"""
.. moduleauthor:: Li, Wang <*****@*****.**>
"""
import os
from string import Template
import pandas as pd
import logbook
logbook.set_datetime_format('local')
logger = logbook.Logger('universe')
from orca.mongo.barra import BarraFetcher
barra_fetcher = BarraFetcher('short')
bid_sid = barra_fetcher.fetch_idmaps()
def generate_path(path_pattern, date):
return Template(path_pattern).substitute(YYYYMMDD=date,
YYYYMM=date[:6],
YYYY=date[:4],
MM=date[4:6],
DD=date[6:8])
def prep_universe_lance(account, date, output):
path = os.path.join('/home/liulc/trade_' + account, 'barra', date[:4],
date[4:6], date[6:8], 'universe.' + date)
bid = pd.read_csv(path, header=0, dtype={0: str}).iloc[:, 0]
bid = bid.ix[bid.apply(lambda x: x in bid_sid)]
sid = bid.map(bid_sid)
"""
.. moduleauthor:: Li, Wang <*****@*****.**>
"""
import os
from string import Template
import pandas as pd
import logbook
logbook.set_datetime_format('local')
logger = logbook.Logger('universe')
from orca.mongo.barra import BarraFetcher
barra_fetcher = BarraFetcher('short')
bid_sid = barra_fetcher.fetch_idmaps()
def generate_path(path_pattern, date):
return Template(path_pattern).substitute(YYYYMMDD=date, YYYYMM=date[:6], YYYY=date[:4], MM=date[4:6], DD=date[6:8])
def prep_universe_lance(account, date, output):
path = os.path.join('/home/liulc/trade_'+account, 'barra', date[:4], date[4:6], date[6:8], 'universe.'+date)
bid = pd.read_csv(path, header=0, dtype={0: str}).iloc[:,0]
bid = bid.ix[bid.apply(lambda x: x in bid_sid)]
sid = bid.map(bid_sid)
sid_bid = barra_fetcher.fetch_idmaps(date=DATES[DATES.index(date)-1], barra_key=False)
bid = sid.map(sid_bid)
is_regular = sid.apply(lambda x: len(x) == 6 and x[:2] in ('00', '30', '60'))
df = pd.concat([sid.ix[is_regular], bid.ix[is_regular]], axis=1)
df.columns = ['sid', 'bid']
output = generate_path(output, date)
def test_idmaps2(self):
barra = BarraFetcher.fetch_idmaps()
sids = BarraFetcher.fetch_idmaps(barra_key=False)
self.assertDictEqual(barra, {v: k for k, v in sids.iteritems()})
"""
.. moduleauthor:: Li, Wang <*****@*****.**>
"""
import os
from string import Template
import pandas as pd
import logbook
logbook.set_datetime_format('local')
logger = logbook.Logger('assets')
from orca.mongo.barra import BarraFetcher
barra_fetcher = BarraFetcher('short')
def generate_path(path_pattern, date):
return Template(path_pattern).substitute(YYYYMMDD=date,
YYYYMM=date[:6],
YYYY=date[:4],
MM=date[4:6],
DD=date[6:8])
def prep_assets_lance(account, date, output):
path = os.path.join('/home/liulc/trade_' + account, 'barra', date[:4],
date[4:6], date[6:8], 'assets.' + date)
df = pd.read_csv(path, header=0, dtype={0: str}).iloc[:, :3]
df.columns = ['sid', 'bid', 'alpha']
def test_idmaps1(self):
barra = BarraFetcher.fetch_idmaps()
self.assertIsInstance(barra, dict)