": "active",
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})
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# ── 物化链路贯通 ─────────────────────────────────────────
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@pytest.fixture(autouse=True)
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def _isolated_cache(tmp_path, monkeypatch):
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monkeypatch.setattr(settings, "data_dir", tmp_path)
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materialize_cache.invalidate(disk=True)
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yield
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materialize_cache.invalidate(disk=True)
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def test_python_factor_materializes_and_caches() -> None:
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from app.strategy.scoring import materialize_scoring_columns
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register_definition({
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"id": "uf_py_k", "label": "SKDJ-K", "kind": "custom", "lang": "python",
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"formula": SKDJ_T2, "status": "active",
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})
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frame = _frame(120) # 小帧走缓存旁路 (语义不变), 物化链路本身不受影响
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try:
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result = materialize_scoring_columns(frame, ["uf_py_k"])
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assert "uf_py_k" in result.columns
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assert result["uf_py_k"].equals(_skdj_reference(frame))
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# 重复物化 (帧上无该列) → 结果一致
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again = materialize_scoring_columns(frame, ["uf_py_k"])
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assert again["uf_py_k"].equals(result["uf_py_k"])
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finally:
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unregister_factor("uf_py_k")
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