def main(type):
begt = '20080101'
endt = '20171130'
N = -1
Fre = 'Y'
Halflife = 180.0
SApara = {
'aetopQ': 0.25,
'aebomQ': 0.5,
'sizeQ': 5.0,
'nstbomQ': 0.5,
'indtype': 'BARAIND',
'sizetype': 'SIZE'
}
if type == 0:
# outputpath = 'D:/work/Factors/Insider/'
outputpath = 'Z:/axioma_data/alpha/'
dateslist = td.tdays(begt, endt, 'M')
else:
# outputpath = 'D:/work/Factors/Insider/'
outputpath = 'Z:/daily_data/alpha/raw/'
dateslist = [(datetime.datetime.now() -
datetime.timedelta(days=1)).strftime("%Y%m%d")]
print(dateslist)
datapath = 'F:/factor_data/Insider_Data/'
barapath = 'Z:/axioma_data/barra_model/Exposure/'
Insider.LoadInsiderData_main(dateslist, N, Fre, datapath, barapath)
# Insider.GetInsider_main(dateslist, N, Fre, Halflife, SApara, datapath, outputpath)
return 'Finished!'
def update_MJRV(today, N, Fre, Halflife, datapath, outputpath):
print('****** MJRV ******')
MJRV = Insider.GetMJRV(today, N, Fre, Halflife, datapath)
MJRV = MJRV[['S_INFO_WINDCODE', 'MJRV_raw']]
path = outputpath + 'MJRV'
if not os.path.exists(path):
os.mkdir(path)
MJRV.to_csv(path + '/MJRV_raw_CN_' + today + '.csv', index=None)
return u"MJRV insider_更新成功"
def update_LIOCHANGE(today, datapath, outputpath):
print('****** LIOCHANGE ******')
LIOCHANGE = Insider.GetLIOCHANGE(today, datapath)
LIOCHANGE = LIOCHANGE[['S_INFO_WINDCODE', 'LIOCHANGE_raw']]
path = outputpath + 'LIOCHANGE'
if not os.path.exists(path):
os.mkdir(path)
LIOCHANGE.to_csv(path + '/LIOCHANGE_raw_CN_' + today + '.csv', index=None)
return u"LIOCHANGE insider_更新成功"
def update_PV(today, N, Fre, Halflife, datapath, outputpath):
print('****** PV ******')
PV = Insider.GetPV(today, N, Fre, Halflife, datapath)
PV = PV[['S_INFO_WINDCODE', 'PV_raw']]
path = outputpath + 'PV'
if not os.path.exists(path):
os.mkdir(path)
PV.to_csv(path + '/PV_raw_CN_' + today + '.csv', index=None)
return u"PV insider_更新成功"
def update_NSTS(today, N, Fre, Halflife, datapath, outputpath):
print('****** NSTS ******')
NSTS = Insider.GetNST(today, N, Fre, Halflife, datapath)
NSTS = NSTS[['S_INFO_WINDCODE', 'NST_raw']]
NSTS.columns = ['S_INFO_WINDCODE', 'NSTS_raw']
path = outputpath + 'NSTS'
if not os.path.exists(path):
os.mkdir(path)
NSTS.to_csv(path + '/NSTS_raw_CN_' + today + '.csv', index=None)
return u"NSTS insider_更新成功"
def update_AES(today, datapath, outputpath):
print('****** AES ******')
AES = Insider.GetAE(today, datapath)
AES = AES[['S_INFO_WINDCODE', 'AE_raw']]
AES.columns = ['S_INFO_WINDCODE', 'AES_raw']
path = outputpath + 'AES'
if not os.path.exists(path):
os.mkdir(path)
AES.to_csv(path + '/AES_raw_CN_' + today + '.csv', index=None)
return u"AES insider_更新成功"
def update_SSAA(today, N, Fre, Halflife, datapath, outputpath):
print('****** SA/SL/Accrual/Accrualwgt ******')
SApara = {
'aetopQ': 0.25,
'aebomQ': 0.5,
'sizeQ': 5.0,
'nstbomQ': 0.5,
'indtype': 'BARAIND',
'sizetype': 'SIZE'
}
SA = Insider.GetSA(today, N, Fre, Halflife, SApara, datapath)
SL = SA[['S_INFO_WINDCODE', 'SL_raw']]
path = outputpath + 'SL'
if not os.path.exists(path):
os.mkdir(path)
SL.to_csv(path + '/SL_raw_CN_' + today + '.csv', index=None)
Accrual = SA[['S_INFO_WINDCODE', 'Accrual_raw']]
path = outputpath + 'Accrual'
if not os.path.exists(path):
os.mkdir(path)
Accrual.to_csv(path + '/Accrual_raw_CN_' + today + '.csv', index=None)
Accrualwgt = SA[['S_INFO_WINDCODE', 'Accrualwgt_raw']]
path = outputpath + 'Accrualwgt'
if not os.path.exists(path):
os.mkdir(path)
Accrualwgt.to_csv(path + '/Accrualwgt_raw_CN_' + today + '.csv',
index=None)
SA = SA[['S_INFO_WINDCODE', 'SA_raw']]
path = outputpath + 'SA'
if not os.path.exists(path):
os.mkdir(path)
SA.to_csv(path + '/SA_raw_CN_' + today + '.csv', index=None)
return u"SA/SL/Accrual/Accrualwgt insider_更新成功"
'aetopQ': 1 / 4,
'aebomQ': 1 / 2,
'sizeQ': 5,
'nstbomQ': 1 / 2,
'indtype': 'BARAIND',
'sizetype': 'SIZE'
}
dateslist = td.tdays(begt, endt, 'M')
datapath = 'D:/work/Factors/Insider/Insider_Data/'
outputpath = 'D:/work/Factors/Insider/TestSA/'
barapath = 'Z:/axioma_data/barra_model/Exposure/'
for t in range(len(dateslist)):
print(dateslist[t])
SA = Insider.GetSA(dateslist[t], N, Fre, Halflife, SApara, datapath)
SL = SA[['S_INFO_WINDCODE', 'SL_raw']]
path = outputpath + 'SL'
if not os.path.exists(path): os.mkdir(path)
SL.to_csv(path + '/SL_raw_CN_' + dateslist[t] + '.csv', index=None)
Accrual = SA[['S_INFO_WINDCODE', 'Accrual_raw']]
path = outputpath + 'Accrual'
if not os.path.exists(path): os.mkdir(path)
Accrual.to_csv(path + '/Accrual_raw_CN_' + dateslist[t] + '.csv',
index=None)
Accrualwgt = SA[['S_INFO_WINDCODE', 'Accrualwgt_raw']]
path = outputpath + 'Accrualwgt'
if not os.path.exists(path): os.mkdir(path)
Accrualwgt.to_csv(path + '/Accrualwgt_raw_CN_' + dateslist[t] + '.csv',
def update_insider_data(today, N, Fre, datapath, barapath):
Insider.LoadInsiderData_main(today, N, Fre, datapath, barapath)
return u"insider基础数据保存到本地成功"
