self.selectors.append(week_selector)
if __name__ == '__main__':
start = '2019-01-01'
end = '2021-01-01'
trader_name = 'keep_run_trader'
clear_trader(trader_name=trader_name)
for time_interval in split_time_interval(start=start, end=end,
interval=40):
start_timestamp = time_interval[0]
end_timestamp = time_interval[-1]
# 成交量
vol_df = get_top_volume_entities(entity_type='stock',
start_timestamp=next_date(
start_timestamp, -50),
end_timestamp=start_timestamp,
pct=0.3)
# 机构重仓
ii_df = get_top_fund_holding_stocks(timestamp=start_timestamp,
pct=0.3,
by='trading')
current_entity_pool = list(
set(vol_df.index.tolist()) & set(ii_df.index.tolist()))
logger.info(
f'current_entity_pool({len(current_entity_pool)}):{current_entity_pool}'
)
trader = MultipleLevelTrader(start_timestamp=start_timestamp,
def report_top_stats(periods=[7, 30, 180, 365], ignore_new_stock=True):
latest_day: Stock1dHfqKdata = Stock1dHfqKdata.query_data(order=Stock1dHfqKdata.timestamp.desc(), limit=1,
return_type='domain')
current_timestamp = latest_day[0].timestamp
email_action = EmailInformer()
# 至少上市一年
filters = None
if ignore_new_stock:
pre_year = next_date(current_timestamp, -365)
stocks = get_entity_ids(provider='joinquant', entity_schema=Stock, filters=[Stock.timestamp <= pre_year])
filters = [Stock1dHfqKdata.entity_id.in_(stocks)]
stats = []
ups = []
downs = []
msg = ''
for period in periods:
start = next_date(current_timestamp, -period)
df, _ = get_top_performance_entities(start_timestamp=start, filters=filters, pct=1, show_name=True)
df.rename(columns={'score': f'score_{period}'}, inplace=True)
ups.append(tabulate(df.iloc[:50], headers='keys'))
downs.append(tabulate(df.iloc[:-100], headers='keys'))
stats.append(tabulate(df.describe(), headers='keys'))
# 最近一个月最靓仔的
if period == 30:
# add them to eastmoney
try:
try:
eastmoneypy.del_group('最靓仔')
except:
pass
eastmoneypy.create_group('最靓仔')
for entity_id in df.index[:50]:
_, _, code = decode_entity_id(entity_id)
eastmoneypy.add_to_group(code=code, group_name='最靓仔')
except Exception as e:
logger.exception(e)
email_action.send_message("*****@*****.**", f'report_top_stats error',
'report_top_stats error:{}'.format(e))
# 一年内没怎么动的
if period == 365:
stable_df = df[(df['score_365'] > -0.1) & (df['score_365'] < 0.1)]
vol_df = get_top_volume_entities(entity_ids=stable_df.index.tolist(), start_timestamp=start)
# add them to eastmoney
try:
try:
eastmoneypy.del_group('躺尸一年')
except:
pass
eastmoneypy.create_group('躺尸一年')
for entity_id in vol_df.index[:50]:
_, _, code = decode_entity_id(entity_id)
eastmoneypy.add_to_group(code=code, group_name='躺尸一年')
except Exception as e:
logger.exception(e)
email_action.send_message("*****@*****.**", f'report_top_stats error',
'report_top_stats error:{}'.format(e))
for s in stats:
msg = msg + s + '\n'
for up in ups:
msg = msg + up + '\n'
for down in downs:
msg = msg + down + '\n'
email_action.send_message('*****@*****.**', f'{current_timestamp} 统计报告', msg)
def report_targets(
factor_cls: Type[Factor],
entity_provider,
data_provider,
title,
entity_type="stock",
informer: EmailInformer = None,
em_group=None,
em_group_over_write=True,
filter_by_volume=True,
adjust_type=None,
start_timestamp="2019-01-01",
**factor_kv,
):
logger.info(
f"entity_provider: {entity_provider}, data_provider: {data_provider}, entity_type: {entity_type}, start_timestamp: {start_timestamp}"
)
error_count = 0
while error_count <= 10:
try:
if not adjust_type:
adjust_type = default_adjust_type(entity_type=entity_type)
target_date = get_latest_kdata_date(provider=data_provider,
entity_type=entity_type,
adjust_type=adjust_type)
logger.info(f"target_date :{target_date}")
current_entity_pool = None
if filter_by_volume:
# 成交量
vol_df = get_top_volume_entities(
entity_type=entity_type,
start_timestamp=next_date(target_date, -30),
end_timestamp=target_date,
adjust_type=adjust_type,
pct=0.4,
data_provider=data_provider,
)
current_entity_pool = vol_df.index.tolist()
logger.info(
f"current_entity_pool({len(current_entity_pool)}): {current_entity_pool}"
)
kdata_schema = get_kdata_schema(entity_type,
level=IntervalLevel.LEVEL_1DAY,
adjust_type=adjust_type)
filters = []
if "turnover_threshold" in factor_kv:
filters = filters + [
kdata_schema.turnover >=
factor_kv.get("turnover_threshold")
]
if "turnover_rate_threshold" in factor_kv:
filters = filters + [
kdata_schema.turnover_rate >=
factor_kv.get("turnover_rate_threshold")
]
if filters:
filters = filters + [kdata_schema.timestamp == target_date]
kdata_df = kdata_schema.query_data(
provider=data_provider,
filters=filters,
columns=["entity_id", "timestamp"],
index="entity_id")
if current_entity_pool:
current_entity_pool = set(current_entity_pool) & set(
kdata_df.index.tolist())
else:
current_entity_pool = kdata_df.index.tolist()
if "entity_ids" in factor_kv:
if current_entity_pool:
current_entity_pool = set(current_entity_pool) & set(
factor_kv.pop("entity_ids"))
else:
current_entity_pool = set(factor_kv.pop("entity_ids"))
# add the factor
my_selector = TargetSelector(start_timestamp=start_timestamp,
end_timestamp=target_date,
select_mode=SelectMode.condition_or)
entity_schema = get_entity_schema(entity_type=entity_type)
tech_factor = factor_cls(
entity_schema=entity_schema,
entity_provider=entity_provider,
provider=data_provider,
entity_ids=current_entity_pool,
start_timestamp=start_timestamp,
end_timestamp=target_date,
adjust_type=adjust_type,
**factor_kv,
)
my_selector.add_factor(tech_factor)
my_selector.run()
long_stocks = my_selector.get_open_long_targets(
timestamp=target_date)
inform(
informer,
entity_ids=long_stocks,
target_date=target_date,
title=title,
entity_provider=entity_provider,
entity_type=entity_type,
em_group=em_group,
em_group_over_write=em_group_over_write,
)
break
except Exception as e:
logger.exception("report error:{}".format(e))
time.sleep(60 * 3)
error_count = error_count + 1
if error_count == 10:
informer.send_message(
zvt_config["email_username"],
f"report {entity_type}{factor_cls.__name__} error",
f"report {entity_type}{factor_cls.__name__} error: {e}",
)
def report_vol_up():
while True:
error_count = 0
email_action = EmailInformer()
try:
# 抓取k线数据
# StockTradeDay.record_data(provider='joinquant')
# Stock1dKdata.record_data(provider='joinquant')
latest_day: Stock1dHfqKdata = Stock1dHfqKdata.query_data(
order=Stock1dHfqKdata.timestamp.desc(),
limit=1,
return_type='domain')
target_date = latest_day[0].timestamp
start_timestamp = next_date(target_date, -50)
# 成交量
vol_df = get_top_volume_entities(entity_type='stock',
start_timestamp=start_timestamp,
end_timestamp=target_date,
pct=0.4)
current_entity_pool = vol_df.index.tolist()
# 计算均线
start = '2019-01-01'
my_selector = TargetSelector(start_timestamp=start,
end_timestamp=target_date,
select_mode=SelectMode.condition_or)
# add the factors
factor1 = VolumeUpMaFactor(entity_ids=current_entity_pool,
start_timestamp=start,
end_timestamp=target_date,
windows=[120, 250],
over_mode='or')
my_selector.add_factor(factor1)
my_selector.run()
long_stocks = my_selector.get_open_long_targets(
timestamp=target_date)
msg = 'no targets'
if long_stocks:
stocks = get_entities(provider='joinquant',
entity_schema=Stock,
entity_ids=long_stocks,
return_type='domain')
# add them to eastmoney
try:
try:
eastmoneypy.del_group('tech')
except:
pass
eastmoneypy.create_group('tech')
for stock in stocks:
eastmoneypy.add_to_group(stock.code, group_name='tech')
except Exception as e:
email_action.send_message(
zvt_config['email_username'], f'report_vol_up error',
'report_vol_up error:{}'.format(e))
infos = stocks_with_info(stocks)
msg = '\n'.join(infos) + '\n'
logger.info(msg)
email_action.send_message(zvt_config['email_username'],
f'{target_date} 改进版放量突破(半)年线选股结果', msg)
break
except Exception as e:
logger.exception('report_vol_up error:{}'.format(e))
time.sleep(60 * 3)
error_count = error_count + 1
if error_count == 10:
email_action.send_message(zvt_config['email_username'],
f'report_vol_up error',
'report_vol_up error:{}'.format(e))
def report_targets(
factor_cls: Type[Factor],
entity_provider,
data_provider,
title,
entity_type="stock",
em_group=None,
em_group_over_write=True,
filter_by_volume=True,
adjust_type=None,
start_timestamp="2019-01-01",
**factor_kv,
):
logger.info(
f"entity_provider: {entity_provider}, data_provider: {data_provider}, entity_type: {entity_type}, start_timestamp: {start_timestamp}"
)
error_count = 0
while error_count <= 10:
email_action = EmailInformer()
try:
if entity_type == "stock" and not adjust_type:
adjust_type = AdjustType.hfq
target_date = get_latest_kdata_date(provider=data_provider,
entity_type=entity_type,
adjust_type=adjust_type)
logger.info(f"target_date :{target_date}")
current_entity_pool = None
if filter_by_volume:
# 成交量
vol_df = get_top_volume_entities(
entity_type=entity_type,
start_timestamp=next_date(target_date, -30),
end_timestamp=target_date,
adjust_type=adjust_type,
pct=0.4,
)
current_entity_pool = vol_df.index.tolist()
logger.info(
f"current_entity_pool({len(current_entity_pool)}): {current_entity_pool}"
)
# add the factor
my_selector = TargetSelector(start_timestamp=start_timestamp,
end_timestamp=target_date,
select_mode=SelectMode.condition_or)
entity_schema = get_entity_schema(entity_type=entity_type)
tech_factor = factor_cls(
entity_schema=entity_schema,
entity_provider=entity_provider,
provider=data_provider,
entity_ids=current_entity_pool,
start_timestamp=start_timestamp,
end_timestamp=target_date,
adjust_type=adjust_type,
**factor_kv,
)
my_selector.add_factor(tech_factor)
my_selector.run()
long_stocks = my_selector.get_open_long_targets(
timestamp=target_date)
msg = "no targets"
if long_stocks:
entities = get_entities(provider=entity_provider,
entity_type=entity_type,
entity_ids=long_stocks,
return_type="domain")
if em_group:
try:
codes = [entity.code for entity in entities]
add_to_eastmoney(codes=codes,
entity_type=entity_type,
group=em_group,
over_write=em_group_over_write)
except Exception as e:
email_action.send_message(
zvt_config["email_username"],
f"report {entity_type}{factor_cls.__name__} error",
f"report {entity_type}{factor_cls.__name__} error: {e}",
)
infos = [
f"{entity.name}({entity.code})" for entity in entities
]
msg = "\n".join(infos) + "\n"
logger.info(msg)
email_action.send_message(zvt_config["email_username"],
f"{target_date} {title}", msg)
break
except Exception as e:
logger.exception("report error:{}".format(e))
time.sleep(60 * 3)
error_count = error_count + 1
if error_count == 10:
email_action.send_message(
zvt_config["email_username"],
f"report {entity_type}{factor_cls.__name__} error",
f"report {entity_type}{factor_cls.__name__} error: {e}",
)