feat: Implement Alpha list and metrics enhancements
Deploy production / deploy (push) Successful in 1m12s
Deploy production / deploy (push) Successful in 1m12s
- Added new metrics fields: sub_universe_sharpe, robust_universe_sharpe, two_year_sharpe, prod_correlation, pnl, check_type, and neutralization to the Alpha model. - Updated snapshot_columns function to derive new metrics and check types from platform snapshots. - Enhanced API to include failed checks and check types in responses. - Created migration script to backfill existing Alpha records with new metrics and check types. - Updated frontend components to display new metrics and allow editing of custom tags. - Improved filtering and sorting capabilities for new metrics in the Alpha list. - Added tests for new functionality including checks classification and metrics filtering.
This commit is contained in:
+61
-2
@@ -9,6 +9,55 @@ from sqlalchemy import or_, select, update
|
||||
from .models import Alpha, Research, ResearchTag, SelfCorrelation, now
|
||||
from .research.provenance import source_alpha_ids
|
||||
|
||||
METRIC_FIELDS = (
|
||||
"sharpe", "fitness", "returns", "turnover", "margin", "drawdown",
|
||||
"sub_universe_sharpe", "robust_universe_sharpe", "two_year_sharpe", "prod_correlation", "pnl",
|
||||
)
|
||||
|
||||
|
||||
def failed_checks(checks):
|
||||
"""Return failed platform check names; local correlation never changes this list."""
|
||||
return [
|
||||
check.get("name") if isinstance(check.get("name"), str) else "未命名检查"
|
||||
for check in checks if isinstance(check, dict) and check.get("result") == "FAIL"
|
||||
] if isinstance(checks, list) else []
|
||||
|
||||
|
||||
def snapshot_columns(settings, metrics, checks):
|
||||
"""Derive list fields from a platform snapshot, preserving missing metrics as null.
|
||||
|
||||
Only explicit FAIL results count. Empty, malformed and unfinished checks are
|
||||
pending; all known checks passing without PROD_CORRELATION is only a pre-check.
|
||||
No submission eligibility or activity eligibility is inferred here.
|
||||
"""
|
||||
settings = settings if isinstance(settings, dict) else {}
|
||||
metrics = metrics if isinstance(metrics, dict) else {}
|
||||
checks = checks if isinstance(checks, list) else []
|
||||
valid = [check for check in checks if isinstance(check, dict)]
|
||||
failures = len(failed_checks(checks))
|
||||
by_name = {check["name"]: check for check in valid if isinstance(check.get("name"), str)}
|
||||
if failures:
|
||||
check_type = "FAIL_1" if failures == 1 else "FAIL_2"
|
||||
elif not checks or len(valid) != len(checks) or any(check.get("result") != "PASS" for check in valid):
|
||||
check_type = "PENDING"
|
||||
else:
|
||||
check_type = "PASS" if "PROD_CORRELATION" in by_name else "PRE_CHECK"
|
||||
neutralization = settings.get("neutralization")
|
||||
return {
|
||||
"check_type": check_type,
|
||||
"neutralization": neutralization if isinstance(neutralization, str) else None,
|
||||
"pnl": number(metrics.get("pnl")),
|
||||
**{
|
||||
field: number(by_name.get(name, {}).get("value"))
|
||||
for field, name in (
|
||||
("sub_universe_sharpe", "LOW_SUB_UNIVERSE_SHARPE"),
|
||||
("robust_universe_sharpe", "LOW_ROBUST_UNIVERSE_SHARPE"),
|
||||
("two_year_sharpe", "LOW_2Y_SHARPE"),
|
||||
("prod_correlation", "PROD_CORRELATION"),
|
||||
)
|
||||
},
|
||||
}
|
||||
|
||||
|
||||
def submission_condition(submission):
|
||||
"""Match the platform list contract; a missing status is never assumed submitted."""
|
||||
@@ -106,6 +155,8 @@ async def upsert_alpha(db, raw: dict):
|
||||
item.settings, item.is_metrics = sanitize(settings), sanitize(metrics)
|
||||
item.os_metrics = sanitize(raw.get("os")) if isinstance(raw.get("os"), dict) else {}
|
||||
item.checks = sanitize(metrics.get("checks") or raw.get("checks") or [])
|
||||
for key, value in snapshot_columns(item.settings, item.is_metrics, item.checks).items():
|
||||
setattr(item, key, value)
|
||||
for key in ("sharpe", "fitness", "returns", "turnover", "margin", "drawdown"):
|
||||
setattr(item, key, number(metrics.get(key)))
|
||||
item.date_created, item.date_submitted = date(raw.get("dateCreated")), date(raw.get("dateSubmitted"))
|
||||
@@ -134,7 +185,7 @@ def list_statement(filters):
|
||||
)
|
||||
)
|
||||
)
|
||||
for name in ("region", "universe", "alpha_type", "language", "status", "stage", "hidden"):
|
||||
for name in ("region", "universe", "alpha_type", "language", "status", "stage", "hidden", "check_type", "neutralization"):
|
||||
value = getattr(filters, name)
|
||||
if value is not None:
|
||||
query = query.where(getattr(Alpha, name) == value)
|
||||
@@ -148,7 +199,7 @@ def list_statement(filters):
|
||||
query = query.where(Alpha.date_created >= filters.created_from)
|
||||
if filters.created_to:
|
||||
query = query.where(Alpha.date_created <= filters.created_to)
|
||||
for name in ("sharpe", "fitness", "returns", "turnover", "margin", "drawdown"):
|
||||
for name in METRIC_FIELDS:
|
||||
for suffix, compare in (("min", "ge"), ("max", "le")):
|
||||
value = getattr(filters, f"{name}_{suffix}")
|
||||
if value is not None:
|
||||
@@ -183,8 +234,16 @@ def summary(item: Alpha, research: Research):
|
||||
"date_created",
|
||||
"date_submitted",
|
||||
"synced_at",
|
||||
"check_type",
|
||||
"neutralization",
|
||||
"sub_universe_sharpe",
|
||||
"robust_universe_sharpe",
|
||||
"two_year_sharpe",
|
||||
"prod_correlation",
|
||||
"pnl",
|
||||
)
|
||||
result = {k: getattr(item, k) for k in keys}
|
||||
result["failed_checks"] = failed_checks(item.checks)
|
||||
result["expression_preview"] = (item.expression or item.selection or "")[:240]
|
||||
result["research"] = {
|
||||
k: getattr(research, k) for k in ("note", "tags", "favorite", "state", "updated_at", "version")
|
||||
|
||||
Reference in New Issue
Block a user