Yuxuan Yan
1caa63faeb
Replace the old signal/strategy/backtest modules with a decoupled
data → alpha → combo pipeline (parquet between phases, .pq extension).
Alphas:
- BaseAlpha + @register_alpha factory/plugin registry; one file per
built-in (reversal, reversal_vol, momentum); external alphas via
--alpha-module. Alphas are z-scored position weights, not predictors.
Data:
- baostock primary / akshare fallback, treated consistently.
- New --universe all (~5000 A-shares via query_all_stock, filtered).
- login-once batch downloader; empty-string OHLCV coerced to NaN.
- Month-partitioned dataset {output_dir}/{universe}/month=YYYY-MM/*.pq
with chunked durability flushes; --data-path is the dataset dir.
CLI logs at INFO by default (--log-level) so progress is visible.
Docs (README, CLAUDE.md) updated incl. pipeline diagram and roadmap
TODOs for portfolio construction / backtest / paper trading.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
45 lines
1.6 KiB
Python
45 lines
1.6 KiB
Python
"""CLI for data download phase."""
|
|
|
|
import click
|
|
from datetime import date
|
|
|
|
from pipeline.data.downloader import download_universe
|
|
|
|
|
|
@click.group(name="data")
|
|
def data():
|
|
"""Download and manage market data."""
|
|
|
|
|
|
@data.command("download")
|
|
@click.option(
|
|
"--universe", default="csi500",
|
|
help="Which universe: hs300, csi500, all (~5000 A-shares), file path, or comma-separated symbols",
|
|
)
|
|
@click.option("--start-date", default="2017-01-01", help="Start date YYYY-MM-DD")
|
|
@click.option("--end-date", default=str(date.today()), help="End date YYYY-MM-DD")
|
|
@click.option("--output-dir", default="data/daily_bars", help="Root for the partitioned dataset")
|
|
@click.option("--symbols", default=0, type=int, help="Max symbols (0=all)")
|
|
@click.option("--chunk-size", default=300, type=int, help="Symbols per durability flush")
|
|
@click.option("--adjust", default="qfq", help="Price adjust: qfq, hfq, or none")
|
|
def download(universe, start_date, end_date, output_dir, symbols, chunk_size, adjust):
|
|
"""Download daily bars into a month-partitioned parquet dataset.
|
|
|
|
Writes ``{output_dir}/{universe}/month=YYYY-MM/*.pq``. Point ``alpha
|
|
compute --data-path`` at that dataset directory.
|
|
"""
|
|
stats = download_universe(
|
|
universe=universe,
|
|
start_date=start_date,
|
|
end_date=end_date,
|
|
output_dir=output_dir,
|
|
max_symbols=symbols,
|
|
chunk_size=chunk_size,
|
|
adjust=adjust,
|
|
)
|
|
click.echo(
|
|
f"\nSummary: {stats['n_symbols']}/{stats['n_requested']} symbols, "
|
|
f"{stats['n_rows']:,} bars, {stats['date_min']} → {stats['date_max']}"
|
|
)
|
|
click.echo(f"Dataset: {stats['dataset_path']}")
|