def init_selectors(self, entity_ids, entity_schema, exchanges, codes, start_timestamp, end_timestamp): ma_vol_selector = TargetSelector(entity_ids=entity_ids, entity_schema=entity_schema, exchanges=exchanges, codes=codes, start_timestamp=start_timestamp, end_timestamp=end_timestamp, provider='joinquant', level=IntervalLevel.LEVEL_1DAY) # 放量突破年线 ma_vol_factor = ImprovedMaFactor(entity_ids=entity_ids, entity_schema=entity_schema, exchanges=exchanges, codes=codes, start_timestamp=start_timestamp - datetime.timedelta(365), end_timestamp=end_timestamp, provider='joinquant', level=IntervalLevel.LEVEL_1DAY) ma_vol_selector.add_filter_factor(ma_vol_factor) self.selectors.append(ma_vol_selector)
def init_selectors(self, entity_ids, entity_schema, exchanges, codes, start_timestamp, end_timestamp): ma_vol_selector = TargetSelector(region=self.region, entity_ids=entity_ids, entity_schema=entity_schema, exchanges=exchanges, codes=codes, start_timestamp=start_timestamp, end_timestamp=end_timestamp, provider=Provider.JoinQuant, level=IntervalLevel.LEVEL_1DAY) # 放量突破年线 ma_vol_factor = ImprovedMaFactor(region=self.region, entity_ids=entity_ids, entity_schema=entity_schema, exchanges=exchanges, codes=codes, start_timestamp=start_timestamp - datetime.timedelta(365), end_timestamp=end_timestamp, provider=Provider.JoinQuant, level=IntervalLevel.LEVEL_1DAY) # 底部附近突破 cross_factor = CrossTopBottomFactor(region=self.region, entity_ids=entity_ids, entity_schema=entity_schema, exchanges=exchanges, codes=codes, start_timestamp=start_timestamp - datetime.timedelta(365), end_timestamp=end_timestamp, provider=Provider.JoinQuant, level=IntervalLevel.LEVEL_1DAY) ma_vol_selector.add_filter_factor(ma_vol_factor) ma_vol_selector.add_filter_factor(cross_factor) self.selectors.append(ma_vol_selector)
def report_vol_up_120(): while True: error_count = 0 email_action = EmailInformer() try: # 抓取k线数据 # StockTradeDay.record_data(provider='joinquant') # Stock1dKdata.record_data(provider='joinquant') latest_day: Stock1dKdata = Stock1dKdata.query_data( order=Stock1dKdata.timestamp.desc(), limit=1, return_type='domain') target_date = latest_day[0].timestamp # 计算均线 my_selector = TargetSelector(start_timestamp='2019-06-01', end_timestamp=target_date) # add the factors factor1 = ImprovedMaFactor(start_timestamp='2019-06-01', end_timestamp=target_date, windows=[120]) my_selector.add_filter_factor(factor1) my_selector.run() long_stocks = my_selector.get_open_long_targets( timestamp=target_date) msg = 'no targets' # 过滤亏损股 # check StockValuation data pe_date = target_date - datetime.timedelta(10) if StockValuation.query_data(start_timestamp=pe_date, limit=1, return_type='domain'): positive_df = StockValuation.query_data( provider='joinquant', entity_ids=long_stocks, start_timestamp=pe_date, filters=[StockValuation.pe > 0], columns=['entity_id']) bad_stocks = set(long_stocks) - set( positive_df['entity_id'].tolist()) if bad_stocks: stocks = get_entities(provider='joinquant', entity_schema=Stock, entity_ids=bad_stocks, return_type='domain') info = [f'{stock.name}({stock.code})' for stock in stocks] msg = '亏损股:' + ' '.join(info) + '\n' long_stocks = set(positive_df['entity_id'].tolist()) if long_stocks: stocks = get_entities(provider='joinquant', entity_schema=Stock, entity_ids=long_stocks, return_type='domain') # add them to eastmoney try: try: eastmoneypy.del_group('high') except: pass eastmoneypy.create_group('high') for stock in stocks: eastmoneypy.add_to_group(stock.code, group_name='high') except Exception as e: email_action.send_message( "*****@*****.**", f'report_vol_up_120 error', 'report_vol_up_120 error:{}'.format(e)) info = [f'{stock.name}({stock.code})' for stock in stocks] msg = msg + '盈利股:' + ' '.join(info) + '\n' logger.info(msg) email_action.send_message('*****@*****.**', f'{target_date} 改进版放量突破半年线选股结果', msg) break except Exception as e: logger.exception('report_vol_up_120 error:{}'.format(e)) time.sleep(60 * 3) error_count = error_count + 1 if error_count == 10: email_action.send_message( "*****@*****.**", f'report_vol_up_120 error', 'report_vol_up_120 error:{}'.format(e))
def report_state(region): while True: error_count = 0 email_action = EmailInformer(ssl=True) try: latest_day: Stock1dKdata = Stock1dKdata.query_data( region=region, order=Stock1dKdata.timestamp.desc(), limit=1, return_type='domain') target_date = latest_day[0].timestamp # target_date = to_pd_timestamp('2020-01-02') # 计算均线 my_selector = TargetSelector(region=region, start_timestamp='2018-01-01', end_timestamp=target_date) # add the factors factor1 = ImprovedMaFactor(region=region, start_timestamp='2018-01-01', end_timestamp=target_date) my_selector.add_filter_factor(factor1) my_selector.run() long_stocks = my_selector.get_open_long_targets( timestamp=target_date) stock_map_slope = {} logger.info(long_stocks) msg = 'no targets' if long_stocks: pre_date = target_date - datetime.timedelta(2 * 365) ma_state = MaStateStatsFactor(region=region, entity_ids=long_stocks, start_timestamp=pre_date, end_timestamp=target_date, need_persist=False) ma_state.factor_df['slope'] = 100 * ma_state.factor_df[ 'current_pct'] / ma_state.factor_df['current_count'] high_stocks = [] for entity_id, df in ma_state.factor_df.groupby(level=0): if df['current_pct'].max() >= 0.7: high_stocks.append(entity_id) stock_map_slope[entity_id] = round(df['slope'].iat[-1], 2) if high_stocks: stocks = get_entities(region=region, provider=Provider.JoinQuant, entity_schema=Stock, entity_ids=high_stocks, return_type='domain') info = [ f'{stock.name}({stock.code})[{stock_map_slope.get(stock.entity_id)}]' for stock in stocks ] msg = msg + '2年内高潮过:' + ' '.join(info) + '\n' # 过滤风险股 if long_stocks: risky_codes = risky_company(region=region, the_date=target_date, entity_ids=long_stocks, income_yoy=-0.8, profit_yoy=-0.8) if risky_codes: long_stocks = [ entity_id for entity_id in long_stocks if get_entity_code(entity_id) not in risky_codes ] stocks = get_entities(region=region, provider=Provider.JoinQuant, entity_schema=Stock, codes=risky_codes, return_type='domain') info = [ f'{stock.name}({stock.code})[{stock_map_slope.get(stock.entity_id)}]' for stock in stocks ] msg = msg + '风险股:' + ' '.join(info) + '\n' if long_stocks: stocks = get_entities(region=region, provider=Provider.JoinQuant, entity_schema=Stock, entity_ids=long_stocks, return_type='domain') # add them to eastmoney try: try: eastmoneypy.del_group('real') except: pass eastmoneypy.create_group('real') for stock in stocks: eastmoneypy.add_to_group(stock.code, group_name='real') except Exception as e: email_action.send_message( "*****@*****.**", f'report state error', 'report state error:{}'.format(e)) info = [ f'{stock.name}({stock.code})[{stock_map_slope.get(stock.entity_id)}]' for stock in stocks ] msg = msg + '选中:' + ' '.join(info) + '\n' logger.info(msg) email_action.send_message('*****@*****.**', f'{target_date} 放量突破年线state选股结果', msg) break except Exception as e: logger.exception('report state error:{}'.format(e)) time.sleep(60 * 3) error_count = error_count + 1 if error_count == 10: email_action.send_message("*****@*****.**", f'report state error', 'report state error:{}'.format(e))