def get_index(start, end, benchmark):
getdb = client_db.read_db(type='wind')
sql = "select TRADE_DT,S_DQ_CLOSE from AIndexEODPrices where (TRADE_DT>='%s') and (TRADE_DT<='%s') and (S_INFO_WINDCODE = '%s')" % (
start, end, benchmark)
df_index = getdb.db_query(sql)
df_index.columns = ['trade_day', 'close']
return df_index
def __init__(self, start, flag, fre, factor_filename, day_range, dirpath, date=None):
self.sql = "select s_info_windcode,trade_dt,s_dq_freeturnover from AShareEODDerivativeIndicator"
self.flag = flag # 0 回测 1更新
self.day_range = day_range ##
self.dirpath = dirpath # 新建data文件夹 存各种因子数据
self.factor_filename = factor_filename # data文件夹里 具体因子的文件夹
self.factor_path = self.dirpath + '/' + self.factor_filename
# 确定运行日期
if date == None:
self.today = strftime("%Y%m%d", localtime())
else:
self.today = date
self.initial = '20080101' # 留点窗口 为了下面start往前推能取到日期
self.start = start
self.fre = fre
self.all_trade_day = get_tradeDay.wind(self.initial, self.today, fre='day') ##用于定位一段交易日区间
self.trade_day = get_tradeDay.wind(self.start, self.today, fre=self.fre)
# self.trade_day = self.trade_day.iloc[:-1]
self.getdb = client_db.read_db(type='ctquant2')
if not os.path.exists(self.dirpath):
os.mkdir(self.dirpath)
if not os.path.exists('%s' % (self.factor_path)):
os.mkdir('%s' % (self.factor_path))
def run(start, end, today, dirpath, output_path, flag, fre):
getdb = read_db(type='wind')
tradeday = get_tradeDay.wind(start, end, fre=fre)
tradeday = tradeday.iloc[:-1]
# if not os.path.exists(dirpath):
# os.mkdir(dirpath)
if flag == 0:
for day in tradeday:
print(day)
get_holding(day, dirpath, output_path, getdb)
else:
get_holding(today, dirpath, output_path, getdb)
def run(start, end, today, dirpath, flag, fre):
getdb = client_db.read_db()
tradeday = get_tradeDay.wind(start, end, fre=fre)
tradeday = tradeday.iloc[:-1]
if not os.path.exists(dirpath):
os.mkdir(dirpath)
if flag == 0:
for day in tradeday:
print(day)
suspend(day, dirpath, getdb)
else:
suspend(today, dirpath, getdb)
def run(start, end, today, output_path, flag, fre):
config_path = 'Z:/daily_data/config/config.yaml'
with open(config_path) as f:
config = yaml.load(f.read())
account = config['account']
for key, sub_account in account.items():
if sub_account['type'] == 'p':
account_name = sub_account['subaccount'].split('account-')[1]
getdb = read_db(type='wind')
tradeday = get_tradeDay.wind(start, end, fre=fre)
tradeday = tradeday.iloc[:-1]
if flag == 0:
for day in tradeday:
print(day)
get_new_stock(day, account_name, output_path, getdb)
else:
get_new_stock(today, account_name, output_path, getdb)
def __init__(self, start, end, fre, factor_name_list, type, benchmark,
input_path, universe_path, n_quantile, outputpath):
self.start = start
self.end = end
self.fre = fre
self.factor_name_list = factor_name_list
self.tradeday = get_tradeDay.wind(self.start, self.end, fre=self.fre)
self.daily = get_tradeDay.wind(self.start, self.end, fre='day')
self.type = type
self.benchmark = benchmark
self.input_path = input_path
self.universe_path = universe_path
self.n_quantile = n_quantile
self.pct_quantiles = 1 / float(self.n_quantile)
self.outputpath0 = outputpath
self.getdb = client_db.read_db(type='wind')
def __init__(self,
start,
sql,
flag,
factor_filename,
day_range,
date=None):
self.sql = sql
self.flag = flag # 0 回测 1更新
self.day_range = day_range ##
self.dirpath = 'raw_data' # 新建data文件夹 存各种因子数据
self.factor_filename = factor_filename # data文件夹里 具体因子的文件夹
self.factor_path = self.dirpath + '/' + self.factor_filename
# 确定运行日期
if date == None:
self.today = strftime("%Y%m%d", localtime())
else:
self.today = date
self.initial = '20170101' # 留点窗口 为了下面start往前推能取到日期
self.start = start
self.all_trade_day = get_tradeDay.wind(self.initial,
self.today,
fre='day') ##用于定位一段交易日区间
self.trade_day = get_tradeDay.wind(self.start, self.today, fre='day')
# self.trade_day = self.trade_day.iloc[:-1]
self.getdb = client_db.read_db(type='ctquant2')
if not os.path.exists(self.dirpath):
os.mkdir(self.dirpath)
if not os.path.exists('%s' % (self.factor_path)):
os.mkdir('%s' % (self.factor_path))
end = strftime("%Y%m%d", localtime())
dirpath = 'gogo_data'
update = False
# day = '20171031'
# sql = "select SYMBOL,LTDR from P_GG_KEYDATA where TDATE=%s" % day
# test = client_db.read_db(type='gogo')
# df = test.db_query(sql)
if not os.path.exists(dirpath):
os.mkdir(dirpath)
fre = 'month'
getdb = client_db.read_db(type='gogo')
tradeday = get_tradeDay.wind(start, end, fre=fre)
# tradeday = tradeday.iloc[:-1]
today = tradeday.iloc[-1]
def run(day, dirpath):
sql = "select SYMBOL,LTDR from P_GG_KEYDATA where TDATE=%s" % (day)
df = getdb.db_query(sql)
df.columns = ['ticker', 'close_s']
df.to_csv('%s/close_%s.csv' % (dirpath, day), index=None)
for day in tradeday:
print(day)
import numpy as np
start = '20061201'
# start = '20110101'
end = strftime("%Y%m%d", localtime())
output_path = 'F:/factor_data/raw_data'
factor_name = 'PDPS' #'DEVIDEND'
if not os.path.exists(output_path+'/'+factor_name):
os.mkdir(output_path+'/'+factor_name)
fre = 'month'
trade_day = get_tradeDay.wind(start, end, fre=fre)
getdb = client_db.read_db(type='wind')
getdb2 = client_db.read_db(type='ctquant2')
def get_timerange(today, sql):
end = today
start = str(int(today[:4]) - 3) + today[4:]
sql1 = sql + " where (S_DIV_PRELANDATE >= %s) and (S_DIV_PRELANDATE <= %s)" % (start, end)
df = getdb.db_query(sql1)
return df
def get_timerange2(today, sql):
end = today
start = str(int(today[:4]) - 3) + today[4:]
sql1 = sql + " where (S_STM_ACTUAL_ISSUINGDATE >= %s) and (S_STM_ACTUAL_ISSUINGDATE <= %s)" % (start, end)
df = getdb.db_query(sql1)
return df
start = '20170901'
end = strftime("%Y%m%d", localtime())
dirpath = 'data'
update = False
# sql = "select TRADE_DT,S_INFO_WINDCODE,S_DQ_ADJPRECLOSE,S_DQ_ADJOPEN,S_DQ_ADJHIGH,S_DQ_ADJLOW,S_DQ_ADJCLOSE,S_DQ_TRADESTATUS,S_DQ_ADJFACTOR from ASHAREEODPRICES where TRADE_DT>=%s and TRADE_DT<=%s"%(start,end)
# getdb = client_db.read_db()
# df = getdb.db_query(sql)
if not os.path.exists(dirpath):
os.mkdir(dirpath)
fre = 'day'
getdb = client_db.read_db()
tradeday = get_tradeDay.wind(start, end, fre=fre)
tradeday = tradeday.iloc[:-1]
today = tradeday.iloc[-1]
def run(day, dirpath):
sql = "select TRADE_DT,S_INFO_WINDCODE,S_DQ_ADJPRECLOSE,S_DQ_ADJOPEN,S_DQ_ADJHIGH,S_DQ_ADJLOW,S_DQ_ADJCLOSE,S_DQ_TRADESTATUS from ASHAREEODPRICES where TRADE_DT=%s" % (
day)
df = getdb.db_query(sql)
df.columns = [
'trade_day', 'code', 'adjpreclose', 'adjopen', 'adjhigh', 'adjlow',
'adjclose', 'status'
]
df['status'] = df['status'].apply(lambda x: x.decode('gbk'))
