克隆策略

案例

  • 设置时间范围 2021-01-01 到 2021-03-01，股票范围为000001.SZA 和 300023.SZA
  • 获取bar1d_CN_STOCK_A表中的close、open、high、low、adjust_factor、amount列，并利用表达式计算真实价格close_actual=close/adjust_factor
  • 将每日的数据按close_actual列大小升序排列
  • 条件过滤close_actual列得到真实价格小于10元的数据行
  • 条件过滤日期列得到2021年2月的数据行
  • 从DataFrame中筛选date,instrument,close_actual三列数据
  • 结果查看

    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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\nclose\nopen\nhigh\nlow\nadjust_factor\namount\nclose_actual=close/adjust_factor","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"features_ds","node_id":"-19"}],"output_ports":[{"name":"data","node_id":"-19"}],"cacheable":true,"seq_num":3,"comment":"","comment_collapsed":true},{"node_id":"-24","module_id":"BigQuantSpace.derived_feature_extractor.derived_feature_extractor-v3","parameters":[{"name":"date_col","value":"date","type":"Literal","bound_global_parameter":null},{"name":"instrument_col","value":"instrument","type":"Literal","bound_global_parameter":null},{"name":"drop_na","value":"False","type":"Literal","bound_global_parameter":null},{"name":"remove_extra_columns","value":"False","type":"Literal","bound_global_parameter":null},{"name":"user_functions","value":"{}","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"input_data","node_id":"-24"},{"name":"features","node_id":"-24"}],"output_ports":[{"name":"data","node_id":"-24"}],"cacheable":true,"seq_num":4,"comment":"","comment_collapsed":true},{"node_id":"-33","module_id":"BigQuantSpace.sort.sort-v4","parameters":[{"name":"sort_by","value":"close_actual","type":"Literal","bound_global_parameter":null},{"name":"group_by","value":"date","type":"Literal","bound_global_parameter":null},{"name":"keep_columns","value":"--","type":"Literal","bound_global_parameter":null},{"name":"ascending","value":"True","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"input_ds","node_id":"-33"},{"name":"sort_by_ds","node_id":"-33"}],"output_ports":[{"name":"sorted_data","node_id":"-33"}],"cacheable":false,"seq_num":5,"comment":"","comment_collapsed":true},{"node_id":"-49","module_id":"BigQuantSpace.filter.filter-v3","parameters":[{"name":"expr","value":"close_actual<10","type":"Literal","bound_global_parameter":null},{"name":"output_left_data","value":"False","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"input_data","node_id":"-49"}],"output_ports":[{"name":"data","node_id":"-49"},{"name":"left_data","node_id":"-49"}],"cacheable":true,"seq_num":6,"comment":"","comment_collapsed":true},{"node_id":"-55","module_id":"BigQuantSpace.filter.filter-v3","parameters":[{"name":"expr","value":"date>='2021-02-01' 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    In [26]:
    # 本代码由可视化策略环境自动生成 2021年10月15日07:15
# 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。


m2 = M.instruments.v2(
    start_date='2021-01-01',
    end_date='2021-03-01',
    market='CN_STOCK_A',
    instrument_list="""000001.SZA
300023.SZA""",
    max_count=0
)

m3 = 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
close
open
high
low
adjust_factor
amount
close_actual=close/adjust_factor"""
)

m1 = M.use_datasource.v1(
    instruments=m2.data,
    features=m3.data,
    datasource_id='bar1d_CN_STOCK_A',
    start_date='',
    end_date=''
)

m4 = M.derived_feature_extractor.v3(
    input_data=m1.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions={}
)

m5 = M.sort.v4(
    input_ds=m4.data,
    sort_by='close_actual',
    group_by='date',
    keep_columns='--',
    ascending=True,
    m_cached=False
)

m6 = M.filter.v3(
    input_data=m5.sorted_data,
    expr='close_actual<10',
    output_left_data=False
)

m7 = M.filter.v3(
    input_data=m6.data,
    expr='date>=\'2021-02-01\' and date<\'2021-03-01\'',
    output_left_data=False
)

m8 = M.select_columns.v3(
    input_ds=m7.data,
    columns='date,instrument,close_actual',
    reverse_select=False
)

    列： ['date', 'instrument', 'close_actual']
/data: 15