def __build_db_dict(self, server_host):
type_list = [
Instrument_Type_Enums.Future, Instrument_Type_Enums.CommonStock
]
self.__instrument_dict = query_instrument_dict('host', type_list)
special_ticker_list = []
session_jobs = server_host.get_db_session('jobs')
for special_ticker in session_jobs.query(SpecialTickers).filter(
SpecialTickers.date == self.__date_str):
special_ticker_list.append(special_ticker)
self.__suspend_stock_list = [
x.ticker for x in special_ticker_list if 'Suspend' in x.describe
]
custom_log.log_info_job('Suspend Stock List:%s' %
','.join(self.__suspend_stock_list))
self.__st_stock_list = [
x.ticker for x in special_ticker_list if 'ST' in x.describe
]
custom_log.log_info_job('ST Stock List:%s' %
','.join(self.__st_stock_list))
self.__low_stop_stock_list = [
x.ticker for x in special_ticker_list if 'Low_Stop' in x.describe
]
custom_log.log_info_job('Low_Stop Stock List:%s' %
','.join(self.__low_stop_stock_list))
self.__high_stop_stock_list = [
x.ticker for x in special_ticker_list if 'High_Stop' in x.describe
]
custom_log.log_info_job('High_Stop Stock List:%s' %
','.join(self.__high_stop_stock_list))
def index_constitute_report_job(server_list, date_str=None):
if date_str is None:
date_str = date_utils.get_next_trading_day('%Y-%m-%d')
global server_host, instrument_db_dict
server_host = server_constant.get_server_model('host')
instrument_db_dict = query_instrument_dict('host')
fund_dict = query_fund_dict(server_list, date_str)
report_message_list = daily_return_calculation(fund_dict, date_str)
report_message_list.sort()
html_list = __build_collection_html(report_message_list)
title = 'server_name,fund_name,strategy_group_name,stock_value_total,hedge_value_total,net_value,\
CSI300_value,ZZ500_value,Other_value,CSI300_weight,ZZ500_weight,Other_weight,IF,IC,CSI300_IF,ZZ500_IC,\
Other_IC,IF_diff,IC_idff'
report_message_list.insert(0, title)
file_save_path = '%s/log/report.csv' % EOD_PROJECT_FOLDER
with open(file_save_path, 'w') as fr:
fr.write('\n'.join(report_message_list))
email_utils4.send_email_path(u'股票仓位分指数构成报告', html_list, file_save_path,
'html')
server_host.close()
def __build_report_files(self):
global instrument_db_dict
instrument_db_dict = query_instrument_dict('host', [Instrument_Type_Enums.CommonStock, ])
log_file_list = [x for x in os.listdir(self.__unzip_folder_path)]
log_file_list.sort()
position_list = []
order_list = []
for log_file_name in log_file_list:
if 'StrategyLoader' not in log_file_name:
continue
log_file_path = '%s/%s' % (self.__unzip_folder_path, log_file_name)
with open(log_file_path) as fr:
for line in fr.readlines():
if 'OnStratStart' in line:
param_set_dict = self.__format_param_line(line)
if not param_set_dict:
continue
param_set = param_set_dict['param_set']
elif 'SIDSImpl' in line and 'Info:' in line:
position_list.append(line)
elif 'SIDSImpl' in line and 'Posi:' in line:
position_list.append(line)
elif 'SIDSImpl' in line and 'Event:' in line:
order_list.append(line)
for account_name in self.__account_list:
filter_position_list = [x for x in position_list if account_name in x]
filter_order_list = [x for x in order_list if account_name in x]
self.__read_message_list(account_name, filter_position_list, filter_order_list, param_set)
def __query_instrument_df():
instrument_dict = query_instrument_dict(
'host',
[Instrument_Type_Enums.Index, Instrument_Type_Enums.CommonStock])
instrument_list = [[str(k), float(v.prev_close)]
for (k, v) in instrument_dict.items()
if v.prev_close is not None]
instrument_df = pd.DataFrame(instrument_list,
columns=['symbol', 'prev_close'])
return instrument_df
def algo_file_compare_job():
now_date_str = date_utils.get_today_str('%Y-%m-%d')
type_list = [
Instrument_Type_Enums.CommonStock,
]
global instrument_dict
instrument_dict = query_instrument_dict('host', type_list)
server_host = server_constant.get_server_model('host')
email_message_list = []
session_jobs = server_host.get_db_session('jobs')
query = session_jobs.query(StrategyAccountInfo)
for strategy_account_info_db in query:
pf_account_dict = dict()
server_name = strategy_account_info_db.server_name
server_model = server_constant.get_server_model(server_name)
session_portfolio = server_model.get_db_session('portfolio')
query_pf_account = session_portfolio.query(PfAccount)
for pf_account_db in query_pf_account.filter(
PfAccount.group_name == strategy_account_info_db.group_name):
pf_account_dict[pf_account_db.fund_name] = pf_account_db
for number_str in strategy_account_info_db.all_number.split(','):
fund_name = '%s_%s-%s-%s-' % (
strategy_account_info_db.strategy_name, number_str,
strategy_account_info_db.group_name,
strategy_account_info_db.fund)
target_position_list = __get_target_position_list(
server_name, fund_name)
pf_position_list = __get_pf_position_list(server_name, fund_name,
pf_account_dict)
fund_compare_result, trade_info_list, error_flag = __compare_strategy_position(
pf_position_list, target_position_list)
if error_flag:
email_message_list.append('<h>%s</h>' % fund_name)
email_message_list.extend(fund_compare_result)
if len(trade_info_list) == 0:
continue
classa_folder_path = '%s/%s/%s_repair' % (
STOCK_SELECTION_FOLDER, server_name,
now_date_str.replace('-', ''))
if not os.path.exists(classa_folder_path):
os.mkdir(classa_folder_path)
file_path = '%s/%s.txt' % (classa_folder_path, fund_name)
with open(file_path, 'w+') as fr:
fr.write('\n'.join(trade_info_list))
server_model.close()
email_utils8.send_email_group_all('待交易股票列表', ''.join(email_message_list),
'html')
server_host.close()
def __load_from_db(self):
self.__future_dict = query_instrument_dict('host', [
Instrument_Type_Enums.Future,
])
with StockWindUtils() as stock_wind_utils:
ticker_type_list = [
const.INSTRUMENT_TYPE_ENUMS.CommonStock,
const.INSTRUMENT_TYPE_ENUMS.Future
]
common_ticker_list = stock_wind_utils.get_ticker_list(
ticker_type_list)
self.__ticker_price_dict = stock_wind_utils.get_close_dict(
self.__date_str, common_ticker_list)
def __init__(self, server_name):
self.email_content_list = []
self.server_name = server_name
self.date_str = date_utils.get_today_str('%Y-%m-%d')
self.date_str2 = date_utils.get_today_str('%Y%m%d')
self.multifactor_parameter_list = []
self.leadLag_parameter_list = []
self.basket_parameter_list = []
self.tradeplat_file_folder = TRADEPLAT_FILE_FOLDER_TEMPLATE % server_name
self.local_backup_folder = STOCK_INTRADAY_BACKUP_FOLDER
if not os.path.exists(self.tradeplat_file_folder):
os.mkdir(self.tradeplat_file_folder)
self.parameter_dict_file_path = self.tradeplat_file_folder + '/parameter_dict.csv'
self.multifactor_folder = self.tradeplat_file_folder + '/MultiFactorWeightData'
self.cfg_folder = self.tradeplat_file_folder + '/cfg'
self.highfreq_folder = self.cfg_folder + '/intraday_multifactor/HighFreqCalculator'
self.leadlag_folder = self.cfg_folder + '/intraday_leadlag/HighFreqCalculator'
for temp_folder in (self.multifactor_folder, self.highfreq_folder, self.leadlag_folder):
if os.path.exists(temp_folder):
shutil.rmtree(temp_folder, True)
os.mkdir(temp_folder)
type_list = [Instrument_Type_Enum.CommonStock, ]
self.instrument_dict = query_instrument_dict('host', type_list)
self.parameter_title_list = []
self.parameter_dict = dict()
with open(self.parameter_dict_file_path, 'rb') as fr:
file_items = fr.readlines()
for i in range(0, len(file_items)):
if i == 0:
self.parameter_title_list = file_items[i].replace('\n', '').split(',')
else:
line_items = file_items[i].replace('\n', '').split(',')
self.parameter_dict[line_items[0]] = file_items[i].replace('\n', '')
def __build_phone_trades(server_name, compare_result_list, pf_account_dict,
pf_position_list):
pf_position_dict = dict()
for pf_position_info in pf_position_list:
pf_account_id, fund, ticker, pf_long, pf_short = pf_position_info
dict_key = '%s|%s' % (fund, ticker)
pf_position_dict.setdefault(dict_key, []).append(pf_position_info)
default_account_dict = dict()
for (account_id, pf_account_db) in pf_account_dict.items():
if pf_account_db.group_name == 'manual':
fund_name = pf_account_db.fund_name.split('-')[2]
default_account_dict[fund_name] = pf_account_db
instrument_dict = query_instrument_dict('host')
phone_trade_list = []
for compare_info_item in compare_result_list:
fund, ticker, real_long, real_short, pf_long, pf_short, diff = compare_info_item
if ticker not in instrument_dict:
custom_log.log_error_job('Server:%s, UnFind Ticker:%s' %
(server_name, ticker))
continue
instrument_db = instrument_dict[ticker]
# *暂只处理股票的不一致
if instrument_db.type_id != Instrument_Type_Enums.CommonStock:
continue
# 期货和期权需要单独设置tradetype
future_flag = False
if instrument_db.type_id in [
Instrument_Type_Enums.Future, Instrument_Type_Enums.Option
]:
future_flag = True
prev_close = instrument_db.prev_close
if prev_close is None:
continue
if pf_long > real_long:
diff_long = pf_long - real_long
find_key = '%s|%s' % (fund, ticker)
pf_position_list = pf_position_dict[find_key]
for pf_position_info in pf_position_list:
pf_account_id, fund, ticker, item_long, item_short = pf_position_info
if item_long == 0:
continue
pf_account_info = pf_account_dict[pf_account_id]
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = fund
phone_trade_info.strategy1 = '%s.%s' % (
pf_account_info.group_name, pf_account_info.name)
phone_trade_info.symbol = ticker
phone_trade_info.direction = Direction_Enums.Sell
phone_trade_info.tradetype = Trade_Type_Enums.Close if future_flag else Trade_Type_Enums.Normal
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.exqty = min(item_long, diff_long)
phone_trade_info.iotype = IO_Type_Enums.Inner1
phone_trade_info.server_name = server_name
phone_trade_info.exprice = prev_close
phone_trade_list.append(phone_trade_info)
diff_long = max(diff_long - item_long, 0)
if diff_long == 0:
break
if real_long > pf_long:
default_pf_account = default_account_dict[fund]
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = fund
phone_trade_info.strategy1 = '%s.%s' % (
default_pf_account.group_name, default_pf_account.name)
phone_trade_info.symbol = ticker
phone_trade_info.direction = Direction_Enums.Buy
phone_trade_info.tradetype = Trade_Type_Enums.Open if future_flag else Trade_Type_Enums.Normal
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.exqty = real_long - pf_long
phone_trade_info.iotype = IO_Type_Enums.Inner1
phone_trade_info.server_name = server_name
phone_trade_info.exprice = prev_close
phone_trade_list.append(phone_trade_info)
if pf_short > real_short:
diff_short = pf_short - real_short
find_key = '%s|%s' % (fund, ticker)
pf_position_list = pf_position_dict[find_key]
for pf_position_info in pf_position_list:
pf_account_id, fund, ticker, item_long, item_short = pf_position_info
if item_short == 0:
continue
pf_account_info = pf_account_dict[pf_account_id]
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = fund
phone_trade_info.strategy1 = '%s.%s' % (
pf_account_info.group_name, pf_account_info.name)
phone_trade_info.symbol = ticker
phone_trade_info.direction = Direction_Enums.Buy
phone_trade_info.tradetype = Trade_Type_Enums.Close if future_flag else Trade_Type_Enums.Normal
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.exqty = min(item_short, diff_short)
phone_trade_info.iotype = IO_Type_Enums.Inner1
phone_trade_info.server_name = server_name
phone_trade_info.exprice = prev_close
phone_trade_list.append(phone_trade_info)
diff_short = max(diff_short - item_short, 0)
if diff_short == 0:
break
if real_short > pf_short:
default_pf_account = default_account_dict[fund]
phone_trade_info = PhoneTradeInfo()
phone_trade_info.fund = fund
phone_trade_info.strategy1 = '%s.%s' % (
default_pf_account.group_name, default_pf_account.name)
phone_trade_info.symbol = ticker
phone_trade_info.direction = Direction_Enums.Sell
phone_trade_info.tradetype = Trade_Type_Enums.Open if future_flag else Trade_Type_Enums.Normal
phone_trade_info.hedgeflag = Hedge_Flag_Type_Enums.Speculation
phone_trade_info.exqty = real_short - pf_short
phone_trade_info.iotype = IO_Type_Enums.Inner1
phone_trade_info.server_name = server_name
phone_trade_info.exprice = prev_close
phone_trade_list.append(phone_trade_info)
return phone_trade_list
def __get_prev_close_dict():
type_list = [
Instrument_Type_Enums.CommonStock,
]
instrument_dict = query_instrument_dict('host', type_list)
return instrument_dict
