yuxuanhui
411 lines
16 KiB
Python
411 lines
16 KiB
Python
"""FastAPI application and authenticated public API."""
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import asyncio
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import csv
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import io
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import time
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from collections import defaultdict
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from contextlib import asynccontextmanager
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from typing import Annotated
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from fastapi import APIRouter, Depends, FastAPI, HTTPException, Query, Request, Response
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from fastapi.exceptions import RequestValidationError
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from fastapi.responses import JSONResponse, StreamingResponse
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from pydantic import ValidationError
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from sqlalchemy import delete, select, text
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from .ai.routes import router as ai_router
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from .ai.runtime import AIRuntime
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from .alphas import list_statement, sorted_statement
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from .backtests.routes import router as backtest_router
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from .business import Business, notify_job
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from .catalog.research_routes import router as research_catalog_router
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from .catalog.routes import router as catalog_router
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from .config import Settings
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from .db import create_database
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from .jobs import AUTH_KINDS, Runner, create_job
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from .models import Account, Admin, BacktestConfig, Job, JobItem, LoginSession
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from .research.routes import router as research_router
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from .schemas import (
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AccountOutput,
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AlphaDetail,
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AlphaFilters,
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AlphaPage,
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AlphaSourcePage,
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BulkOutput,
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BulkUpdate,
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CredentialsInput,
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ErrorOutput,
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FacetsOutput,
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HealthOutput,
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JobErrorOutput,
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JobInput,
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JobOutput,
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LoginInput,
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OkOutput,
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PnlOutput,
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PreferencesInput,
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ResearchUpdate,
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SelfCorrelationOutput,
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SessionOutput,
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)
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from .security import bootstrap, cipher, issue_session, require_auth, token_hash, valid_password
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def account_output(account, client):
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keys = (
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"email",
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"wq_user_id",
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"profile",
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"connection_status",
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"connection_error",
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"verification_url",
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"last_synced_at",
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"display_name",
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"theme",
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"timezone",
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"page_size",
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)
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return {
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**{k: getattr(account, k) for k in keys},
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"configured": bool(account.password_encrypted),
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"session": client.session_info(),
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}
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def csv_cell(value):
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"""Neutralize spreadsheet formulas in untrusted names, expressions, notes and tags."""
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if value is None:
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return ""
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if isinstance(value, str) and (
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value.lstrip().startswith(("=", "+", "-", "@")) or value.startswith(("\t", "\r", "\n"))
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):
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return "'" + value
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return value
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def create_app(settings=None, wq_client=None, ai_model_factory=None):
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settings = settings or Settings()
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engine, sessions = create_database(settings.database_url)
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runner = Runner(sessions, settings, client=wq_client)
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ai_runtime = AIRuntime(sessions, settings, runner, ai_model_factory)
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@asynccontextmanager
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async def lifespan(app):
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async with sessions() as db:
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await bootstrap(db, settings)
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async with sessions.begin() as db:
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if not await db.get(BacktestConfig, 1):
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db.add(BacktestConfig(id=1))
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await ai_runtime.start()
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if settings.enable_runner:
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await runner.start()
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yield
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await ai_runtime.stop()
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if settings.enable_runner:
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await runner.stop()
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else:
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await runner.client.close()
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await engine.dispose()
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app = FastAPI(
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title="WorldQuant Alpha Research API",
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version="0.1.0",
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lifespan=lifespan,
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responses={code: {"model": ErrorOutput} for code in (401, 403, 404, 409, 422, 429)},
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)
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app.state.engine, app.state.sessions, app.state.runner = engine, sessions, runner
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app.state.settings = settings
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app.state.ai = ai_runtime
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login_failures = defaultdict(list)
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@app.exception_handler(RequestValidationError)
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@app.exception_handler(ValidationError)
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async def validation_error(request, exc):
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# Pydantic's default error includes the submitted value, possibly a password.
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return JSONResponse(
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status_code=422,
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content={
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"detail": "; ".join(f"{'.'.join(str(v) for v in e['loc'])}: {e['msg']}" for e in exc.errors())
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},
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)
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@app.middleware("http")
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async def browser_security(request, call_next):
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if request.method not in ("GET", "HEAD", "OPTIONS"):
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if request.headers.get("X-WQ-Request") != "1":
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return JSONResponse({"detail": "缺少请求校验头"}, status_code=403)
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origin = request.headers.get("Origin")
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if origin and origin.rstrip("/") != settings.public_origin.rstrip("/"):
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return JSONResponse({"detail": "请求来源不被允许"}, status_code=403)
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response = await call_next(request)
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response.headers["X-Content-Type-Options"] = "nosniff"
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response.headers["Referrer-Policy"] = "no-referrer"
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response.headers["Cache-Control"] = "no-store"
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return response
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@app.get("/api/v1/health", response_model=HealthOutput, tags=["health"])
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async def health():
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async with sessions() as db:
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await db.execute(text("SELECT 1"))
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return {"status": "ok"}
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@app.post("/api/v1/auth/login", response_model=SessionOutput, tags=["auth"])
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async def login(body: LoginInput, request: Request, response: Response):
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key = request.client.host if request.client else "unknown"
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current = time.monotonic()
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# Bound the rate-limit map and remove expired entries.
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for peer in list(login_failures):
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login_failures[peer] = [t for t in login_failures[peer] if current - t < 60]
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if not login_failures[peer]:
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del login_failures[peer]
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if len(login_failures[key]) >= 5:
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raise HTTPException(429, "登录尝试过多，请一分钟后重试")
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async with sessions() as db:
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admin = await db.get(Admin, 1)
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matches = await asyncio.to_thread(valid_password, admin.password_hash, body.password)
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if body.username != admin.username or not matches:
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login_failures[key].append(current)
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raise HTTPException(401, "用户名或密码不正确")
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login_failures.pop(key, None)
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token = await issue_session(db, settings.session_hours)
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response.set_cookie(
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"wq_session",
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token,
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httponly=True,
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secure=settings.cookie_secure,
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samesite="strict",
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max_age=settings.session_hours * 3600,
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path="/",
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)
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return {"username": admin.username}
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api = APIRouter(prefix="/api/v1", dependencies=[Depends(require_auth)])
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@api.get("/auth/me", response_model=SessionOutput, tags=["auth"])
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async def me():
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async with sessions() as db:
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return {"username": (await db.get(Admin, 1)).username}
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@api.post("/auth/logout", response_model=OkOutput, tags=["auth"])
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async def logout(request: Request, response: Response):
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async with sessions() as db:
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await db.execute(
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delete(LoginSession).where(
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LoginSession.token_hash == token_hash(request.cookies["wq_session"])
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)
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)
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await db.commit()
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response.delete_cookie(
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"wq_session", path="/", httponly=True, secure=settings.cookie_secure, samesite="strict"
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)
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return {"ok": True}
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@api.get("/account", response_model=AccountOutput, tags=["account"])
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async def get_account():
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async with sessions() as db:
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return account_output(await db.get(Account, 1), runner.client)
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@api.put("/account/credentials", response_model=AccountOutput, tags=["account"])
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async def credentials(body: CredentialsInput):
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async with sessions() as db:
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account = await db.get(Account, 1)
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if account.wq_user_id and account.email.casefold() != body.email.casefold():
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raise HTTPException(409, "本系统已绑定一个账户；不允许混入其他账户的 Alpha")
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await runner.disconnect()
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async with sessions() as db:
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account = await db.get(Account, 1)
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account.email = body.email
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account.password_encrypted = cipher(settings).encrypt(body.password.encode()).decode()
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await db.commit()
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return account_output(account, runner.client)
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@api.patch("/account/preferences", response_model=AccountOutput, tags=["account"])
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async def preferences(body: PreferencesInput):
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async with sessions() as db:
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account = await db.get(Account, 1)
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for key, value in body.model_dump().items():
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setattr(account, key, value)
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await db.commit()
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return account_output(account, runner.client)
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async def account_job(kind):
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async with sessions() as db:
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account = await db.scalar(select(Account).where(Account.id == 1).with_for_update())
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if not account.password_encrypted:
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raise HTTPException(409, "请先保存 WorldQuant 账户配置")
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existing = (
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await db.scalars(
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select(Job).where(Job.kind.in_(AUTH_KINDS), Job.status.in_(("running", "queued")))
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)
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).first()
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if existing:
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return existing
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if kind == "connect":
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account.connection_status = "connecting"
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account.connection_error = None
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job = await create_job(db, kind)
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runner.wake.set()
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return job
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@api.post("/account/connect", status_code=202, response_model=JobOutput, tags=["account"])
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async def connect():
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return await account_job("connect")
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@api.post("/account/verify", status_code=202, response_model=JobOutput, tags=["account"])
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async def verify():
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return await account_job("verify")
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@api.post("/account/refresh", status_code=202, response_model=JobOutput, tags=["account"])
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async def refresh():
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return await account_job("profile")
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@api.post("/account/disconnect", response_model=OkOutput, tags=["account"])
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async def disconnect():
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await runner.disconnect()
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return {"ok": True}
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@api.get("/alphas", response_model=AlphaPage, tags=["alphas"])
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async def get_alphas(filters: Annotated[AlphaFilters, Query()]):
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async with sessions() as db:
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return await Business(db).search_alphas(filters)
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@api.get("/alphas/facets", response_model=FacetsOutput, tags=["alphas"])
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async def facets():
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async with sessions() as db:
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return await Business(db).get_alpha_facets()
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@api.get(
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"/alphas/export",
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response_class=StreamingResponse,
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responses={200: {"content": {"text/csv": {"schema": {"type": "string"}}}}},
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tags=["alphas"],
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)
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async def export(filters: Annotated[AlphaFilters, Query()]):
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query = sorted_statement(list_statement(filters), filters.sort, filters.direction)
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async def content():
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yield "\ufeff"
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buffer = io.StringIO()
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writer = csv.writer(buffer)
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columns = [
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"id",
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"name",
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"expression",
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"selection",
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"combo",
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"alpha_type",
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"language",
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"stage",
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"status",
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"hidden",
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"region",
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"universe",
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"sharpe",
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"fitness",
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"returns",
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"turnover",
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"margin",
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"drawdown",
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"date_created",
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"date_submitted",
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"synced_at",
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]
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writer.writerow(columns + ["research_state", "favorite", "tags", "note"])
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yield buffer.getvalue()
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buffer.seek(0)
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buffer.truncate(0)
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async with sessions() as db:
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rows = await db.stream(query.execution_options(yield_per=200))
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async for a, r in rows:
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writer.writerow(
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[csv_cell(getattr(a, key)) for key in columns]
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+ [r.state, r.favorite, csv_cell(";".join(r.tags)), csv_cell(r.note)]
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)
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yield buffer.getvalue()
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buffer.seek(0)
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buffer.truncate(0)
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return StreamingResponse(
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content(),
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media_type="text/csv; charset=utf-8",
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headers={"Content-Disposition": 'attachment; filename="alphas.csv"'},
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)
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@api.patch("/alphas/research/bulk", response_model=BulkOutput, tags=["alphas"])
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async def bulk(body: BulkUpdate):
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async with sessions.begin() as db:
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return await Business(db).bulk_update_research(body)
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@api.get("/alphas/{alpha_id}", response_model=AlphaDetail, tags=["alphas"])
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async def detail(alpha_id: str):
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async with sessions() as db:
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return await Business(db).get_alpha(alpha_id)
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@api.patch("/alphas/{alpha_id}/research", response_model=OkOutput, tags=["alphas"])
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async def research(alpha_id: str, body: ResearchUpdate):
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async with sessions.begin() as db:
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return await Business(db).update_research(alpha_id, body)
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@api.get("/alphas/{alpha_id}/sources", response_model=AlphaSourcePage, tags=["alphas"])
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async def sources(alpha_id: str, limit: int = Query(25, ge=1, le=100), offset: int = Query(0, ge=0)):
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async with sessions() as db:
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return await Business(db).get_alpha_sources(alpha_id, limit, offset)
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@api.get("/alphas/{alpha_id}/pnl", response_model=PnlOutput, tags=["alphas"])
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async def pnl(alpha_id: str):
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async with sessions() as db:
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return await Business(db).get_alpha_pnl(alpha_id)
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@api.get("/alphas/{alpha_id}/self-correlation", response_model=SelfCorrelationOutput, tags=["alphas"])
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async def self_correlation(alpha_id: str):
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async with sessions() as db:
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return await Business(db).get_self_correlation(alpha_id)
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@api.post("/sync-jobs", status_code=202, response_model=JobOutput, tags=["sync-jobs"])
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async def new_job(body: JobInput):
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async with sessions.begin() as db:
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result = await Business(db).create_sync_job(body)
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await notify_job(runner, "create_sync_job", result)
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return result
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@api.get("/sync-jobs", response_model=list[JobOutput], tags=["sync-jobs"])
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async def get_jobs():
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async with sessions() as db:
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return await Business(db).list_jobs()
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@api.get("/sync-jobs/{job_id}", response_model=JobOutput, tags=["sync-jobs"])
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async def get_job(job_id: str):
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async with sessions() as db:
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return await Business(db).get_job_status(job_id)
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@api.get("/sync-jobs/{job_id}/errors", response_model=list[JobErrorOutput], tags=["sync-jobs"])
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async def job_errors(job_id: str):
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async with sessions() as db:
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rows = (
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await db.scalars(select(JobItem).where(JobItem.job_id == job_id, JobItem.error.is_not(None)))
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).all()
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return [{"alpha_id": row.alpha_id, "error": row.error} for row in rows]
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@api.post("/sync-jobs/{job_id}/cancel", response_model=OkOutput, tags=["sync-jobs"])
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async def cancel_job(job_id: str):
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async with sessions.begin() as db:
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result = await Business(db).cancel_job(job_id)
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await notify_job(runner, "cancel_job", result)
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return result
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@api.post("/sync-jobs/{job_id}/retry", response_model=JobOutput, tags=["sync-jobs"])
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async def retry_job(job_id: str):
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async with sessions.begin() as db:
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result = await Business(db).retry_job(job_id)
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await notify_job(runner, "retry_job", result)
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return result
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app.include_router(backtest_router)
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app.include_router(api)
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app.include_router(catalog_router)
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app.include_router(research_catalog_router)
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app.include_router(research_router)
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app.include_router(ai_router(ai_runtime))
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return app
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