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# 本代码由可视化策略环境自动生成 2022年8月3日 14:16
# 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。


#计算高点那天的成交量
def func(_x):
    days = 20
    x = _x.copy()
    x.sort_values("date", inplace=True)
    x.reset_index(drop=True, inplace=True)
    x["index2"] = x.index - (days - x.max_shift_date) + 1
    x = x.fillna(0)
    x["max_date"] = x.iloc[x.index2.values,:]["date"].values
    x["high_amount"] = x.iloc[x.index2.values,:]["amount_0"].values

    return x

def cal_high_amount(df,amount_0):    
    result = df.groupby("instrument").apply(func).reset_index(drop=True)
    #合并原df，保证顺序一致
    result = pd.merge(left=df,right=result[['date','instrument','high_amount']],on=['date','instrument'],how='left')
    return result['high_amount']

m5_user_functions_bigquant_run = {
    'cal_high_amount': cal_high_amount
}


m1 = M.instruments.v2(
    start_date='2018-12-02',
    end_date='2019-02-01',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m2 = M.input_features.v1(
    features="""max_shift_date=ts_argmax(high_0, 20) #20日高点那天
amount_0

high_amount=cal_high_amount(amount_0)#计算高点那天的成交量
"""
)

m3 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m2.data,
    start_date='',
    end_date='',
    before_start_days=0
)

m5 = 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=m5_user_functions_bigquant_run
)

[2022-08-03 10:58:40.176042] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-08-03 10:58:40.184049] INFO: moduleinvoker: 命中缓存

[2022-08-03 10:58:40.186640] INFO: moduleinvoker: instruments.v2 运行完成[0.010609s].

[2022-08-03 10:58:40.193053] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-08-03 10:58:40.293526] INFO: moduleinvoker: input_features.v1 运行完成[0.100337s].

[2022-08-03 10:58:40.384293] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-08-03 10:58:40.392353] INFO: moduleinvoker: 命中缓存

[2022-08-03 10:58:40.395568] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.011282s].

[2022-08-03 10:58:40.486815] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-08-03 10:58:46.077974] INFO: derived_feature_extractor: 提取完成 max_shift_date=ts_argmax(high_0, 20) #20日高点那天, 2.602s

[2022-08-03 10:59:25.350181] INFO: derived_feature_extractor: 提取完成 high_amount=cal_high_amount(amount_0)#计算高点那天的成交量, 39.269s

[2022-08-03 10:59:25.672473] INFO: derived_feature_extractor: /y_2018, 70881

[2022-08-03 10:59:26.047275] INFO: derived_feature_extractor: /y_2019, 81866

[2022-08-03 10:59:26.308929] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[45.822089s].