def _test_rl_handler_4_train(trade_date_from='2010-1-1', trade_date_to='2018-10-18'):
from ibats_common.example.reinforcement_learning.v1.rl_stg import get_stg_handler
from ibats_common.example.data import load_data
trade_date_from_ = str_2_date(trade_date_from)
trade_date_to_ = str_2_date(trade_date_to)
df = load_data('RB.csv')
md_df = df[df['trade_date'].apply(lambda x: str_2_date(x) <= trade_date_to_)]
trade_date_s = md_df['trade_date'].apply(lambda x: str_2_date(x))
rl_handler = RLHandler4Train(retrain_period=360, get_stg_handler=get_stg_handler, q_table_key=trade_date_to)
rl_handler.init_state(md_df)
trade_date_action_dic = {}
for trade_date in trade_date_s[trade_date_s >= trade_date_from_]:
md_df_curr = md_df[trade_date_s.apply(lambda x: x <= trade_date)]
action = rl_handler.choose_action(md_df_curr)
trade_date_action_dic[trade_date] = action
action_df = pd.DataFrame([trade_date_action_dic]).T
print("action_df = \n", action_df)
# ql_table = QLearningTable(rl_handler.actions, key=trade_date_to)
ql_table_class = load_class(module_name='ibats_common.example.reinforcement_learning.v1.q_learn',
class_name='QLearningTable')
ql_table = ql_table_class(actions=rl_handler.actions, key=trade_date_to)
assert ql_table.q_table.shape[0] > 0
print("ql_table.q_table.shape=", ql_table.q_table.shape)
# rl_handler.init_ql_table()
assert ql_table.q_table.shape == rl_handler.ql_table.q_table.shape
def __init__(self,
instrument_id_list,
md_period: PeriodType,
exchange_name,
agent_name=None,
init_load_md_count=None,
init_md_date_from=None,
init_md_date_to=None,
**kwargs):
if agent_name is None:
agent_name = f'{exchange_name}.{md_period}'
self.exchange_name = exchange_name
super().__init__(name=agent_name, daemon=True)
self.md_period = md_period
self.keep_running = None
self.instrument_id_list = instrument_id_list
self.init_load_md_count = int(
init_load_md_count) if init_load_md_count is not None else None
self.init_md_date_from = str_2_date(init_md_date_from)
self.init_md_date_to = str_2_date(init_md_date_to)
self.logger = logging.getLogger(str(self.__class__))
self.agent_name = agent_name
self.params = kwargs
# 关键 key 信息
self.timestamp_key = kwargs[
'timestamp_key'] if 'timestamp_key' in kwargs else None
self.symbol_key = kwargs[
'symbol_key'] if 'symbol_key' in kwargs else None
self.close_key = kwargs['close_key'] if 'close_key' in kwargs else None
def load_model_if_exist(self,
trade_date,
enable_load_model_if_exist=False):
"""
将模型导出到文件
目录结构：
tf_saves_2019-06-05_16_21_39
* model_tfls
* * 2012-12-31
* * * checkpoint
* * * model_-54_51.tfl.data-00000-of-00001
* * * model_-54_51.tfl.index
* * * model_-54_51.tfl.meta
* * 2013-02-28
* * * checkpoint
* * * model_-54_51.tfl.data-00000-of-00001
* * * model_-54_51.tfl.index
* * * model_-54_51.tfl.meta
* tensorboard_logs
* * 2012-12-31_496[1]_20190605_184316
* * * events.out.tfevents.1559731396.mg-ubuntu64
* * 2013-02-28_496[1]_20190605_184716
* * * events.out.tfevents.1559731396.mg-ubuntu64
:param enable_load_model_if_exist:
:param trade_date:
:return:
"""
if self.enable_load_model_if_exist or enable_load_model_if_exist:
# 获取小于等于当期交易日的最大的一个交易日对应的文件名
min_available_date = str_2_date(trade_date) - timedelta(
days=self.retrain_period)
self.logger.debug('尝试加载现有模型，[%s - %s] %d 天', min_available_date,
trade_date, self.retrain_period)
date_file_path_pair_list = [
_ for _ in self.get_date_file_path_pair_list()
if _[0] >= min_available_date
]
if len(date_file_path_pair_list) > 0:
# 按日期排序
date_file_path_pair_list.sort(key=lambda x: x[0])
# 获取小于等于当期交易日的最大的一个交易日对应的文件名
# file_path = get_last(date_file_path_pair_list, lambda x: x[0] <= trade_date, lambda x: x[1])
trade_date = str_2_date(trade_date)
ret = get_last(date_file_path_pair_list,
lambda x: x[0] <= trade_date)
if ret is not None:
key, folder_path, predict_test_random_state = ret
if folder_path is not None:
model = self.get_model(
rebuild_model=True) # 这句话是必须的，需要实现建立模型才可以加载
model.load(folder_path)
self.trade_date_last_train = key
self.predict_test_random_state = predict_test_random_state
self.logger.info(
"加载模型成功。trade_date_last_train: %s load from path: %s",
key, folder_path)
return True
return False
def get_wind_kv_per_year(wind_code, wind_indictor_str, date_from, date_to,
params):
"""
\
:param wind_code:
:param wind_indictor_str:
:param date_from:
:param date_to:
:param params: "year=%(year)d;westPeriod=180"== > "year=2018;westPeriod=180"
:return:
"""
date_from, date_to = str_2_date(date_from), str_2_date(date_to)
# 以年底为分界线，将日期范围截取成以自然年为分段的日期范围
date_pair = []
if date_from <= date_to:
date_curr = date_from
while True:
date_new_year = str_2_date("%d-01-01" % (date_curr.year + 1))
date_year_end = date_new_year - timedelta(days=1)
if date_to < date_year_end:
date_pair.append((date_curr, date_to))
break
else:
date_pair.append((date_curr, date_year_end))
date_curr = date_new_year
data_df_list = []
for date_from_sub, date_to_sub in date_pair:
params_sub = params % {'year': (date_from_sub.year + 1)}
try:
data_df = invoker.wsd(wind_code, wind_indictor_str, date_from_sub,
date_to_sub, params_sub)
except APIError as exp:
logger.exception("%s %s [%s ~ %s] %s 执行异常", wind_code,
wind_indictor_str, date_2_str(date_from_sub),
date_2_str(date_to_sub), params_sub)
if exp.ret_dic.setdefault('error_code', 0) in (
-40520007, # 没有可用数据
-40521009, # 数据解码失败。检查输入参数是否正确，如：日期参数注意大小月月末及短二月
):
continue
else:
raise exp
if data_df is None:
logger.warning('%s %s [%s ~ %s] has no data', wind_code,
wind_indictor_str, date_2_str(date_from_sub),
date_2_str(date_to_sub))
continue
data_df.dropna(inplace=True)
if data_df.shape[0] == 0:
# logger.warning('%s %s [%s ~ %s] has 0 data',
# wind_code, wind_indictor_str, date_2_str(date_from_sub), date_2_str(date_to_sub))
continue
data_df_list.append(data_df)
# 合并数据
data_df_tot = pd.concat(data_df_list) if len(data_df_list) > 0 else None
return data_df_tot
def __init__(self, table_name, dtype, statement):
self.logger = logging.getLogger(__name__)
self.BASE_DATE = str_2_date('1989-12-01')
self.loop_step = 20
self.dtype = dtype
self.table_name = table_name
self.statement = statement
def get_sectorconstituent(index_code, index_name, target_date) -> pd.DataFrame:
"""
通过 wind 获取指数成分股及权重
:param index_code:
:param index_name:
:param target_date:
:return:
"""
target_date_str = date_2_str(target_date)
logger.info('获取 %s %s %s 板块信息', index_code, index_name, target_date)
sec_df = invoker.wset(
"indexconstituent",
"date=%s;windcode=%s" % (target_date_str, index_code))
if sec_df is not None and sec_df.shape[0] > 0:
# 发现部分情况下返回数据的日期与 target_date 日期不匹配
sec_df = sec_df[sec_df['date'].apply(
lambda x: str_2_date(x) == target_date)]
if sec_df is None or sec_df.shape[0] == 0:
return None
sec_df["index_code"] = index_code
sec_df["index_name"] = index_name
sec_df.rename(columns={
'date': 'trade_date',
'sec_name': 'stock_name',
'i_weight': 'weight',
},
inplace=True)
return sec_df
def on_min1(self, md_df, context):
if self.do_nothing_on_min_bar: # 仅供调试使用
return
# 数据整理
indexed_df = md_df.set_index('trade_date').drop('instrument_type', axis=1)
indexed_df.index = pd.DatetimeIndex(indexed_df.index)
# 获取最新交易日
trade_date = str_2_date(indexed_df.index[-1])
days_after_last_train = (trade_date - self.trade_date_last_train).days
if self.retrain_period is not None and 0 < self.retrain_period < days_after_last_train:
# 重新训练
self.logger.info('当前日期 %s 距离上一次训练 %s 已经过去 %d 天，重新训练',
trade_date, self.trade_date_last_train, days_after_last_train)
factor_df = self.load_train_test(indexed_df, rebuild_model=True,
enable_load_model=self.enable_load_model_if_exist)
else:
factor_df = get_factor(indexed_df, ohlcav_col_name_list=self.ohlcav_col_name_list,
trade_date_series=self.trade_date_series,
delivery_date_series=self.delivery_date_series)
# 预测
pred_mark = self.predict_latest(factor_df)
is_holding, is_buy, is_sell = pred_mark == 0, pred_mark == 1, pred_mark == 2
# self.logger.info('%s is_buy=%s, is_sell=%s', trade_date, str(is_buy), str(is_sell))
close = md_df['close'].iloc[-1]
instrument_id = context[ContextKey.instrument_id_list][0]
if is_buy: # is_buy
position_date_pos_info_dic = self.get_position(instrument_id)
no_target_position = True
if position_date_pos_info_dic is not None:
for position_date, pos_info in position_date_pos_info_dic.items():
direction = pos_info.direction
if direction == Direction.Short:
self.close_short(instrument_id, close, pos_info.position)
elif direction == Direction.Long:
no_target_position = False
if no_target_position:
self.open_long(instrument_id, close, self.unit)
else:
self.logger.debug("%s %s %.2f holding", self.trade_agent.curr_timestamp, instrument_id, close)
if is_sell: # is_sell
position_date_pos_info_dic = self.get_position(instrument_id)
no_holding_target_position = True
if position_date_pos_info_dic is not None:
for position_date, pos_info in position_date_pos_info_dic.items():
direction = pos_info.direction
if direction == Direction.Long:
self.close_long(instrument_id, close, pos_info.position)
elif direction == Direction.Short:
no_holding_target_position = False
if no_holding_target_position:
self.open_short(instrument_id, close, self.unit)
else:
self.logger.debug("%s %s %.2f holding", self.trade_agent.curr_timestamp, instrument_id, close)
if is_holding:
self.logger.debug("%s %s * * %.2f holding", self.trade_agent.curr_timestamp, instrument_id, close)
def get_date_file_path_pair_list(self):
"""
目录结构：
tf_saves_2019-06-05_16_21_39
* model_tfls
* * 2012-12-31
* * * checkpoint
* * * model_-54_51.tfl.data-00000-of-00001
* * * model_-54_51.tfl.index
* * * model_-54_51.tfl.meta
* * 2013-02-28
* * * checkpoint
* * * model_-54_51.tfl.data-00000-of-00001
* * * model_-54_51.tfl.index
* * * model_-54_51.tfl.meta
* tensorboard_logs
* * 2012-12-31_496[1]_20190605_184316
* * * events.out.tfevents.1559731396.mg-ubuntu64
* * 2013-02-28_496[1]_20190605_184716
* * * events.out.tfevents.1559731396.mg-ubuntu64
:return:
"""
# 获取全部文件名
pattern = re.compile(r'model_[-]?\d+_\d+.tfl')
date_file_path_pair_list, model_name_set = [], set()
for folder_name in os.listdir(self.model_folder_path):
folder_path = os.path.join(self.model_folder_path, folder_name)
if os.path.isdir(folder_path):
try:
# 获取 trade_date_last_train
key = str_2_date(folder_name)
for file_name in os.listdir(folder_path):
# 对下列有效文件名，匹配结果："model_-54_51.tfl"
# model_-54_51.tfl.data-00000-of-00001
# model_-54_51.tfl.index
# model_-54_51.tfl.meta
m = pattern.search(file_name)
if m is None:
continue
model_name = m.group()
if key in model_name_set:
continue
model_name_set.add(key)
# 获取 model folder_path
file_path = os.path.join(folder_path, model_name)
# 获取 predict_test_random_state
for log_folder_path in os.listdir(self.tensorboard_dir):
if log_folder_path.find(folder_name) == 0:
predict_test_random_state = int(log_folder_path.split('[')[1].split(']')[0])
break
else:
predict_test_random_state = None
date_file_path_pair_list.append([key, file_path, predict_test_random_state])
except:
pass
return date_file_path_pair_list
def load_train_test(self, indexed_df, enable_load_model, rebuild_model=False, enable_train_if_load_not_suss=True,
enable_train_even_load_succ=False, enable_test=False):
if rebuild_model:
self.get_model(rebuild_model=True)
trade_date = str_2_date(indexed_df.index[-1])
# 加载模型
if enable_load_model:
is_load = self.load_model_if_exist(trade_date)
else:
is_load = False
if enable_train_even_load_succ or (enable_train_if_load_not_suss and not is_load):
factor_df_dic = get_factor(indexed_df, ohlcav_col_name_list=self.ohlcav_col_name_list,
trade_date_series=self.trade_date_series,
delivery_date_series=self.delivery_date_series, do_multiple_factors=True)
factor_df = factor_df_dic[1]
num = 0
while True:
num += 1
if num > 1:
self.get_model(rebuild_model=True)
# 训练模型
train_acc, val_acc = self.train(factor_df_dic, predict_test_random_state=num)
if self.over_fitting_train_acc is not None and train_acc > self.over_fitting_train_acc:
self.logger.warning('第 %d 次训练，训练集精度 train_acc=%.2f%% 过高，可能存在过拟合，重新采样训练',
num, train_acc * 100)
continue
if self.validation_accuracy_base_line is not None:
if val_acc < self.validation_accuracy_base_line:
self.logger.warning('第 %d 次训练，训练结果不及预期，重新采样训练', num)
continue
# elif train_acc - val_acc > 0.15 and val_acc < 0.75:
# self.logger.warning('第 %d 次训练，train_acc=%.2f%%, val_acc=%.2f%% 相差大于 15%% 且验证集正确率小于75%%，重新采样训练',
# num, train_acc * 100, val_acc * 100)
# continue
else:
break
else:
break
self.save_model(trade_date)
self.trade_date_last_train = trade_date
else:
factor_df = get_factor(indexed_df, ohlcav_col_name_list=self.ohlcav_col_name_list,
trade_date_series=self.trade_date_series,
delivery_date_series=self.delivery_date_series)
train_acc, val_acc = self.valid_model_acc(factor_df)
self.trade_date_acc_list[trade_date] = [train_acc, val_acc]
# enable_test 默认为 False
# self.valid_model_acc(factor_df) 以及完全取代 self.predict_test
# self.predict_test 仅用于内部测试使用
if enable_test:
self.predict_test(factor_df)
return factor_df
def _test_bunch_insert_sqlite():
"""
检查 bunch_insert_sqlite 函数功能
:return:
"""
mysql_table_name = 'test_only'
file_name = TABLE_NAME_SQLITE_FILE_NAME_DIC[mysql_table_name]
file_path = get_sqlite_file_path(file_name)
if os.path.exists(file_path):
os.remove(file_path)
df = pd.DataFrame({
'ts_code': ['600010.SH', '600010.SH', '600010.SH', '000010.SZ', '000010.SZ'],
'trade_date': [str_2_date(_) for _ in ['2018-1-3', '2018-1-4', '2018-1-5', '2018-1-3', '2018-1-4']],
'close': [111, 222, 333, 444, 555],
})
primary_keys = ['Date']
bunch_insert_sqlite(df, mysql_table_name=mysql_table_name,
table_name_key='ts_code', primary_keys=primary_keys)
df = pd.DataFrame({
'ts_code': ['600010.SH', '600010.SH', '000010.SZ', '000010.SZ'],
'trade_date': [str_2_date(_) for _ in ['2018-1-5', '2018-1-6', '2018-1-4', '2018-1-5']],
'close': [555, 666, 44400, 55500],
})
bunch_insert_sqlite(df, mysql_table_name=mysql_table_name,
table_name_key='ts_code', primary_keys=primary_keys)
with with_sqlite_conn(file_name=file_name) as conn:
table = conn.execute('select adj_factor from SH600010 where Date = ?', ['2018-01-03'])
assert table.fetchone()[0], 111
table = conn.execute('select adj_factor from SH600010 where Date = ?', ['2018-01-05'])
assert table.fetchone()[0], 555
table = conn.execute('select adj_factor from SH600010 where Date = ?', ['2018-01-06'])
assert table.fetchone()[0], 666
table = conn.execute('select adj_factor from SZ000010 where Date = ?', ['2018-01-05'])
assert table.fetchone()[0], 55500
logger.info('检查完成')
def _test_fill_season_data():
"""
测试 filll_season_data 函数
测试数据
code report_date revenue
report_date
2000-12-31 000001.XSHE 2000-12-31 400.0
2001-03-31 000001.XSHE 2001-03-31 NaN
2001-06-30 000001.XSHE 2001-06-30 600.0
2001-09-30 000001.XSHE 2001-09-30 NaN
2001-12-31 000001.XSHE 2001-12-31 1400.0
2002-12-31 000001.XSHE 2002-12-31 1600.0
转换后数据
code report_date revenue revenue_season
report_date
2000-12-31 000001.XSHE 2000-12-31 400.0 100.0
2001-03-31 000001.XSHE 2001-03-31 100.0 100.0
2001-06-30 000001.XSHE 2001-06-30 600.0 500.0
2001-09-30 000001.XSHE 2001-09-30 1500.0 500.0
2001-12-31 000001.XSHE 2001-12-31 1400.0 -100.0
2002-12-31 000001.XSHE 2002-12-31 1600.0 400.0
:return:
"""
label = 'revenue'
df = pd.DataFrame({
'report_date': [
str_2_date('2000-12-31'),
str_2_date('2001-3-31'),
str_2_date('2001-6-30'),
str_2_date('2001-9-30'),
str_2_date('2001-12-31'),
str_2_date('2002-12-31')
],
label: [400, np.nan, 600, np.nan, 1400, 1600],
})
df['code'] = '000001.XSHE'
df = df[['code', 'report_date', label]]
df.set_index('report_date', drop=False, inplace=True)
print(df)
df_new = fill_season_data(df, label)
print(df_new)
assert df.loc[str_2_date('2001-3-31'), label] == 100, \
f"{label} {str_2_date('2001-3-31')} 应该等于前一年的 1/4，当前 {df.loc[str_2_date('2001-3-31'), label]}"
def train(self, factor_df_dic: dict, predict_test_random_state):
import tflearn
factor_df = factor_df_dic[1]
trade_date_from_str, trade_date_to_str = date_2_str(factor_df.index[0]), date_2_str(factor_df.index[-1])
# xs_train, xs_validation, ys_train, ys_validation = self.separate_train_validation(xs, ys)
if self.predict_test_random_state is None:
random_state = predict_test_random_state
else:
random_state = self.predict_test_random_state
# 利用生成数据做训练数据集，只用原始数据中的 validation 部分做验证集
arr_list, xs_validation, ys_validation = [], None, None
for adj_factor, factor_df in factor_df_dic.items():
xs, ys, _ = self.get_x_y(factor_df)
xs_train_tmp, xs_validation_tmp, ys_train_tmp, ys_validation_tmp = train_test_split(
xs, ys, test_size=0.2, random_state=random_state)
arr_list.append([xs_train_tmp, ys_train_tmp])
# xs_train, xs_validation = xs_train_tmp, xs_validation_tmp
# ys_train, ys_validation = ys_train_tmp, ys_validation_tmp
if adj_factor == 1:
xs_validation, ys_validation = xs_validation_tmp, ys_validation_tmp
self.xs_train = xs_train = np.vstack([_[0] for _ in arr_list])
self.ys_train = ys_train = np.vstack([_[1] for _ in arr_list])
sess = self.get_session(renew=True)
train_acc, val_acc = 0, 0
with sess.as_default():
# with tf.Graph().as_default():
# self.logger.debug('sess.graph:%s tf.get_default_graph():%s', sess.graph, tf.get_default_graph())
self.logger.debug('[%d], xs_train %s, ys_train %s, xs_validation %s, ys_validation %s, [%s, %s]',
random_state, xs_train.shape, ys_train.shape, xs_validation.shape, ys_validation.shape,
trade_date_from_str, trade_date_to_str)
max_loop = self.max_loop_4_futher_train
for num in range(max_loop):
if num == 0:
n_epoch = self.n_epoch
else:
n_epoch = self.n_epoch // max_loop
self.logger.info('[%d]第 %d/%d 轮训练，开始 [%s, %s] n_epoch=%d', random_state, num + 1, max_loop,
trade_date_from_str, trade_date_to_str, n_epoch)
run_id = f'{trade_date_to_str}_{xs_train.shape[0]}[{predict_test_random_state}]' \
f'_{datetime.now().strftime("%Y%m%d_%H%M%S")}'
tflearn.is_training(True)
self.model.fit(
xs_train, ys_train, validation_set=(xs_validation, ys_validation),
show_metric=True, batch_size=self.batch_size, n_epoch=n_epoch,
run_id=run_id)
tflearn.is_training(False)
result = self.model.evaluate(xs_train, ys_train, batch_size=self.batch_size)
# self.logger.info("train accuracy: %.2f%%" % (result[0] * 100))
train_acc = result[0]
result = self.model.evaluate(xs_validation, ys_validation, batch_size=self.batch_size)
val_acc = result[0]
self.logger.info("[%d]第 %d/%d 轮训练，[%s - %s]，训练集准确率(train_acc)：%.2f%%， 样本外准确率(val_acc): %.2f%%",
random_state, num + 1, max_loop, trade_date_from_str, trade_date_to_str,
train_acc * 100, val_acc * 100)
if self.over_fitting_train_acc is not None and train_acc > self.over_fitting_train_acc:
self.logger.warning('[%d]第 %d/%d 轮训练，训练集精度 %.2f%% > %.2f%% 可能存在过拟合 [%s, %s]',
random_state, num + 1, max_loop, train_acc * 100,
self.over_fitting_train_acc * 100,
trade_date_from_str, trade_date_to_str)
break
if self.validation_accuracy_base_line is not None:
if result[0] > self.validation_accuracy_base_line:
break
elif num < max_loop - 1:
self.logger.warning('[%d]第 %d/%d 轮训练，[%s - %s]，样本外训练准确率 %.2f%% < %.0f%%，继续训练',
random_state, num + 1, max_loop, trade_date_from_str, trade_date_to_str,
val_acc * 100, self.validation_accuracy_base_line * 100)
else:
break
self.trade_date_last_train = str_2_date(trade_date_to_str)
return train_acc, val_acc
def import_stock_fin():
"""
通过pytdx接口下载财务数据
:return:
"""
table_name = 'pytdx_stock_fin'
has_table = engine_md.has_table(table_name)
report_date_latest = None
if has_table:
with with_db_session(engine_md) as session:
sql_str = "select max(report_date) from {table_name}".format(table_name=table_name)
report_date_latest = session.execute(sql_str).scalar()
# 财务指标的名称含义，参考 issue #163 https://github.com/QUANTAXIS/QUANTAXIS/blob/master/QUANTAXIS/QAData/financial_mean.py
financial_dict = {
# 1.每股指标
'001基本每股收益': 'EPS',
'002扣除非经常性损益每股收益': 'deductEPS',
'003每股未分配利润': 'undistributedProfitPerShare',
'004每股净资产': 'netAssetsPerShare',
'005每股资本公积金': 'capitalReservePerShare',
'006净资产收益率': 'ROE',
'007每股经营现金流量': 'operatingCashFlowPerShare',
# 2. 资产负债表 BALANCE SHEET
# 2.1 资产
# 2.1.1 流动资产
'008货币资金': 'moneyFunds',
'009交易性金融资产': 'tradingFinancialAssets',
'010应收票据': 'billsReceivables',
'011应收账款': 'accountsReceivables',
'012预付款项': 'prepayments',
'013其他应收款': 'otherReceivables',
'014应收关联公司款': 'interCompanyReceivables',
'015应收利息': 'interestReceivables',
'016应收股利': 'dividendsReceivables',
'017存货': 'inventory',
'018其中：消耗性生物资产': 'expendableBiologicalAssets',
'019一年内到期的非流动资产': 'noncurrentAssetsDueWithinOneYear',
'020其他流动资产': 'otherLiquidAssets',
'021流动资产合计': 'totalLiquidAssets',
# 2.1.2 非流动资产
'022可供出售金融资产': 'availableForSaleSecurities',
'023持有至到期投资': 'heldToMaturityInvestments',
'024长期应收款': 'longTermReceivables',
'025长期股权投资': 'longTermEquityInvestment',
'026投资性房地产': 'investmentRealEstate',
'027固定资产': 'fixedAssets',
'028在建工程': 'constructionInProgress',
'029工程物资': 'engineerMaterial',
'030固定资产清理': 'fixedAssetsCleanUp',
'031生产性生物资产': 'productiveBiologicalAssets',
'032油气资产': 'oilAndGasAssets',
'033无形资产': 'intangibleAssets',
'034开发支出': 'developmentExpenditure',
'035商誉': 'goodwill',
'036长期待摊费用': 'longTermDeferredExpenses',
'037递延所得税资产': 'deferredIncomeTaxAssets',
'038其他非流动资产': 'otherNonCurrentAssets',
'039非流动资产合计': 'totalNonCurrentAssets',
'040资产总计': 'totalAssets',
# 2.2 负债
# 2.2.1 流动负债
'041短期借款': 'shortTermLoan',
'042交易性金融负债': 'tradingFinancialLiabilities',
'043应付票据': 'billsPayable',
'044应付账款': 'accountsPayable',
'045预收款项': 'advancedReceivable',
'046应付职工薪酬': 'employeesPayable',
'047应交税费': 'taxPayable',
'048应付利息': 'interestPayable',
'049应付股利': 'dividendPayable',
'050其他应付款': 'otherPayable',
'051应付关联公司款': 'interCompanyPayable',
'052一年内到期的非流动负债': 'noncurrentLiabilitiesDueWithinOneYear',
'053其他流动负债': 'otherCurrentLiabilities',
'054流动负债合计': 'totalCurrentLiabilities',
# 2.2.2 非流动负债
'055长期借款': 'longTermLoans',
'056应付债券': 'bondsPayable',
'057长期应付款': 'longTermPayable',
'058专项应付款': 'specialPayable',
'059预计负债': 'estimatedLiabilities',
'060递延所得税负债': 'defferredIncomeTaxLiabilities',
'061其他非流动负债': 'otherNonCurrentLiabilities',
'062非流动负债合计': 'totalNonCurrentLiabilities',
'063负债合计': 'totalLiabilities',
# 2.3 所有者权益
'064实收资本（或股本）': 'totalShare',
'065资本公积': 'capitalReserve',
'066盈余公积': 'surplusReserve',
'067减：库存股': 'treasuryStock',
'068未分配利润': 'undistributedProfits',
'069少数股东权益': 'minorityEquity',
'070外币报表折算价差': 'foreignCurrencyReportTranslationSpread',
'071非正常经营项目收益调整': 'abnormalBusinessProjectEarningsAdjustment',
'072所有者权益（或股东权益）合计': 'totalOwnersEquity',
'073负债和所有者（或股东权益）合计': 'totalLiabilitiesAndOwnersEquity',
# 3. 利润表
'074其中：营业收入': 'operatingRevenue',
'075其中：营业成本': 'operatingCosts',
'076营业税金及附加': 'taxAndSurcharges',
'077销售费用': 'salesCosts',
'078管理费用': 'managementCosts',
'079堪探费用': 'explorationCosts',
'080财务费用': 'financialCosts',
'081资产减值损失': 'assestsDevaluation',
'082加：公允价值变动净收益': 'profitAndLossFromFairValueChanges',
'083投资收益': 'investmentIncome',
'084其中：对联营企业和合营企业的投资收益': 'investmentIncomeFromAffiliatedBusinessAndCooperativeEnterprise',
'085影响营业利润的其他科目': 'otherSubjectsAffectingOperatingProfit',
'086三、营业利润': 'operatingProfit',
'087加：补贴收入': 'subsidyIncome',
'088营业外收入': 'nonOperatingIncome',
'089减：营业外支出': 'nonOperatingExpenses',
'090其中：非流动资产处置净损失': 'netLossFromDisposalOfNonCurrentAssets',
'091加：影响利润总额的其他科目': 'otherSubjectsAffectTotalProfit',
'092四、利润总额': 'totalProfit',
'093减：所得税': 'incomeTax',
'094加：影响净利润的其他科目': 'otherSubjectsAffectNetProfit',
'095五、净利润': 'netProfit',
'096归属于母公司所有者的净利润': 'netProfitsBelongToParentCompanyOwner',
'097少数股东损益': 'minorityProfitAndLoss',
# 4. 现金流量表
# 4.1 经营活动 Operating
'098销售商品、提供劳务收到的现金': 'cashFromGoodsSalesorOrRenderingOfServices',
'099收到的税费返还': 'refundOfTaxAndFeeReceived',
'100收到其他与经营活动有关的现金': 'otherCashRelatedBusinessActivitiesReceived',
'101经营活动现金流入小计': 'cashInflowsFromOperatingActivities',
'102购买商品、接受劳务支付的现金': 'buyingGoodsReceivingCashPaidForLabor',
'103支付给职工以及为职工支付的现金': 'paymentToEmployeesAndCashPaidForEmployees',
'104支付的各项税费': 'paymentsOfVariousTaxes',
'105支付其他与经营活动有关的现金': 'paymentOfOtherCashRelatedToBusinessActivities',
'106经营活动现金流出小计': 'cashOutflowsFromOperatingActivities',
'107经营活动产生的现金流量净额': 'netCashFlowsFromOperatingActivities',
# 4.2 投资活动 Investment
'108收回投资收到的现金': 'cashReceivedFromInvestmentReceived',
'109取得投资收益收到的现金': 'cashReceivedFromInvestmentIncome',
'110处置固定资产、无形资产和其他长期资产收回的现金净额': 'disposalOfNetCashForRecoveryOfFixedAssets',
'111处置子公司及其他营业单位收到的现金净额': 'disposalOfNetCashReceivedFromSubsidiariesAndOtherBusinessUnits',
'112收到其他与投资活动有关的现金': 'otherCashReceivedRelatingToInvestingActivities',
'113投资活动现金流入小计': 'cashinFlowsFromInvestmentActivities',
'114购建固定资产、无形资产和其他长期资产支付的现金': 'cashForThePurchaseConstructionPaymentOfFixedAssets',
'115投资支付的现金': 'cashInvestment',
'116取得子公司及其他营业单位支付的现金净额': 'acquisitionOfNetCashPaidBySubsidiariesAndOtherBusinessUnits',
'117支付其他与投资活动有关的现金': 'otherCashPaidRelatingToInvestingActivities',
'118投资活动现金流出小计': 'cashOutflowsFromInvestmentActivities',
'119投资活动产生的现金流量净额': 'netCashFlowsFromInvestingActivities',
# 4.3 筹资活动 Financing
'120吸收投资收到的现金': 'cashReceivedFromInvestors',
'121取得借款收到的现金': 'cashFromBorrowings',
'122收到其他与筹资活动有关的现金': 'otherCashReceivedRelatingToFinancingActivities',
'123筹资活动现金流入小计': 'cashInflowsFromFinancingActivities',
'124偿还债务支付的现金': 'cashPaymentsOfAmountBorrowed',
'125分配股利、利润或偿付利息支付的现金': 'cashPaymentsForDistrbutionOfDividendsOrProfits',
'126支付其他与筹资活动有关的现金': 'otherCashPaymentRelatingToFinancingActivities',
'127筹资活动现金流出小计': 'cashOutflowsFromFinancingActivities',
'128筹资活动产生的现金流量净额': 'netCashFlowsFromFinancingActivities',
# 4.4 汇率变动
'129四、汇率变动对现金的影响': 'effectOfForeignExchangRateChangesOnCash',
'130四(2)、其他原因对现金的影响': 'effectOfOtherReasonOnCash',
# 4.5 现金及现金等价物净增加
'131五、现金及现金等价物净增加额': 'netIncreaseInCashAndCashEquivalents',
'132期初现金及现金等价物余额': 'initialCashAndCashEquivalentsBalance',
# 4.6 期末现金及现金等价物余额
'133期末现金及现金等价物余额': 'theFinalCashAndCashEquivalentsBalance',
# 4.x 补充项目 Supplementary Schedule：
# 现金流量附表项目 Indirect Method
# 4.x.1 将净利润调节为经营活动现金流量 Convert net profit to cash flow from operating activities
'134净利润': 'netProfitFromOperatingActivities',
'135资产减值准备': 'provisionForAssetsLosses',
'136固定资产折旧、油气资产折耗、生产性生物资产折旧': 'depreciationForFixedAssets',
'137无形资产摊销': 'amortizationOfIntangibleAssets',
'138长期待摊费用摊销': 'amortizationOfLong_termDeferredExpenses',
'139处置固定资产、无形资产和其他长期资产的损失': 'lossOfDisposingFixedAssetsIntangibleAssetsAndOtherLongTermAssets',
'140固定资产报废损失': 'scrapLossOfFixedAssets',
'141公允价值变动损失': 'lossFromFairValueChange',
'142财务费用': 'financialExpenses',
'143投资损失': 'investmentLosses',
'144递延所得税资产减少': 'decreaseOfDeferredTaxAssets',
'145递延所得税负债增加': 'increaseOfDeferredTaxLiabilities',
'146存货的减少': 'decreaseOfInventory',
'147经营性应收项目的减少': 'decreaseOfOperationReceivables',
'148经营性应付项目的增加': 'increaseOfOperationPayables',
'149其他': 'others',
'150经营活动产生的现金流量净额2': 'netCashFromOperatingActivities2',
# 4.x.2 不涉及现金收支的投资和筹资活动 Investing and financing activities not involved in cash
'151债务转为资本': 'debtConvertedToCSapital',
'152一年内到期的可转换公司债券': 'convertibleBondMaturityWithinOneYear',
'153融资租入固定资产': 'leaseholdImprovements',
# 4.x.3 现金及现金等价物净增加情况 Net increase of cash and cash equivalents
'154现金的期末余额': 'cashEndingBal',
'155现金的期初余额': 'cashBeginingBal',
'156现金等价物的期末余额': 'cashEquivalentsEndingBal',
'157现金等价物的期初余额': 'cashEquivalentsBeginningBal',
'158现金及现金等价物净增加额': 'netIncreaseOfCashAndCashEquivalents',
# 5. 偿债能力分析
'159流动比率': 'currentRatio', # 流动资产/流动负债
'160速动比率': 'acidTestRatio', # (流动资产-存货）/流动负债
'161现金比率(%)': 'cashRatio', # (货币资金+有价证券)÷流动负债
'162利息保障倍数': 'interestCoverageRatio', # (利润总额+财务费用（仅指利息费用部份）)/利息费用
'163非流动负债比率(%)': 'noncurrentLiabilitiesRatio',
'164流动负债比率(%)': 'currentLiabilitiesRatio',
'165现金到期债务比率(%)': 'cashDebtRatio', # 企业经营现金净流入/(本期到期长期负债+本期应付票据)
'166有形资产净值债务率(%)': 'debtToTangibleAssetsRatio',
'167权益乘数(%)': 'equityMultiplier', # 资产总额/股东权益总额
'168股东的权益/负债合计(%)': 'equityDebtRatio', # 权益负债率
'169有形资产/负债合计(%)': 'tangibleAssetDebtRatio', # 有形资产负债率
'170经营活动产生的现金流量净额/负债合计(%)': 'netCashFlowsFromOperatingActivitiesDebtRatio',
'171EBITDA/负债合计(%)': 'EBITDA_Liabilities',
# 6. 经营效率分析
# 销售收入÷平均应收账款=销售收入\(0.5 x(应收账款期初+期末))
'172应收帐款周转率': 'turnoverRatioOfReceivable',
'173存货周转率': 'turnoverRatioOfInventory',
# (存货周转天数+应收帐款周转天数-应付帐款周转天数+预付帐款周转天数-预收帐款周转天数)/365
'174运营资金周转率': 'turnoverRatioOfOperatingAssets',
'175总资产周转率': 'turnoverRatioOfTotalAssets',
'176固定资产周转率': 'turnoverRatioOfFixedAssets', # 企业销售收入与固定资产净值的比率
'177应收帐款周转天数': 'daysSalesOutstanding', # 企业从取得应收账款的权利到收回款项、转换为现金所需要的时间
'178存货周转天数': 'daysSalesOfInventory', # 企业从取得存货开始，至消耗、销售为止所经历的天数
'179流动资产周转率': 'turnoverRatioOfCurrentAssets', # 流动资产周转率(次)=主营业务收入/平均流动资产总额
'180流动资产周转天数': 'daysSalesofCurrentAssets',
'181总资产周转天数': 'daysSalesofTotalAssets',
'182股东权益周转率': 'equityTurnover', # 销售收入/平均股东权益
# 7. 发展能力分析
'183营业收入增长率(%)': 'operatingIncomeGrowth',
'184净利润增长率(%)': 'netProfitGrowthRate', # NPGR 利润总额－所得税
'185净资产增长率(%)': 'netAssetsGrowthRate',
'186固定资产增长率(%)': 'fixedAssetsGrowthRate',
'187总资产增长率(%)': 'totalAssetsGrowthRate',
'188投资收益增长率(%)': 'investmentIncomeGrowthRate',
'189营业利润增长率(%)': 'operatingProfitGrowthRate',
'190暂无': 'None1',
'191暂无': 'None2',
'192暂无': 'None3',
# 8. 获利能力分析
'193成本费用利润率(%)': 'rateOfReturnOnCost',
'194营业利润率': 'rateOfReturnOnOperatingProfit',
'195营业税金率': 'rateOfReturnOnBusinessTax',
'196营业成本率': 'rateOfReturnOnOperatingCost',
'197净资产收益率': 'rateOfReturnOnCommonStockholdersEquity',
'198投资收益率': 'rateOfReturnOnInvestmentIncome',
'199销售净利率(%)': 'rateOfReturnOnNetSalesProfit',
'200总资产报酬率': 'rateOfReturnOnTotalAssets',
'201净利润率': 'netProfitMargin',
'202销售毛利率(%)': 'rateOfReturnOnGrossProfitFromSales',
'203三费比重': 'threeFeeProportion',
'204管理费用率': 'ratioOfChargingExpense',
'205财务费用率': 'ratioOfFinancialExpense',
'206扣除非经常性损益后的净利润': 'netProfitAfterExtraordinaryGainsAndLosses',
'207息税前利润(EBIT)': 'EBIT',
'208息税折旧摊销前利润(EBITDA)': 'EBITDA',
'209EBITDA/营业总收入(%)': 'EBITDA_GrossRevenueRate',
# 9. 资本结构分析
'210资产负债率(%)': 'assetsLiabilitiesRatio',
'211流动资产比率': 'currentAssetsRatio', # 期末的流动资产除以所有者权益
'212货币资金比率': 'monetaryFundRatio',
'213存货比率': 'inventoryRatio',
'214固定资产比率': 'fixedAssetsRatio',
'215负债结构比': 'liabilitiesStructureRatio',
'216归属于母公司股东权益/全部投入资本(%)': 'shareholdersOwnershipOfAParentCompany_TotalCapital',
'217股东的权益/带息债务(%)': 'shareholdersInterest_InterestRateDebtRatio',
'218有形资产/净债务(%)': 'tangibleAssets_NetDebtRatio',
# 10. 现金流量分析
'219每股经营性现金流(元)': 'operatingCashFlowPerShareY',
'220营业收入现金含量(%)': 'cashOfOperatingIncome',
'221经营活动产生的现金流量净额/经营活动净收益(%)': 'netOperatingCashFlow_netOperationProfit',
'222销售商品提供劳务收到的现金/营业收入(%)': 'cashFromGoodsSales_OperatingRevenue',
'223经营活动产生的现金流量净额/营业收入': 'netOperatingCashFlow_OperatingRevenue',
'224资本支出/折旧和摊销': 'capitalExpenditure_DepreciationAndAmortization',
'225每股现金流量净额(元)': 'netCashFlowPerShare',
'226经营净现金比率（短期债务）': 'operatingCashFlow_ShortTermDebtRatio',
'227经营净现金比率（全部债务）': 'operatingCashFlow_LongTermDebtRatio',
'228经营活动现金净流量与净利润比率': 'cashFlowRateAndNetProfitRatioOfOperatingActivities',
'229全部资产现金回收率': 'cashRecoveryForAllAssets',
# 11. 单季度财务指标
'230营业收入': 'operatingRevenueSingle',
'231营业利润': 'operatingProfitSingle',
'232归属于母公司所有者的净利润': 'netProfitBelongingToTheOwnerOfTheParentCompanySingle',
'233扣除非经常性损益后的净利润': 'netProfitAfterExtraordinaryGainsAndLossesSingle',
'234经营活动产生的现金流量净额': 'netCashFlowsFromOperatingActivitiesSingle',
'235投资活动产生的现金流量净额': 'netCashFlowsFromInvestingActivitiesSingle',
'236筹资活动产生的现金流量净额': 'netCashFlowsFromFinancingActivitiesSingle',
'237现金及现金等价物净增加额': 'netIncreaseInCashAndCashEquivalentsSingle',
# 12.股本股东
'238总股本': 'totalCapital',
'239已上市流通A股': 'listedAShares',
'240已上市流通B股': 'listedBShares',
'241已上市流通H股': 'listedHShares',
'242股东人数(户)': 'numberOfShareholders',
'243第一大股东的持股数量': 'theNumberOfFirstMajorityShareholder',
'244十大流通股东持股数量合计(股)': 'totalNumberOfTopTenCirculationShareholders',
'245十大股东持股数量合计(股)': 'totalNumberOfTopTenMajorShareholders',
# 13.机构持股
'246机构总量（家）': 'institutionNumber',
'247机构持股总量(股)': 'institutionShareholding',
'248QFII机构数': 'QFIIInstitutionNumber',
'249QFII持股量': 'QFIIShareholding',
'250券商机构数': 'brokerNumber',
'251券商持股量': 'brokerShareholding',
'252保险机构数': 'securityNumber',
'253保险持股量': 'securityShareholding',
'254基金机构数': 'fundsNumber',
'255基金持股量': 'fundsShareholding',
'256社保机构数': 'socialSecurityNumber',
'257社保持股量': 'socialSecurityShareholding',
'258私募机构数': 'privateEquityNumber',
'259私募持股量': 'privateEquityShareholding',
'260财务公司机构数': 'financialCompanyNumber',
'261财务公司持股量': 'financialCompanyShareholding',
'262年金机构数': 'pensionInsuranceAgencyNumber',
'263年金持股量': 'pensionInsuranceAgencyShareholfing',
# 14.新增指标
# [注：季度报告中，若股东同时持有非流通A股性质的股份(如同时持有流通A股和流通B股），取的是包含同时持有非流通A股性质的流通股数]
'264十大流通股东中持有A股合计(股)': 'totalNumberOfTopTenCirculationShareholdersForA',
'265第一大流通股东持股量(股)': 'firstLargeCirculationShareholdersNumber',
# [注：1.自由流通股=已流通A股-十大流通股东5%以上的A股；2.季度报告中，若股东同时持有非流通A股性质的股份(如同时持有流通A股和流通H股），5%以上的持股取的是不包含同时持有非流通A股性质的流通股数，结果可能偏大； 3.指标按报告期展示，新股在上市日的下个报告期才有数据]
'266自由流通股(股)': 'freeCirculationStock',
'267受限流通A股(股)': 'limitedCirculationAShares',
'268一般风险准备(金融类)': 'generalRiskPreparation',
'269其他综合收益(利润表)': 'otherComprehensiveIncome',
'270综合收益总额(利润表)': 'totalComprehensiveIncome',
'271归属于母公司股东权益(资产负债表)': 'shareholdersOwnershipOfAParentCompany',
'272银行机构数(家)(机构持股)': 'bankInstutionNumber',
'273银行持股量(股)(机构持股)': 'bankInstutionShareholding',
'274一般法人机构数(家)(机构持股)': 'corporationNumber',
'275一般法人持股量(股)(机构持股)': 'corporationShareholding',
'276近一年净利润(元)': 'netProfitLastYear',
'277信托机构数(家)(机构持股)': 'trustInstitutionNumber',
'278信托持股量(股)(机构持股)': 'trustInstitutionShareholding',
'279特殊法人机构数(家)(机构持股)': 'specialCorporationNumber',
'280特殊法人持股量(股)(机构持股)': 'specialCorporationShareholding',
'281加权净资产收益率(每股指标)': 'weightedROE',
'282扣非每股收益(单季度财务指标)': 'nonEPSSingle',
}
# 整理字段
for key in financial_dict.keys():
val = financial_dict[key]
val = val.strip().replace('/', '_').replace('-', '_')[:64]
financial_dict[key] = val
# 设置列名称对应关系
_pattern = re.compile(r'\d{3}')
col_name_dic = {
'col%d' % int(_pattern.search(key).group()): val
for key, val in financial_dict.items() if _pattern.search(key) is not None
}
# 设置 dtype
dtype = {val: DOUBLE for key, val in financial_dict.items() if _pattern.search(key) is not None}
dtype['ts_code'] = String(10)
dtype['report_date'] = Date
# 下载财务数据
crawler = HistoryFinancialListCrawler()
list_data = crawler.fetch_and_parse()
# print(pd.DataFrame(data=list_data))
list_count = len(list_data)
logger.debug('%d 财务数据包可用', len(list_data))
datacrawler = HistoryFinancialCrawler()
pd.set_option('display.max_columns', None)
tot_data_count = 0
_pattern_file_date = re.compile(r'(?<=gpcw)\d{8}(?=.zip)')
try:
for num, file_info in enumerate(list_data, start=1):
filename = file_info['filename']
# 检查当前文件的日期是否大于数据库中的最大记录日期
if report_date_latest is not None:
m = _pattern_file_date.search(filename)
if m is None:
logger.error('filename:%s 格式匹配失败 %s', filename, _pattern_file_date)
else:
report_date_cur = str_2_date(m.group(), '%Y%m%d')
if report_date_cur <= report_date_latest:
continue
logger.info('%d/%d) 开始下载 %s 数据', num, list_count, filename)
# result = datacrawler.fetch_and_parse(
# reporthook=demo_reporthook, filename=filename, path_to_download="/tmpfile.zip")
result = fetch_and_parse(datacrawler, reporthook=demo_reporthook, filename=filename)
if result is None:
continue
data_df = datacrawler.to_df(data=result)
data_df.rename(columns=col_name_dic, inplace=True)
data_df.reset_index(inplace=True)
data_df['ts_code'] = data_df['code'].apply(lambda x: x + ".SH" if x[0] == '6' else x + '.SZ')
data_df.drop(['code'], axis=1, inplace=True)
data_count = bunch_insert_on_duplicate_update(data_df, table_name, engine_md, dtype=dtype,
myisam_if_create_table=True)
tot_data_count += data_count
finally:
logging.info("更新 %s 结束 %d 条信息被更新", table_name, tot_data_count)
if not has_table and engine_md.has_table(table_name):
create_pk_str = """ALTER TABLE {table_name}
CHANGE COLUMN `ts_code` `ts_code` VARCHAR(20) NOT NULL FIRST,
CHANGE COLUMN `report_date` `report_date` DATE NOT NULL AFTER `ts_code`,
ADD PRIMARY KEY (`ts_code`, `report_date`)""".format(table_name=table_name)
execute_sql(create_pk_str, engine_md, commit=True)
logger.info('%s 建立主键 [code, report_date]', table_name)
def import_sectorconstituent(sector_code,
sector_name,
date_start,
chain_param=None,
exch_code='SZSE'):
"""
导入 sector_code 板块的成分股
:param sector_code:默认"SZSE":"深圳"
:param sector_name:
:param date_start:
:param chain_param: 在celery 中將前面結果做爲參數傳給後面的任務
:return:
"""
# 根据 exch_code 获取交易日列表
trade_date_list_sorted = get_trade_date_list_sorted(exch_code)
if trade_date_list_sorted is None or len(trade_date_list_sorted) == 0:
raise ValueError("没有交易日数据")
trade_date_list_count = len(trade_date_list_sorted)
# 格式化 日期字段
date_start = str_2_date(date_start)
date_constituent_df_dict = {}
idx_constituent_set_dic = {}
# 从数据库中获取最近一个交易日的成分股列表，如果为空，则代表新导入数据 date, constituent_df
date_latest, constituent_df = get_latest_constituent_df(sector_code)
# date_constituent_df_dict[date] = constituent_df
date_latest = str_2_date(date_latest)
if date_latest is None or date_latest < date_start:
idx_start = get_last_idx(trade_date_list_sorted,
lambda x: x <= date_start)
sec_df, _ = get_sectorconstituent_2_dic(sector_code, sector_name,
date_start, idx_start,
trade_date_list_sorted,
date_constituent_df_dict,
idx_constituent_set_dic)
# 保存板块数据
sec_df.to_sql("wind_sectorconstituent",
engine_md,
if_exists='append',
index=False)
else:
date_start = date_latest
idx_start = get_last_idx(trade_date_list_sorted,
lambda x: x <= date_start)
date_constituent_df_dict[date_latest] = constituent_df
idx_constituent_set_dic[idx_start] = set(constituent_df['wind_code'])
# 设定日期字段
# idx_end = idx_start + span if idx_start + span < trade_date_list_count - 1 else trade_date_list_count -1
yesterday = date.today() - timedelta(days=1)
idx_end = get_last_idx(trade_date_list_sorted, lambda x: x <= yesterday)
if idx_start >= idx_end:
return
left_or_right = 1
recursion_get_sectorconstituent(idx_start, idx_end, trade_date_list_sorted,
date_constituent_df_dict,
idx_constituent_set_dic, left_or_right,
sector_code, sector_name)
# 剔除 date_start 点的数据，该日期数据以及纳入数据库
del date_constituent_df_dict[date_start]
# 其他数据导入数据库
for num, (date_cur, sec_df) in enumerate(date_constituent_df_dict.items(),
start=1):
sec_df.to_sql("wind_sectorconstituent",
engine_md,
if_exists='append',
index=False)
logger.info("%d) %s %d 条 %s 成分股数据导入数据库", num, date_cur,
sec_df.shape[0], sector_name)
#仅仅调试时使用
if DEBUG and num >= 20:
break
def import_index_daily(chain_param=None):
"""导入指数数据
:param chain_param: 在celery 中將前面結果做爲參數傳給後面的任務
:return:
"""
table_name = "wind_index_daily"
has_table = engine_md.has_table(table_name)
col_name_param_list = [
('open', DOUBLE),
('high', DOUBLE),
('low', DOUBLE),
('close', DOUBLE),
('volume', DOUBLE),
('amt', DOUBLE),
('turn', DOUBLE),
('free_turn', DOUBLE),
]
wind_indictor_str = ",".join([key for key, _ in col_name_param_list])
rename_col_dic = {
key.upper(): key.lower()
for key, _ in col_name_param_list
}
dtype = {key: val for key, val in col_name_param_list}
dtype['wind_code'] = String(20)
# TODO: 'trade_date' 声明为 Date 类型后，插入数据库会报错，目前原因不详，日后再解决
# dtype['trade_date'] = Date,
# yesterday = date.today() - timedelta(days=1)
# date_ending = date.today() - ONE_DAY if datetime.now().hour < BASE_LINE_HOUR else date.today()
# sql_str = """select wii.wind_code, wii.sec_name, ifnull(adddate(latest_date, INTERVAL 1 DAY), wii.basedate) date_from
# from wind_index_info wii left join
# (
# select wind_code,index_name, max(trade_date) as latest_date
# from wind_index_daily group by wind_code
# ) daily
# on wii.wind_code=daily.wind_code"""
# with with_db_session(engine_md) as session:
# table = session.execute(sql_str)
# wind_code_date_from_dic = {wind_code: (sec_name, date_from) for wind_code, sec_name, date_from in table.fetchall()}
# with with_db_session(engine_md) as session:
# # 获取市场有效交易日数据
# sql_str = "select trade_date from wind_trade_date where trade_date > '2005-1-1'"
# table = session.execute(sql_str)
# trade_date_sorted_list = [t[0] for t in table.fetchall()]
# trade_date_sorted_list.sort()
# date_to = get_last(trade_date_sorted_list, lambda x: x <= date_ending)
# data_len = len(wind_code_date_from_dic)
if has_table:
sql_str = """
SELECT wind_code, date_frm, if(null<end_date, null, end_date) date_to
FROM
(
SELECT info.wind_code, ifnull(trade_date, basedate) date_frm, null,
if(hour(now())<16, subdate(curdate(),1), curdate()) end_date
FROM
wind_index_info info
LEFT OUTER JOIN
(SELECT wind_code, adddate(max(trade_date),1) trade_date FROM {table_name} GROUP BY wind_code) daily
ON info.wind_code = daily.wind_code
) tt
WHERE date_frm <= if(null<end_date, null, end_date)
ORDER BY wind_code""".format(table_name=table_name)
else:
logger.warning('%s 不存在，仅使用 wind_index_info 表进行计算日期范围', table_name)
sql_str = """
SELECT wind_code, date_frm, if(null<end_date, null, end_date) date_to
FROM
(
SELECT info.wind_code, basedate date_frm, null,
if(hour(now())<16, subdate(curdate(),1), curdate()) end_date
FROM wind_index_info info
) tt
WHERE date_frm <= if(null<end_date, null, end_date)
ORDER BY wind_code;"""
with with_db_session(engine_md) as session:
# 获取每只股票需要获取日线数据的日期区间
table = session.execute(sql_str)
# 获取每只股票需要获取日线数据的日期区间
begin_time = None
wind_code_date_from_dic = {
wind_code:
(date_from if begin_time is None else min([date_from, begin_time]),
date_to)
for wind_code, date_from, date_to in table.fetchall()
if wind_code_set is None or wind_code in wind_code_set
}
data_len = len(wind_code_date_from_dic)
logger.info('%d indexes will been import', data_len)
for data_num, (wind_code,
(date_from,
date_to)) in enumerate(wind_code_date_from_dic.items()):
if str_2_date(date_from) > date_to:
logger.warning("%d/%d) %s %s - %s 跳过", data_num, data_len,
wind_code, date_from, date_to)
continue
try:
temp = invoker.wsd(wind_code, wind_indictor_str, date_from,
date_to)
except APIError as exp:
logger.exception("%d/%d) %s 执行异常", data_num, data_len, wind_code)
if exp.ret_dic.setdefault('error_code', 0) in (
-40520007, # 没有可用数据
-40521009, # 数据解码失败。检查输入参数是否正确，如：日期参数注意大小月月末及短二月
):
continue
else:
break
temp.reset_index(inplace=True)
temp.rename(columns={'index': 'trade_date'}, inplace=True)
temp.rename(columns=rename_col_dic, inplace=True)
temp.trade_date = temp.trade_date.apply(str_2_date)
temp['wind_code'] = wind_code
bunch_insert_on_duplicate_update(temp,
table_name,
engine_md,
dtype=dtype)
logger.info('更新指数 %s 至 %s 成功', wind_code, date_2_str(date_to))
if not has_table and engine_md.has_table(table_name):
alter_table_2_myisam(engine_md, [table_name])
build_primary_key([table_name])
""" @author : MG @Time : 2020/9/13 19:03 @File : backtest.py @contact : [email protected] @desc : 用于 """ from ibats_utils.mess import str_2_date from vnpy.app.cta_strategy.backtesting import BacktestingEngine from vnpy.trader.constant import Interval from strategy.trandition.atr_rsi_strategy import AtrRsiStrategy engine = BacktestingEngine() engine.set_parameters( vt_symbol='rb2101', interval=Interval.MINUTE, start=str_2_date('2020-01-01'), rate=3e-5, # 手续费 slippage=0.001, # 滑点 size=1, # 乘数 pricetick=1, # 最小价格变动 capital=1000000, ) engine.add_strategy(AtrRsiStrategy, setting={}) engine.run_backtesting() if __name__ == "__main__": pass
def import_future_info(chain_param=None):
"""
更新期货合约列表信息
:param chain_param: 在celery 中將前面結果做爲參數傳給後面的任務
:return:
"""
table_name = "wind_future_info"
has_table = engine_md.has_table(table_name)
logger.info("更新 %s 开始", table_name)
# 获取已存在合约列表
if has_table:
sql_str = 'select wind_code, ipo_date from {table_name}'.format(
table_name=table_name)
with with_db_session(engine_md) as session:
table = session.execute(sql_str)
wind_code_ipo_date_dic = dict(table.fetchall())
else:
wind_code_ipo_date_dic = {}
# 按交易所获取合约列表
# 上期所
# w.wset("sectorconstituent","date=1995-05-10;sectorid=a599010201000000")
# 金交所
# w.wset("sectorconstituent","date=2013-09-10;sectorid=a599010101000000")
# 大商所
# w.wset("sectorconstituent","date=1999-01-10;sectorid=a599010301000000")
# 郑商所
# w.wset("sectorconstituent","date=1999-01-10;sectorid=a599010401000000")
exchange_sectorid_dic_list = [
{
'exch_eng': 'SHFE',
'exchange_name': '上期所',
'sectorid': 'a599010201000000',
'date_establish': '1995-05-10'
},
{
'exch_eng': 'CFFEX',
'exchange_name': '金交所',
'sectorid': 'a599010101000000',
'date_establish': '2013-09-10'
},
{
'exch_eng': 'DCE',
'exchange_name': '大商所',
'sectorid': 'a599010301000000',
'date_establish': '1999-01-10'
},
{
'exch_eng': 'CZCE',
'exchange_name': '郑商所',
'sectorid': 'a599010401000000',
'date_establish': '1999-01-10'
},
]
exchange_latest_ipo_date_dic = get_exchange_latest_data()
wind_code_set = set()
ndays_per_update = 90
# 获取接口参数以及参数列表
col_name_param_list = [
("ipo_date", Date),
("sec_name", String(50)),
("sec_englishname", String(200)),
("exch_eng", String(200)),
("lasttrade_date", Date),
("lastdelivery_date", Date),
("dlmonth", String(20)),
("lprice", DOUBLE),
("sccode", String(20)),
("margin", DOUBLE),
("punit", String(200)),
("changelt", DOUBLE),
("mfprice", DOUBLE),
("contractmultiplier", DOUBLE),
("ftmargins", String(100)),
("trade_code", String(200)),
]
wind_indictor_str = ",".join(col_name
for col_name, _ in col_name_param_list)
dtype = {key: val for key, val in col_name_param_list}
dtype['wind_code'] = String(20)
# 获取历史期货合约列表信息
logger.info("获取历史期货合约列表信息")
for exchange_sectorid_dic in exchange_sectorid_dic_list:
exchange_name = exchange_sectorid_dic['exchange_name']
exch_eng = exchange_sectorid_dic['exch_eng']
sector_id = exchange_sectorid_dic['sectorid']
date_establish = exchange_sectorid_dic['date_establish']
date_since = str_2_date(
exchange_latest_ipo_date_dic.setdefault(exch_eng, date_establish))
date_yestoday = date.today() - timedelta(days=1)
logger.info("%s[%s][%s] %s ~ %s", exchange_name, exch_eng, sector_id,
date_since, date_yestoday)
while date_since <= date_yestoday:
date_since_str = date_since.strftime(STR_FORMAT_DATE)
future_info_df = invoker.wset(
"sectorconstituent",
"date=%s;sectorid=%s" % (date_since_str, sector_id))
data_count = 0 if future_info_df is None else future_info_df.shape[
0]
logger.info("subject_name=%s[%s] %s 返回 %d 条数据", exchange_name,
sector_id, date_since_str, data_count)
if data_count > 0:
wind_code_set |= set(future_info_df['wind_code'])
if date_since >= date_yestoday:
break
else:
date_since += timedelta(days=ndays_per_update)
if date_since > date_yestoday:
date_since = date_yestoday
# 获取合约列表
wind_code_list = [
wc for wc in wind_code_set if wc not in wind_code_ipo_date_dic
]
# 获取合约基本信息
# w.wss("AU1706.SHF,AG1612.SHF,AU0806.SHF", "ipo_date,sec_name,sec_englishname,exch_eng,lasttrade_date,lastdelivery_date,dlmonth,lprice,sccode,margin,punit,changelt,mfprice,contractmultiplier,ftmargins,trade_code")
if len(wind_code_list) > 0:
logger.info("%d wind_code will be invoked by wss, wind_code_list=%s",
len(wind_code_list), wind_code_list)
future_info_df = invoker.wss(wind_code_list, wind_indictor_str)
future_info_df['MFPRICE'] = future_info_df['MFPRICE'].apply(
mfprice_2_num)
future_info_count = future_info_df.shape[0]
future_info_df.rename(
columns={c: str.lower(c)
for c in future_info_df.columns},
inplace=True)
future_info_df.index.rename('wind_code', inplace=True)
future_info_df.reset_index(inplace=True)
data_count = bunch_insert_on_duplicate_update(future_info_df,
table_name,
engine_md,
dtype=dtype)
logging.info("更新 %s 结束 %d 条信息被更新", table_name, data_count)
if not has_table and engine_md.has_table(table_name):
# alter_table_2_myisam(engine_md, [table_name])
build_primary_key([table_name])
logger.info("更新 wind_future_info 结束 %d 条记录被更新", future_info_count)
update_from_info_table(table_name)
def import_index_constituent(index_code,
index_name,
date_start,
exch_code='SZSE',
date_end=None,
method='loop'):
"""
导入 sector_code 板块的成分股
:param index_code:默认"SZSE":"深圳"
:param index_name:
:param date_start:
:param exch_code:
:param date_end:默认为None，到最近交易日的历史数据
:return:
"""
table_name = 'wind_index_constituent'
param_list = [
('trade_date', Date),
('weight', DOUBLE),
('stock_name', String(80)),
('index_code', String(20)),
('index_name', String(80)),
]
# sldksldDFGDFGD,Nlfkgldfngldldfngldnzncvxcvnx
dtype = {key: val for key, val in param_list}
dtype['wind_cod'] = String(20)
# 根据 exch_code 获取交易日列表
trade_date_list_sorted = get_trade_date_list_sorted(exch_code)
if trade_date_list_sorted is None or len(trade_date_list_sorted) == 0:
raise ValueError("没有交易日数据")
trade_date_list_count = len(trade_date_list_sorted)
# 格式化 日期字段
date_start = str_2_date(date_start)
if date_end is not None:
date_end = str_2_date(date_end)
idx_end = get_first_idx(trade_date_list_sorted,
lambda x: x >= date_end)
if idx_end is not None:
trade_date_list_sorted = trade_date_list_sorted[:(idx_end + 1)]
date_constituent_df_dict = OrderedDict()
idx_constituent_set_dic = {}
# 从数据库中获取最近一个交易日的成分股列表，如果为空，则代表新导入数据 date, constituent_df
date_latest, constituent_df = get_latest_constituent_df(index_code)
# date_constituent_df_dict[date] = constituent_df
date_latest = str_2_date(date_latest)
if date_latest is None or date_latest < date_start:
idx_start = get_last_idx(trade_date_list_sorted,
lambda x: x <= date_start)
sec_df, _ = get_index_constituent_2_dic(index_code, index_name,
date_start, idx_start,
date_constituent_df_dict,
idx_constituent_set_dic)
if sec_df is None or sec_df.shape[0] == 0:
return
# 保存板块数据
# sec_df.to_sql(table_name, engine_md, if_exists='append', index=False)
bunch_insert_on_duplicate_update(sec_df,
table_name,
engine_md,
dtype=dtype)
else:
date_start = date_latest
idx_start = get_last_idx(trade_date_list_sorted,
lambda x: x <= date_start)
date_constituent_df_dict[date_latest] = constituent_df
idx_constituent_set_dic[idx_start] = set(constituent_df['wind_code'])
# 设定日期字段
# idx_end = idx_start + span if idx_start + span < trade_date_list_count - 1 else trade_date_list_count -1
yesterday = date.today() - timedelta(days=1)
idx_end = get_last_idx(trade_date_list_sorted, lambda x: x <= yesterday)
if idx_start >= idx_end:
return
if method == 'loop':
try:
idx_end = idx_start + 10 # 调试使用
loop_get_data(idx_start + 1, idx_end, trade_date_list_sorted,
date_constituent_df_dict, idx_constituent_set_dic,
index_code, index_name)
except APIError:
logger.exception(
'loop_get_data (idx_start=%d, idx_end=%d, index_code=%s, index_name=%s)',
idx_start, idx_end, index_code, index_name)
elif method == 'recursion':
left_or_right = 1
recursion_dichotomy_get_data(idx_start, idx_end,
trade_date_list_sorted,
date_constituent_df_dict,
idx_constituent_set_dic, left_or_right,
index_code, index_name)
else:
raise ValueError('method = %s error' % method)
# 剔除 date_start 点的数据，该日期数据以及纳入数据库
del date_constituent_df_dict[date_start]
# 其他数据导入数据库
for num, (date_cur, sec_df) in enumerate(date_constituent_df_dict.items(),
start=1):
# sec_df.to_sql(table_name, engine_md, if_exists='append', index=False)
bunch_insert_on_duplicate_update(sec_df,
table_name,
engine_md,
dtype=dtype)
logger.info("%d) %s %d 条 %s 成分股数据导入数据库", num, date_cur,
sec_df.shape[0], index_name)
def import_smfund_info(chain_param=None):
"""
:param chain_param: 在celery 中將前面結果做爲參數傳給後面的任務
:return:
"""
table_name = "wind_smfund_info"
has_table = engine_md.has_table(table_name)
# w.start()
types = {
u'主动股票型分级母基金': 1000007766000000,
u'被动股票型分级母基金': 1000007767000000,
u'纯债券型分级母基金': 1000007768000000,
u'混合债券型分级母基金': 1000007769000000,
u'混合型分级母基金': 1000026143000000,
u'QDII分级母基金': 1000019779000000
}
col_name_param_list = [
('wind_code', String(20)),
('fund_type', String(20)),
('sec_name', String(50)),
('class_a_code', String(20)),
('class_a_name', String(50)),
('class_b_code', String(20)),
('class_b_name', String(50)),
('track_indexcode', String(20)),
('track_indexname', String(50)),
('a_pct', DOUBLE),
('b_pct', DOUBLE),
('upcv_nav', DOUBLE),
('downcv_nav', DOUBLE),
('max_purchasefee', DOUBLE),
('max_redemptionfee', DOUBLE),
]
col_name = ",".join([col_name for col_name, _ in col_name_param_list])
# 获取各个历史时段的分级基金列表，并汇总全部基金代码
dates = [
'2011-01-01', '2013-01-01', '2015-01-01', '2017-01-01', '2018-01-01'
] # 分三个时间点获取市场上所有分级基金产品
df = pd.DataFrame()
# 获取接数据
for date_p in dates:
temp_df = invoker.wset("sectorconstituent",
"date=%s;sectorid=1000006545000000" % date_p)
df = df.append(temp_df)
wind_code_all = df['wind_code'].unique()
# 设置dtype
dtype = {key: val for key, val in col_name_param_list}
dtype['wind_code'] = String(20)
dtype["tradable"] = String(20)
dtype["fund_setupdate"] = Date
dtype["fund_maturitydate"] = Date
if has_table:
with with_db_session(engine_md) as session:
table = session.execute("SELECT wind_code FROM wind_smfund_info")
wind_code_existed = set(
[content[0] for content in table.fetchall()])
wind_code_new = list(set(wind_code_all) - wind_code_existed)
else:
wind_code_new = list(set(wind_code_all))
# if len(wind_code_new) == 0:
# print('no sm fund imported')
# 查询数据库，剔除已存在的基金代码
wind_code_new = [code for code in wind_code_new if code.find('!') < 0]
info_df = invoker.wss(wind_code_new, 'fund_setupdate, fund_maturitydate')
if info_df is None:
raise Exception('no data')
info_df['FUND_SETUPDATE'] = info_df['FUND_SETUPDATE'].apply(
lambda x: str_2_date(x))
info_df['FUND_MATURITYDATE'] = info_df['FUND_MATURITYDATE'].apply(
lambda x: str_2_date(x))
info_df.rename(columns={
'FUND_SETUPDATE': 'fund_setupdate',
'FUND_MATURITYDATE': 'fund_maturitydate'
},
inplace=True)
field = col_name
# field = "fund_type,wind_code,sec_name,class_a_code,class_a_name,class_b_code,class_b_name,a_pct,b_pct,upcv_nav,downcv_nav,track_indexcode,track_indexname,max_purchasefee,max_redemptionfee"
for code in info_df.index:
beginDate = info_df.loc[code, 'fund_setupdate'].strftime('%Y-%m-%d')
temp_df = invoker.wset("leveragedfundinfo",
"date=%s;windcode=%s;field=%s" %
(beginDate, code, field)) # ;field=%s , field
df = df.append(temp_df)
if DEBUG and len(df) > 10:
break
df.set_index('wind_code', inplace=True)
df['tradable'] = df.index.map(lambda x: x if 'S' in x else None)
# df.index = df.index.map(lambda x: x[:-2] + 'OF')
info_df = info_df.join(df, how='outer')
# TODO: 需要检查一下代码
info_df.rename(
columns={
'a_nav': 'nav_a',
'b_nav': 'nav_b',
'a_fs_inc': 'fs_inc_a',
'b_fs_inc': 'fs_inc_b'
})
info_df.index.rename('wind_code', inplace=True)
info_df.reset_index(inplace=True)
bunch_insert_on_duplicate_update(info_df,
table_name,
engine_md,
dtype=dtype)
logging.info("更新 %s 完成 存量数据 %d 条", table_name, len(info_df))
if not has_table and engine_md.has_table(table_name):
alter_table_2_myisam(engine_md, [table_name])
build_primary_key([table_name])
# 更新 code_mapping 表
update_from_info_table(table_name)
def import_edb_monthly():
table_name = 'wind_edb_monthly'
has_table = engine_md.has_table(table_name)
PMI_FIELD_CODE_2_CN_DIC = {
"M0017126": ("PMI", date(2005, 1, 1)),
"M0017127": ("PMI:生产", date(2005, 1, 1)),
"M0017128": ("PMI:新订单", date(2005, 1, 1)),
"M0017129": ("PMI:新出口订单", date(2005, 1, 1)),
"M0017130": ("PMI:在手订单", date(2005, 1, 1)),
"M0017131": ("PMI:产成品库存", date(2005, 1, 1)),
"M0017132": ("PMI:采购量", date(2005, 1, 1)),
"M0017133": ("PMI:进口", date(2005, 1, 1)),
"M5766711": ("PMI:出厂价格", date(2005, 1, 1)),
"M0017134": ("PMI:主要原材料购进价格", date(2005, 1, 1)),
"M0017135": ("PMI:原材料库存", date(2005, 1, 1)),
"M0017136": ("PMI:从业人员", date(2005, 1, 1)),
"M0017137": ("PMI:供货商配送时间", date(2005, 1, 1)),
"M5207790": ("PMI:生产经营活动预期", date(2005, 1, 1)),
"M5206738": ("PMI:大型企业", date(2005, 1, 1)),
"M5206739": ("PMI:中型企业", date(2005, 1, 1)),
"M5206740": ("PMI:小型企业", date(2005, 1, 1)),
"M5407921": ("克强指数:当月值", date(2009, 7, 1)),
"M0000612": ("CPI:当月同比", date(1990, 1, 1)),
"M0000616": ("CPI:食品:当月同比", date(1990, 1, 1)),
"M0000613": ("CPI:非食品:当月同比", date(1990, 1, 1)),
"M0000614": ("CPI:消费品:当月同比", date(1990, 1, 1)),
"M0000615": ("CPI:服务:当月同比", date(1990, 1, 1)),
"M0000705": ("CPI:环比", date(1990, 1, 1)),
"M0000706": ("CPI:食品:环比", date(1990, 1, 1)),
"M0061581": ("CPI:非食品:环比", date(1990, 1, 1)),
"M0061583": ("CPI:消费品:环比", date(1990, 1, 1)),
"M0001227": ("PPI:全部工业品:当月同比", date(1996, 10, 1)),
"M0061585": ("PPI:全部工业品:环比", date(2002, 1, 1)),
"M0001228": ("PPI:生产资料:当月同比", date(1996, 10, 1)),
"M0066329": ("PPI:生产资料:环比", date(2011, 1, 1)),
"M0001232": ("PPI:生活资料:当月同比", date(1996, 10, 1)),
"M0066333": ("PPI:生活资料:环比", date(2011, 1, 1)),
}
# 设置表属性类型
param_list = [
('field_name', String(45)),
('trade_date', Date),
('val', DOUBLE),
]
dtype = {key: val for key, val in param_list}
dtype['field_code'] = String(20)
data_len = len(PMI_FIELD_CODE_2_CN_DIC)
if has_table:
sql_str = """select field_code, max(trade_date) trade_date_max from wind_edb_monthly group by field_code"""
# 获取数据库中最大日期
with with_db_session(engine_md) as session:
table = session.execute(sql_str)
field_date_dic = {row[0]: row[1] for row in table.fetchall()}
else:
sql_str = f"""
CREATE TABLE {table_name} (
`field_code` varchar(20) NOT NULL,
`field_name` varchar(45) DEFAULT NULL,
`trade_date` date NOT NULL,
`val` double DEFAULT NULL,
PRIMARY KEY (`field_code`,`trade_date`)
) ENGINE=MyISAM DEFAULT CHARSET=utf8 COMMENT='保存wind edb 宏观经济数据';"""
# 循环更新
for data_num, (wind_code,
(field_name,
date_from)) in enumerate(PMI_FIELD_CODE_2_CN_DIC.items(),
start=1):
if wind_code in field_date_dic:
date_from = field_date_dic[wind_code] + timedelta(days=1)
date_to = date.today() - timedelta(days=1)
logger.info('%d/%d) %s %s [%s %s]', data_num, data_len, wind_code,
field_name, date_from, date_to)
try:
data_df = invoker.edb(wind_code, date_from, date_to,
"Fill=Previous")
except APIError as exp:
logger.exception("%d/%d) %s 执行异常", data_num, data_len, wind_code)
if exp.ret_dic.setdefault('error_code', 0) in (
-40520007, # 没有可用数据
-40521009, # 数据解码失败。检查输入参数是否正确，如：日期参数注意大小月月末及短二月
):
continue
else:
break
if data_df is None or data_df.shape[0] == 0:
continue
trade_date_max = str_2_date(max(data_df.index))
if trade_date_max <= date_from:
continue
data_df.index.rename('trade_date', inplace=True)
data_df.reset_index(inplace=True)
data_df.rename(columns={wind_code.upper(): 'val'}, inplace=True)
data_df['field_code'] = wind_code
data_df['field_name'] = field_name
# data_df.to_sql('wind_edb_monthly', engine_md, if_exists='append', index=False)
bunch_insert_on_duplicate_update(data_df,
table_name,
engine_md,
dtype=dtype)
if not has_table and engine_md.has_table(table_name):
alter_table_2_myisam(engine_md, [table_name])
build_primary_key([table_name])
def import_future_info(chain_param=None):
"""
更新期货合约列表信息
:param chain_param: 该参数仅用于 task.chain 串行操作时，上下传递参数使用
:return:
"""
table_name = 'ifind_future_info'
has_table = engine_md.has_table(table_name)
logger.info("更新 %s [%s] 开始", table_name, has_table)
# 获取已存在合约列表
if has_table:
sql_str = f'SELECT ths_code, ths_start_trade_date_future FROM {table_name}'
with with_db_session(engine_md) as session:
table = session.execute(sql_str)
code_ipo_date_dic = dict(table.fetchall())
exchange_latest_ipo_date_dic = get_exchange_latest_data()
else:
code_ipo_date_dic = {}
exchange_latest_ipo_date_dic = {}
exchange_sectorid_dic_list = [
{
'exch_eng': 'SHFE',
'exchange_name': '上海期货交易所',
'sectorid': '091001',
'date_establish': '1995-05-10'
},
{
'exch_eng': 'CFFEX',
'exchange_name': '中国金融期货交易所',
'sectorid': '091004',
'date_establish': '2013-09-10'
},
{
'exch_eng': 'DCE',
'exchange_name': '大连商品交易所',
'sectorid': '091002',
'date_establish': '1999-01-10'
},
{
'exch_eng': 'CZCE',
'exchange_name': '郑州商品交易所',
'sectorid': '091003',
'date_establish': '1999-01-10'
},
]
# 字段列表及参数
indicator_param_list = [
('ths_future_short_name_future', '', String(50)),
('ths_future_code_future', '', String(20)),
('ths_sec_type_future', '', String(20)),
('ths_td_variety_future', '', String(20)),
('ths_td_unit_future', '', DOUBLE),
('ths_pricing_unit_future', '', String(20)),
('ths_mini_chg_price_future', '', DOUBLE),
('ths_chg_ratio_lmit_future', '', DOUBLE),
('ths_td_deposit_future', '', DOUBLE),
('ths_start_trade_date_future', '', Date),
('ths_last_td_date_future', '', Date),
('ths_last_delivery_date_future', '', Date),
('ths_delivery_month_future', '', String(10)),
('ths_listing_benchmark_price_future', '', DOUBLE),
('ths_initial_td_deposit_future', '', DOUBLE),
('ths_contract_month_explain_future', '', String(120)),
('ths_td_time_explain_future', '', String(120)),
('ths_last_td_date_explian_future', '', String(120)),
('ths_delivery_date_explain_future', '', String(120)),
('ths_exchange_short_name_future', '', String(50)),
('ths_contract_en_short_name_future', '', String(50)),
('ths_contract_en_name_future', '', String(50)),
]
json_indicator, json_param = unzip_join(
[(key, val) for key, val, _ in indicator_param_list], sep=';')
# 设置 dtype
dtype = {key: val for key, _, val in indicator_param_list}
dtype['ths_code'] = String(20)
dtype['exch_eng'] = String(20)
# 获取合约列表
code_set = set()
ndays_per_update = 90
# 获取历史期货合约列表信息
sector_count = len(exchange_sectorid_dic_list)
for num, exchange_sectorid_dic in enumerate(exchange_sectorid_dic_list,
start=1):
exchange_name = exchange_sectorid_dic['exchange_name']
exch_eng = exchange_sectorid_dic['exch_eng']
sector_id = exchange_sectorid_dic['sectorid']
date_establish = exchange_sectorid_dic['date_establish']
# 计算获取合约列表的起始日期
date_since = str_2_date(
exchange_latest_ipo_date_dic.setdefault(exch_eng, date_establish))
date_yestoday = date.today() - timedelta(days=1)
logger.info("%d/%d) %s[%s][%s] %s ~ %s", num, sector_count,
exchange_name, exch_eng, sector_id, date_since,
date_yestoday)
while date_since <= date_yestoday:
date_since_str = date_2_str(date_since)
# #数据池-板块_板块成分-日期;同花顺代码;证券名称;当日行情端证券名称(仅股票节点有效)-iFinD数据接口
# 获取板块成分（期货商品的合约）
# THS_DP('block','2021-01-15;091002003','date:Y,thscode:Y,security_name:Y,security_name_in_time:Y')
try:
future_info_df = invoker.THS_DataPool(
'block', '%s;%s' % (date_since_str, sector_id),
'thscode:Y,security_name:Y')
except APIError as exp:
if exp.ret_dic['error_code'] in (
-4001,
-4210,
):
future_info_df = None
else:
logger.exception("THS_DataPool %s 获取失败, '%s;%s'",
exchange_name, date_since_str, sector_id)
break
# if future_info_df is None or future_info_df.shape[0] == 0:
# break
if future_info_df is not None and future_info_df.shape[0] > 0:
code_set |= set(future_info_df['THSCODE'])
if date_since >= date_yestoday:
break
else:
date_since += timedelta(days=ndays_per_update)
if date_since > date_yestoday:
date_since = date_yestoday
if DEBUG:
break
# 获取合约列表
code_list = [wc for wc in code_set if wc not in code_ipo_date_dic]
# 获取合约基本信息
if len(code_list) > 0:
for code_list in split_chunk(code_list, 500):
future_info_df = invoker.THS_BasicData(code_list, json_indicator,
json_param)
if future_info_df is None or future_info_df.shape[0] == 0:
data_count = 0
logger.warning("更新 %s 结束 %d 条记录被更新", table_name, data_count)
else:
# 补充 exch_eng 字段
future_info_df['exch_eng'] = ''
for exchange_sectorid_dic in exchange_sectorid_dic_list:
future_info_df['exch_eng'][
future_info_df['ths_exchange_short_name_future'] ==
exchange_sectorid_dic[
'exchange_name']] = exchange_sectorid_dic[
'exch_eng']
data_count = bunch_insert_on_duplicate_update(
future_info_df,
table_name,
engine_md,
dtype,
primary_keys=['ths_code'],
schema=config.DB_SCHEMA_MD)
logger.info("更新 %s 结束 %d 条记录被更新", table_name, data_count)
def _test_check_accumulation_cols():
label = 'revenue' # 周期增长
label2 = 'revenue_season' # 非周期增长
df = pd.DataFrame({
'report_date': [
str_2_date('2000-3-31'),
str_2_date('2000-6-30'),
str_2_date('2000-9-30'),
str_2_date('2000-12-31'),
str_2_date('2001-3-31'),
str_2_date('2001-6-30'),
str_2_date('2001-12-31'),
str_2_date('2002-6-30'),
str_2_date('2002-12-31'),
str_2_date('2003-3-31'),
str_2_date('2003-12-31')
],
label: [200, 400, 600, 800, np.nan, 600, 1200, 700, 1400, 400, 1600],
label2: [200, 200, 200, 200, 200, 400, 600, 700, 700, 400, 400],
})
df.set_index('report_date', drop=False, inplace=True)
df.sort_index(inplace=True)
print(df)
accumulation_col_name_list = check_accumulation_cols(df)
print("accumulation_col_name_list", accumulation_col_name_list)
assert len(
accumulation_col_name_list) == 1, f'{accumulation_col_name_list} 长度错误'
assert 'revenue' in accumulation_col_name_list
def generate_md_with_adj_factor(instrument_type: str,
method: typing.Optional[Method] = Method.division):
"""
将指定期货品种生产复权后价格。
主力合约名称 f"{instrument_type.upper()}9999"
次主力合约名称 f"{instrument_type.upper()}8888"
仅针对 OHLC 四个价格进行复权处理
"""
table_name = 'ifind_future_adj_factor'
sql_str = f"""SELECT trade_date, instrument_id_main, adj_factor_main,
instrument_id_secondary, adj_factor_secondary
FROM {table_name}
where instrument_type=%s and method=%s"""
adj_factor_df = pd.read_sql(sql_str, engine_md, params=[instrument_type, method.name])
adj_factor_df['trade_date_larger_than'] = adj_factor_df['trade_date'].shift(1)
adj_factor_df.set_index(['trade_date_larger_than', 'trade_date'], inplace=True)
instrument_id_set = set(adj_factor_df['instrument_id_main']) | set(adj_factor_df['instrument_id_secondary'])
in_clause_str = "'" + "', '".join(instrument_id_set) + "'"
# daily_table_name = 'ifind_future_daily'
sql_str = f"""SELECT ths_code Contract, `time` trade_date, `Open`, `High`, `Low`, `Close`, Volume, openInterest OI
FROM ifind_future_daily
where ths_code in ({in_clause_str})
"""
daily_df = pd.read_sql(sql_str, engine_md)
n_final = adj_factor_df.shape[0]
data_count = 0
for n, ((trade_date_larger_than, trade_date), adj_factor_s) in enumerate(adj_factor_df.iterrows(), start=1):
# 截止当日下午3点收盘，保守计算，延迟1个小时，到16点
if pd.isna(trade_date_larger_than):
start = None
else:
start = trade_date_larger_than + timedelta(days=1)
if n == n_final:
if start is None:
start = str_2_date('1990-01-01')
end = str_2_date('2090-12-31')
else:
end = start + timedelta(days=365)
else:
end = trade_date
if start is None:
start = end - timedelta(days=365)
# 对 主力、次主力合约复权
is_match = (
daily_df['code'] >= pd.to_datetime(start)
) & (
daily_df['code'] < pd.to_datetime(end)
)
instrument_id_main = adj_factor_s['instrument_id_main']
adj_factor_main = adj_factor_s['adj_factor_main']
main_df = daily_df[(daily_df['code'] == instrument_id_main) & is_match].copy()
instrument_id_secondary = adj_factor_s['instrument_id_secondary']
adj_factor_secondary = adj_factor_s['adj_factor_secondary']
sec_df = daily_df[(daily_df['code'] == instrument_id_secondary) & is_match].copy()
rename_dic = {_: f"{_}Next" for _ in sec_df.columns if _ != 'trade_date'}
sec_df.rename(columns=rename_dic, inplace=True)
main_sec_df = pd.merge(main_df, sec_df, on='trade_date')
main_sec_df['instrument_type'] = instrument_type
main_sec_df['adj_factor_main'] = adj_factor_main
main_sec_df['adj_factor_secondary'] = adj_factor_secondary
dtype = {
'trade_date': Date,
'Contract': String(20),
'ContractNext': String(20),
'instrument_type': String(20),
'Close': DOUBLE,
'CloseNext': DOUBLE,
'Volume': DOUBLE,
'VolumeNext': DOUBLE,
'OI': DOUBLE,
'OINext': DOUBLE,
'Open': DOUBLE,
'OpenNext': DOUBLE,
'High': DOUBLE,
'HighNext': DOUBLE,
'Low': DOUBLE,
'LowNext': DOUBLE,
'adj_factor_main': DOUBLE,
'adj_factor_secondary': DOUBLE
}
table_name = 'wind_future_continuous_no_adj'
bunch_insert_on_duplicate_update(
main_sec_df, table_name, engine_md, dtype=dtype,
primary_keys=['instrument_type', 'trade_date'], schema=config.DB_SCHEMA_MD
)
main_sec_df['Open'] *= adj_factor_main
main_sec_df['High'] *= adj_factor_main
main_sec_df['Low'] *= adj_factor_main
main_sec_df['Close'] *= adj_factor_main
main_sec_df['Volume'] *= adj_factor_main
main_sec_df['OI'] *= adj_factor_main
main_sec_df['OpenNext'] *= adj_factor_secondary
main_sec_df['HighNext'] *= adj_factor_secondary
main_sec_df['LowNext'] *= adj_factor_secondary
main_sec_df['CloseNext'] *= adj_factor_secondary
main_sec_df['VolumeNext'] *= adj_factor_secondary
main_sec_df['OINext'] *= adj_factor_secondary
table_name = 'wind_future_continuous_adj'
bunch_insert_on_duplicate_update(
main_sec_df, table_name, engine_md, dtype=dtype,
primary_keys=['instrument_type', 'trade_date'], schema=config.DB_SCHEMA_MD
)
data_count += main_sec_df.shape[0]
logger.info("%s [%s ~ %s] 包含 %d 条数据，复权保存完成",
instrument_type, start, end, main_sec_df.shape[0])
logger.info(f'{instrument_type.upper()} {data_count} 条记录 复权保存完成')
def import_coinbar_on_freq_min(freq, code_set=None, base_begin_time=None):
"""
抓取 日级别以上数据[ 60min, 30min, 15min, 5min, 1min ]级别
:param freq:
:param code_set:
:param base_begin_time:
:return:
"""
if base_begin_time is not None and not isinstance(base_begin_time, date):
base_begin_time = str_2_date(base_begin_time)
table_name = 'tushare_coin_md_' + freq
info_table_name = 'tushare_coin_pair_info'
has_table = engine_md.has_table(table_name)
if has_table:
sql_str = """SELECT exchange, exchange_pair, date_frm,
if(delist_date<end_date, delist_date, end_date) date_to
FROM
(
SELECT info.exchange, info.exchange_pair,
ifnull(trade_date_max_1, adddate(trade_date_latest,1)) date_frm,
delist_date,
if(hour(now())<8, subdate(curdate(),2), subdate(curdate(),1)) end_date
FROM
(
select exchange, exchange_pair,
ifnull(trade_date_latest_{freq},'2010-01-01') trade_date_latest,
delist_date_{freq} delist_date
from {info_table_name}
) info
LEFT OUTER JOIN
(SELECT exchange, symbol, adddate(max(`date`),1) trade_date_max_1
FROM {table_name} GROUP BY exchange, symbol) daily
ON info.exchange = daily.exchange
AND info.exchange_pair = daily.symbol
) tt
WHERE date_frm <= if(delist_date<end_date, delist_date, end_date)
ORDER BY exchange, exchange_pair""".format(
table_name=table_name, info_table_name=info_table_name, freq=freq)
else:
sql_str = """SELECT exchange, exchange_pair, date_frm,
if(delist_date<end_date, delist_date, end_date) date_to
FROM
(
SELECT exchange, exchange_pair,
ifnull(trade_date_latest_{freq},date('2010-01-01')) date_frm,
delist_date_{freq} delist_date,
if(hour(now())<8, subdate(curdate(),2), subdate(curdate(),1)) end_date
FROM {info_table_name} info
ORDER BY exchange, exchange_pair
) tt
WHERE date_frm <= if(delist_date<end_date, delist_date, end_date)
ORDER BY exchange, exchange_pair""".format(
info_table_name=info_table_name, freq=freq)
logger.warning('%s 不存在，仅使用 %s 表进行计算日期范围', table_name, info_table_name)
with with_db_session(engine_md) as session:
# 获取每只股票需要获取日线数据的日期区间
table = session.execute(sql_str)
# 获取每只股票需要获取日线数据的日期区间
code_date_range_dic = {
(exchange, symbol): (date_from if base_begin_time is None else min(
[date_from, base_begin_time]), date_to)
for exchange, symbol, date_from, date_to in table.fetchall()
if code_set is None or (exchange, symbol) in code_set
}
# 设置 dtype
dtype = {
'exchange': String(60),
'symbol': String(60),
'date': Date,
'datetime': DateTime,
'open': DOUBLE,
'high': DOUBLE,
'low': DOUBLE,
'close': DOUBLE,
'vol': DOUBLE,
}
# 更新 info 表 trade_date_latest 字段
trade_date_latest_list = []
update_trade_date_latest_str = """UPDATE tushare_coin_pair_info info
SET info.trade_date_latest_daily = :trade_date_latest
WHERE info.exchange = :exchange AND exchange_pair=:exchange_pair"""
data_df_list, data_count, tot_data_count, code_count = [], 0, 0, len(
code_date_range_dic)
try:
for num, ((exchange, exchange_pair),
(begin_time,
end_time)) in enumerate(code_date_range_dic.items(),
start=1):
begin_time_str = date_2_str(begin_time, DATE_FORMAT_STR)
end_time_str = date_2_str(end_time, DATE_FORMAT_STR)
logger.debug('%d/%d) %s %s [%s - %s]', num, code_count, exchange,
exchange_pair, begin_time, end_time)
try:
# data_df = pro.coinbar(exchange='huobi', symbol='gxsbtc', freq='1min', start_date='20180701', end_date='20180801')
data_df = pro.coinbar(exchange=exchange,
symbol=exchange_pair,
freq=freq,
start_date=begin_time_str,
end_date=end_time_str)
except Exception as exp:
if len(exp.args) >= 1 and exp.args[0] == '系统内部错误':
trade_date_latest_list.append({
'exchange':
exchange,
'exchange_pair':
exchange_pair,
'trade_date_latest':
'2020-02-02',
})
logger.warning(
"coinbar(exchange='%s', symbol='%s', freq='%s', start_date='%s', end_date='%s') 系统内部错误",
exchange, exchange_pair, freq, begin_time_str,
end_time_str)
continue
logger.exception(
"coinbar(exchange='%s', symbol='%s', freq='%s', start_date='%s', end_date='%s')",
exchange, exchange_pair, freq, begin_time_str,
end_time_str)
raise exp from exp
if data_df is not None and data_df.shape[0] > 0:
data_count += data_df.shape[0]
data_df['exchange'] = exchange
data_df['datetime'] = data_df['date']
data_df['date'] = data_df['date'].apply(
lambda x: str_2_datetime(x).date())
data_df_list.append(data_df)
# 记录最新交易日变化
trade_date_latest_list.append({
'exchange': exchange,
'exchange_pair': exchange_pair,
'trade_date_latest': end_time_str,
})
# 大于阀值有开始插入
if data_count >= 10000:
data_df_all = pd.concat(data_df_list)
# data_df_all.to_sql(table_name, engine_md, if_exists='append', index=False, dtype=dtype)
data_count = bunch_insert_on_duplicate_update(
data_df_all, table_name, engine_md, dtype)
tot_data_count += data_count
data_df_list, data_count = [], 0
# 更新 info 表 trade_date_latest 字段
with with_db_session(engine_md) as session:
result = session.execute(update_trade_date_latest_str,
params=trade_date_latest_list)
update_count = result.rowcount
session.commit()
logger.info('更新 %d 条交易对的最新交易 %s 信息', update_count, freq)
trade_date_latest_list = []
# 仅调试使用
if DEBUG and len(data_df_list) > 1:
break
finally:
if data_count > 0:
data_df_all = pd.concat(data_df_list)
# data_df_all.to_sql(table_name, engine_md, if_exists='append', index=False, dtype=dtype)
data_count = bunch_insert_on_duplicate_update(
data_df_all, table_name, engine_md, dtype)
tot_data_count += data_count
# 更新 info 表 trade_date_latest 字段
if len(trade_date_latest_list) > 0:
with with_db_session(engine_md) as session:
result = session.execute(update_trade_date_latest_str,
params=trade_date_latest_list)
update_count = result.rowcount
session.commit()
logger.info('更新 %d 条交易对的最新交易日信息', update_count)
if not has_table and engine_md.has_table(table_name):
alter_table_2_myisam(engine_md, [table_name])
# build_primary_key([table_name])
create_pk_str = """ALTER TABLE {table_name}
CHANGE COLUMN `exchange` `exchange` VARCHAR(60) NOT NULL FIRST,
CHANGE COLUMN `symbol` `symbol` VARCHAR(60) NOT NULL AFTER `exchange`,
CHANGE COLUMN `datetime` `datetime` DATETIME NOT NULL AFTER `symbol`,
ADD PRIMARY KEY (`exchange`, `symbol`, `datetime`)""".format(
table_name=table_name)
with with_db_session(engine_md) as session:
session.execute(create_pk_str)
logging.info("更新 %s 完成 新增数据 %d 条", table_name, tot_data_count)
def import_index_daily_his(chain_param=None,
ths_code_set: set = None,
begin_time=None):
"""
通过history接口将历史数据保存到 ifind_index_daily_his
:param chain_param: 该参数仅用于 task.chain 串行操作时，上下传递参数使用
:param ths_code_set:
:param begin_time: 默认为None，如果非None则代表所有数据更新日期不得晚于该日期
:return:
"""
table_name = 'ifind_index_daily_his'
if begin_time is not None and type(begin_time) == date:
begin_time = str_2_date(begin_time)
# THS_HistoryQuotes('600006.SH,600010.SH',
# 'preClose,open,high,low,close,avgPrice,changeRatio,volume,amount,turnoverRatio,transactionAmount,totalShares,totalCapital,floatSharesOfAShares,floatSharesOfBShares,floatCapitalOfAShares,floatCapitalOfBShares,pe_ttm,pe,pb,ps,pcf',
# 'Interval:D,CPS:1,baseDate:1900-01-01,Currency:YSHB,fill:Previous',
# '2018-06-30','2018-07-30')
json_indicator, _ = unzip_join(
[(key, val) for key, val, _ in INDICATOR_PARAM_LIST_INDEX_DAILY_HIS],
sep=';')
has_table = engine_md.has_table(table_name)
if has_table:
sql_str = """SELECT ths_code, date_frm, if(NULL<end_date, NULL, end_date) date_to
FROM
(
SELECT info.ths_code, ifnull(trade_date_max_1, ths_index_base_period_index) date_frm, NULL,
if(hour(now())<16, subdate(curdate(),1), curdate()) end_date
FROM
ifind_index_info info
LEFT OUTER JOIN
(SELECT ths_code, adddate(max(time),1) trade_date_max_1 FROM ifind_index_daily_his GROUP BY ths_code) daily
ON info.ths_code = daily.ths_code
) tt
WHERE date_frm <= if(NULL<end_date, NULL, end_date)
ORDER BY ths_code;"""
else:
logger.warning('%s 不存在，仅使用 ifind_index_info 表进行计算日期范围', table_name)
sql_str = """SELECT ths_code, date_frm, if(NULL<end_date, NULL, end_date) date_to
FROM
(
SELECT info.ths_code, ths_index_base_period_index date_frm, NULL,
if(hour(now())<16, subdate(curdate(),1), curdate()) end_date
FROM ifind_index_info info
) tt
WHERE date_frm <= if(NULL<end_date, NULL, end_date)
ORDER BY ths_code"""
# 计算每只股票需要获取日线数据的日期区间
with with_db_session(engine_md) as session:
# 获取每只股票需要获取日线数据的日期区间
table = session.execute(sql_str)
# 计算每只股票需要获取日线数据的日期区间
code_date_range_dic = {
ths_code:
(date_from if begin_time is None else min([date_from, begin_time]),
date_to)
for ths_code, date_from, date_to in table.fetchall()
if ths_code_set is None or ths_code in ths_code_set
}
if TRIAL:
date_from_min = date.today() - timedelta(days=(365 * 5))
# 试用账号只能获取近5年数据
code_date_range_dic = {
ths_code: (max([date_from, date_from_min]), date_to)
for ths_code, (date_from, date_to) in code_date_range_dic.items()
if date_to is not None and date_from_min <= date_to
}
data_df_list, data_count, tot_data_count, code_count = [], 0, 0, len(
code_date_range_dic)
try:
for num, (ths_code,
(begin_time,
end_time)) in enumerate(code_date_range_dic.items(),
start=1):
logger.debug('%d/%d) %s [%s - %s]', num, code_count, ths_code,
begin_time, end_time)
data_df = invoker.THS_HistoryQuotes(
ths_code, json_indicator,
'Interval:D,CPS:1,baseDate:1900-01-01,Currency:YSHB,fill:Previous',
begin_time, end_time)
if data_df is not None and data_df.shape[0] > 0:
data_count += data_df.shape[0]
data_df_list.append(data_df)
# 大于阀值有开始插入
if data_count >= 10000:
data_count = bunch_insert_on_duplicate_update(
data_df, table_name, engine_md, DTYPE_INDEX_DAILY_HIS)
tot_data_count += data_count
data_df_list, data_count = [], 0
# 仅调试使用
if DEBUG and len(data_df_list) > 5:
break
finally:
if data_count > 0:
data_df_all = pd.concat(data_df_list)
data_count = bunch_insert_on_duplicate_update(
data_df_all, table_name, engine_md, DTYPE_INDEX_DAILY_HIS)
tot_data_count += data_count
logging.info("更新 %s 完成 新增数据 %d 条", table_name, tot_data_count)
if not has_table and engine_md.has_table(table_name):
alter_table_2_myisam(engine_md, [table_name])
build_primary_key([table_name])
def import_private_fund_info(table_name, chain_param=None, get_df=False):
# 初始化服务器接口，用于下载万得数据
# table_name = 'fund_info'
has_table = engine_md.has_table(table_name)
types = {
u'股票多头策略': 1000023122000000,
u'股票多空策略': 1000023123000000,
u'其他股票策略': 1000023124000000,
u'阿尔法策略': 1000023125000000,
u'其他市场中性策略': 1000023126000000,
u'事件驱动策略': 1000023113000000,
u'债券策略': 1000023114000000,
u'套利策略': 1000023115000000,
u'宏观策略': 1000023116000000,
u'管理期货': 1000023117000000,
u'组合基金策略': 1000023118000000,
u'货币市场策略': 1000023119000000,
u'多策略': 100002312000000,
u'其他策略': 1000023121000000
}
df = pd.DataFrame()
today = date.today().strftime('%Y-%m-%d')
param_list = [
('FUND_SETUPDATE', Date),
('FUND_MATURITYDATE', Date),
('FUND_MGRCOMP', String(800)),
('FUND_EXISTINGYEAR', String(500)),
('FUND_PTMYEAR', String(30)),
('FUND_TYPE', String(20)),
('FUND_FUNDMANAGER', String(500)),
('SEC_NAME', String(2000)),
('STRATEGY_TYPE', String(200)),
('TRADE_DATE_LATEST', String(200)),
]
col_name_dic = {
col_name.upper(): col_name.lower()
for col_name, _ in param_list
}
# 获取列表名
col_name_list = [col_name.lower() for col_name in col_name_dic.keys()]
param_str = ",".join(col_name_list[:8])
# 设置dtype类型
dtype = {key.lower(): val for key, val in param_list}
dtype['wind_code'] = String(20)
for i in types.keys():
temp = invoker.wset("sectorconstituent",
"date=%s;sectorid=%s" % (today, str(types[i])))
temp['strategy_type'] = i
df = pd.concat([df, temp], axis=0)
if DEBUG and len(df) > 1000:
break
# 插入数据库
# 初始化数据库engine
# 整理数据
fund_types_df = df[['wind_code', 'sec_name', 'strategy_type']]
fund_types_df.set_index('wind_code', inplace=True)
# 获取基金基本面信息
code_list = list(fund_types_df.index) # df['wind_code']
code_count = len(code_list)
seg_count = 5000
info_df = pd.DataFrame()
for n in range(int(code_count / seg_count) + 1):
num_start = n * seg_count
num_end = (n + 1) * seg_count
num_end = num_end if num_end <= code_count else code_count
if num_start <= code_count:
codes = ','.join(code_list[num_start:num_end])
# 分段获取基金成立日期数据
info2_df = invoker.wss(codes, param_str)
logging.info('%05d ) [%d %d]' % (n, num_start, num_end))
info_df = info_df.append(info2_df)
if DEBUG and len(info_df) > 1000:
break
else:
break
# 整理数据插入数据库)
info_df['FUND_SETUPDATE'] = info_df['FUND_SETUPDATE'].apply(
lambda x: str_2_date(x))
info_df['FUND_MATURITYDATE'] = info_df['FUND_MATURITYDATE'].apply(
lambda x: str_2_date(x))
info_df = fund_types_df.join(info_df, how='right')
info_df.rename(columns=col_name_dic, inplace=True)
info_df['trade_date_latest'] = None
info_df.index.names = ['wind_code']
info_df.reset_index(inplace=True)
info_df.drop_duplicates(inplace=True)
bunch_insert_on_duplicate_update(info_df,
table_name,
engine_md,
dtype=dtype)
logging.info('%d funds inserted' % len(info_df))
if not has_table and engine_md.has_table(table_name):
alter_table_2_myisam(engine_md, [table_name])
build_primary_key([table_name])
# 更新 code_mapping 表
update_from_info_table(table_name)
if get_df:
return info_df
def import_smfund_daily(chain_param=None):
"""
:param chain_param: 在celery 中將前面結果做爲參數傳給後面的任務
:return:
"""
table_name = "wind_smfund_daily"
has_table = engine_md.has_table(table_name)
col_name_param_list = [
('next_pcvdate', Date),
('a_nav', DOUBLE),
('b_nav', DOUBLE),
('a_fs_inc', DOUBLE),
('b_fs_inc', DOUBLE),
('cur_interest', DOUBLE),
('next_interest', DOUBLE),
('ptm_year', DOUBLE),
('anal_pricelever', DOUBLE),
('anal_navlevel', DOUBLE),
('t1_premium', DOUBLE),
('t2_premium', DOUBLE),
('dq_status', String(50)),
('tm_type', TEXT),
('code_p', String(20)),
('trade_date', Date),
('open', DOUBLE),
('high', DOUBLE),
('low', DOUBLE),
('close', DOUBLE),
('volume', DOUBLE),
('amt', DOUBLE),
('pct_chg', DOUBLE),
('open_a', DOUBLE),
('high_a', DOUBLE),
('low_a', DOUBLE),
('close_a', DOUBLE),
('volume_a', DOUBLE),
('amt_a', DOUBLE),
('pct_chg_a', DOUBLE),
('open_b', DOUBLE),
('high_b', DOUBLE),
('low_b', DOUBLE),
('close_b', DOUBLE),
('volume_b', DOUBLE),
('amt_b', DOUBLE),
('pct_chg_b', DOUBLE),
]
# wset的调用参数
wind_indictor_str = ",".join([key for key, _ in col_name_param_list[:14]])
# 设置dtype类型
dtype = {key: val for key, val in col_name_param_list}
date_ending = date.today() - ONE_DAY if datetime.now(
).hour < BASE_LINE_HOUR else date.today()
date_ending_str = date_ending.strftime('%Y-%m-%d')
# 对于 表格是否存在进行判断，取值
if has_table:
sql_str = """
SELECT wind_code, ifnull(date, fund_setupdate) date_start, class_a_code, class_b_code
FROM wind_smfund_info fi LEFT OUTER JOIN
(SELECT code_p, adddate(max(trade_date), 1) trade_date_max FROM wind_smfund_daily GROUP BY code_p) smd
ON fi.wind_code = smd.code_p
WHERE fund_setupdate IS NOT NULL
AND class_a_code IS NOT NULL
AND class_b_code IS NOT NULL"""
else:
sql_str = """
SELECT wind_code, ifnull(date, fund_setupdate) date_start, class_a_code, class_b_code
FROM wind_smfund_info
WHERE fund_setupdate IS NOT NULL
AND class_a_code IS NOT NULL
AND class_b_code IS NOT NULL"""
df = pd.read_sql(sql_str, engine_md)
df.set_index('wind_code', inplace=True)
data_len = df.shape[0]
logger.info('分级基金数量: %d', data_len)
index_start = 1
# 获取data_from
for data_num, wind_code in enumerate(
df.index, start=1): # 可调整 # [100:min([df_count, 200])]
if data_num < index_start:
continue
logger.info('%d/%d) %s start to import', data_num, data_len, wind_code)
date_from = df.loc[wind_code, 'date_start']
date_from = str_2_date(date_from)
if type(date_from) not in (date, datetime, Timestamp):
logger.info('%d/%d) %s has no fund_setupdate will be ignored',
data_num, data_len, wind_code)
# print(df.iloc[i, :])
continue
date_from_str = date_from.strftime('%Y-%m-%d')
if date_from > date_ending:
logger.info('%d/%d) %s %s %s 跳过', data_num, data_len, wind_code,
date_from_str, date_ending_str)
continue
# 设置wsd接口参数
field = "open,high,low,close,volume,amt,pct_chg"
# wsd_cache(w, code, field, beginTime, today, "")
try:
df_p = invoker.wsd(wind_code, field, date_from_str,
date_ending_str, "")
except APIError as exp:
logger.exception("%d/%d) %s 执行异常", data_num, data_len, wind_code)
if exp.ret_dic.setdefault('error_code', 0) in (
-40520007, # 没有可用数据
-40521009, # 数据解码失败。检查输入参数是否正确，如：日期参数注意大小月月末及短二月
):
continue
else:
break
if df_p is None:
continue
df_p.rename(columns=lambda x: x.swapcase(), inplace=True)
df_p['code_p'] = wind_code
code_a = df.loc[wind_code, 'class_a_code']
if code_a is None:
print('%d %s has no code_a will be ignored' %
(data_num, wind_code))
# print(df.iloc[i, :])
continue
# 获得数据存储到df_a里面
# df_a = wsd_cache(w, code_a, field, beginTime, today, "")
df_a = invoker.wsd(code_a, field, date_from_str, date_ending_str, "")
df_a.rename(columns=lambda x: x.swapcase() + '_a', inplace=True)
code_b = df.loc[wind_code, 'class_b_code']
# df_b = wsd_cache(w, code_b, field, beginTime, today, "")
# 获取接口数据 获得df_b
df_b = invoker.wsd(code_b, field, date_from_str, date_ending_str, "")
df_b.columns = df_b.columns.map(lambda x: x.swapcase() + '_b')
new_df = pd.DataFrame()
for date_str in df_p.index:
# time = date_str.date().strftime('%Y-%m-%d')
field = "date=%s;windcode=%s;field=%s" % (date_str, wind_code,
wind_indictor_str)
# wset_cache(w, "leveragedfundinfo", field)
temp = invoker.wset("leveragedfundinfo", field)
temp['date'] = date_str
new_df = new_df.append(temp)
if DEBUG and len(new_df) > 8:
break
# 将获取信息进行表格联立 合并
new_df['next_pcvdate'] = new_df['next_pcvdate'].map(
lambda x: str_2_date(x) if x is not None else x)
new_df.set_index('date', inplace=True)
one_df = pd.concat([df_p, df_a, df_b, new_df], axis=1)
one_df.index.rename('trade_date', inplace=True)
one_df.reset_index(inplace=True)
# one_df['date'] = one_df['date'].map(lambda x: x.date())
one_df.rename(columns={'date': 'trade_date'}, inplace=True)
# one_df.rename(columns={"index":'trade_date'},inplace=True)
# one_df.set_index(['code_p', 'trade_date'], inplace=True)
bunch_insert_on_duplicate_update(one_df,
table_name,
engine_md,
dtype=dtype)
logger.info('%d/%d) %s import success', data_num, data_len, wind_code)
if not has_table and engine_md.has_table(table_name):
alter_table_2_myisam(engine_md, [table_name])
# build_primary_key([table_name])
# 手动创建主键， 主键不是wind_code
create_pk_str = """ALTER TABLE {table_name}
CHANGE COLUMN `code_p` `code_p` VARCHAR(20) NOT NULL ,
CHANGE COLUMN `trade_date` `trade_date` DATE NOT NULL ,
ADD PRIMARY KEY (`code_p`, `trade_date`)""".format(
table_name=table_name)
with with_db_session(engine_md) as session:
session.execute(create_pk_str)
def import_private_fund_nav_daily(chain_param=None, wind_code_list=None):
"""
:param chain_param: 在celery 中將前面結果做爲參數傳給後面的任務
:param wind_code_list:
:return:
"""
table_name = 'wind_fund_nav_daily'
# 初始化数据下载端口
# 初始化数据库engine
# 链接数据库，并获取fundnav旧表
# with get_db_session(engine) as session:
# table = session.execute('select wind_code, ADDDATE(max(trade_date),1) from wind_fund_nav group by wind_code')
# fund_trade_date_begin_dic = dict(table.fetchall())
# 获取wind_fund_info表信息
col_name_param_list = [
('trade_date', Date),
('nav', DOUBLE),
('nav_acc', DOUBLE),
('nav_date', Date),
]
dtype = {col_name: val for col_name, val in col_name_param_list}
dtype['wind_code'] = String(200)
has_table = engine_md.has_table(table_name)
if has_table:
fund_info_df = pd.read_sql_query(
"""SELECT DISTINCT fi.wind_code AS wind_code,
IFNULL(fund_setupdate, if(trade_date_latest BETWEEN '1900-01-01' AND ADDDATE(CURDATE(), -1), ADDDATE(trade_date_latest,1) , fund_setupdate) ) date_from,
if(fund_maturitydate BETWEEN '1900-01-01' AND ADDDATE(CURDATE(), -1),fund_maturitydate,ADDDATE(CURDATE(), -1)) date_to
FROM fund_info fi
LEFT JOIN
(
SELECT wind_code, ADDDATE(max(trade_date),1) trade_date_from FROM wind_fund_nav_daily
GROUP BY wind_code
) wfn
ON fi.wind_code = wfn.wind_code""", engine_md)
else:
fund_info_df = pd.read_sql_query(
"""SELECT DISTINCT fi.wind_code AS wind_code,
IFNULL(fund_setupdate, if(trade_date_latest BETWEEN '1900-01-01' AND ADDDATE(CURDATE(), -1), ADDDATE(trade_date_latest,1) , fund_setupdate) ) date_from,
if(fund_maturitydate BETWEEN '1900-01-01' AND ADDDATE(CURDATE(), -1),fund_maturitydate,ADDDATE(CURDATE(), -1)) date_to
FROM fund_info fi
ORDER BY wind_code;""", engine_md)
wind_code_date_frm_to_dic = {
wind_code: (str_2_date(date_from), str_2_date(date_to))
for wind_code, date_from, date_to in
zip(fund_info_df['wind_code'], fund_info_df['date_from'],
fund_info_df['date_to'])
}
fund_info_df.set_index('wind_code', inplace=True)
if wind_code_list is None:
wind_code_list = list(fund_info_df.index)
else:
wind_code_list = list(
set(wind_code_list) & set(fund_info_df.index))
# 结束时间
date_last_day = date.today() - timedelta(days=1)
# date_end_str = date_end.strftime(STR_FORMAT_DATE)
fund_nav_all_df = []
no_data_count = 0
code_count = len(wind_code_list)
# 对每个新获取的基金名称进行判断，若存在 fundnav 中，则只获取部分净值
wind_code_trade_date_latest_dic = {}
date_gap = timedelta(days=10)
try:
for num, wind_code in enumerate(wind_code_list):
date_begin, date_end = wind_code_date_frm_to_dic[wind_code]
# if date_end > date_last_day:
# date_end = date_last_day
if date_begin > date_end:
continue
# 设定数据获取的起始日期
# wind_code_trade_date_latest_dic[wind_code] = date_to
# if wind_code in fund_trade_date_begin_dic:
# trade_latest = fund_trade_date_begin_dic[wind_code]
# if trade_latest > date_end:
# continue
# date_begin = max([date_begin, trade_latest])
# if date_begin is None:
# continue
# elif isinstance(date_begin, str):
# date_begin = datetime.strptime(date_begin, STR_FORMAT_DATE).date()
if isinstance(date_begin, date):
if date_begin.year < 1900:
continue
if date_begin > date_end:
continue
date_begin_str = date_begin.strftime('%Y-%m-%d')
else:
logger.error("%s date_begin:%s", wind_code, date_begin)
continue
if isinstance(date_end, date):
if date_begin.year < 1900:
continue
if date_begin > date_end:
continue
date_end_str = date_end.strftime('%Y-%m-%d')
else:
logger.error("%s date_end:%s", wind_code, date_end)
continue
# 尝试获取 fund_nav 数据
for k in range(2):
try:
fund_nav_tmp_df = invoker.wsd(
codes=wind_code,
fields='nav,NAV_acc,NAV_date',
beginTime=date_begin_str,
endTime=date_end_str,
options='Fill=Previous')
trade_date_latest = datetime.strptime(
date_end_str, '%Y-%m-%d').date() - date_gap
wind_code_trade_date_latest_dic[
wind_code] = trade_date_latest
break
except APIError as exp:
# -40520007z
if exp.ret_dic.setdefault('error_code',
0) == -40520007:
trade_date_latest = datetime.strptime(
date_end_str, '%Y-%m-%d').date() - date_gap
wind_code_trade_date_latest_dic[
wind_code] = trade_date_latest
logger.error("%s Failed, ErrorMsg: %s" %
(wind_code, str(exp)))
continue
except Exception as exp:
logger.error("%s Failed, ErrorMsg: %s" %
(wind_code, str(exp)))
continue
else:
fund_nav_tmp_df = None
if fund_nav_tmp_df is None:
logger.info('%s No data', wind_code)
# del wind_code_trade_date_latest_dic[wind_code]
no_data_count += 1
logger.warning('%d funds no data', no_data_count)
else:
fund_nav_tmp_df.dropna(how='all', inplace=True)
df_len = fund_nav_tmp_df.shape[0]
if df_len == 0:
continue
fund_nav_tmp_df['wind_code'] = wind_code
# 此处删除 trade_date_latest 之后再加上，主要是为了避免因抛出异常而导致的该条数据也被记录更新
# del wind_code_trade_date_latest_dic[wind_code]
trade_date_latest = fund_nav_df_2_sql(table_name,
fund_nav_tmp_df,
engine_md,
is_append=True)
if trade_date_latest is None:
logger.error('%s[%d] data insert failed', wind_code)
else:
wind_code_trade_date_latest_dic[
wind_code] = trade_date_latest
logger.info('%d) %s updated, %d funds left', num,
wind_code, code_count - num)
if DEBUG and num > 1: # 调试使用
break
#
finally:
import_wind_fund_nav_to_nav()
update_trade_date_latest(wind_code_trade_date_latest_dic)
if not has_table and engine_md.has_table(table_name):
alter_table_2_myisam(engine_md, [table_name])
build_primary_key([table_name])
return fund_nav_all_df
def load_history(self, date_from=None, date_to=None, load_md_count=None) -> (pd.DataFrame, dict):
"""
从文件中加载历史数据
:param date_from: None代表沿用类的 init_md_date_from 属性
:param date_to: None代表沿用类的 init_md_date_from 属性
:param load_md_count: 0 代表不限制，None代表沿用类的 init_load_md_count 属性，其他数字代表相应的最大加载条数
:return: md_df 或者
ret_data {
'md_df': md_df, 'datetime_key': 'ts_start',
'date_key': **, 'time_key': **, 'microseconds_key': **
}
"""
# 如果 init_md_date_from 以及 init_md_date_to 为空，则不加载历史数据
if self.init_md_date_from is None and self.init_md_date_to is None:
ret_data = {'md_df': None, 'datetime_key': self.datetime_key, 'date_key': self.date_key,
'time_key': self.time_key, 'microseconds_key': self.microseconds_key}
return ret_data
# 加载历史数据
self.logger.debug("加载历史数据 %s", self.file_path)
date_col_name_set = {self.datetime_key, self.date_key, self.timestamp_key}
if None in date_col_name_set:
date_col_name_set.remove(None)
md_df = pd.read_csv(self.file_path, parse_dates=list(date_col_name_set))
if self.ffill_on_load_history:
md_df = md_df.ffill()
if self.timestamp_key is not None:
timestamp_key = self.timestamp_key
elif self.datetime_key is not None:
timestamp_key = self.datetime_key
elif self.date_key is not None:
timestamp_key = self.date_key
else:
timestamp_key = None
self.logger.warning('没有设置 timestamp_key、datetime_key、date_key 中的任何一个，无法进行日期过滤')
# 对日期区间进行过滤
filter_mark = None
if timestamp_key is not None:
if date_from is None:
date_from = pd.Timestamp(str_2_date(self.init_md_date_from))
else:
date_from = pd.Timestamp(str_2_date(date_from))
if date_from is not None:
filter_mark = md_df[timestamp_key] >= date_from
if date_to is None:
date_to = pd.Timestamp(str_2_date(self.init_md_date_to))
else:
date_to = pd.Timestamp(str_2_date(date_to))
if date_to is not None:
if filter_mark is None:
filter_mark = md_df[timestamp_key] <= date_to
else:
filter_mark &= md_df[timestamp_key] <= date_to
if filter_mark is not None:
ret_df = md_df[filter_mark]
else:
ret_df = md_df
# 返回数据
ret_data = {'md_df': ret_df, 'datetime_key': self.datetime_key, 'date_key': self.date_key,
'time_key': self.time_key, 'microseconds_key': self.microseconds_key,
'symbol_key': self.symbol_key, 'close_key': 'close'}
return ret_data
def import_pub_fund_daily(chain_param=None,
ths_code_set: set = None,
begin_time=None):
"""
通过history接口将历史数据保存到 ifind_pub_fund_daily
:param chain_param: 该参数仅用于 task.chain 串行操作时，上下传递参数使用
:param ths_code_set:
:param begin_time: 默认为None，如果非None则代表所有数据更新日期不得晚于该日期
:return:
"""
table_name = 'ifind_pub_fund_daily'
has_table = engine_md.has_table(table_name)
if begin_time is not None and type(begin_time) == date:
begin_time = str_2_date(begin_time)
indicator_param_list = [('netAssetValue', '', DOUBLE),
('adjustedNAV', '', DOUBLE),
('accumulatedNAV', '', DOUBLE)]
# THS_HistoryQuotes('600006.SH,600010.SH',
# 'preClose,open,high,low,close,avgPrice,changeRatio,volume,amount,turnoverRatio,transactionAmount,totalShares,totalCapital,floatSharesOfAShares,floatSharesOfBShares,floatCapitalOfAShares,floatCapitalOfBShares,pe_ttm,pe,pb,ps,pcf',
# 'Interval:D,CPS:1,baseDate:1900-01-01,Currency:YSHB,fill:Previous',
# '2018-06-30','2018-07-30')
json_indicator, _ = unzip_join([(key, val)
for key, val, _ in indicator_param_list],
sep=';')
if has_table:
sql_str = """SELECT ths_code, date_frm, if(ths_fund_expiry_date_fund<end_date, ths_fund_expiry_date_fund, end_date) date_to
FROM
(
SELECT info.ths_code, ifnull(trade_date_max_1, ths_lof_listed_date_fund) date_frm, ths_fund_expiry_date_fund,
if(hour(now())<16, subdate(curdate(),1), curdate()) end_date
FROM
ifind_pub_fund_info info
LEFT OUTER JOIN
(SELECT ths_code, adddate(max(time),1) trade_date_max_1 FROM {table_name} GROUP BY ths_code) daily
ON info.ths_code = daily.ths_code
) tt
WHERE date_frm <= if(ths_fund_expiry_date_fund<end_date, ths_fund_expiry_date_fund, end_date)
ORDER BY ths_code""".format(table_name=table_name)
else:
logger.warning('%s 不存在，仅使用 ifind_pub_fund_info 表进行计算日期范围', table_name)
sql_str = """SELECT ths_code, date_frm, if(ths_fund_expiry_date_fund<end_date, ths_fund_expiry_date_fund, end_date) date_to
FROM
(
SELECT info.ths_code, ths_lof_listed_date_fund date_frm, ths_fund_expiry_date_fund,
if(hour(now())<16, subdate(curdate(),1), curdate()) end_date
FROM ifind_pub_fund_info info
) tt
WHERE date_frm <= if(ths_fund_expiry_date_fund<end_date, ths_fund_expiry_date_fund, end_date)
ORDER BY ths_code"""
# 计算每只股票需要获取日线数据的日期区间
with with_db_session(engine_md) as session:
# 获取每只股票需要获取日线数据的日期区间
table = session.execute(sql_str)
# 计算每只股票需要获取日线数据的日期区间
code_date_range_dic = {
ths_code:
(date_from if begin_time is None else min([date_from, begin_time]),
date_to)
for ths_code, date_from, date_to in table.fetchall()
if ths_code_set is None or ths_code in ths_code_set
}
if TRIAL:
date_from_min = date.today() - timedelta(days=(365 * 5))
# 试用账号只能获取近5年数据
code_date_range_dic = {
ths_code: (max([date_from, date_from_min]), date_to)
for ths_code, (date_from, date_to) in code_date_range_dic.items()
if date_from_min <= date_to
}
# 设置 dtype
dtype = {key: val for key, _, val in indicator_param_list}
dtype['ths_code'] = String(20)
dtype['time'] = Date
data_df_list, data_count, tot_data_count, code_count = [], 0, 0, len(
code_date_range_dic)
try:
for num, (ths_code,
(begin_time,
end_time)) in enumerate(code_date_range_dic.items(),
start=1):
logger.debug('%d/%d) %s [%s - %s]', num, code_count, ths_code,
begin_time, end_time)
data_df = invoker.THS_HistoryQuotes(
ths_code, json_indicator,
'Interval:D,CPS:1,baseDate:1900-01-01,Currency:YSHB,fill:Previous',
begin_time, end_time)
if data_df is not None and data_df.shape[0] > 0:
data_count += data_df.shape[0]
data_df.rename(
columns={col: col.lower()
for col in data_df.columns},
inplace=True)
data_df_list.append(data_df)
if DEBUG and len(data_df_list) > 1:
break
# 大于阀值有开始插入
if data_count >= 10000:
tot_data_df = pd.concat(data_df_list)
data_count = bunch_insert_on_duplicate_update(
tot_data_df, table_name, engine_md, dtype)
tot_data_count += data_count
data_df_list, data_count = [], 0
finally:
if len(data_df_list) > 0:
tot_data_df = pd.concat(data_df_list)
data_count = bunch_insert_on_duplicate_update(
tot_data_df, table_name, engine_md, dtype)
tot_data_count += data_count
logging.info("更新 %s 完成 新增数据 %d 条", table_name, tot_data_count)
if not has_table and engine_md.has_table(table_name):
alter_table_2_myisam(engine_md, [table_name])
build_primary_key([table_name])
