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# 本代码由可视化策略环境自动生成 2024年1月15日 11:37
# 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="m3", name="initialize")
# 交易引擎：初始化函数，只执行一次
def m3_initialize_bigquant_run(context):
    # 系统已经设置了默认的交易手续费和滑点，要修改手续费可使用如下函数
    context.set_commission(PerOrder(buy_cost=0.0001, sell_cost=0.0001, min_cost=0))

    # 持有期/调仓周期，1天，3天，5天等
    context.holding_days = 1
    # 设置买入股票数量
    context.target_hold_count = 5
    # 每只股票的目标权重
    context.target_percent_per_instrument = 1.0 / context.target_hold_count

# @param(id="m3", name="before_trading_start")
# 交易引擎：每个单位时间开盘前调用一次。
def m3_before_trading_start_bigquant_run(context, data):
    # 盘前处理，订阅行情等
    pass

# @param(id="m3", name="handle_tick")
# 交易引擎：tick数据处理函数，每个tick执行一次
def m3_handle_tick_bigquant_run(context, tick):
    pass

# @param(id="m3", name="handle_data")
def m3_handle_data_bigquant_run(context, data):
    # 每5个交易日调仓一次
    if context.trading_day_index % context.holding_days != 0:
        return

    # 获取当前日期
    current_date = data.current_dt.strftime("%Y-%m-%d")
    # 获取当日数据
    current_day_data = context.data[context.data["date"] == current_date]
    # 取前10只
    current_day_data = current_day_data.iloc[:context.target_hold_count]
    # 获取当日目标持有股票
    target_hold_instruments = set(current_day_data["instrument"])
    # 获取当前已持有股票
    current_hold_instruments = set(context.get_account_positions().keys())

    # 卖出不在目标持有列表中的股票
    for instrument in current_hold_instruments - target_hold_instruments:
        context.order_target_percent(instrument, 0)
        
    # 买入目标持有列表中的股票
    for instrument in target_hold_instruments - current_hold_instruments:
        context.order_target_percent(instrument, context.target_percent_per_instrument)

# @param(id="m3", 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 m3_handle_trade_bigquant_run(context, trade):
    pass

# @param(id="m3", 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 m3_handle_order_bigquant_run(context, order):
    pass

# @param(id="m3", name="after_trading")
# 交易引擎：盘后处理函数，每日盘后执行一次
def m3_after_trading_bigquant_run(context, data):
    pass


# @module(position="-197,-42", comment='通过SQL调用数据、因子和表达式等构建策略逻辑', comment_collapsed=False)
m1 = M.input_features_dai.v6(
    sql="""-- 使用DAI SQL获取数据，构建因子等，如下是一个例子作为参考
-- DAI SQL 语法: https://bigquant.com/wiki/doc/dai-PLSbc1SbZX#h-sql%E5%85%A5%E9%97%A8%E6%95%99%E7%A8%8B
	
SELECT
    alpha_0 + alpha_1 + alpha_2 + alpha_5 + alpha_24 AS score,
    float_market_cap_0, 
    total_market_cap ,
    date,
    instrument
FROM cn_stock_factors
JOIN cn_stock_instruments USING (instrument, date)
WHERE
    -- 只选取在指定日期范围内的数据，这里多看90天，用于有的算子需要更早的数据
    name NOT LIKE '%退%'
    and name NOT LIKE '%ST%'
    and name NOT LIKE '%*%'
    -- date BETWEEN DATE '{start_date}' - INTERVAL 90 DAY AND '{end_date}'
    -- 剔除ST股票
    and st_status = 0
    -- 上市天数 > 365
    -- AND list_days > 365
    -- pe > 0
    AND pe_ttm > 0
    -- 非停牌股
    AND suspended = 0
    -- 不属于北交所
    AND list_sector < 4
-- 窗口函数内容过滤需要放在 QUALIFY 这里

QUALIFY
    -- 去掉有空值的行
    COLUMNS(*) IS NOT NULL
    -- 换手率排名 <= 0.5
    -- AND c_pct_rank(turn_0) <= 0.5

-- 按市值排名，从小到大
-- ORDER BY float_market_cap_0,date
"""
)

# @module(position="-236,107", comment='抽取数据，设置数据开始时间和结束时间，并绑定模拟交易', comment_collapsed=False)
m2 = M.extract_data_dai.v7(
    sql=m1.data,
    start_date='2024-01-01',
    start_date_bound_to_trading_date=True,
    end_date='2024-01-11',
    end_date_bound_to_trading_date=True,
    before_start_days=90,
    debug=False
)

# @module(position="-169,289", comment='交易，日线，设置初始化函数和K线处理函数，以及初始资金、基准等', comment_collapsed=False)
m3 = M.bigtrader.v7(
    data=m2.data,
    start_date='',
    end_date='',
    initialize=m3_initialize_bigquant_run,
    before_trading_start=m3_before_trading_start_bigquant_run,
    handle_tick=m3_handle_tick_bigquant_run,
    handle_data=m3_handle_data_bigquant_run,
    handle_trade=m3_handle_trade_bigquant_run,
    handle_order=m3_handle_order_bigquant_run,
    after_trading=m3_after_trading_bigquant_run,
    capital_base=1000000,
    frequency='daily',
    product_type='股票',
    before_start_days=0,
    volume_limit=1,
    order_price_field_buy='open',
    order_price_field_sell='open',
    benchmark='000300.SH',
    plot_charts=True,
    disable_cache=True,
    debug=False,
    backtest_only=False
)
# </aistudiograph>

[2024-01-15 11:37:35.817099] INFO: moduleinvoker:3200141886.py:94: input_features_dai.v6 开始运行..
[2024-01-15 11:37:35.887940] INFO: moduleinvoker:3200141886.py:94: input_features_dai.v6 运行完成[0.07085s].
[2024-01-15 11:37:35.905965] INFO: moduleinvoker:3200141886.py:136: extract_data_dai.v7 开始运行..

2024-01-15 11:37:35 [info     ] start_date='2024-01-01', end_date='2024-01-11', query_start_date='2023-10-03' ..
2024-01-15 11:37:41 [info     ] data extracted: (30435, 5)

[2024-01-15 11:37:41.956501] INFO: moduleinvoker:3200141886.py:136: extract_data_dai.v7 运行完成[6.050504s].
[2024-01-15 11:37:41.982107] INFO: moduleinvoker:3200141886.py:147: bigtrader.v7 开始运行..

2024-01-15 11:37:41 [info     ] got metadata extra from input datasource
2024-01-15 11:37:42 [info     ] read data ..
2024-01-15 11:37:42 [info     ] start_date='2024-01-01', end_date='2024-01-11', instruments=3831
2024-01-15 11:37:42 [info     ] bigtrader module V2.0.2
2024-01-15 11:37:42 [info     ] bigtrader engine v1.10.7 2024-01-08
2024-01-15 11:37:43 [info     ] backtest done, raw_perf_ds:dai.DataSource("_6ede3e16fd9848e79b3e3556d171183a")

[2024-01-15 11:37:43.671928] INFO: bigcharts.impl.render:render.py:619:render_chart Data is None, skip loading it to chart.

[2024-01-15 11:37:43.857890] INFO: moduleinvoker:3200141886.py:147: bigtrader.v7 运行完成[1.875775s].