def Mom(priceColName, momPrefix, momDaysList, endDate=None):
if endDate is None:
dtNow = dt.datetime.now() - dt.timedelta(days=1)
endDate = dt.datetime(dtNow.year, dtNow.month, dtNow.day)
else:
endDate = dt.datetime(endDate.year, endDate.month, endDate.day)
if endDate.date() >= dt.datetime.now().date():
endDate = dt.datetime(dt.datetime.now().year, dt.datetime.now().month, dt.datetime.now().day) - \
dt.timedelta(days=1)
mongoConn = Public.GetPara('mongoConn')
mc = pm.MongoClient(mongoConn)
db = mc['factor']
for days in momDaysList:
facName = momPrefix + '_' + str(days)
lastUpdateDate = Public.GetLastUpdateDate(facName, mc)
tradingDateSet = Public.GetCalendar(lastUpdateDate, endDate)
currentDate = lastUpdateDate - dt.timedelta(days=days)
savedDate = lastUpdateDate
priceDict = {}
while currentDate + dt.timedelta(days=1) <= endDate:
currentDate += dt.timedelta(days=1)
# if currentDate not in tradingDateSet:
# continue
# get data
record = db[priceColName].find_one({'_id': currentDate})
if record is None:
continue
for symbol, priceList in priceDict.items():
priceList.append(np.nan)
for symbol, price in record.items():
if symbol[0] == '_':
continue
if symbol not in priceDict.keys():
priceDict[symbol] = [np.nan]
priceDict[symbol][-1] = price
if currentDate <= lastUpdateDate:
continue
# evaluate momentum and save to db
mongoDoc = {
'_id': currentDate,
'_updateTime': dt.datetime.now(),
'_isTrade': (currentDate in tradingDateSet)
}
for symbol, priceList in priceDict.items():
arr = np.array(priceList[max(0, len(priceList) - days):])
if np.sum(
np.isfinite(arr)) < days / 3: # data is not sufficient
continue
mom = arr[-1] / np.nanmean(arr[0:len(arr) - 1])
mongoDoc[symbol] = mom
db[facName].save(mongoDoc)
savedDate = currentDate
print(facName + ' ' + str(currentDate))
db.cfgUpdate.save({'_id': facName, 'lastUpdateDate': savedDate})
def Day(facNameList, colList, sql, endDate=None):
if endDate is None:
dtNow = dt.datetime.now() - dt.timedelta(days=1)
endDate = dt.datetime(dtNow.year, dtNow.month, dtNow.day)
else:
endDate = dt.datetime(endDate.year, endDate.month, endDate.day)
if endDate.date() >= dt.datetime.now().date():
endDate = dt.datetime(dt.datetime.now().year, dt.datetime.now().month, dt.datetime.now().day) - \
dt.timedelta(days=1)
connStr = Public.GetPara('connStr')
conn = co.connect(connStr)
cursor = conn.cursor()
mongoConn = Public.GetPara('mongoConn')
mc = pm.MongoClient(mongoConn)
db = mc['factor']
# for each factor
for f in range(len(facNameList)):
facName = facNameList[f]
col = colList[f]
lastUpdateDate = Public.GetLastUpdateDate(facName, mc)
tradingDateSet = Public.GetCalendar(lastUpdateDate, endDate)
mongoDoc = db[facName].find_one({'_id': lastUpdateDate})
mongoDoc = {} if mongoDoc is None else mongoDoc
# save data day by day.
currentDate = lastUpdateDate + dt.timedelta(days=1)
while currentDate <= endDate:
cursor.execute(
sql.replace('{TRADE_DATE}', currentDate.strftime('%Y-%m-%d')))
dataList = cursor.fetchall()
isTrade = (currentDate in tradingDateSet)
mongoDoc = {
} # if this statement is executed, invalid data will not be filled by previous value
mongoDoc['_id'] = currentDate
mongoDoc['_isTrade'] = isTrade
mongoDoc['_updateTime'] = dt.datetime.now()
for record in dataList:
symbol = record[1]
data = record[col]
if data is not None: # and np.isfinite(data):
mongoDoc[symbol] = data
db[facName].save(mongoDoc)
print(facName + ' ' + str(currentDate))
currentDate += dt.timedelta(days=1)
db.cfgUpdate.save({'_id': facName, 'lastUpdateDate': endDate})
ddd = 0
def FinDer(configDictList, endDate):
if endDate is None:
dtNow = dt.datetime.now() - dt.timedelta(days=1)
endDate = dt.datetime(dtNow.year, dtNow.month, dtNow.day)
else:
endDate = dt.datetime(endDate.year, endDate.month, endDate.day)
if endDate.date() >= dt.datetime.now().date():
endDate = dt.datetime(dt.datetime.now().year, dt.datetime.now().month, dt.datetime.now().day) - \
dt.timedelta(days=1)
mongoConn = Public.GetPara('mongoConn')
mc = pm.MongoClient(mongoConn)
db = mc['factor']
# for each factor
for configDict in configDictList:
facName = configDict['facName']
depFacNameList = configDict['depFacNameList']
EvalFun = configDict['EvalFun']
lastUpdateDate = Public.GetLastUpdateDate(facName, mc)
tradingDateSet = Public.GetCalendar(lastUpdateDate, endDate)
currentDate = lastUpdateDate + dt.timedelta(days=1)
savedDate = lastUpdateDate
while currentDate <= endDate:
deficientData = False
# get all dependent factor
symbolSet = set()
depFacListDict = {}
for d in range(len(depFacNameList)):
depFacName = depFacNameList[d]
record = db[depFacName].find_one({'_id': currentDate})
if record is None:
deficientData = True
break
for symbol, value in record.items():
if symbol[0] == '_':
continue
if symbol not in depFacListDict.keys():
depFacListDict[symbol] = np.nan * np.zeros(
[len(depFacNameList)])
depFacListDict[symbol][
d] = value if value is not None else np.nan
symbolSet = symbolSet | record.keys()
if deficientData:
break
# evaluate factor value and save to db
mongoDoc = {
'_id': currentDate,
'_isTrade': (currentDate in tradingDateSet),
'_updateTime': dt.datetime.now()
}
for symbol in symbolSet:
if symbol[0] == '_': # system field
continue
facValue = EvalFun(depFacListDict[symbol])
mongoDoc[symbol] = facValue
db[facName].save(mongoDoc)
savedDate = currentDate
print(facName + ' ' + str(currentDate))
currentDate += dt.timedelta(days=1)
db.cfgUpdate.save({'_id': facName, 'lastUpdateDate': savedDate})
def Beta(betaPrefix,
betaDaysList,
indexSymbolDict,
indexSql,
stockSql,
endDate=None):
if endDate is None:
dtNow = dt.datetime.now() - dt.timedelta(days=1)
endDate = dt.datetime(dtNow.year, dtNow.month, dtNow.day)
else:
endDate = dt.datetime(endDate.year, endDate.month, endDate.day)
if endDate.date() >= dt.datetime.now().date():
endDate = dt.datetime(dt.datetime.now().year, dt.datetime.now().month, dt.datetime.now().day) - \
dt.timedelta(days=1)
connStr = Public.GetPara('connStr')
conn = co.connect(connStr)
cursor = conn.cursor()
mongoConn = Public.GetPara('mongoConn')
mc = pm.MongoClient(mongoConn)
db = mc['factor']
for days in betaDaysList:
for indexCode, indexSymbol in indexSymbolDict.items():
facName = betaPrefix + '_' + indexSymbol + '_' + str(days)
lastUpdateDate = Public.GetLastUpdateDate(facName, mc)
tradingDateSet = Public.GetCalendar(lastUpdateDate, endDate)
currentDate = lastUpdateDate - dt.timedelta(days=days)
savedDate = lastUpdateDate
indexRtnDict = {}
stockRtnDict = {}
while currentDate + dt.timedelta(days=1) <= endDate:
currentDate += dt.timedelta(days=1)
# if currentDate not in tradingDateSet:
# continue
# get data
for stockSymbol, stockRtnList in stockRtnDict.items():
stockRtnList.append(np.nan)
for indexSymbol, indexRtnList in indexRtnDict.items():
indexRtnList.append(np.nan)
cursor.execute(
stockSql.replace('{TRADE_DATE}',
currentDate.strftime('%Y-%m-%d')))
stockRtnRecordSet = cursor.fetchall()
for stockRtnRecord in stockRtnRecordSet:
symbol = stockRtnRecord[1]
rtn = stockRtnRecord[4]
if symbol not in stockRtnDict.keys():
stockRtnDict[symbol] = [np.nan]
stockRtnDict[symbol][
-1] = rtn if rtn is not None else np.nan
cursor.execute(
indexSql.replace('{TRADE_DATE}',
currentDate.strftime('%Y-%m-%d')).replace(
'{INDEX_CODE}', str(indexCode)))
indexRtnRecordSet = cursor.fetchall()
for indexRtnRecord in indexRtnRecordSet:
symbol = indexRtnRecord[1]
if symbol != indexSymbol:
raise Exception(
'index code is not fit to index symbol!')
rtn = indexRtnRecord[4]
if symbol not in indexRtnDict.keys():
indexRtnDict[symbol] = [np.nan]
indexRtnDict[symbol][
-1] = rtn if rtn is not None else np.nan
if currentDate <= lastUpdateDate:
continue
# evaluate beta and save to db
if indexSymbol not in indexRtnDict.keys() or len(
indexRtnDict[indexSymbol]) < days / 2:
continue
mongoDoc = {
'_id': currentDate,
'_updateTime': dt.datetime.now(),
'_isTrade': (currentDate in tradingDateSet)
}
indexArr = np.array(indexRtnDict[indexSymbol]
[max(0,
len(indexRtnDict[indexSymbol]) -
days):],
dtype=float)
for stockSymbol, stockRtnList in stockRtnDict.items():
stockArr = np.array(
stockRtnList[max(0,
len(stockRtnList) - days):],
dtype=float)
if len(stockArr) != len(indexArr):
continue
vld = np.isfinite(stockArr) * np.isfinite((indexArr))
if np.sum(vld) < days / 3: # data is not sufficient
continue
const = np.ones(len(stockArr))
X = np.vstack([indexArr[vld], const[vld]]).T
y = stockArr[vld]
c, res, rank, s = np.linalg.lstsq(X, y)
beta = c[0]
mongoDoc[stockSymbol] = beta
db[facName].save(mongoDoc)
savedDate = currentDate
print(facName + ' ' + str(currentDate))
db.cfgUpdate.save({'_id': facName, 'lastUpdateDate': savedDate})
def Beta(tovPrefix, tovDaysList, stockSql, endDate=None):
if endDate is None:
dtNow = dt.datetime.now() - dt.timedelta(days=1)
endDate = dt.datetime(dtNow.year, dtNow.month, dtNow.day)
else:
endDate = dt.datetime(endDate.year, endDate.month, endDate.day)
if endDate.date() >= dt.datetime.now().date():
endDate = dt.datetime(dt.datetime.now().year, dt.datetime.now().month, dt.datetime.now().day) - \
dt.timedelta(days=1)
connStr = Public.GetPara('connStr')
conn = co.connect(connStr)
cursor = conn.cursor()
mongoConn = Public.GetPara('mongoConn')
mc = pm.MongoClient(mongoConn)
db = mc['factor']
for days in tovDaysList:
facName = tovPrefix + '_' + str(days)
lastUpdateDate = Public.GetLastUpdateDate(facName, mc)
tradingDateSet = Public.GetCalendar(lastUpdateDate, endDate)
currentDate = lastUpdateDate - dt.timedelta(days=days)
savedDate = lastUpdateDate
stockRtnDict = {}
while currentDate + dt.timedelta(days=1) <= endDate:
currentDate += dt.timedelta(days=1)
# if currentDate not in tradingDateSet:
# continue
# get data
for stockSymbol, stockRtnList in stockRtnDict.items():
stockRtnList.append(np.nan)
cursor.execute(
stockSql.replace('{TRADE_DATE}',
currentDate.strftime('%Y-%m-%d')))
stockRtnRecordSet = cursor.fetchall()
for stockRtnRecord in stockRtnRecordSet:
symbol = stockRtnRecord[1]
tov = stockRtnRecord[4]
if symbol not in stockRtnDict.keys():
stockRtnDict[symbol] = [np.nan]
stockRtnDict[symbol][-1] = tov if tov is not None else np.nan
if currentDate <= lastUpdateDate:
continue
# evaluate beta and save to db
mongoDoc = {
'_id': currentDate,
'_updateTime': dt.datetime.now(),
'_isTrade': (currentDate in tradingDateSet)
}
for stockSymbol, stockRtnList in stockRtnDict.items():
stockArr = np.array(stockRtnList[max(0,
len(stockRtnList) -
days):],
dtype=float)
tov = np.nanmean(stockArr)
mongoDoc[stockSymbol] = tov
db[facName].save(mongoDoc)
savedDate = currentDate
print(facName + ' ' + str(currentDate))
db.cfgUpdate.save({'_id': facName, 'lastUpdateDate': savedDate})