Merge branch 'master' of https://github.com/alpha-miner/alpha-mind

alphamind/data/engines/sqlengine.py

@@ -843,13 +843,13 @@ class SqlEngine(object):
 
 
 if __name__ == '__main__':
+    from PyFin.api import *
+    from alphamind.api import *
 
-    from PyFin.api import bizDatesList
-    engine = SqlEngine()
-    ref_date = '2017-05-03'
+    freq = "1m"
     universe = Universe('zz800')
-    dates = bizDatesList('china.sse', '2018-05-01', '2018-05-10')
-    codes = engine.fetch_codes(ref_date, universe)
+    engine = SqlEngine('postgresql+psycopg2://alpha:alpha@180.166.26.82:8889')
+    rebalance_dates = makeSchedule('2015-01-31', '2019-05-30', freq, 'china.sse', BizDayConventions.Preceding)
 
-    res = engine.fetch_dx_return_range(universe, dates=dates, horizon=4, benchmark=300)
-    print(res)
\ No newline at end of file
+    formula = CSTopN(LAST('EP'), 5, groups='sw1')
+    factors = engine.fetch_factor_range(universe, {'alpha': formula}, dates=rebalance_dates)
\ No newline at end of file

alphamind/data/engines/utilities.py

@@ -36,15 +36,17 @@ def _map_risk_model_table(risk_model: str) -> tuple:
 
 def _map_factors(factors: Iterable[str], used_factor_tables) -> Dict:
     factor_cols = {}
-    excluded = {'trade_date', 'code', 'isOpen'}
+    factors = set(factors).difference({'trade_date', 'code', 'isOpen'})
+    to_keep = factors.copy()
     for f in factors:
         for t in used_factor_tables:
-            if f not in excluded and f in t.__table__.columns:
+            if f in t.__table__.columns:
                 factor_cols[t.__table__.columns[f]] = t
+                to_keep.remove(f)
                 break
 
-    if not factor_cols:
-        raise ValueError("some factors in <{0}> can't be find".format(factors))
+    if to_keep:
+        raise ValueError("factors in <{0}> can't be find".format(to_keep))
 
     return factor_cols