In [2]:

# 本代码由可视化策略环境自动生成 2023年11月27日 00:08
# 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>

# @module(position="-409,-24", comment='', comment_collapsed=True)
m1 = M.instruments.v2(
    start_date='20231120',
    end_date='20231124',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

# @module(position="-33,-56", comment='', comment_collapsed=True)
m5 = M.input_features.v1(
    features="""
# #号开始的表示注释，注释需单独一行
# 多个特征，每行一个，可以包含基础特征和衍生特征，特征须为本平台特征
instrument
date
股票名称=name
所属板块=list_board_0
上市天数=list_days_0
流通市值=market_cap_float_0
收盘价=close_0
最高价=high_0
最低价=low_0
换手率=turn_0
成交量=volume_0
含当日5天均量=mean(volume_0,5)
含当日30天均量=mean(volume_0,30)
五天前的30天均量=shift(mean(volume_0,30),5)
跳空=where(low_0>shift(high_0,1),1,0)
量的倍数=mean(volume_0,5)/shift(mean(volume_0,30),5)"""
)

# @module(position="-387,62", comment='', comment_collapsed=True)
m8 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m5.data,
    start_date='20231120',
    end_date='20231124',
    before_start_days=90
)

# @module(position="-170,141", comment='', comment_collapsed=True)
m3 = M.derived_feature_extractor.v3(
    input_data=m8.data,
    features=m5.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions={}
)

# @module(position="-160,218", comment='', comment_collapsed=True)
m4 = M.chinaa_stock_filter.v1(
    input_data=m3.data,
    index_constituent_cond=['全部'],
    board_cond=['上证主板', '深证主板', '创业板', '科创板'],
    industry_cond=['全部'],
    st_cond=['正常'],
    delist_cond=['非退市'],
    output_left_data=False
)

# @module(position="-129,316", comment='', comment_collapsed=True)
m6 = M.dropnan.v2(
    input_data=m4.data
)

# @module(position="-125,404", comment='', comment_collapsed=True)
m7 = M.sort.v5(
    input_ds=m6.data,
    sort_by='量的倍数',
    group_by='instrument',
    keep_columns='',
    ascending=False
)
# </aistudiograph>

[2023-11-27 00:12:13.655067] INFO: moduleinvoker:2983510782.py:29: instruments.v2 开始运行..
[2023-11-27 00:12:13.868445] INFO: moduleinvoker:2983510782.py:29: instruments.v2 运行完成[0.21336s].
[2023-11-27 00:12:13.880500] INFO: moduleinvoker:2983510782.py:38: input_features.v1 开始运行..
[2023-11-27 00:12:14.018619] INFO: moduleinvoker:2983510782.py:38: input_features.v1 运行完成[0.138066s].
[2023-11-27 00:12:14.029874] INFO: moduleinvoker:2983510782.py:61: general_feature_extractor.v7 开始运行..
[2023-11-27 00:12:15.707665] ERROR: moduleinvoker:2983510782.py:61: module name: general_feature_extractor, module version: v7, trackeback: KeyError: 'date'

---------------------------------------------------------------------------
KeyError                                  Traceback (most recent call last)
Cell In[2], line 61
     38 m5 = M.input_features.v1(
     39     features="""
     40 # #号开始的表示注释，注释需单独一行
   (...)
     57 量的倍数=mean(volume_0,5)/shift(mean(volume_0,30),5)"""
     58 )
     60 # @module(position="-387,62", comment='', comment_collapsed=True)
---> 61 m8 = M.general_feature_extractor.v7(
     62     instruments=m1.data,
     63     features=m5.data,
     64     start_date='20231120',
     65     end_date='20231124',
     66     before_start_days=90
     67 )
     69 # @module(position="-170,141", comment='', comment_collapsed=True)
     70 m3 = M.derived_feature_extractor.v3(
     71     input_data=m8.data,
     72     features=m5.data,
   (...)
     77     user_functions={}
     78 )

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/general_feature_extractor/v7/__init__.py:86, in biglearning.module2.modules.general_feature_extractor.v7.__init__.BigQuantModule.run()

File /var/app/enabled/bigdatasource/api/datareader.py:237, in features(self, instruments, start_date, end_date, fields, groupped_by_instrument, market)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/frame.py:8192, in DataFrame.merge(self, right, how, on, left_on, right_on, left_index, right_index, sort, suffixes, copy, indicator, validate)
   8173 @Substitution("")
   8174 @Appender(_merge_doc, indents=2)
   8175 def merge(
   (...)
   8188     validate=None,
   8189 ) -> DataFrame:
   8190     from pandas.core.reshape.merge import merge
-> 8192     return merge(
   8193         self,
   8194         right,
   8195         how=how,
   8196         on=on,
   8197         left_on=left_on,
   8198         right_on=right_on,
   8199         left_index=left_index,
   8200         right_index=right_index,
   8201         sort=sort,
   8202         suffixes=suffixes,
   8203         copy=copy,
   8204         indicator=indicator,
   8205         validate=validate,
   8206     )

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/reshape/merge.py:74, in merge(left, right, how, on, left_on, right_on, left_index, right_index, sort, suffixes, copy, indicator, validate)
     57 @Substitution("\nleft : DataFrame")
     58 @Appender(_merge_doc, indents=0)
     59 def merge(
   (...)
     72     validate=None,
     73 ) -> "DataFrame":
---> 74     op = _MergeOperation(
     75         left,
     76         right,
     77         how=how,
     78         on=on,
     79         left_on=left_on,
     80         right_on=right_on,
     81         left_index=left_index,
     82         right_index=right_index,
     83         sort=sort,
     84         suffixes=suffixes,
     85         copy=copy,
     86         indicator=indicator,
     87         validate=validate,
     88     )
     89     return op.get_result()

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/reshape/merge.py:668, in _MergeOperation.__init__(self, left, right, how, on, left_on, right_on, axis, left_index, right_index, sort, suffixes, copy, indicator, validate)
    661 self._cross = cross_col
    663 # note this function has side effects
    664 (
    665     self.left_join_keys,
    666     self.right_join_keys,
    667     self.join_names,
--> 668 ) = self._get_merge_keys()
    670 # validate the merge keys dtypes. We may need to coerce
    671 # to avoid incompatible dtypes
    672 self._maybe_coerce_merge_keys()

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/reshape/merge.py:1033, in _MergeOperation._get_merge_keys(self)
   1031 if not is_rkey(rk):
   1032     if rk is not None:
-> 1033         right_keys.append(right._get_label_or_level_values(rk))
   1034     else:
   1035         # work-around for merge_asof(right_index=True)
   1036         right_keys.append(right.index)

File /usr/local/python3/lib/python3.8/site-packages/pandas/core/generic.py:1683, in NDFrame._get_label_or_level_values(self, key, axis)
   1681     values = self.axes[axis].get_level_values(key)._values
   1682 else:
-> 1683     raise KeyError(key)
   1685 # Check for duplicates
   1686 if values.ndim > 1:

KeyError: 'date'