依赖注入实现中

api.py

@@ -223,6 +223,68 @@ class PortfoliosBuilder(ABC):
         pass
 
 
+class Solver(ABC):
+    '''
+    解算器
+    '''
+    def solve_max_rtn(self):
+        '''
+        :return: max_rtn, max_var, minCVaR_whenMaxR
+        '''
+        pass
+
+    def solve_min_rtn(self):
+        '''
+        :return: min_rtn, min_var, maxCVaR_whenMinR
+        '''
+        pass
+
+    def solve_mpt(self, min_rtn, max_rtn):
+        '''
+        常规mpt计算
+        :param min_rtn: 最小回报率
+        :param max_rtn: 最大回报率
+        :return: 投组，cvar
+        '''
+        pass
+
+    def solve_poem(self, min_rtn, max_rtn, base_cvar, max_cvar):
+        '''
+        poem方式的mpt计算
+        :param min_rtn: 最小回报率
+        :param max_rtn: 最大回报率
+        :param base_cvar: 基础cvar
+        :param max_cvar: 最大cvar
+        :return: 投组，cvar
+        '''
+        pass
+
+    def reset_navs(self, day):
+        '''
+        根据指定的日期，重置当前解算器，其他计算，全部依赖这里重置后的基金净值数据
+        :param day: 指定的日期
+        :return: 根据指定日期获取的，基金净值数据
+        '''
+        pass
+
+    @property
+    @abstractmethod
+    def navs(self):
+        '''
+        :return: 当前解算器需要的基金净值
+        '''
+        pass
+
+
+class SolverFactory(ABC):
+    '''
+    解算器工厂
+    '''
+    @abstractmethod
+    def create_solver(self, risk: PortfoliosRisk, type: PortfoliosType = PortfoliosType.NORMAL) -> Solver:
+        pass
+
+
 class SignalBuilder(ABC):
     '''
     控制信号，发起是否调仓服务

basic/datum.py

 import json
 
-from api import DatumType, Datum
+from api import DatumType, Datum, PortfoliosRisk
 from basic.dao import robo_base_datum as rbd
 from framework import component, parse_date
 
@@ -17,3 +17,6 @@ class DefaultDatum(Datum):
         result = rbd.get_base_datums(type=DatumType.INDEX, ticker=ticker, datum_ids=index_ids)
         return [{**json.loads(x['datas']), 'id': x['id']} for x in result]
 
+    def get_high_risk_datums(self, risk: PortfoliosRisk):
+        pass
+

config.yml

@@ -74,7 +74,7 @@ asset-pool:
       threshold: -0.03
       coef: 0.95
 portfolios:
-  builder:
+  solver:
     tol: 1E-10
     navs:
       months: 3

portfolios/test_case.py

 import unittest
 from framework import autowired, parse_date, get_logger
-from api import PortfoliosBuilder, PortfoliosType
+from api import PortfoliosBuilder, PortfoliosType, PortfoliosRisk
 
 
 class PortfoliosTest(unittest.TestCase):
@@ -8,14 +8,19 @@ class PortfoliosTest(unittest.TestCase):
     logger = get_logger(__name__)
 
     @autowired(names={'builder': 'poem'})
-    def test_poem_portfolio_builder(self, builder: PortfoliosBuilder = None):
-        result, detail = builder.build_portfolio(parse_date('2011-11-07'), PortfoliosType.NORMAL)
+    def test_poem_build_portfolio(self, builder: PortfoliosBuilder = None):
+        result, detail = builder.build_portfolio(parse_date('2022-11-07'), PortfoliosType.NORMAL)
         self.logger.info("portfolios: ")
         for risk, portfolio in result.items():
             self.logger.info(risk.name)
             self.logger.info(portfolio)
             self.logger.info(detail[risk])
 
+    @autowired(names={'builder': 'poem'})
+    def test_poem_get_portfolio(self, builder: PortfoliosBuilder = None):
+        portfolio = builder.get_portfolios(parse_date('2022-11-07'), PortfoliosRisk.FT9)
+        self.logger.info(portfolio)
+
 
 if __name__ == '__main__':
     unittest.main()

test.py

-import unittest
-
-
-class MyTestCase(unittest.TestCase):
-    def test_something(self):
-        self.assertEqual(True, True)  # add assertion here
-
-
-if __name__ == '__main__':
-    unittest.main()