feat: add scoped alpha sync and local self-correlation

2026-09-08 10:40:49 +08:00
parent 404a4d8a04
commit d2ccd94721
28 changed files with 1656 additions and 69 deletions
@@ -0,0 +1,191 @@
+import { useEffect, useState } from "react";
+import {
+  Banner,
+  Button,
+  Descriptions,
+  Empty,
+  Spin,
+  Table,
+  Tag,
+  Toast,
+} from "@douyinfe/semi-ui-19";
+import { api, correlationLabels, formatNumber, formatTime, post } from "../api";
+import type { CorrelationResult } from "../types";
+
+export function SelfCorrelationPanel({
+  id,
+  version,
+  timezone,
+  onTask,
+}: {
+  id: string;
+  version: string;
+  timezone?: string;
+  onTask: () => void;
+}) {
+  const [result, setResult] = useState<CorrelationResult | null>(null);
+  const [loading, setLoading] = useState(true);
+  const [busy, setBusy] = useState(false);
+  const [error, setError] = useState("");
+  useEffect(() => {
+    const controller = new AbortController();
+    setLoading(true);
+    api<{ result: CorrelationResult | null }>(
+      `/alphas/${id}/self-correlation`,
+      { signal: controller.signal },
+    )
+      .then((value) => {
+        if (!controller.signal.aborted) {
+          setResult(value.result);
+          setError("");
+        }
+      })
+      .catch((e) => {
+        if (!controller.signal.aborted) setError(e.message);
+      })
+      .finally(() => {
+        if (!controller.signal.aborted) setLoading(false);
+      });
+    return () => controller.abort();
+  }, [id, version]);
+  async function check() {
+    setBusy(true);
+    try {
+      await post("/sync-jobs", { kind: "self_correlation", alpha_ids: [id] });
+      onTask();
+    } catch (e) {
+      Toast.error((e as Error).message);
+    } finally {
+      setBusy(false);
+    }
+  }
+  return (
+    <div className="correlation-panel">
+      <div className="section-toolbar">
+        <h3>本地自相关</h3>
+        <Button onClick={() => void check()} loading={busy}>
+          {result ? "重新检测自相关" : "检测自相关"}
+        </Button>
+      </div>
+      <p className="muted">
+        与本地已同步的同地区已提交 Alpha 比较，排除自身。使用 PnL
+        缓存，缺失时自动获取；建议先全量同步已提交 Alpha。
+      </p>
+      <p className="muted">
+        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
+        0.7，检测结果与平台检查分别记录。
+      </p>
+      {error && <Banner type="danger" description={error} />}
+      {loading && !result ? (
+        <Spin />
+      ) : !result ? (
+        <Empty description="尚未检测自相关" />
+      ) : (
+        <>
+          {result.stale && (
+            <Banner
+              type="warning"
+              description="PnL 或比较样本已更新，以下为上次结果，请重新检测。"
+            />
+          )}
+          <div className="inline-actions">
+            <Tag
+              color={
+                result.stale
+                  ? "grey"
+                  : result.status === "high"
+                    ? "orange"
+                    : result.status === "low"
+                      ? "green"
+                      : "grey"
+              }
+            >
+              {correlationLabels[result.status]}
+            </Tag>
+            <span className="muted">
+              计算于 {formatTime(result.calculated_at, timezone)}
+            </span>
+          </div>
+          <Descriptions
+            data={[
+              {
+                key: "最大相关系数",
+                value: formatNumber(result.max_correlation, 4),
+              },
+              {
+                key: "有效比较",
+                value: `${result.compared_count} / ${result.candidate_count}`,
+              },
+              { key: "跳过样本", value: result.skipped_count },
+              {
+                key: "比较窗口",
+                value: result.window_from
+                  ? `${result.window_from} 至 ${result.window_to}`
+                  : "未提供",
+              },
+              {
+                key: "目标 PnL 更新",
+                value: result.target_pnl_fetched_at
+                  ? formatTime(result.target_pnl_fetched_at, timezone)
+                  : "未提供",
+              },
+            ]}
+          />
+          {result.reason && <p>{result.reason}</p>}
+          {result.status === "partial" && (
+            <p>已有样本低于阈值，但部分基准无法比较，不能据此判断全部样本。</p>
+          )}
+          {result.matches.length > 0 && (
+            <>
+              <h3>相关系数最高的 Alpha（最多 10 条）</h3>
+              <Table
+                dataSource={result.matches}
+                rowKey="alpha_id"
+                size="small"
+                pagination={false}
+                columns={[
+                  {
+                    title: "Alpha",
+                    dataIndex: "alpha_id",
+                    render: (value) => (
+                      <a
+                        href={`https://platform.worldquantbrain.com/alpha/${encodeURIComponent(value)}`}
+                        target="_blank"
+                        rel="noreferrer"
+                      >
+                        {value}
+                      </a>
+                    ),
+                  },
+                  {
+                    title: "相关系数",
+                    dataIndex: "correlation",
+                    render: (value) => formatNumber(value, 4),
+                  },
+                  { title: "共同样本", dataIndex: "sample_count" },
+                  {
+                    title: "PnL 更新",
+                    dataIndex: "pnl_fetched_at",
+                    render: (value) => formatTime(value, timezone),
+                  },
+                ]}
+              />
+            </>
+          )}
+          {result.skipped.length > 0 && (
+            <details>
+              <summary>
+                跳过原因（{result.skipped_count} 条，最多展示 100 条）
+              </summary>
+              {result.skipped.map((item) => (
+                <p key={item.alpha_id}>
+                  <code>{item.alpha_id}</code>：{item.reason}
+                </p>
+              ))}
+            </details>
+          )}
+        </>
+      )}
+    </div>
+  );
+}