feat: add scoped alpha sync and local self-correlation
This commit is contained in:
yuxuanhui
@@ -31,6 +31,7 @@ import type {
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ResearchState,
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} from "../types";
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import { PnlChart } from "./PnlChart";
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import { SelfCorrelationPanel } from "./SelfCorrelationPanel";
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export function AlphaDetail({
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id,
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@@ -304,6 +305,17 @@ export function AlphaDetail({
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<Empty description="点击获取 PnL，从平台读取并缓存曲线数据" />
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)}
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</TabPane>
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<TabPane tab="本地自相关" itemKey="correlation">
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{tab === "correlation" && id && (
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<SelfCorrelationPanel
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key={id}
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id={id}
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version={version}
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timezone={timezone}
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onTask={onTask}
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/>
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)}
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</TabPane>
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<TabPane tab="研究记录" itemKey="research">
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<div className="detail-section">
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<p className="muted">
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@@ -0,0 +1,98 @@
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import { useState } from "react";
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import { Input, Modal, Toast } from "@douyinfe/semi-ui-19";
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import { post } from "../api";
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import type { Submission } from "../types";
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export function AlphaSyncDialog({
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submission,
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suspended,
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onClose,
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onTask,
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}: {
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submission: Submission;
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suspended: boolean;
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onClose: () => void;
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onTask: () => void;
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}) {
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const [from, setFrom] = useState("");
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const [to, setTo] = useState("");
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const [busy, setBusy] = useState(false);
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const [error, setError] = useState("");
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const label = submission === "UNSUBMITTED" ? "待提交" : "已提交";
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const dateLabel = submission === "UNSUBMITTED" ? "创建日期" : "提交日期";
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const today = new Date().toISOString().slice(0, 10);
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async function start() {
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if (!from || !to || from > to || to > today) {
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setError("请选择有效的起止日期，结束日期不能晚于今天（UTC）。");
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return;
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}
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setBusy(true);
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try {
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await post("/sync-jobs", {
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kind: "daily_sync",
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submission,
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date_from: from,
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date_to: to,
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});
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onClose();
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onTask();
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} catch (e) {
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Toast.error((e as Error).message);
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} finally {
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setBusy(false);
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}
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}
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return (
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<Modal
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title={`按天同步${label} Alpha`}
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visible={!suspended}
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onCancel={onClose}
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okText="开始同步"
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okButtonProps={{ "aria-label": "开始同步" }}
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confirmLoading={busy}
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onOk={() => void start()}
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>
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<p className="muted">
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按{dateLabel}（UTC）逐天获取，包含隐藏记录。相同起止日期表示只同步当天。
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</p>
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<div className="sync-date-range">
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<label>
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开始日期
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<Input
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aria-label="同步开始日期"
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type="date"
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max={today}
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value={from}
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onChange={(value) => {
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setFrom(value);
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if (!to) setTo(value);
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setError("");
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}}
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/>
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</label>
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<label>
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结束日期
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<Input
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aria-label="同步结束日期"
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type="date"
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min={from || undefined}
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max={today}
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value={to}
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onChange={(value) => {
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setTo(value);
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setError("");
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}}
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/>
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</label>
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</div>
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{error && (
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<p className="error-text" role="alert">
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{error}
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</p>
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)}
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<p className="muted">
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任务面板显示当前日期和进度，中断后可继续未完成部分。
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</p>
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</Modal>
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);
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}
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@@ -72,6 +72,28 @@ export function JobPanel({
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</Tag>
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</div>
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<p className="muted">{formatTime(job.created_at, timezone)}</p>
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{job.payload?.submission && (
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<p className="muted">
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{job.payload.submission === "SUBMITTED" ? "已提交" : "待提交"}
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{job.payload.date_from
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? ` · ${job.payload.date_from} 至 ${job.payload.date_to}（UTC）`
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: " · 全量"}
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</p>
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)}
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{job.checkpoint?.date && (
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<p className="muted">
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同步日期：{job.checkpoint.date} · 已完成{" "}
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{job.checkpoint.dates_completed} / {job.checkpoint.dates_total} 天
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</p>
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)}
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{job.kind === "self_correlation" && job.checkpoint?.alpha_id && (
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<p className="muted">
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{job.checkpoint.alpha_id} ·{" "}
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{job.checkpoint.phase === "calculating"
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? "计算相关性"
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: `准备 PnL：${job.checkpoint.references_loaded ?? 0} / ${job.checkpoint.references_total ?? 0} 个基准`}
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</p>
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)}
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<div className="job-numbers">
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<span>
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已处理 <b>{job.processed}</b>
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@@ -0,0 +1,191 @@
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import { useEffect, useState } from "react";
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import {
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Banner,
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Button,
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Descriptions,
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Empty,
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Spin,
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Table,
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Tag,
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Toast,
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} from "@douyinfe/semi-ui-19";
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import { api, correlationLabels, formatNumber, formatTime, post } from "../api";
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import type { CorrelationResult } from "../types";
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export function SelfCorrelationPanel({
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id,
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version,
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timezone,
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onTask,
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}: {
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id: string;
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version: string;
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timezone?: string;
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onTask: () => void;
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}) {
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const [result, setResult] = useState<CorrelationResult | null>(null);
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const [loading, setLoading] = useState(true);
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const [busy, setBusy] = useState(false);
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const [error, setError] = useState("");
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useEffect(() => {
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const controller = new AbortController();
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setLoading(true);
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api<{ result: CorrelationResult | null }>(
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`/alphas/${id}/self-correlation`,
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{ signal: controller.signal },
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)
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.then((value) => {
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if (!controller.signal.aborted) {
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setResult(value.result);
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setError("");
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}
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})
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.catch((e) => {
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if (!controller.signal.aborted) setError(e.message);
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})
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.finally(() => {
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if (!controller.signal.aborted) setLoading(false);
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});
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return () => controller.abort();
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}, [id, version]);
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async function check() {
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setBusy(true);
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try {
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await post("/sync-jobs", { kind: "self_correlation", alpha_ids: [id] });
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onTask();
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} catch (e) {
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Toast.error((e as Error).message);
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} finally {
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setBusy(false);
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}
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}
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return (
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<div className="correlation-panel">
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<div className="section-toolbar">
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<h3>本地自相关</h3>
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<Button onClick={() => void check()} loading={busy}>
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{result ? "重新检测自相关" : "检测自相关"}
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</Button>
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</div>
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<p className="muted">
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与本地已同步的同地区已提交 Alpha 比较，排除自身。使用 PnL
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缓存，缺失时自动获取；建议先全量同步已提交 Alpha。
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</p>
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<p className="muted">
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近四年 PnL 日变化的 Pearson 相关系数，至少 30 个共同样本；本地告警线为
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0.7，检测结果与平台检查分别记录。
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</p>
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{error && <Banner type="danger" description={error} />}
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{loading && !result ? (
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<Spin />
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) : !result ? (
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<Empty description="尚未检测自相关" />
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) : (
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<>
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{result.stale && (
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<Banner
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type="warning"
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description="PnL 或比较样本已更新，以下为上次结果，请重新检测。"
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/>
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)}
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<div className="inline-actions">
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<Tag
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color={
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result.stale
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? "grey"
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: result.status === "high"
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? "orange"
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: result.status === "low"
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? "green"
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: "grey"
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}
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>
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{correlationLabels[result.status]}
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</Tag>
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<span className="muted">
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计算于 {formatTime(result.calculated_at, timezone)}
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</span>
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</div>
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<Descriptions
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data={[
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{
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key: "最大相关系数",
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value: formatNumber(result.max_correlation, 4),
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},
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{
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key: "有效比较",
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value: `${result.compared_count} / ${result.candidate_count}`,
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},
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{ key: "跳过样本", value: result.skipped_count },
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{
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key: "比较窗口",
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value: result.window_from
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? `${result.window_from} 至 ${result.window_to}`
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: "未提供",
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},
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{
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key: "目标 PnL 更新",
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value: result.target_pnl_fetched_at
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? formatTime(result.target_pnl_fetched_at, timezone)
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: "未提供",
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},
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]}
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/>
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{result.reason && <p>{result.reason}</p>}
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{result.status === "partial" && (
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<p>已有样本低于阈值，但部分基准无法比较，不能据此判断全部样本。</p>
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)}
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{result.matches.length > 0 && (
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<>
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<h3>相关系数最高的 Alpha（最多 10 条）</h3>
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<Table
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dataSource={result.matches}
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rowKey="alpha_id"
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size="small"
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pagination={false}
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columns={[
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{
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title: "Alpha",
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dataIndex: "alpha_id",
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render: (value) => (
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<a
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href={`https://platform.worldquantbrain.com/alpha/${encodeURIComponent(value)}`}
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target="_blank"
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rel="noreferrer"
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>
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{value}
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</a>
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),
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},
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{
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title: "相关系数",
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dataIndex: "correlation",
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render: (value) => formatNumber(value, 4),
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},
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{ title: "共同样本", dataIndex: "sample_count" },
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{
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title: "PnL 更新",
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dataIndex: "pnl_fetched_at",
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render: (value) => formatTime(value, timezone),
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},
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]}
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/>
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</>
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)}
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{result.skipped.length > 0 && (
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<details>
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<summary>
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跳过原因（{result.skipped_count} 条，最多展示 100 条）
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</summary>
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{result.skipped.map((item) => (
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<p key={item.alpha_id}>
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<code>{item.alpha_id}</code>：{item.reason}
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</p>
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))}
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</details>
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)}
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</>
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)}
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</div>
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);
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}
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