def do_copula_4_scheme(scheme_id):
"""
根据 scheme_id 计算相关组合的 copula 压力测试
:param scheme_id:
:return:
"""
# sql_str = """select id, ffp.wind_code_p, ffp.wind_code_s, wind_code, date_adj, invest_scale
# from fof_fund_pct ffp,
# (
# select wind_code_p, max(date_adj) date_latest from fof_fund_pct group by wind_code_p
# ) ff_date_latest,
# fund_essential_info ffm
# where ffp.wind_code_p = ff_date_latest.wind_code_p
# and ffp.wind_code_s = ffm.wind_code_s
# and ffp.date_adj = ff_date_latest.date_latest"""
sql_str = "SELECT wind_code, invest_scale FROM scheme_fund_pct where scheme_id=%(scheme_id)s"
engine = get_db_engine()
fund_pct_df = pd.read_sql(sql_str,
engine,
params={'scheme_id': str(scheme_id)})
date_to = date.today()
date_to_str = date_to.strftime(STR_FORMAT_DATE)
date_from = date_to - timedelta(days=365)
date_from_str = date_from.strftime(STR_FORMAT_DATE)
simulate_count = STRESS_TESTING_SIMULATE_COUNT_COPULA
r = get_redis()
wind_code_list = list(
fund_pct_df['wind_code']) # ['XT1410445.XT', 'J11039.OF']
wind_code_count = len(wind_code_list)
logger.info('do_copula for %d on wind_code_p with %s', scheme_id,
wind_code_list)
if wind_code_count <= 0:
logger.warning('scheme %s has no sub fund list', scheme_id)
return
st = StressTest('Clayton')
weighted_list = np.ones(wind_code_count)
# max_dd_list = st.get_max_drawdown(['XT1410445.XT', 'J11039.OF'], '2016-01-01', '2016-12-31', np.ones(2), 10)
max_dd_list = st.get_max_drawdown(wind_code_list, date_from_str,
date_to_str, weighted_list,
simulate_count)
if max_dd_list is None or len(max_dd_list) == 0:
logger.error('scheme %s has no copula test data. sub fund list: %s',
scheme_id, wind_code_list)
return
# max_dd_list_str = json.dumps(max_dd_list)
y, x, patches = plt.hist(max_dd_list, 20)
y = list(map(int, y))
x = list(map(float, ["%.3f" % i for i in x]))
key = 'scheme_%s_%s' % (scheme_id, 'copula')
val_str = json.dumps({"x": x, "y": y})
logger.debug('%s has been completer\n%s', key, val_str)
r.set(key, val_str)
def send_log():
r = get_redis(host='10.0.5.107', db=5)
t = r.pubsub()
t.subscribe('stream')
while True:
for item in t.listen():
log = item['data']
if log != 1:
try:
log = log.decode('utf-8')
socketio.emit('my_response',
{'log':json.loads(log),'states':'connect'},
namespace='/stream')
except TypeError:
print(log)
def do_fund_multi_factor_by_wind_code_list(wind_code_list):
"""
对基金列表分别进行归因分析
:param wind_code_list:
:return:
"""
r = get_redis()
for n, wind_code in enumerate(wind_code_list):
logger.info('')
fund_exposure_his_df = get_fund_exposure_his(wind_code)
if fund_exposure_his_df is not None:
key = wind_code + 's:multi_factor'
fund_exposure_str = json.dumps(fund_exposure_his_df.to_dict())
r.set(key, fund_exposure_str)
logger.debug('multi factor on %s with key: %s value:\n%s',
wind_code, key, fund_exposure_str)
def __call__(self, app, host, port, use_debugger, use_reloader):
# override the default runserver command to start a Socket.IO server
if use_debugger is None:
use_debugger = app.debug
if use_debugger is None:
use_debugger = True
if use_reloader is None:
use_reloader = app.debug
r = get_redis(host='127.0.0.1',db=3)
r.flushdb()
logger.info("用户fof缓存已清空")
SocketIo.run(app,
host=host,
port=port,
debug=use_debugger,
use_reloader=use_reloader,
**self.server_options)
# -*- coding: utf-8 -*- """ :copyright: (c) 2016 by Huang Dong :mail: [email protected]. :license: Apache 2.0, see LICENSE for more details. """ from celery import Celery from celery.schedules import crontab import os from fof_app import create_app from fof_app.tasks import log,update_fund,update_index,update_stock,stress_testing,update_future_daily,update_future_info from config_fh import get_redis from r_log import RedisHandler import logging logger = logging.getLogger() r_handler = RedisHandler(channel='stream',redis_client=get_redis(host='10.0.5.107',db=5)) logger.addHandler(r_handler) def create_celery(app): celery = Celery(app.import_name, backend=app.config['CELERY_RESULT_BACKEND'], broker=app.config['CELERY_BROKER_URL']) celery.conf.update(app.config) TaskBase = celery.Task class ContextTask(TaskBase): abstract = True def __call__(self, *args, **kwargs): with app.app_context(): return TaskBase.__call__(self, *args, **kwargs) celery.Task = ContextTask
# -*- coding: utf-8 -*- """ :copyright: (c) 2016 by Huang Dong :mail: [email protected]. :license: Apache 2.0, see LICENSE for more details. """ from fof_app import create_app import os from config_fh import get_redis import logging logger = logging.getLogger() env = os.environ.get('APP_ENV', 'prod') wsgi_app = create_app('fof_app.config.%sConfig' % env.capitalize()) r = get_redis(db=3) r.flushdb() if __name__ == '__main__': wsgi_app.run() logger.info("用户fof缓存已清空")
# file_path = plot_fof_copula(wind_code_list, weight_list, start_date, end_date, simulate_count)
sql_str = """select id, ffp.wind_code_p, wind_code, date_adj, invest_scale
from fof_fund_pct ffp,
(
select wind_code_p, max(date_adj) date_latest from fof_fund_pct group by wind_code_p
) ff_date_latest
where ffp.wind_code_p = ff_date_latest.wind_code_p
and ffp.date_adj = ff_date_latest.date_latest"""
engine = get_db_engine()
fof_fund_df = pd.read_sql(sql_str, engine)
wind_code_fund_dic = dict(list(fof_fund_df.groupby('wind_code_p')))
date_to = date.today() - timedelta(days=1)
date_to_str = '2016-12-31' # date_to.strftime(STR_FORMAT_DATE)
date_from = date_to - timedelta()
date_from_str = '2016-01-01' # date_from.strftime(STR_FORMAT_DATE)
simulate_count = 1000
r = get_redis()
for wind_code_p, fof_fund_sub_df in wind_code_fund_dic.items():
wind_code_list = list(fof_fund_sub_df['wind_code'])
wind_code_count = len(wind_code_list)
if wind_code_count <= 0:
continue
st = stress_test('Clayton')
weighted_list = np.ones(wind_code_count)
max_dd_list = st.get_max_drawdown(['XT1410445.XT', 'J11039.OF'],
date_from_str, date_to_str,
weighted_list, simulate_count)
max_dd_list_str = json.dumps(max_dd_list)
r.set(wind_code_p, max_dd_list_str)
print('finished')
def do_copula(wind_code_list=[]):
# sql_str = """select id, ffp.wind_code_p, wind_code, date_adj, invest_scale
# from fof_fund_pct ffp,
# (
# select wind_code_p, max(date_adj) date_latest from fof_fund_pct group by wind_code_p
# ) ff_date_latest
# where ffp.wind_code_p = ff_date_latest.wind_code_p
# and ffp.date_adj = ff_date_latest.date_latest"""
sql_str = """select id, ffp.wind_code_p, ffp.wind_code_s, wind_code, date_adj, invest_scale
from fof_fund_pct ffp,
(
select wind_code_p, max(date_adj) date_latest from fof_fund_pct group by wind_code_p
) ff_date_latest,
fund_essential_info ffm
where ffp.wind_code_p = ff_date_latest.wind_code_p
and ffp.wind_code_s = ffm.wind_code_s
and ffp.date_adj = ff_date_latest.date_latest"""
engine = get_db_engine()
fof_fund_df = pd.read_sql(sql_str, engine)
# 按 母基金代码进行分组
wind_code_fund_dic = dict(list(fof_fund_df.groupby('wind_code_p')))
# 按 基金代码进行分组，对应所有 wind_code_s 代码
# wind_code_df_dic = dict(list(fof_fund_df[['wind_code', 'wind_code_s']].groupby('wind_code')))
# wind_code_s_dic = {wind_code: set(df['wind_code_s'].values) for wind_code, df in wind_code_df_dic.items()}
date_to = date.today()
date_to_str = date_to.strftime(STR_FORMAT_DATE)
date_from = date_to - timedelta(days=365)
date_from_str = date_from.strftime(STR_FORMAT_DATE)
simulate_count = STRESS_TESTING_SIMULATE_COUNT_COPULA
r = get_redis()
if wind_code_list is not None and len(wind_code_list) > 0:
wind_code_set = set(wind_code_list)
else:
wind_code_set = None
for wind_code_p, fof_fund_sub_df in wind_code_fund_dic.items():
if wind_code_set is not None and wind_code_p not in wind_code_set:
continue
wind_code_list = list(
fof_fund_sub_df['wind_code']) # ['XT1410445.XT', 'J11039.OF']
wind_code_count = len(wind_code_list)
logger.info('do_copula on wind_code_p with %s', wind_code_list)
if wind_code_count <= 0:
continue
st = StressTest('Clayton')
weighted_list = np.ones(wind_code_count)
# max_dd_list = st.get_max_drawdown(['XT1410445.XT', 'J11039.OF'], '2016-01-01', '2016-12-31', np.ones(2), 10)
max_dd_list = st.get_max_drawdown(wind_code_list, date_from_str,
date_to_str, weighted_list,
simulate_count)
if max_dd_list is None or len(max_dd_list) == 0:
logger.error('%s has no copula test data. sub fund list: %s',
wind_code_p, wind_code_list)
continue
# max_dd_list_str = json.dumps(max_dd_list)
y, x, patches = plt.hist(max_dd_list, 10)
y = list(map(int, y))
x = list(map(float, ["%.3f" % i for i in x]))
key = '%s:%s' % (wind_code_p, 'copula')
logger.debug('%s has been completer' % key)
r.set(key, json.dumps({"x": x, "y": y}))
def do_fhs_garch_4_scheme(scheme_id):
"""
根据 scheme_id 计算相关组合的 fhs-garch 压力测试
:param scheme_id:
:return:
"""
sql_str = "SELECT wind_code, invest_scale FROM scheme_fund_pct where scheme_id=%s"
engine = get_db_engine()
fund_pct_df = pd.read_sql(sql_str, engine, params=[str(scheme_id)])
simulate_count = STRESS_TESTING_SIMULATE_COUNT_FHS_GARCH
wind_code_list = list(
fund_pct_df['wind_code']) # ['XT1410445.XT', 'J11039.OF']
wind_code_count = len(wind_code_list)
if wind_code_count <= 0:
logger.warning('scheme %s has no sub fund list', scheme_id)
return
# 执行 fhs-garch压力测试
simulate_comp_df, simulate_df_dic = fof_fhs_garch(wind_code_list,
simulate_count)
if simulate_comp_df is None:
logger.error('scheme %s has no FHS GARCH test data. sub fund list: %s',
scheme_id, wind_code_list)
return
logger.info('do_fhs_garch for %d on wind_code_p with %s', scheme_id,
wind_code_list)
# 将组合压力测试结果存储到 redis 上面
r = get_redis()
for wind_code, simulate_df in simulate_df_dic.items():
time_line = simulate_df.index
time_line = [i.strftime('%Y-%m-%d') for i in time_line]
df = simulate_df.T.quantile(QUANTILE_LIST).T
result = {
"time":
time_line,
"data": [{
"name": i,
"data": np.array(df[i]).tolist()
} for i in df.columns],
'show_count':
simulate_count
}
# 将wind_code 及 wind_code_s 对应的压力测试结果插入redis
key = '%s_%s' % (wind_code, 'fhs_garch')
logger.info('%s has been complete,', key)
r.set(key, json.dumps(result))
time_line = simulate_comp_df.index
time_line = [i.strftime('%Y-%m-%d') for i in time_line]
df = simulate_comp_df.T.quantile(QUANTILE_LIST).T
result = {
"time": time_line,
"data": [{
"name": i,
"data": np.array(df[i]).tolist()
} for i in df.columns],
'show_count': simulate_count
}
key = 'scheme_%s_%s' % (scheme_id, 'fhs_garch')
val_str = json.dumps(result)
logger.info('%s has benn complate\n%s', key, val_str)
r.set(key, val_str)
def do_fhs_garch(wind_code_p_list=[]):
"""
后台作业，对数据库中所有fof基金进行压力测试
如果 wind_code_p_list 不为空，则近执行 wind_code_p_list 中的母基金
:return:
"""
# sql_str = """select id, ffp.wind_code_p, wind_code_s, date_adj, invest_scale
# from fof_fund_pct ffp,
# (
# select wind_code_p, max(date_adj) date_latest from fof_fund_pct group by wind_code_p
# ) ff_date_latest
# where ffp.wind_code_p = ff_date_latest.wind_code_p
# and ffp.date_adj = ff_date_latest.date_latest"""
sql_str = """select id, ffp.wind_code_p, ffp.wind_code_s, wind_code, date_adj, invest_scale
from fof_fund_pct ffp,
(
select wind_code_p, max(date_adj) date_latest
from fof_fund_pct group by wind_code_p
) ff_date_latest,
fund_essential_info ffm
where ffp.wind_code_p = ff_date_latest.wind_code_p
and ffp.wind_code_s = ffm.wind_code_s
and ffp.date_adj = ff_date_latest.date_latest"""
engine = get_db_engine()
fof_fund_df = pd.read_sql(sql_str, engine)
# 按 母基金代码进行分组
wind_code_fund_dic = dict(list(fof_fund_df.groupby('wind_code_p')))
# 按 基金代码进行分组，对应所有 wind_code_s 代码
wind_code_df_dic = dict(
list(fof_fund_df[['wind_code', 'wind_code_s']].groupby('wind_code')))
wind_code_s_dic = {
wind_code: set(df['wind_code_s'].values)
for wind_code, df in wind_code_df_dic.items()
}
date_to = date.today()
date_to_str = date_to.strftime(STR_FORMAT_DATE)
date_from = date_to - timedelta(days=365)
date_from_str = date_from.strftime(STR_FORMAT_DATE)
simulate_count = STRESS_TESTING_SIMULATE_COUNT_FHS_GARCH
r = get_redis()
if wind_code_p_list is not None and len(wind_code_p_list) > 0:
wind_code_p_set = set(wind_code_p_list)
else:
wind_code_p_set = None
for wind_code_p, fof_fund_sub_df in wind_code_fund_dic.items():
if wind_code_p_set is not None and wind_code_p not in wind_code_p_set:
logger.debug('%s 不在列表中 跳过', wind_code_p)
continue
wind_code_list = list(
fof_fund_sub_df['wind_code']) # ['XT1410445.XT', 'J11039.OF']
wind_code_count = len(wind_code_list)
if wind_code_count <= 0:
continue
simulate_comp_df, simulate_df_dic = fof_fhs_garch(
wind_code_list, simulate_count)
if simulate_comp_df is None:
logger.error('%s has no FHS GARCH test data. sub fund list: %s',
wind_code_p, wind_code_list)
continue
for wind_code, simulate_df in simulate_df_dic.items():
time_line = simulate_df.index
time_line = [i.strftime('%Y-%m-%d') for i in time_line]
df = simulate_df.T.quantile(QUANTILE_LIST).T
result = {
"time":
time_line,
"data": [{
"name": i,
"data": np.array(df[i]).tolist()
} for i in df.columns]
}
result['show_count'] = simulate_count
# 将wind_code 及 wind_code_s 对应的压力测试结果插入redis
key = '%s_%s' % (wind_code, 'fhs_garch')
logger.info('%s has been complete,', key)
r.set(key, json.dumps(result))
for wind_code_s in wind_code_s_dic[wind_code]:
key = '%s_%s' % (wind_code_s, 'fhs_garch')
logger.info('%s has been complete,', key)
r.set(key, json.dumps(result))
time_line = simulate_comp_df.index
time_line = [i.strftime('%Y-%m-%d') for i in time_line]
df = simulate_comp_df.T.quantile(QUANTILE_LIST).T
result = {
"time":
time_line,
"data": [{
"name": i,
"data": np.array(df[i]).tolist()
} for i in df.columns],
'show_count':
simulate_count
}
key = '%s_%s' % (wind_code_p, 'fhs_garch')
logger.info('%s has benn complate', key)
r.set(key, json.dumps(result))