Example #1
0
def get_dv(start = 20170101,end = 20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list  = ['BBI', 'net_profit', 'tot_shrhldr_eqy_excl_min_int'
        # ,'EPS','PE','PS','ACCA','CTOP','MA10RegressCoeff12','AR','BR','ARBR','np_parent_comp_ttm','total_share','bps'
                    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'../data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {'start_date': start, 'end_date': end, 'symbol':','.join(stock_symbol),
             'fields': check_factor,
             'freq': 1,
             "prepare_fields": True}

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #2
0
def get_dv(start = 20170101,end = 20180101): 
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService
    
    import warnings
    warnings.filterwarnings("ignore")
    
    #--------------------------------------------------------
    
    #define
    factor_list   = [ 'alpha190', 'alpha96', 'DebtEquityRatio', 'NetAssetGrowRate',
     'SharpeRatio120', 'RC12' ,'InformationRatio20']
    check_factor = ','.join(factor_list)
    
    dataview_folder = r'../data'
    ds = LocalDataService(fp = dataview_folder)
    
    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))
    
    dv_props = {'start_date': start, 'end_date': end, 'symbol':','.join(stock_symbol),
             'fields': check_factor,
             'freq': 1,
             "prepare_fields": True}
    
    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #3
0
def get_dv(start = 20170101,end = 20180101): 
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService
    
    import warnings
    warnings.filterwarnings("ignore")
    
    #--------------------------------------------------------
    
    #define
    factor_list  = ['TSEPToTotalCapital','alpha107','TRIX5_J','OperatingRevenueGrowRate_J','LossVariance60','BIAS60_J','alpha110','DIZ_J']
    check_factor = ','.join(factor_list)
    
    dataview_folder = r'E:/data/data'
    ds = LocalDataService(fp = dataview_folder)
    
    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))
    
    dv_props = {'start_date': start, 'end_date': end, 'symbol':','.join(stock_symbol),
             'fields': check_factor,
             'freq': 1,
             "prepare_fields": True}
    
    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #4
0
def get_dv(start=20170101, end=20180101):
    import warnings
    warnings.filterwarnings("ignore")
    try:
        import jaqs_fxdayu
        jaqs_fxdayu.patch_all()
        from jaqs.data import DataView
        from jaqs_fxdayu.data.dataservice import LocalDataService
    except ImportError as e:
        _handle_import_exception(e)

    ds = LocalDataService(fp=get_data_root())

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': "",
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    hs300_benchmark = dv.data_api.daily("000300.SH",
                                        dv.extended_start_date_d,
                                        dv.end_date,
                                        fields='trade_date,close')
    dv.data_benchmark = hs300_benchmark[0][['trade_date',
                                            'close']].set_index('trade_date')
    return dv
Example #5
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = ['PB', 'turnover_ratio', 'volume', 'pe_ttm']
    check_factor = ','.join(factor_list)

    dataview_folder = r'E:\BaiduNetdiskDownload\data\data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #6
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    factor_list = [
        'alpha60', 'alpha61', 'SRMI', 'OperatingProfitGrowRate',
        'InterestCover_J', 'ROECut', 'StaticPE_J', 'VOL60'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'../data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #7
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = [
        'volume', 'tot_profit', 'plus_non_oper_rev', 'less_non_oper_exp',
        'net_cash_flows_oper_act', 'total_oper_rev', 'tot_oper_cost',
        'fin_exp', 'less_selling_dist_exp', 'less_gerl_admin_exp', 'oper_rev',
        'less_oper_cost', 'turnover'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = 'G:\GSICE\DATA\data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()

    data_config = {
        "remote.data.address":
        "tcp://data.tushare.org:8910",
        "remote.data.username":
        "******",
        "remote.data.password":
        "******"
    }

    from jaqs_fxdayu.data import RemoteDataService
    Ds = RemoteDataService()
    Ds.init_from_config(data_config)
    dv.add_field('pe', Ds)

    return dv
Example #8
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs_fxdayu.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = ['fcffps', 'lt_borrow', 'st_borrow', 'LCAP', 'end_bal_cash']
    check_factor = ','.join(factor_list)

    dataview_folder = r'D:/data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()

    # total market value
    data_config = {
        "remote.data.address":
        "tcp://data.tushare.org:8910",
        "remote.data.username":
        "******",
        "remote.data.password":
        "******"
    }
    from jaqs_fxdayu.data.dataservice import RemoteDataService
    ds1 = RemoteDataService()
    ds1.init_from_config(data_config)
    dv.add_field('total_mv', ds1)
    dv.add_field('ncf_oper_ttm', ds1)

    return dv
Example #9
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings

    warnings.filterwarnings("ignore")

    # --------------------------------------------------------

    # define
    factor_list = [
        'np_parent_comp_ttm', 'tot_cur_liab', 'cogstosales', 'oper_rev_ttm',
        'tangibleasset', 'interestdebt'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'd:/data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    ben_ret = list(ds.index_daily(['000300.SH'], start, end, 'close'))[0]

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #10
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = [
        'SaleServiceCashToOR', 'alpha158', 'CoppockCurve',
        'OperatingProfitRatio', 'alpha147', 'alpha57', 'EquityFixedAssetRatio',
        'alpha1', 'alpha2', 'alpha3', 'alpha4', 'alpha5', 'alpha6', 'alpha7',
        'alpha8', 'alpha9', 'alpha10'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'F:/data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv, ds
Example #11
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = [
        'close', 'pb', 'roe', 'net_profit', 'pe', 'volume', 'capital_stk',
        'tot_profit', 'less_int_exp', 'int_income', 'total_liab',
        'end_bal_cash', 'tot_cur_assets', 'tot_cur_liab', 'tot_non_cur_liab',
        'tot_assets'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'E://股票因子数据/data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #12
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = [
        'capital_stk', 'cash_cash_equ_end_period', 'oper_rev', 'acct_rcv',
        'adv_from_cust', 'adv_from_cust', 'oper_profit', 'less_oper_cost',
        'inventories', 'ARTRate', 'ARTDays', 'InventoryTDays',
        'AccountsPayablesTDays', 'DAVOL5', 'AD'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'../data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #13
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = [
        'alpha84', 'alpha88', 'alpha99', 'alpha133', 'Rstr504',
        'GainVariance60', 'ARTDays', 'BollDown', 'acct_rcv', 'notes_rcv',
        'adv_from_cust'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'D:\my_data\量化云实习\data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #14
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = [
        'recover_l', 'recover_s', 'trend60', 'BollUp_turnover',
        'BollDown_turnover', 'factor_PV', 'AD_close60', 'AD_hl60', 'r_adj80',
        'pca', 'turnover_ratio', 'total_mv', 'tot_cur_assets'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'D:\my_data\量化云实习\data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #15
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = [
        'alpha33', 'alpha58', 'alpha114', 'alpha173',
        'LongDebtToWorkingCapital', 'OperCashGrowRate', 'Kurtosis120',
        'Beta252'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'F:/data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #16
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = [
        'tot_profit', 'less_oper_cost', 'less_fin_exp',
        'less_selling_dist_exp', 'less_gerl_admin_exp', 'monetary_cap',
        'tradable_assets', 'notes_rcv', 'acct_rcv', 'other_rcv', 'tot_cur_liab'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #17
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    # --------------------------------------------------------

    # define
    factor_list = [
        'total_share', 'oper_profit', 'oper_rev', 'float_mv',
        'net_cash_flows_oper_act', 'ps'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'H:/sxzy/data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #18
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    # --------------------------------------------------------

    # define
    factor_list = [
        'volume', 'net_profit', 'oper_rev', 'fix_assets', 'proj_matl',
        'const_in_prog', 'turnover_ratio'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'C:\Users\微软\Desktop\data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #19
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = [
        'alpha01a', 'alpha02a', 'alpha03a', 'alpha04a', 'alpha05a', 'alpha06a',
        'alpha07a', 'alpha08a', 'alpha09a', 'alpha10a'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'f:/data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #20
0
def get_dv(start=20170101, end=20180101):
    import jaqs_fxdayu
    jaqs_fxdayu.patch_all()
    from jaqs.data import DataView
    from jaqs_fxdayu.data.dataservice import LocalDataService

    import warnings
    warnings.filterwarnings("ignore")

    #--------------------------------------------------------

    #define
    factor_list = [
        'AroonDown', 'TVMA20', 'CurrentRatio', 'RSI', 'VOL10', 'minusDI'
    ]
    check_factor = ','.join(factor_list)

    dataview_folder = r'G:/BaiduYunDownload/data/data'
    ds = LocalDataService(fp=dataview_folder)

    ZZ800_id = ds.query_index_member("000906.SH", start, end)
    stock_symbol = list(set(ZZ800_id))

    dv_props = {
        'start_date': start,
        'end_date': end,
        'symbol': ','.join(stock_symbol),
        'fields': check_factor,
        'freq': 1,
        "prepare_fields": True
    }

    dv = DataView()
    dv.init_from_config(dv_props, data_api=ds)
    dv.prepare_data()
    return dv
Example #21
0
#1_连接数据源
import jaqs_fxdayu
jaqs_fxdayu.patch_all()
from jaqs_fxdayu.data.dataapi import DataApi
from jaqs_fxdayu.data import DataView

api = DataApi(addr='tcp://data.tushare.org:8910')
api.login(
    "18161280526",  #quantos账号(手机号码)
    'eyJhbGciOiJIUzI1NiJ9.eyJjcmVhdGVfdGltZSI6IjE1MjMwMTkwMTkyMDUiLCJpc3MiOiJhdXRoMCIsImlkIjoiMTgxNjEyODA1MjYifQ.Kqx03_5DsQKOurLlQDY7GPRPoRbMisxABuNMG5zTe3Q'
)
#quantos账号的API令牌号码

#2_获取需要的数据 index_cons ; daily_index_cons
#step1_指数成分
from jaqs_fxdayu.util import dp
start = 20120104
end = 20171222
id_cons = dp.index_cons(api, "000300.SH", start,
                        end)  #可以得到各个股票进出沪深300的时间,out_date=999999表示现在仍在
#以下为一个小实验,统计出沪深300成分的数量:
k = id_cons.iloc[:, 2]
i = 0  #统计沪深300成分的数量
for s in k:
    if s == 99999999:
        i = i + 1

id_member = dp.daily_index_cons(
    api, "000300.SH", start,
    end)  #与id_cons类似,这里输出的是更为详细的数据,精确到每一天,每一支股票,true表示这一天在沪深300中
mask = ~id_member  #true变为false,false变为true
Example #22
0
# encoding: UTF-8

from __future__ import print_function

from jaqs_fxdayu import patch_all

patch_all()
import pandas as pd
import numpy as np

try:
    import pytest
except ImportError as e:
    if __name__ == "__main__":
        pass
    else:
        raise e
from jaqs.data import RemoteDataService
from jaqs.data import Parser
from tests.data_config import data_config


def test_group_rank():
    shape = (500, 3000)
    df_val = pd.DataFrame(np.random.rand(*shape))
    df_group = pd.DataFrame(
        np.random.randint(1, 5, size=shape[0] * shape[1]).reshape(*shape))
    expr = parser.parse('GroupRank(val, mygroup)')
    res = parser.evaluate({'val': df_val, 'mygroup': df_group})

Example #23
0
 def setUpClass(cls):
     from jaqs_fxdayu import patch_all
     patch_all()
Example #24
0
#1_读取本地数据
import jaqs_fxdayu
jaqs_fxdayu.patch_all()  #新加
from jaqs.data import DataView
from jaqs.data import RemoteDataService
import os
import numpy as np
import warnings
warnings.filterwarnings("ignore")

dv = DataView()
dataview_folder = 'G:/data/hs300'  #文件地址
dv.load_dataview(dataview_folder)  #读取dataview_folder

#2_读取索引为股票代号的数据 get_snapshot
print(dv.get_snapshot(20170504, symbol='600036.SH,600050.SH', fields=''))
print(
    dv.get_snapshot(20170504, symbol='600036.SH,600050.SH',
                    fields='close_adj'))
#20170504表示时间,symbol='600036.SH,600050.SH'表示股票(可以添加),fields=''表示因子,若不输则会返回全部的因子

#3_读取时间序列数据 get_ts
data1 = dv.get_ts('pb')  #返回的是一个DataFrame格式的数据(包含沪深300全部),pb表示平均市净率
print(dv.get_ts('pb').head())

#4_添加自定义算法数据 add_formul
roe_pb = dv.add_formula('roe_pb', 'roe/pb', is_quarterly=False, add_data=True)
#'roe_pb'表示算法的新名称,'roe/pb'为公式,is_quarterly=False代表是否为季度数据
print(dv.get_ts('roe_pb').head())  #这里用get_ts的方法输入新的名称即可

#5_从数据服务添加新数据至本地