def test_add_field():
dv = DataView()
dv.load_dataview(folder_path=daily_path)
nrows, ncols = dv.data_d.shape
n_securities = len(dv.data_d.columns.levels[0])
ds = RemoteDataService()
ds.init_from_config(data_config)
dv.add_field('total_share', ds)
assert dv.data_d.shape == (nrows, ncols + 1 * n_securities)
def test_add_field():
dv = DataView()
dv.load_dataview(folder_path=daily_path)
nrows, ncols = dv.data_d.shape
n_securities = len(dv.data_d.columns.levels[0])
ds = RemoteDataService()
ds.init_from_config(data_config)
dv.add_field('total_share', ds)
assert dv.data_d.shape == (nrows, ncols + 1 * n_securities)
def get_dv(start=20170101, end=20180101):
import jaqs_fxdayu
jaqs_fxdayu.patch_all()
from jaqs.data import DataView
from jaqs_fxdayu.data.dataservice import LocalDataService
import warnings
warnings.filterwarnings("ignore")
#--------------------------------------------------------
#define
factor_list = [
'volume', 'tot_profit', 'plus_non_oper_rev', 'less_non_oper_exp',
'net_cash_flows_oper_act', 'total_oper_rev', 'tot_oper_cost',
'fin_exp', 'less_selling_dist_exp', 'less_gerl_admin_exp', 'oper_rev',
'less_oper_cost', 'turnover'
]
check_factor = ','.join(factor_list)
dataview_folder = 'G:\GSICE\DATA\data'
ds = LocalDataService(fp=dataview_folder)
ZZ800_id = ds.query_index_member("000906.SH", start, end)
stock_symbol = list(set(ZZ800_id))
dv_props = {
'start_date': start,
'end_date': end,
'symbol': ','.join(stock_symbol),
'fields': check_factor,
'freq': 1,
"prepare_fields": True
}
dv = DataView()
dv.init_from_config(dv_props, data_api=ds)
dv.prepare_data()
data_config = {
"remote.data.address":
"tcp://data.tushare.org:8910",
"remote.data.username":
"******",
"remote.data.password":
"******"
}
from jaqs_fxdayu.data import RemoteDataService
Ds = RemoteDataService()
Ds.init_from_config(data_config)
dv.add_field('pe', Ds)
return dv
def test_q_add_field():
dv = DataView()
dv.load_dataview(folder_path=quarterly_path)
nrows, ncols = dv.data_q.shape
n_securities = len(dv.data_d.columns.levels[0])
ds = RemoteDataService()
ds.init_from_config(data_config)
dv.add_field('net_inc_other_ops', ds)
"""
dv.add_field('oper_rev', ds)
dv.add_field('turnover', ds)
"""
assert dv.data_q.shape == (nrows, ncols + 1 * n_securities)
def test_q_add_field():
dv = DataView()
dv.load_dataview(folder_path=quarterly_path)
nrows, ncols = dv.data_q.shape
n_securities = len(dv.data_d.columns.levels[0])
ds = RemoteDataService()
ds.init_from_config(data_config)
dv.add_field('net_inc_other_ops', ds)
"""
dv.add_field('oper_rev', ds)
dv.add_field('turnover', ds)
"""
assert dv.data_q.shape == (nrows, ncols + 1 * n_securities)
"tcp://gw.quantos.org:8901",
"remote.trade.username":
"******",
"remote.trade.password":
"******"
}
dataview_dir_path = '***' #dataview存储路径
backtest_result_dir_path = '***' #回测结果存储路径
api = DataApi(addr='tcp://data.quantos.org:8910')
api.login("phone", "token")
dv = DataView()
dv.load_dataview(folder_path=dataview_dir_path)
dv.add_field('turnover_ratio', ds)
dv.save_dataview(folder_path=dataview_dir_path)
dv.update_snapshot()
#在已经保存dataview之后，需要添加某项指标(dataview.py里面可以找这些指标，不是因子！)，如turnover_ratio，使用这段代码，添加完之后下一次运行就可以注释掉
def my_selector(context, user_options=None):
#筛选僵尸股和ST股
df = context.dataview.data_inst['name']
result = pd.DataFrame(df, columns=['ST'], index=df.index, dtype='bool')
selector_volume = context.snapshot[
'mean_turnover'] > 50000000 #这里要先add('ts_mean(turnover, 5)', 'mean_turnover')
names = list(df)
for i in range(len(df)):
if 'ST' in names[i]:
ds = LocalDataService(fp=dataview_folder)
dv_props = {
'start_date': start,
'end_date': end,
'symbol': ','.join(stock_symbol),
'fields': check_factor,
'freq': 1,
"prepare_fields": True
}
dv.init_from_config(dv_props, data_api=ds)
dv.prepare_data()
#获取行业情况
dv.add_field('sw1')
sw1 = dv.get_ts('sw1')
dict_classify = {
'480000': '银行',
'430000': '房地产',
'460000': '休闲服务',
'640000': '机械设备',
'240000': '有色金属',
'510000': '综合',
'410000': '公用事业',
'450000': '商业贸易',
'730000': '通信',
'330000': '家用电器',
'720000': '传媒',
'630000': '电气设备',
'270000': '电子',
print(dv.get_ts('roe_pb').head()) #这里用get_ts的方法输入新的名称即可
#5_从数据服务添加新数据至本地
#先设置Config
data_config = {
"remote.data.address":
"tcp://data.tushare.org:8910", #地址统一,暂不做修改
"remote.data.username":
"******", #quantos账号(手机号码)
#quantos账号的API令牌号码
"remote.data.password":
"******"
}
ds = RemoteDataService() #DataService启动
ds.init_from_config(data_config) #data_config启动
dv.add_field('eps_basic', ds) #添加新数据(eps_basic)至本地(ds)
print(dv.get_ts('eps_basic').head())
A = dv.get_ts('eps_basic').head() #get_ts为数据获取
dv.remove_field('eps_basic') #删除数据(eps_basic)
dv.add_field('volume', ds) #添加新数据至本地(ds)
A = dv.get_ts('volume').head()
dv.save_dataview('G:/data/hs300') #保存
dv.save_dataview('G:/data/hs300_1') #这相当于另存为
print(dv.fields) #查看dv中取得的数据
dv.add_field('roe', ds) #添加新数据至本地(ds)
'end_date': end,
'symbol': ','.join(stock_symbol),
'fields': check_factor,
'freq': 1,
"prepare_fields": True
}
dv.init_from_config(dv_props, data_api=ds)
# In[10]:
dv.prepare_data()
# In[11]:
dv.add_field('sw1')
sw1 = dv.get_ts('sw1')
dict_classify = {
'480000': '银行',
'430000': '房地产',
'460000': '休闲服务',
'640000': '机械设备',
'240000': '有色金属',
'510000': '综合',
'410000': '公用事业',
'450000': '商业贸易',
'730000': '通信',
'330000': '家用电器',
'720000': '传媒',
'630000': '电气设备',
'270000': '电子',
