def select_by_finance(timestamp=now_pd_timestamp(), entity_ids=None):
if timestamp.dayofweek in (5, 6):
logger.info(f'today:{timestamp} is {timestamp.day_name()},just ignore')
today = to_time_str(timestamp)
my_selector = TargetSelector(start_timestamp='2015-01-01',
end_timestamp=today,
entity_ids=entity_ids)
# add the factors
good_factor1 = GoodCompanyFactor(start_timestamp='2015-01-01',
end_timestamp=today,
entity_ids=entity_ids)
good_factor2 = GoodCompanyFactor(
start_timestamp='2015-01-01',
end_timestamp=today,
entity_ids=entity_ids,
data_schema=CashFlowStatement,
columns=[
CashFlowStatement.report_period,
CashFlowStatement.net_op_cash_flows
],
filters=[CashFlowStatement.net_op_cash_flows > 0],
col_threshold={'net_op_cash_flows': 100000000})
my_selector.add_filter_factor(good_factor1)
my_selector.add_filter_factor(good_factor2)
my_selector.run()
long_targets = my_selector.get_open_long_targets(today)
logger.info(f'selected:{len(long_targets)}')
return long_targets
def every_day_report():
while True:
try:
today = now_pd_timestamp()
long_targets = select_by_finance(today)
logger.info(f'selected:{len(long_targets)}')
if long_targets:
ma_factor = CrossMaFactor(start_timestamp='2015-01-01',
end_timestamp=today,
dry_run=True,
persist_factor=False,
entity_ids=long_targets,
windows=[5, 30, 120])
my_selector = TargetSelector(start_timestamp='2015-01-01',
end_timestamp=today,
entity_ids=long_targets)
my_selector.add_filter_factor(ma_factor)
my_selector.run()
final_targets = my_selector.get_open_long_targets(today)
final_targets = list(set(final_targets))
logger.info(f'final selected:{len(final_targets)}')
if final_targets:
df = get_entities(provider='eastmoney',
entity_schema=Stock,
entity_ids=final_targets,
columns=['code', 'name'])
info = [
df.loc[i, 'code'] + ' ' + df.loc[i, 'name']
for i in df.index
]
msg = ' '.join(info)
else:
msg = 'no targets'
logger.info(msg)
email_action = EmailInformer()
email_action.send_message("*****@*****.**",
f'{today} 基本面 + 技术面选股结果', msg)
break
except Exception as e:
logger.exception('report3 sched error:{}'.format(e))
time.sleep(60 * 3)
def report_state():
while True:
error_count = 0
email_action = EmailInformer(ssl=True)
try:
latest_day: Stock1dKdata = Stock1dKdata.query_data(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(start_timestamp='2018-01-01', end_timestamp=target_date)
# add the factors
factor1 = VolumeUpMa250Factor(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)
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:
pre_date = target_date - datetime.timedelta(3 * 365)
ma_state = MaStateStatsFactor(entity_ids=long_stocks, start_timestamp=pre_date,
end_timestamp=target_date, persist_factor=False)
bad_stocks = []
for entity_id, df in ma_state.factor_df.groupby(level=0):
if df['current_pct'].max() >= 0.35:
bad_stocks.append(entity_id)
long_stocks.remove(entity_id)
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 = msg + '3年内高潮过:' + ' '.join(info) + '\n'
# 过滤风险股
if long_stocks:
risky_codes = risky_company(the_date=target_date, entity_ids=long_stocks)
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(provider='joinquant', entity_schema=Stock, entity_ids=risky_codes,
return_type='domain')
info = [f'{stock.name}({stock.code})' for stock in stocks]
msg = msg + '风险股:' + ' '.join(info) + '\n'
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('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})' for stock in stocks]
msg = msg + '盈利股:' + ' '.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))
def report_real(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 = '2020-02-04'
# 计算均线
my_selector = TargetSelector(region=region,
start_timestamp='2018-01-01',
end_timestamp=target_date)
# add the factors
factor1 = VolumeUpMa250Factor(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)
msg = 'no targets'
# 过滤亏损股
# check StockValuation data
pe_date = target_date - datetime.timedelta(10)
if StockValuation.query_data(region=region,
start_timestamp=pe_date,
limit=1,
return_type='domain'):
positive_df = StockValuation.query_data(
region=region,
provider=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(region=region,
provider=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:
# use block to filter
block_selector = BlockSelector(region=region,
start_timestamp='2020-01-01',
long_threshold=0.8)
block_selector.run()
long_blocks = block_selector.get_open_long_targets(
timestamp=target_date)
if long_blocks:
blocks: List[Block] = Block.query_data(
region=region,
provider=Provider.Sina,
entity_ids=long_blocks,
return_type='domain')
info = [f'{block.name}({block.code})' for block in blocks]
msg = ' '.join(info) + '\n'
block_stocks: List[BlockStock] = BlockStock.query_data(
region=region,
provider=Provider.Sina,
filters=[BlockStock.stock_id.in_(long_stocks)],
entity_ids=long_blocks,
return_type='domain')
if block_stocks:
# add them to eastmoney
try:
try:
eastmoneypy.del_group('real')
except:
pass
eastmoneypy.create_group('real')
for block_stock in block_stocks:
eastmoneypy.add_to_group(
block_stock.stock_code, group_name='real')
except Exception as e:
email_action.send_message(
"*****@*****.**", f'report_real error',
'report_real error:{}'.format(e))
block_map_stocks = {}
for block_stock in block_stocks:
stocks = block_map_stocks.get(block_stock.name)
if not stocks:
stocks = []
block_map_stocks[block_stock.name] = stocks
stocks.append(
f'{block_stock.stock_name}({block_stock.stock_code})'
)
for block in block_map_stocks:
stocks = block_map_stocks[block]
stock_msg = ' '.join(stocks)
msg = msg + f'{block}:\n' + stock_msg + '\n'
logger.info(msg)
email_action.send_message('*****@*****.**',
f'{target_date} 放量突破年线real选股结果', msg)
break
except Exception as e:
logger.exception('report_real error:{}'.format(e))
time.sleep(60 * 3)
error_count = error_count + 1
if error_count == 10:
email_action.send_message("*****@*****.**",
f'report_real error',
'report_real 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))
def report_targets(
factor_cls: Type[Factor],
entity_provider,
data_provider,
title,
entity_type="stock",
informer: EmailInformer = None,
em_group=None,
em_group_over_write=True,
filter_by_volume=True,
adjust_type=None,
start_timestamp="2019-01-01",
**factor_kv,
):
logger.info(
f"entity_provider: {entity_provider}, data_provider: {data_provider}, entity_type: {entity_type}, start_timestamp: {start_timestamp}"
)
error_count = 0
while error_count <= 10:
try:
if not adjust_type:
adjust_type = default_adjust_type(entity_type=entity_type)
target_date = get_latest_kdata_date(provider=data_provider,
entity_type=entity_type,
adjust_type=adjust_type)
logger.info(f"target_date :{target_date}")
current_entity_pool = None
if filter_by_volume:
# 成交量
vol_df = get_top_volume_entities(
entity_type=entity_type,
start_timestamp=next_date(target_date, -30),
end_timestamp=target_date,
adjust_type=adjust_type,
pct=0.4,
data_provider=data_provider,
)
current_entity_pool = vol_df.index.tolist()
logger.info(
f"current_entity_pool({len(current_entity_pool)}): {current_entity_pool}"
)
kdata_schema = get_kdata_schema(entity_type,
level=IntervalLevel.LEVEL_1DAY,
adjust_type=adjust_type)
filters = []
if "turnover_threshold" in factor_kv:
filters = filters + [
kdata_schema.turnover >=
factor_kv.get("turnover_threshold")
]
if "turnover_rate_threshold" in factor_kv:
filters = filters + [
kdata_schema.turnover_rate >=
factor_kv.get("turnover_rate_threshold")
]
if filters:
filters = filters + [kdata_schema.timestamp == target_date]
kdata_df = kdata_schema.query_data(
provider=data_provider,
filters=filters,
columns=["entity_id", "timestamp"],
index="entity_id")
if current_entity_pool:
current_entity_pool = set(current_entity_pool) & set(
kdata_df.index.tolist())
else:
current_entity_pool = kdata_df.index.tolist()
if "entity_ids" in factor_kv:
if current_entity_pool:
current_entity_pool = set(current_entity_pool) & set(
factor_kv.pop("entity_ids"))
else:
current_entity_pool = set(factor_kv.pop("entity_ids"))
# add the factor
my_selector = TargetSelector(start_timestamp=start_timestamp,
end_timestamp=target_date,
select_mode=SelectMode.condition_or)
entity_schema = get_entity_schema(entity_type=entity_type)
tech_factor = factor_cls(
entity_schema=entity_schema,
entity_provider=entity_provider,
provider=data_provider,
entity_ids=current_entity_pool,
start_timestamp=start_timestamp,
end_timestamp=target_date,
adjust_type=adjust_type,
**factor_kv,
)
my_selector.add_factor(tech_factor)
my_selector.run()
long_stocks = my_selector.get_open_long_targets(
timestamp=target_date)
inform(
informer,
entity_ids=long_stocks,
target_date=target_date,
title=title,
entity_provider=entity_provider,
entity_type=entity_type,
em_group=em_group,
em_group_over_write=em_group_over_write,
)
break
except Exception as e:
logger.exception("report error:{}".format(e))
time.sleep(60 * 3)
error_count = error_count + 1
if error_count == 10:
informer.send_message(
zvt_config["email_username"],
f"report {entity_type}{factor_cls.__name__} error",
f"report {entity_type}{factor_cls.__name__} error: {e}",
)
def report_targets(
factor_cls: Type[Factor],
entity_provider,
data_provider,
title,
entity_type="stock",
em_group=None,
em_group_over_write=True,
filter_by_volume=True,
adjust_type=None,
start_timestamp="2019-01-01",
**factor_kv,
):
logger.info(
f"entity_provider: {entity_provider}, data_provider: {data_provider}, entity_type: {entity_type}, start_timestamp: {start_timestamp}"
)
error_count = 0
while error_count <= 10:
email_action = EmailInformer()
try:
if entity_type == "stock" and not adjust_type:
adjust_type = AdjustType.hfq
target_date = get_latest_kdata_date(provider=data_provider,
entity_type=entity_type,
adjust_type=adjust_type)
logger.info(f"target_date :{target_date}")
current_entity_pool = None
if filter_by_volume:
# 成交量
vol_df = get_top_volume_entities(
entity_type=entity_type,
start_timestamp=next_date(target_date, -30),
end_timestamp=target_date,
adjust_type=adjust_type,
pct=0.4,
)
current_entity_pool = vol_df.index.tolist()
logger.info(
f"current_entity_pool({len(current_entity_pool)}): {current_entity_pool}"
)
# add the factor
my_selector = TargetSelector(start_timestamp=start_timestamp,
end_timestamp=target_date,
select_mode=SelectMode.condition_or)
entity_schema = get_entity_schema(entity_type=entity_type)
tech_factor = factor_cls(
entity_schema=entity_schema,
entity_provider=entity_provider,
provider=data_provider,
entity_ids=current_entity_pool,
start_timestamp=start_timestamp,
end_timestamp=target_date,
adjust_type=adjust_type,
**factor_kv,
)
my_selector.add_factor(tech_factor)
my_selector.run()
long_stocks = my_selector.get_open_long_targets(
timestamp=target_date)
msg = "no targets"
if long_stocks:
entities = get_entities(provider=entity_provider,
entity_type=entity_type,
entity_ids=long_stocks,
return_type="domain")
if em_group:
try:
codes = [entity.code for entity in entities]
add_to_eastmoney(codes=codes,
entity_type=entity_type,
group=em_group,
over_write=em_group_over_write)
except Exception as e:
email_action.send_message(
zvt_config["email_username"],
f"report {entity_type}{factor_cls.__name__} error",
f"report {entity_type}{factor_cls.__name__} error: {e}",
)
infos = [
f"{entity.name}({entity.code})" for entity in entities
]
msg = "\n".join(infos) + "\n"
logger.info(msg)
email_action.send_message(zvt_config["email_username"],
f"{target_date} {title}", msg)
break
except Exception as e:
logger.exception("report error:{}".format(e))
time.sleep(60 * 3)
error_count = error_count + 1
if error_count == 10:
email_action.send_message(
zvt_config["email_username"],
f"report {entity_type}{factor_cls.__name__} error",
f"report {entity_type}{factor_cls.__name__} error: {e}",
)