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# 本代码由可视化策略环境自动生成 2022年4月24日 14:09
# 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。


def my_max(data,day):
    def func(df):
        return df['close_0'].rolling(day).max()
    return data.groupby("instrument", group_keys=False).apply(func)


m4_user_functions_bigquant_run = {
    'my_max':my_max
}

m1 = M.instruments.v2(
    start_date='2020-01-01',
    end_date='2020-02-02',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=300
)

m2 = M.input_features.v1(
    features="""ts_max(close_0, 5)
my_max( 5)"""
)

m3 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m2.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m4 = M.derived_feature_extractor.v3(
    input_data=m3.data,
    features=m2.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions=m4_user_functions_bigquant_run
)

[2022-04-24 14:09:08.614058] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-04-24 14:09:08.622973] INFO: moduleinvoker: 命中缓存

[2022-04-24 14:09:08.625769] INFO: moduleinvoker: instruments.v2 运行完成[0.011666s].

[2022-04-24 14:09:08.632778] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-04-24 14:09:08.680586] INFO: moduleinvoker: input_features.v1 运行完成[0.047828s].

[2022-04-24 14:09:08.713506] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-04-24 14:09:08.723384] INFO: moduleinvoker: 命中缓存

[2022-04-24 14:09:08.726504] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.013s].

[2022-04-24 14:09:08.738285] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-04-24 14:09:08.904021] INFO: derived_feature_extractor: 提取完成 ts_max(close_0, 5), 0.040s

[2022-04-24 14:09:09.057217] INFO: derived_feature_extractor: 提取完成 my_max( 5), 0.152s

[2022-04-24 14:09:09.150078] INFO: derived_feature_extractor: /y_2019, 18151

[2022-04-24 14:09:09.237010] INFO: derived_feature_extractor: /y_2020, 4755

[2022-04-24 14:09:09.316469] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.578048s].