def collect_nav(mailling=False):
from const import CS_INDUSTRY_DICT, MARKET_INDEX_DICT
from utils.excel_io import write_xlsx
from utils.tool_funcs import ensure_dir_exists
df = pd.DataFrame()
sm = StrategyManager('D:/data/factor_investment_strategies',
'D:/data/factor_investment_stocklists')
for i, f in sm._strategy_dict['name'].iteritems():
if os.path.isfile(
os.path.join(sm._strategy_path,
f + '/backtest/returns_sheet.csv')):
date = sm.latest_nav_date(strategy_name=f)
ff = open(
os.path.join(sm._strategy_path,
f + '/backtest/returns_sheet.csv'))
returns = pd.read_csv(ff)
returns['最新日期'] = date
returns.insert(0, '策略名称', f)
df = df.append(returns)
df = df.set_index('最新日期')
maxdate = df.index.max().strftime("%Y%m%d")
indexreturns = (
h5.load_factor('daily_returns_%', '/indexprices/', dates=[maxdate]) /
100).reset_index()
indexreturns.insert(0, 'name', indexreturns['IDs'].map(MARKET_INDEX_DICT))
indexreturns = indexreturns.set_index(['date', 'IDs'])
industry_returns = (h5.load_factor(
'changeper', '/indexprices/cs_level_1/', dates=[maxdate]) /
100).reset_index()
industry_returns.insert(0, 'name',
industry_returns['IDs'].map(CS_INDUSTRY_DICT))
industry_returns = industry_returns.set_index(['date', 'IDs'])
ensure_dir_exists("D:/data/strategy_performance/%s" % maxdate)
write_xlsx(
"D:/data/strategy_performance/%s/returns_analysis_%s.xlsx" %
(maxdate, maxdate), **{
'returns': df,
'market index': indexreturns,
'citic industry index': industry_returns
})
if mailling:
from filemanager import zip_dir
from QuantLib import mymail
mymail.connect()
mymail.login()
zip_dir("D:/data/strategy_performance/%s" % maxdate,
'D:/data/strategy_performance/%s.zip' % maxdate)
content = 'hello everyone, this is strategy report on %s' % maxdate
attachment = 'D:/data/strategy_performance/%s.zip' % maxdate
try:
mymail.send_mail("strategy daily report on %s" % maxdate, content,
{attachment})
except:
mymail.connect()
mymail.send_mail("strategy daily report on %s" % maxdate, content,
{attachment})
mymail.quit()
return df
def backup(self):
from filemanager import zip_dir
mtime = datetime.today().strftime("%Y%m%d")
cwd = os.getcwd()
os.chdir(os.path.abspath(self._strategy_path + '/../strategy_backup'))
zip_dir(
self._strategy_path, "copy_of_%s_%s.zip" %
(os.path.split(self._strategy_path)[1], mtime))
os.chdir(cwd)
def backup(self):
from filemanager import zip_dir
mtime = datetime.fromtimestamp(os.path.getmtime(
self._strategy_path)).strftime("%Y%m%d")
cwd = os.getcwd()
os.chdir(self._strategy_path)
zip_dir(
self._strategy_path, "copy_of_%s_%s.zip" %
(os.path.split(self._strategy_path)[1], mtime))
os.chdir(cwd)
def snapshot(self, dates, zipname=None, mail=False):
"""获取数据库快照并保存"""
self._update_info()
dates = list(dates)
date_now = max(dates).strftime("%Y%m%d")
if os.path.isdir(os.path.join(self.snapshots_path, date_now)):
shutil.rmtree(os.path.join(self.snapshots_path, date_now), True)
os.mkdir(os.path.join(self.snapshots_path, date_now))
target_path = os.path.join(self.snapshots_path, date_now)
for d in self.data_dict['path'].unique():
os.makedirs(target_path + d)
for idx, row in self.data_dict.iterrows():
file_path = self.abs_factor_path(row['path'], row['name'])
data = pd.read_hdf(file_path, row['name']).to_frame().reset_index()
snapshot = data[data['date'].isin(dates)]
if snapshot.empty:
snapshot = data[data['date'] == data['date'].max()]
snapshot.to_csv(target_path + row['path'] + row['name'] + '.csv',
index=False)
if zipname is not None:
zip_dir(
target_path,
os.path.join(self.snapshots_path,
'%s_%s.zip' % (date_now, zipname)))
if mail:
from QuantLib import mymail
mymail.connect()
mymail.login()
content = "hello everyone, this is factor data on %s" % date_now
attachment = os.path.join(self.snapshots_path,
'%s_%s.zip' % (date_now, zipname))
try:
mymail.send_mail("base factor data on %s" % date_now, content,
{attachment})
except:
mymail.connect()
mymail.send_mail("base factor data on %s" % date_now, content,
{attachment})
mymail.quit()