add bash file

README.md

@@ -0,0 +1,5 @@
+# FinHack® 炼金术
+FinHack® is a scalable quantitative finance framework.
+
+FinHack® 是一个易于拓展的量化金融框架
+

database/finhack_structure.sql

@@ -0,0 +1,181 @@
+-- MySQL dump 10.13  Distrib 8.0.30, for Linux (x86_64)
+--
+-- Host: localhost    Database: finhack
+-- ------------------------------------------------------
+-- Server version	8.0.30
+
+/*!40101 SET @OLD_CHARACTER_SET_CLIENT=@@CHARACTER_SET_CLIENT */;
+/*!40101 SET @OLD_CHARACTER_SET_RESULTS=@@CHARACTER_SET_RESULTS */;
+/*!40101 SET @OLD_COLLATION_CONNECTION=@@COLLATION_CONNECTION */;
+/*!50503 SET NAMES utf8mb4 */;
+/*!40103 SET @OLD_TIME_ZONE=@@TIME_ZONE */;
+/*!40103 SET TIME_ZONE='+00:00' */;
+/*!40014 SET @OLD_UNIQUE_CHECKS=@@UNIQUE_CHECKS, UNIQUE_CHECKS=0 */;
+/*!40014 SET @OLD_FOREIGN_KEY_CHECKS=@@FOREIGN_KEY_CHECKS, FOREIGN_KEY_CHECKS=0 */;
+/*!40101 SET @OLD_SQL_MODE=@@SQL_MODE, SQL_MODE='NO_AUTO_VALUE_ON_ZERO' */;
+/*!40111 SET @OLD_SQL_NOTES=@@SQL_NOTES, SQL_NOTES=0 */;
+
+--
+-- Table structure for table `auto_train`
+--
+
+DROP TABLE IF EXISTS `auto_train`;
+/*!40101 SET @saved_cs_client     = @@character_set_client */;
+/*!50503 SET character_set_client = utf8mb4 */;
+CREATE TABLE `auto_train` (
+  `id` int NOT NULL AUTO_INCREMENT,
+  `start_date` varchar(10) DEFAULT NULL,
+  `valid_date` varchar(10) DEFAULT NULL,
+  `end_date` varchar(10) DEFAULT NULL,
+  `features` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `label` varchar(255) DEFAULT NULL,
+  `shift` int DEFAULT NULL,
+  `param` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `hash` varchar(32) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `created_at` timestamp NULL DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
+  `loss` varchar(255) DEFAULT NULL,
+  `algorithm` varchar(255) DEFAULT NULL,
+  `filter` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT '',
+  `score` double(10,10) DEFAULT NULL,
+  PRIMARY KEY (`id`)
+) ENGINE=InnoDB AUTO_INCREMENT=12548 DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_0900_ai_ci;
+/*!40101 SET character_set_client = @saved_cs_client */;
+
+--
+-- Table structure for table `backtest`
+--
+
+DROP TABLE IF EXISTS `backtest`;
+/*!40101 SET @saved_cs_client     = @@character_set_client */;
+/*!50503 SET character_set_client = utf8mb4 */;
+CREATE TABLE `backtest` (
+  `id` int NOT NULL AUTO_INCREMENT,
+  `instance_id` varchar(32) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci NOT NULL,
+  `features_list` mediumtext CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `train` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `model` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `strategy` varchar(255) DEFAULT NULL,
+  `start_date` varchar(10) DEFAULT NULL,
+  `end_date` varchar(10) DEFAULT NULL,
+  `init_cash` double(100,5) DEFAULT NULL,
+  `args` mediumtext CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `history` mediumtext CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `returns` mediumtext CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `logs` mediumtext CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `total_value` double(100,5) DEFAULT NULL,
+  `alpha` double(100,5) DEFAULT NULL,
+  `beta` double(100,5) DEFAULT NULL,
+  `annual_return` double(100,5) DEFAULT NULL,
+  `cagr` double(100,5) DEFAULT NULL,
+  `annual_volatility` double(100,5) DEFAULT NULL,
+  `info_ratio` double(100,5) DEFAULT NULL,
+  `downside_risk` double(100,5) DEFAULT NULL,
+  `R2` double(100,5) DEFAULT NULL,
+  `sharpe` double(100,5) DEFAULT NULL,
+  `sortino` double(100,5) DEFAULT NULL,
+  `calmar` double(100,5) DEFAULT NULL,
+  `omega` double(100,5) DEFAULT NULL,
+  `max_down` double(100,5) DEFAULT NULL,
+  `SQN` double(100,5) DEFAULT NULL,
+  `created_at` timestamp NULL DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
+  `filter` varchar(255) DEFAULT '',
+  `win` double(100,5) DEFAULT NULL,
+  `server` varchar(255) DEFAULT NULL,
+  `trade_num` int DEFAULT NULL,
+  `runtime` varchar(255) DEFAULT NULL,
+  `starttime` varchar(100) DEFAULT NULL,
+  `endtime` varchar(100) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `benchReturns` mediumtext,
+  `roto` double(100,5) DEFAULT NULL,
+  `simulate` int DEFAULT '0',
+  `benchmark` varchar(255) DEFAULT NULL,
+  PRIMARY KEY (`id`),
+  UNIQUE KEY `instence_id` (`instance_id`)
+) ENGINE=InnoDB AUTO_INCREMENT=387973 DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_0900_ai_ci;
+/*!40101 SET character_set_client = @saved_cs_client */;
+
+--
+-- Table structure for table `factors_analysis`
+--
+
+DROP TABLE IF EXISTS `factors_analysis`;
+/*!40101 SET @saved_cs_client     = @@character_set_client */;
+/*!50503 SET character_set_client = utf8mb4 */;
+CREATE TABLE `factors_analysis` (
+  `id` int NOT NULL AUTO_INCREMENT,
+  `factor_name` varchar(255) DEFAULT NULL,
+  `days` varchar(255) DEFAULT NULL,
+  `pool` varchar(255) DEFAULT NULL,
+  `start_date` varchar(10) DEFAULT NULL,
+  `end_date` varchar(10) DEFAULT NULL,
+  `formula` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `IC` float(10,5) DEFAULT NULL,
+  `IR` float(10,5) DEFAULT NULL,
+  `IRR` float(10,5) DEFAULT NULL,
+  `score` float(10,5) DEFAULT NULL,
+  `max_up_corr` float(10,7) DEFAULT NULL,
+  `hash` varchar(255) DEFAULT NULL,
+  `updated_at` datetime DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
+  PRIMARY KEY (`id`)
+) ENGINE=InnoDB AUTO_INCREMENT=2388 DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_0900_ai_ci;
+/*!40101 SET character_set_client = @saved_cs_client */;
+
+--
+-- Table structure for table `factors_list`
+--
+
+DROP TABLE IF EXISTS `factors_list`;
+/*!40101 SET @saved_cs_client     = @@character_set_client */;
+/*!50503 SET character_set_client = utf8mb4 */;
+CREATE TABLE `factors_list` (
+  `id` int NOT NULL AUTO_INCREMENT,
+  `factor_name` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `indicators` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `func_name` varchar(255) DEFAULT NULL,
+  `code` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `return_fileds` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `md5` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `check_type` int DEFAULT '0',
+  `status` varchar(20) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT 'activate',
+  `created_at` datetime DEFAULT CURRENT_TIMESTAMP,
+  `updated_at` datetime DEFAULT CURRENT_TIMESTAMP,
+  PRIMARY KEY (`id`)
+) ENGINE=InnoDB AUTO_INCREMENT=2406 DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_0900_ai_ci;
+/*!40101 SET character_set_client = @saved_cs_client */;
+
+--
+-- Table structure for table `factors_mining`
+--
+
+DROP TABLE IF EXISTS `factors_mining`;
+/*!40101 SET @saved_cs_client     = @@character_set_client */;
+/*!50503 SET character_set_client = utf8mb4 */;
+CREATE TABLE `factors_mining` (
+  `id` int NOT NULL AUTO_INCREMENT,
+  `factor_name` varchar(255) DEFAULT NULL,
+  `days` varchar(255) DEFAULT NULL,
+  `pool` varchar(255) DEFAULT NULL,
+  `start_date` varchar(10) DEFAULT NULL,
+  `end_date` varchar(10) DEFAULT NULL,
+  `formula` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `IC` float(20,5) DEFAULT NULL,
+  `IR` float(20,5) DEFAULT NULL,
+  `IRR` float(20,5) DEFAULT NULL,
+  `score` float(10,5) DEFAULT NULL,
+  `hash` varchar(255) DEFAULT NULL,
+  `updated_at` datetime DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
+  PRIMARY KEY (`id`),
+  UNIQUE KEY `hash` (`hash`(32)) USING BTREE
+) ENGINE=InnoDB AUTO_INCREMENT=31156 DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_0900_ai_ci;
+/*!40101 SET character_set_client = @saved_cs_client */;
+/*!40103 SET TIME_ZONE=@OLD_TIME_ZONE */;
+
+/*!40101 SET SQL_MODE=@OLD_SQL_MODE */;
+/*!40014 SET FOREIGN_KEY_CHECKS=@OLD_FOREIGN_KEY_CHECKS */;
+/*!40014 SET UNIQUE_CHECKS=@OLD_UNIQUE_CHECKS */;
+/*!40101 SET CHARACTER_SET_CLIENT=@OLD_CHARACTER_SET_CLIENT */;
+/*!40101 SET CHARACTER_SET_RESULTS=@OLD_CHARACTER_SET_RESULTS */;
+/*!40101 SET COLLATION_CONNECTION=@OLD_COLLATION_CONNECTION */;
+/*!40111 SET SQL_NOTES=@OLD_SQL_NOTES */;
+
+-- Dump completed on 2023-12-26 18:40:11

examples/demo-project/strategy/AITopNStrategy.py

@@ -23,11 +23,11 @@ def initialize(context):
     # 为股票设定滑点为百分比滑点                       
     set_slippage(PriceRelatedSlippage(0.00246),type='stock')
     # 持仓数量
-    g.stocknum = 3
+    g.stocknum = 50
     # 交易日计时器
     g.days = 0 
     # 调仓频率
-    g.refresh_rate = 5
+    g.refresh_rate = 1
     # 运行函数
     #inout_cash(100000)
 

finhack/core/core.py

@@ -98,7 +98,8 @@ def check_project(self):
         if module=="project":
             project_path=args.project_path
             if project_path==None:
-                project_path=os.getcwd()+"project_"+str(int(time.time()))
+                project_path=os.getcwd()+"/project_"+str(int(time.time()))
+                self.project_path=project_path
 
             template_path=Utils.get_template_path()
             if action=="create":
@@ -107,6 +108,7 @@ def check_project(self):
                     print("创建完毕！项目路径为 %s 请切换到该目录或使用-p参数指定目录并执行相应操作！" % (project_path).replace('//','/'))
                 else:
                     print("创建失败！")
+                exit()
             elif action=="renew":
                 #todo
                 pass

finhack/library/utils.py

@@ -19,7 +19,7 @@ def get_framework_path():
 
     #获取框架的模板路径
     def get_template_path():
-        framework_path=utils.get_framework_path()
+        framework_path=Utils.get_framework_path()
         template_path=framework_path+"/widgets/templates/empty_project"
         return template_path
 

finhack/trainer/lightgbm/lightgbm_trainer.py

@@ -17,7 +17,7 @@
 from finhack.market.astock.astock import AStock
 from finhack.factor.default.taskRunner import taskRunner
 from finhack.factor.default.factorManager import factorManager
-
+from lightgbm import log_evaluation, early_stopping
 from finhack.trainer.trainer import Trainer
 
 class LightgbmTrainer(Trainer):
@@ -124,22 +124,23 @@ def train(self,data_train,data_valid,data_path='/tmp',md5='test',loss="ds",param
 
         print('Starting training...')
         # 模型训练
-
+        callbacks = [log_evaluation(period=100), early_stopping(stopping_rounds=30)]
         if loss=="ds":
+            params['objective']=self.custom_obj
             gbm = lgb.train(params,
                             data_train,
                             num_boost_round=100,
                             valid_sets=data_valid,
-                            early_stopping_rounds=5,
-                            fobj=self.custom_obj,
+                            callbacks=callbacks,
+
                             feval=self.custom_eval
                             )
         else:
              gbm = lgb.train(params,
                             data_train,
                             num_boost_round=100,
                             valid_sets=data_valid,
-                            early_stopping_rounds=5
+                            callbacks=callbacks
                             )           
 
         print('Saving model...')

finhack/trainer/trainer.py

@@ -6,6 +6,8 @@
 import importlib
 import lightgbm as lgb
 from runtime.constant import *
+
+
 class Trainer:
     def getTrainData(self,start_date='20000101',valid_date="20080101",end_date='20100101',features=[],label='abs',shift=10,filter_name='',dropna=False,norm=False):
             data_path=DATA_DIR

finhack/widgets/templates/empty_project/data/cache/runtime/constant.py

@@ -1,5 +1,5 @@
 FRAMEWORK_DIR="/root/anaconda3/envs/finhack/lib/python3.9/site-packages/finhack"
-BASE_DIR="/data/code/finhack-new/examples/demo-project"
+BASE_DIR="/data/code/finhack/examples/demo-project"
 DATA_DIR=BASE_DIR+"/data/"
 CACHE_DIR=DATA_DIR+"cache/"
 CONFIG_DIR=DATA_DIR+"config/"

finhack/widgets/templates/empty_project/strategy/AITopNStrategy.py

@@ -23,11 +23,11 @@ def initialize(context):
     # 为股票设定滑点为百分比滑点                       
     set_slippage(PriceRelatedSlippage(0.00246),type='stock')
     # 持仓数量
-    g.stocknum = 3
+    g.stocknum = 50
     # 交易日计时器
     g.days = 0 
     # 调仓频率
-    g.refresh_rate = 5
+    g.refresh_rate = 15
     # 运行函数
     #inout_cash(100000)
 

requirements.txt

@@ -22,3 +22,5 @@ TA_Lib==0.4.24
 tabulate==0.8.10
 mysql-connector-python==8.0.30
 tushare==1.2.87
+lightgbm==4.2.0
+cryptography==39.0.1

script/init.sh → script/conda.sh

@@ -1,3 +1,2 @@
 conda remove --name finhack --all
 conda create --name finhack python=3.9
-conda activate finhack