策略名称¶

小市值策略，在所有组合下

策略思路¶

每天选取市值最小的前十名股票买入, 日频调仓.

股票池筛选¶

在A股股票过滤模块中，注意模块插入位置

剔除st股和退市股票;
中证1000指数

在输入特征列表模块中

30日涨幅小于10% volatility_30_0
剔除次新股(上市时间>365天); list_days_0>360
换手排名<=0.5 rank_turn_0<=0.5
剔除涨跌停股票 price_limit_status_0==2
从市盈率大于0的股票池中作筛选 pe_ttm_0>0
30日简单平均线上移 ta_sma_30_0>0;ta_sma(close_0,30)>ta_sma(close_2,30)

In [4]:

# 本代码由可视化策略环境自动生成 2024年1月5日 14:34
# 本代码单元只能在可视化模式下编辑。您也可以拷贝代码，粘贴到新建的代码单元或者策略，然后修改。
 
# 显式导入 BigQuant 相关 SDK 模块
from bigdatasource.api import DataSource
from bigdata.api.datareader import D
from biglearning.api import M
from biglearning.api import tools as T
from biglearning.module2.common.data import Outputs
 
import pandas as pd
import numpy as np
import math
import warnings
import datetime
 
from zipline.finance.commission import PerOrder
from zipline.api import get_open_orders
from zipline.api import symbol
 
from bigtrader.sdk import *
from bigtrader.utils.my_collections import NumPyDeque
from bigtrader.constant import OrderType
from bigtrader.constant import Direction

# <aistudiograph>

# @param(id="m4", name="initialize")
# 交易引擎：初始化函数，只执行一次
def m4_initialize_bigquant_run(context):
    # 加载预测数据
    context.df = context.options['data'].read_df()

# @param(id="m4", name="before_trading_start")
# 交易引擎：每个单位时间开盘前调用一次。
def m4_before_trading_start_bigquant_run(context, data):
    # 盘前处理，订阅行情等
    pass

# @param(id="m4", name="handle_tick")
# 交易引擎：tick数据处理函数，每个tick执行一次
def m4_handle_tick_bigquant_run(context, tick):
    pass

# @param(id="m4", name="handle_data")
# 交易引擎：bar数据处理函数，每个时间单位执行一次
def m4_handle_data_bigquant_run(context, data):
    # 获取日期
    dt = data.current_dt.strftime('%Y-%m-%d')
    
    # 获取当前日期的所有股票市值
    df = context.df[context.df['date']==dt].sort_values('market_cap_0', ascending=True)
    instruments = list(df['instrument'])[:10]
    
    # 排名前30的股票池集合
    instruments = set(instruments)
    
    # 获取持仓信息
    holding = context.get_account_positions()
    holding_list = list(holding.keys())
    holding_num = len(holding_list)
    holding_list = set(holding_list)
    
    # 需要买入的股票 = 排名前30的股票池集合 - 已持有的股票集合
    buy_list = instruments - holding_list
    
    # 需要卖出的股票 = 已持有的股票集合 - 排名前30的股票池集合
    sell_list = holding_list - instruments
    
    # 卖出不在股票池的股票
    for ins in sell_list:
        context.order_target_percent(ins, 0)
        holding_num -= 1
            
    # 买入最新的股票
    for ins in buy_list:
        if holding_num <= 10:
            context.order_target_percent(ins, 1/10)
            holding_num += 1

# @param(id="m4", name="handle_trade")
# 交易引擎：成交回报处理函数，每个成交发生时执行一次
def m4_handle_trade_bigquant_run(context, trade):
    pass

# @param(id="m4", name="handle_order")
# 交易引擎：委托回报处理函数，每个委托变化时执行一次
def m4_handle_order_bigquant_run(context, order):
    pass

# @param(id="m4", name="after_trading")
# 交易引擎：盘后处理函数，每日盘后执行一次
def m4_after_trading_bigquant_run(context, data):
    pass


# @module(position="50,-118", comment='', comment_collapsed=True)
m1 = M.instruments.v2(
    start_date='2020-01-01',
    end_date='2022-01-20',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

# @module(position="445,-67", comment='', comment_collapsed=True)
m2 = M.input_features.v1(
    features="""market_cap_0
pe_ttm_0
list_days_0
rank_turn_0
price_limit_status_0
ta_sma_30_0
volatility_30_0
ta_sma(close_0,30)
ta_sma(close_2,30)"""
)

# @module(position="363,186", comment='', comment_collapsed=True)
m3 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m2.data,
    start_date='',
    end_date='',
    before_start_days=90
)

# @module(position="196,286", comment='', comment_collapsed=True)
m5 = M.chinaa_stock_filter.v1(
    input_data=m3.data,
    index_constituent_cond=['中证1000'],
    board_cond=['全部'],
    industry_cond=['全部'],
    st_cond=['正常'],
    delist_cond=['非退市'],
    output_left_data=False
)

# @module(position="314,381.989013671875", comment='', comment_collapsed=True)
m6 = M.filter.v3(
    input_data=m5.data,
    expr='pe_ttm_0>0 & list_days_0>360 & ta_sma(close_0,30)>ta_sma(close_2,30) & price_limit_status_0==2 & volatility_30_0<0.1',
    output_left_data=False
)

# @module(position="100,515", comment='', comment_collapsed=True)
m4 = M.hftrade.v2(
    instruments=m1.data,
    options_data=m6.data,
    start_date='',
    end_date='',
    initialize=m4_initialize_bigquant_run,
    before_trading_start=m4_before_trading_start_bigquant_run,
    handle_tick=m4_handle_tick_bigquant_run,
    handle_data=m4_handle_data_bigquant_run,
    handle_trade=m4_handle_trade_bigquant_run,
    handle_order=m4_handle_order_bigquant_run,
    after_trading=m4_after_trading_bigquant_run,
    capital_base=1000000,
    frequency='daily',
    price_type='真实价格',
    product_type='股票',
    before_start_days='0',
    volume_limit=1,
    order_price_field_buy='open',
    order_price_field_sell='close',
    benchmark='000300.HIX',
    plot_charts=True,
    disable_cache=False,
    replay_bdb=False,
    show_debug_info=False,
    backtest_only=False
)
# </aistudiograph>

[2024-01-05 14:34:14.710668] INFO: moduleinvoker:195669658.py:98: instruments.v2 开始运行..
[2024-01-05 14:34:14.808014] INFO: moduleinvoker:195669658.py:98: 命中缓存
[2024-01-05 14:34:14.812520] INFO: moduleinvoker:195669658.py:98: instruments.v2 运行完成[0.101895s].
[2024-01-05 14:34:14.903044] INFO: moduleinvoker:195669658.py:107: input_features.v1 开始运行..
[2024-01-05 14:34:14.962582] INFO: moduleinvoker:195669658.py:107: input_features.v1 运行完成[0.059517s].
[2024-01-05 14:34:14.990148] INFO: moduleinvoker:195669658.py:120: general_feature_extractor.v7 开始运行..

[2024-01-05 14:34:17.329482] INFO 基础特征抽取: 年份 2019, 特征行数=225729

INFO:基础特征抽取:年份 2019, 特征行数=225729

[2024-01-05 14:34:23.555951] INFO 基础特征抽取: 年份 2020, 特征行数=945961

INFO:基础特征抽取:年份 2020, 特征行数=945961

[2024-01-05 14:34:30.582133] INFO 基础特征抽取: 年份 2021, 特征行数=1061527

INFO:基础特征抽取:年份 2021, 特征行数=1061527

[2024-01-05 14:34:31.962299] INFO 基础特征抽取: 年份 2022, 特征行数=60846

INFO:基础特征抽取:年份 2022, 特征行数=60846

[2024-01-05 14:34:32.112984] INFO 基础特征抽取: 总行数: 2294063

INFO:基础特征抽取:总行数: 2294063
[2024-01-05 14:34:32.127902] INFO: moduleinvoker:195669658.py:120: general_feature_extractor.v7 运行完成[17.137741s].
[2024-01-05 14:34:32.156036] INFO: moduleinvoker:195669658.py:129: chinaa_stock_filter.v1 开始运行..

[2024-01-05 14:34:35.418001] INFO A股股票过滤: 过滤 /y_2019, 60622/0/225729

INFO:A股股票过滤:过滤 /y_2019, 60622/0/225729

[2024-01-05 14:34:45.637802] INFO A股股票过滤: 过滤 /y_2020, 242055/0/945961

INFO:A股股票过滤:过滤 /y_2020, 242055/0/945961

[2024-01-05 14:34:57.174649] INFO A股股票过滤: 过滤 /y_2021, 242294/0/1061527

INFO:A股股票过滤:过滤 /y_2021, 242294/0/1061527

[2024-01-05 14:34:58.239138] INFO A股股票过滤: 过滤 /y_2022, 12969/0/60846

INFO:A股股票过滤:过滤 /y_2022, 12969/0/60846

[2024-01-05 14:34:58.254837] INFO A股股票过滤: 过滤完成, 557940 + 0

INFO:A股股票过滤:过滤完成, 557940 + 0
[2024-01-05 14:34:58.292832] INFO: moduleinvoker:195669658.py:129: chinaa_stock_filter.v1 运行完成[26.136795s].
[2024-01-05 14:34:58.323459] INFO: moduleinvoker:195669658.py:140: filter.v3 开始运行..

[2024-01-05 14:34:58.364558] INFO filter: 使用表达式 pe_ttm_0>0 & list_days_0>360 & ta_sma(close_0,30)>ta_sma(close_2,30) & price_limit_status_0==2 & volatility_30_0<0.1 过滤

INFO:filter:使用表达式 pe_ttm_0>0 & list_days_0>360 & ta_sma(close_0,30)>ta_sma(close_2,30) & price_limit_status_0==2 & volatility_30_0<0.1 过滤
[2024-01-05 14:35:18.401856] ERROR: moduleinvoker:195669658.py:140: module name: filter, module version: v3, trackeback: TypeError: unsupported operand type(s) for &: 'int' and 'VariableNode'

During handling of the above exception, another exception occurred:

KeyError: 'ta_sma'

During handling of the above exception, another exception occurred:

KeyError: 'ta_sma'

The above exception was the direct cause of the following exception:

pandas.core.computation.ops.UndefinedVariableError: name 'ta_sma' is not defined

During handling of the above exception, another exception occurred:

ValueError: "ta_sma" is not a supported function

During handling of the above exception, another exception occurred:

KeyError: 'ta_sma'

During handling of the above exception, another exception occurred:

KeyError: 'ta_sma'

The above exception was the direct cause of the following exception:

pandas.core.computation.ops.UndefinedVariableError: name 'ta_sma' is not defined

During handling of the above exception, another exception occurred:

ValueError: "ta_sma" is not a supported function

---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
File /var/app/enabled/bigshared/common/dataframe.py:72, in evalex(df, expr, **kwargs)

File /var/app/enabled/bigexpr/impl/expression.py:462, in evaluate(df, expr, user_functions, user_variables)

File /var/app/enabled/bigexpr/impl/expression.py:57, in ne_evaluate(root, local_vars)

File /usr/local/python3/lib/python3.8/site-packages/numexpr/necompiler.py:809, in evaluate(ex, local_dict, global_dict, out, order, casting, **kwargs)
    808 if expr_key not in _names_cache:
--> 809     _names_cache[expr_key] = getExprNames(ex, context)
    810 names, ex_uses_vml = _names_cache[expr_key]

File /usr/local/python3/lib/python3.8/site-packages/numexpr/necompiler.py:696, in getExprNames(text, context)
    695 def getExprNames(text, context):
--> 696     ex = stringToExpression(text, {}, context)
    697     ast = expressionToAST(ex)

File /usr/local/python3/lib/python3.8/site-packages/numexpr/necompiler.py:289, in stringToExpression(s, types, context)
    288 # now build the expression
--> 289 ex = eval(c, names)
    290 if expressions.isConstant(ex):

File <expr>:1

TypeError: unsupported operand type(s) for &: 'int' and 'VariableNode'

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/scope.py:201, in Scope.resolve(self, key, is_local)
    200 if self.has_resolvers:
--> 201     return self.resolvers[key]
    203 # if we're here that means that we have no locals and we also have
    204 # no resolvers

File /usr/local/python3/lib/python3.8/collections/__init__.py:898, in ChainMap.__getitem__(self, key)
    897         pass
--> 898 return self.__missing__(key)

File /usr/local/python3/lib/python3.8/collections/__init__.py:890, in ChainMap.__missing__(self, key)
    889 def __missing__(self, key):
--> 890     raise KeyError(key)

KeyError: 'ta_sma'

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/scope.py:212, in Scope.resolve(self, key, is_local)
    208 try:
    209     # last ditch effort we look in temporaries
    210     # these are created when parsing indexing expressions
    211     # e.g., df[df > 0]
--> 212     return self.temps[key]
    213 except KeyError as err:
    214     # runtime import because ops imports from scope

KeyError: 'ta_sma'

The above exception was the direct cause of the following exception:

UndefinedVariableError                    Traceback (most recent call last)
File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:652, in BaseExprVisitor.visit_Call(self, node, side, **kwargs)
    651 try:
--> 652     res = self.visit(node.func)
    653 except UndefinedVariableError:
    654     # Check if this is a supported function name

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:535, in BaseExprVisitor.visit_Name(self, node, **kwargs)
    534 def visit_Name(self, node, **kwargs):
--> 535     return self.term_type(node.id, self.env, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/ops.py:86, in Term.__init__(self, name, env, side, encoding)
     85 self.is_local = tname.startswith(LOCAL_TAG) or tname in DEFAULT_GLOBALS
---> 86 self._value = self._resolve_name()
     87 self.encoding = encoding

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/ops.py:103, in Term._resolve_name(self)
    102 def _resolve_name(self):
--> 103     res = self.env.resolve(self.local_name, is_local=self.is_local)
    104     self.update(res)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/scope.py:217, in Scope.resolve(self, key, is_local)
    215 from pandas.core.computation.ops import UndefinedVariableError
--> 217 raise UndefinedVariableError(key, is_local) from err

UndefinedVariableError: name 'ta_sma' is not defined

During handling of the above exception, another exception occurred:

ValueError                                Traceback (most recent call last)
File module2/modules/filter/v3/__init__.py:48, in biglearning.module2.modules.filter.v3.__init__.BigQuantModule.run()

File /var/app/enabled/bigshared/common/dataframe.py:74, in evalex(df, expr, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/frame.py:3596, in DataFrame.eval(self, expr, inplace, **kwargs)
   3594 kwargs["resolvers"] = kwargs.get("resolvers", ()) + tuple(resolvers)
-> 3596 return _eval(expr, inplace=inplace, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/eval.py:342, in eval(expr, parser, engine, truediv, local_dict, global_dict, resolvers, level, target, inplace)
    334 env = ensure_scope(
    335     level + 1,
    336     global_dict=global_dict,
   (...)
    339     target=target,
    340 )
--> 342 parsed_expr = Expr(expr, engine=engine, parser=parser, env=env)
    344 # construct the engine and evaluate the parsed expression

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:798, in Expr.__init__(self, expr, engine, parser, env, level)
    797 self._visitor = PARSERS[parser](self.env, self.engine, self.parser)
--> 798 self.terms = self.parse()

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:817, in Expr.parse(self)
    814 """
    815 Parse an expression.
    816 """
--> 817 return self._visitor.visit(self.expr)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:407, in BaseExprVisitor.visit_Module(self, node, **kwargs)
    406 expr = node.body[0]
--> 407 return self.visit(expr, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:410, in BaseExprVisitor.visit_Expr(self, node, **kwargs)
    409 def visit_Expr(self, node, **kwargs):
--> 410     return self.visit(node.value, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:737, in BaseExprVisitor.visit_BoolOp(self, node, **kwargs)
    736 operands = node.values
--> 737 return reduce(visitor, operands)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:731, in BaseExprVisitor.visit_BoolOp.<locals>.visitor(x, y)
    730 lhs = self._try_visit_binop(x)
--> 731 rhs = self._try_visit_binop(y)
    733 op, op_class, lhs, rhs = self._maybe_transform_eq_ne(node, lhs, rhs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:726, in BaseExprVisitor._try_visit_binop(self, bop)
    725     return bop
--> 726 return self.visit(bop)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:710, in BaseExprVisitor.visit_Compare(self, node, **kwargs)
    709     binop = ast.BinOp(op=op, left=node.left, right=comps[0])
--> 710     return self.visit(binop)
    712 # recursive case: we have a chained comparison, a CMP b CMP c, etc.

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:522, in BaseExprVisitor.visit_BinOp(self, node, **kwargs)
    521 def visit_BinOp(self, node, **kwargs):
--> 522     op, op_class, left, right = self._maybe_transform_eq_ne(node)
    523     left, right = self._maybe_downcast_constants(left, right)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:442, in BaseExprVisitor._maybe_transform_eq_ne(self, node, left, right)
    441 if left is None:
--> 442     left = self.visit(node.left, side="left")
    443 if right is None:

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:656, in BaseExprVisitor.visit_Call(self, node, side, **kwargs)
    655 try:
--> 656     res = FuncNode(node.func.id)
    657 except ValueError:
    658     # Raise original error

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/ops.py:613, in FuncNode.__init__(self, name)
    608 if name not in MATHOPS or (
    609     NUMEXPR_INSTALLED
    610     and NUMEXPR_VERSION < LooseVersion("2.6.9")
    611     and name in ("floor", "ceil")
    612 ):
--> 613     raise ValueError(f'"{name}" is not a supported function')
    615 self.name = name

ValueError: "ta_sma" is not a supported function

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/scope.py:201, in Scope.resolve(self, key, is_local)
    200 if self.has_resolvers:
--> 201     return self.resolvers[key]
    203 # if we're here that means that we have no locals and we also have
    204 # no resolvers

File /usr/local/python3/lib/python3.8/collections/__init__.py:898, in ChainMap.__getitem__(self, key)
    897         pass
--> 898 return self.__missing__(key)

File /usr/local/python3/lib/python3.8/collections/__init__.py:890, in ChainMap.__missing__(self, key)
    889 def __missing__(self, key):
--> 890     raise KeyError(key)

KeyError: 'ta_sma'

During handling of the above exception, another exception occurred:

KeyError                                  Traceback (most recent call last)
File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/scope.py:212, in Scope.resolve(self, key, is_local)
    208 try:
    209     # last ditch effort we look in temporaries
    210     # these are created when parsing indexing expressions
    211     # e.g., df[df > 0]
--> 212     return self.temps[key]
    213 except KeyError as err:
    214     # runtime import because ops imports from scope

KeyError: 'ta_sma'

The above exception was the direct cause of the following exception:

UndefinedVariableError                    Traceback (most recent call last)
File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:652, in BaseExprVisitor.visit_Call(self, node, side, **kwargs)
    651 try:
--> 652     res = self.visit(node.func)
    653 except UndefinedVariableError:
    654     # Check if this is a supported function name

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:535, in BaseExprVisitor.visit_Name(self, node, **kwargs)
    534 def visit_Name(self, node, **kwargs):
--> 535     return self.term_type(node.id, self.env, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/ops.py:86, in Term.__init__(self, name, env, side, encoding)
     85 self.is_local = tname.startswith(LOCAL_TAG) or tname in DEFAULT_GLOBALS
---> 86 self._value = self._resolve_name()
     87 self.encoding = encoding

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/ops.py:103, in Term._resolve_name(self)
    102 def _resolve_name(self):
--> 103     res = self.env.resolve(self.local_name, is_local=self.is_local)
    104     self.update(res)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/scope.py:217, in Scope.resolve(self, key, is_local)
    215 from pandas.core.computation.ops import UndefinedVariableError
--> 217 raise UndefinedVariableError(key, is_local) from err

UndefinedVariableError: name 'ta_sma' is not defined

During handling of the above exception, another exception occurred:

ValueError                                Traceback (most recent call last)
Cell In[4], line 140
    129 m5 = M.chinaa_stock_filter.v1(
    130     input_data=m3.data,
    131     index_constituent_cond=['中证1000'],
   (...)
    136     output_left_data=False
    137 )
    139 # @module(position="314,381.989013671875", comment='', comment_collapsed=True)
--> 140 m6 = M.filter.v3(
    141     input_data=m5.data,
    142     expr='pe_ttm_0>0 & list_days_0>360 & ta_sma(close_0,30)>ta_sma(close_2,30) & price_limit_status_0==2 & volatility_30_0<0.1',
    143     output_left_data=False
    144 )
    146 # @module(position="100,515", comment='', comment_collapsed=True)
    147 m4 = M.hftrade.v2(
    148     instruments=m1.data,
    149     options_data=m6.data,
   (...)
    172     backtest_only=False
    173 )

File module2/common/modulemanagerv2.py:88, in biglearning.module2.common.modulemanagerv2.BigQuantModuleVersion.__call__()

File module2/common/moduleinvoker.py:370, in biglearning.module2.common.moduleinvoker.module_invoke()

File module2/common/moduleinvoker.py:292, in biglearning.module2.common.moduleinvoker._invoke_with_cache()

File module2/common/moduleinvoker.py:253, in biglearning.module2.common.moduleinvoker._invoke_with_cache()

File module2/common/moduleinvoker.py:212, in biglearning.module2.common.moduleinvoker._module_run()

File module2/modules/filter/v3/__init__.py:69, in biglearning.module2.modules.filter.v3.__init__.BigQuantModule.run()

File /var/app/enabled/bigshared/common/dataframe.py:74, in evalex(df, expr, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/frame.py:3596, in DataFrame.eval(self, expr, inplace, **kwargs)
   3593     kwargs["target"] = self
   3594 kwargs["resolvers"] = kwargs.get("resolvers", ()) + tuple(resolvers)
-> 3596 return _eval(expr, inplace=inplace, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/eval.py:342, in eval(expr, parser, engine, truediv, local_dict, global_dict, resolvers, level, target, inplace)
    333 # get our (possibly passed-in) scope
    334 env = ensure_scope(
    335     level + 1,
    336     global_dict=global_dict,
   (...)
    339     target=target,
    340 )
--> 342 parsed_expr = Expr(expr, engine=engine, parser=parser, env=env)
    344 # construct the engine and evaluate the parsed expression
    345 eng = ENGINES[engine]

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:798, in Expr.__init__(self, expr, engine, parser, env, level)
    796 self.parser = parser
    797 self._visitor = PARSERS[parser](self.env, self.engine, self.parser)
--> 798 self.terms = self.parse()

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:817, in Expr.parse(self)
    813 def parse(self):
    814     """
    815     Parse an expression.
    816     """
--> 817     return self._visitor.visit(self.expr)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    399 method = "visit_" + type(node).__name__
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:407, in BaseExprVisitor.visit_Module(self, node, **kwargs)
    405     raise SyntaxError("only a single expression is allowed")
    406 expr = node.body[0]
--> 407 return self.visit(expr, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    399 method = "visit_" + type(node).__name__
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:410, in BaseExprVisitor.visit_Expr(self, node, **kwargs)
    409 def visit_Expr(self, node, **kwargs):
--> 410     return self.visit(node.value, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    399 method = "visit_" + type(node).__name__
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:737, in BaseExprVisitor.visit_BoolOp(self, node, **kwargs)
    734     return self._maybe_evaluate_binop(op, node.op, lhs, rhs)
    736 operands = node.values
--> 737 return reduce(visitor, operands)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:731, in BaseExprVisitor.visit_BoolOp.<locals>.visitor(x, y)
    729 def visitor(x, y):
    730     lhs = self._try_visit_binop(x)
--> 731     rhs = self._try_visit_binop(y)
    733     op, op_class, lhs, rhs = self._maybe_transform_eq_ne(node, lhs, rhs)
    734     return self._maybe_evaluate_binop(op, node.op, lhs, rhs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:726, in BaseExprVisitor._try_visit_binop(self, bop)
    724 if isinstance(bop, (Op, Term)):
    725     return bop
--> 726 return self.visit(bop)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    399 method = "visit_" + type(node).__name__
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:710, in BaseExprVisitor.visit_Compare(self, node, **kwargs)
    708     op = self.translate_In(ops[0])
    709     binop = ast.BinOp(op=op, left=node.left, right=comps[0])
--> 710     return self.visit(binop)
    712 # recursive case: we have a chained comparison, a CMP b CMP c, etc.
    713 left = node.left

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    399 method = "visit_" + type(node).__name__
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:522, in BaseExprVisitor.visit_BinOp(self, node, **kwargs)
    521 def visit_BinOp(self, node, **kwargs):
--> 522     op, op_class, left, right = self._maybe_transform_eq_ne(node)
    523     left, right = self._maybe_downcast_constants(left, right)
    524     return self._maybe_evaluate_binop(op, op_class, left, right)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:442, in BaseExprVisitor._maybe_transform_eq_ne(self, node, left, right)
    440 def _maybe_transform_eq_ne(self, node, left=None, right=None):
    441     if left is None:
--> 442         left = self.visit(node.left, side="left")
    443     if right is None:
    444         right = self.visit(node.right, side="right")

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:401, in BaseExprVisitor.visit(self, node, **kwargs)
    399 method = "visit_" + type(node).__name__
    400 visitor = getattr(self, method)
--> 401 return visitor(node, **kwargs)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/expr.py:656, in BaseExprVisitor.visit_Call(self, node, side, **kwargs)
    653 except UndefinedVariableError:
    654     # Check if this is a supported function name
    655     try:
--> 656         res = FuncNode(node.func.id)
    657     except ValueError:
    658         # Raise original error
    659         raise

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/computation/ops.py:613, in FuncNode.__init__(self, name)
    606 from pandas.core.computation.check import NUMEXPR_INSTALLED, NUMEXPR_VERSION
    608 if name not in MATHOPS or (
    609     NUMEXPR_INSTALLED
    610     and NUMEXPR_VERSION < LooseVersion("2.6.9")
    611     and name in ("floor", "ceil")
    612 ):
--> 613     raise ValueError(f'"{name}" is not a supported function')
    615 self.name = name
    616 self.func = getattr(np, name)

ValueError: "ta_sma" is not a supported function