Fail to concat factors with different MultiIndex #678

🐛 Bug Description

Hi, when run the demo of rdagent fin_factor, raise AssertionError: Length of new_levels (3) must be <= self.nlevels (2).
After debugging, I find that there is a factor with 3-dim multiIndex, different from other factors with 2-dim multiIndex. It causes an error in rdagent/scenarios/qlib/developer/factor_runner.py: 159, where concats the factor_dfs.
Is there any suggestion to handle this exception? Thank you!

To Reproduce

Steps to reproduce the behavior:

1. run fin_factor
2. wait for the program running

Expected Behavior

Screenshot

ipdb> pd.concat(factor_dfs, axis=1)
AssertionError: Length of new_levels (3) must be <= self.nlevels (2)
ipdb> p factor_dfs[0].info()
<class 'pandas.core.frame.DataFrame'>
MultiIndex: 13011155 entries, (Timestamp('2008-12-29 00:00:00'), 'SH000300') to (Timestamp('2025-02-17 00:00:00'), 'SZ399300')
Data columns (total 1 columns):
Column Dtype
0 MediumTermMomentum float32
dtypes: float32(1)
memory usage: 615.6+ MB
None
ipdb> p factor_dfs[1].info()
<class 'pandas.core.frame.DataFrame'>
MultiIndex: 13011155 entries, (Timestamp('2008-12-29 00:00:00'), 'SH000300') to (Timestamp('2025-02-17 00:00:00'), 'SZ399300')
Data columns (total 1 columns):
Column Dtype
0 VolumeWeightedMomentum float64
dtypes: float64(1)
memory usage: 665.2+ MB
None
ipdb> p factor_dfs[2].info()
<class 'pandas.core.frame.DataFrame'>
MultiIndex: 13011155 entries, (Timestamp('2008-12-29 00:00:00'), 'SH000300') to (Timestamp('2025-02-17 00:00:00'), 'SZ399300')
Data columns (total 1 columns):
Column Dtype
0 RelativeStrengthIndex float64
dtypes: float64(1)
memory usage: 665.2+ MB
None
ipdb> p factor_dfs[3].info()
<class 'pandas.core.frame.DataFrame'>
MultiIndex: 13011155 entries, ('BJ430017', Timestamp('2023-05-31 00:00:00'), 'BJ430017') to ('SZ399300', Timestamp('2025-02-17 00:00:00'), 'SZ399300')
Data columns (total 1 columns):
Column Dtype
0 PVT float32
dtypes: float32(1)
memory usage: 640.6+ MB
None

Environment

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Additional Notes