def test_save_dataview():
ds = RemoteDataService()
ds.init_from_config()
dv = DataView()
props = {
'start_date': 20170101,
'end_date': 20171001,
'universe': '000300.SH',
'fields': ('float_mv,pb,pe_ttm,sw2'),
'freq': 1
}
dv.init_from_config(props, ds)
dv.prepare_data()
factor_formula = 'GroupQuantile(-float_mv, sw2, 10)'
dv.add_formula('rank_mv', factor_formula, is_quarterly=False)
factor_formula = 'GroupQuantile(If(pb >= 0.2, pb, 100), sw2, 10)'
dv.add_formula('rank_pb', factor_formula, is_quarterly=False)
factor_formula = 'GroupQuantile(If(pe_ttm >= 3, pe_ttm, 9999.0), sw2, 10)'
dv.add_formula('rank_pe', factor_formula, is_quarterly=False)
dv.save_dataview(folder_path=dataview_dir_path)
def test_save_dataview():
ds = RemoteDataService()
ds.init_from_config()
dv = DataView()
props = {'start_date': 20150101, 'end_date': 20170930, 'universe': '000905.SH',
'fields': ('tot_cur_assets,tot_cur_liab,inventories,pre_pay,deferred_exp,'
'eps_basic,ebit,pe,pb,float_mv,sw1'),
'freq': 1}
dv.init_from_config(props, ds)
dv.prepare_data()
factor_formula = 'pe < 30'
dv.add_formula('pe_condition', factor_formula, is_quarterly=False)
factor_formula = 'pb < 3'
dv.add_formula('pb_condition', factor_formula, is_quarterly=False)
factor_formula = 'Return(eps_basic, 4) > 0'
dv.add_formula('eps_condition', factor_formula, is_quarterly=True)
factor_formula = 'Return(ebit, 4) > 0'
dv.add_formula('ebit_condition', factor_formula, is_quarterly=True)
factor_formula = 'tot_cur_assets/tot_cur_liab > 2'
dv.add_formula('current_condition', factor_formula, is_quarterly=True)
factor_formula = '(tot_cur_assets - inventories - pre_pay - deferred_exp)/tot_cur_liab > 1'
dv.add_formula('quick_condition', factor_formula, is_quarterly=True)
dv.add_formula('mv_rank', 'Rank(float_mv)', is_quarterly=False)
dv.save_dataview(folder_path=dataview_dir_path)
def save_dataview():
ds = RemoteDataService()
ds.init_from_config()
dv = DataView()
props = {
'start_date': 20140101,
'end_date': 20171001,
'universe': '000300.SH',
'fields': 'volume,turnover,float_mv,pb,total_mv',
'freq': 1
}
dv.init_from_config(props, ds)
dv.prepare_data()
# for convenience to check limit reachers
dv.add_formula('limit_reached',
'Abs((open - Delay(close, 1)) / Delay(close, 1)) > 0.095',
is_quarterly=False)
dv.add_formula('random', 'StdDev(volume, 20)', is_quarterly=False)
dv.add_formula('momentum', 'Return(close_adj, 20)', is_quarterly=False)
# dv.add_formula('size', '', is_quarterly=False)
dv.save_dataview(dataview_folder)
def test_remote_data_service_components():
ds = RemoteDataService()
res = ds.get_index_comp_df(index='000300.SH', start_date=20140101, end_date=20170505)
assert res.shape == (814, 430)
arr = ds.get_index_comp(index='000300.SH', start_date=20140101, end_date=20170505)
assert len(arr) == 430
def test_write():
ds = RemoteDataService()
ds.init_from_config()
dv = DataView()
secs = '600030.SH,000063.SZ,000001.SZ'
props = {
'start_date': 20160601,
'end_date': 20170601,
'symbol': secs,
'fields': 'open,close,high,low,volume,pb,net_assets,pcf_ncf',
'freq': 1
}
dv.init_from_config(props, data_api=ds)
dv.prepare_data()
assert dv.data_d.shape == (281, 48)
assert dv.dates.shape == (281, )
# TODO
"""
PerformanceWarning:
your performance may suffer as PyTables will pickle object types that it cannot
map directly to c-types [inferred_type->mixed,key->block1_values] [items->[('000001.SZ', 'int_income'), ('000001.SZ', 'less_handling_chrg_comm_exp'), ('000001.SZ', 'net_int_income'), ('000001.SZ', 'oper_exp'), ('000001.SZ', 'symbol'), ('000063.SZ', 'int_income'), ('000063.SZ', 'less_handling_chrg_comm_exp'), ('000063.SZ', 'net_int_income'), ('000063.SZ', 'oper_exp'), ('000063.SZ', 'symbol'), ('600030.SH', 'int_income'), ('600030.SH', 'less_handling_chrg_comm_exp'), ('600030.SH', 'net_int_income'), ('600030.SH', 'oper_exp'), ('600030.SH', 'symbol')]]
"""
dv.save_dataview(folder_path=daily_path)
def save_dataview():
ds = RemoteDataService()
ds.init_from_config()
dv = DataView()
props = {'start_date': 20150101, 'end_date': 20170930, 'universe': '000905.SH',
'fields': ('turnover,float_mv,close_adj,pe,pb'),
'freq': 1}
dv.init_from_config(props, ds)
dv.prepare_data()
factor_formula = 'Cutoff(Standardize(turnover / 10000 / float_mv), 2)'
dv.add_formula('TO', factor_formula, is_quarterly=False)
factor_formula = 'Cutoff(Standardize(1/pb), 2)'
dv.add_formula('BP', factor_formula, is_quarterly=False)
factor_formula = 'Cutoff(Standardize(Return(close_adj, 20)), 2)'
dv.add_formula('REVS20', factor_formula, is_quarterly=False)
factor_formula = 'Cutoff(Standardize(Log(float_mv)), 2)'
dv.add_formula('float_mv_factor', factor_formula, is_quarterly=False)
factor_formula = 'Delay(Return(close_adj, 1), -1)'
dv.add_formula('NextRet', factor_formula, is_quarterly=False)
dv.save_dataview(folder_path=dataview_dir_path)
def test_remote_data_service_inst_info():
ds = RemoteDataService()
res, msg = ds.query_inst_info('000001.SZ', fields='status,selllot,buylot,pricetick,multiplier,product')
assert res.loc[0, 'multiplier'] == 1
assert abs(res.loc[0, 'pricetick'] - 0.01) < 1e-2
assert res.loc[0, 'buylot'] == 100
def test_remote_data_service_industry():
from jaqs.data.align import align
import pandas as pd
ds = RemoteDataService()
arr = ds.get_index_comp(index='000300.SH', start_date=20130101, end_date=20170505)
df = ds.get_industry_raw(symbol=','.join(arr), type_='ZZ')
df = df.astype(dtype={'in_date': int})
# df_ann = df.loc[:, ['in_date', 'symbol']]
# df_ann = df_ann.set_index(['symbol', 'in_date'])
# df_ann = df_ann.unstack(level='symbol')
from jaqs.data.dataview import DataView
dic_sec = DataView._group_df_to_dict(df, by='symbol')
dic_sec = {sec: df.reset_index() for sec, df in dic_sec.viewitems()}
df_ann = pd.concat([df.loc[:, 'in_date'].rename(sec) for sec, df in dic_sec.viewitems()], axis=1)
df_value = pd.concat([df.loc[:, 'industry1_code'].rename(sec) for sec, df in dic_sec.viewitems()], axis=1)
dates_arr = ds.get_trade_date(20140101, 20170505)
res = align(df_value, df_ann, dates_arr)
# df_ann = df.pivot(index='in_date', columns='symbol', values='in_date')
# df_value = df.pivot(index=None, columns='symbol', values='industry1_code')
def align_single_df(df_one_sec):
df_value = df_one_sec.loc[:, ['industry1_code']]
df_ann = df_one_sec.loc[:, ['in_date']]
res = align(df_value, df_ann, dates_arr)
return res
# res_list = [align_single_df(df) for sec, df in dic_sec.viewitems()]
res_list = [align_single_df(df) for sec, df in dic_sec.items()[:10]]
res = pd.concat(res_list, axis=1)
def save_dataview():
ds = RemoteDataService()
ds.init_from_config()
dv = DataView()
props = {
'start_date':
20170101,
'end_date':
20171030,
'universe':
'000300.SH',
'fields': (
'open,high,low,close,vwap,volume,turnover,sw1,'
# + 'pb,net_assets,'
+ 'eps_basic,total_mv,tot_profit,int_income'),
'freq':
1
}
dv.init_from_config(props, ds)
dv.prepare_data()
factor_formula = 'close >= Delay(Ts_Max(close, 20), 1)' # 20 days new high
factor_name = 'new_high'
dv.add_formula(factor_name, factor_formula, is_quarterly=False)
dv.add_formula('total_profit_growth',
formula='Return(tot_profit, 4)',
is_quarterly=True)
dv.save_dataview(folder_path=dataview_dir_path)
def __init__(self, inst_type="", symbol="", data_api=None):
if data_api is None:
self.data_api = RemoteDataService()
else:
self.data_api = data_api
self.inst_map = {}
self.load_instruments(inst_type=inst_type, symbol=symbol)
def test_remote_data_service_fin_indicator():
ds = RemoteDataService()
symbol = '000008.SZ'
filter_argument = ds._dic2url({'symbol': symbol})
df_raw, msg = ds.query("lb.finIndicator", fields="",
filter=filter_argument, orderby="symbol")
def test_remote_data_service_daily_quited():
ds = RemoteDataService()
# test daily
res, msg = ds.daily('600832.SH', fields="",
start_date=20140828, end_date=20170831,
adjust_mode=None)
assert msg == '0,'
assert res.shape == (175, 13)
def analyze():
ta = ana.EventAnalyzer()
ds = RemoteDataService()
ds.init_from_config()
ta.initialize(data_server_=ds, file_folder=result_dir_path)
ta.do_analyze(result_dir=result_dir_path, selected_sec=[])
def test_remote_data_service_adj_factor():
ds = RemoteDataService()
arr = ds.get_index_comp(index='000300.SH', start_date=20130101, end_date=20170505)
symbol_arr = ','.join(arr)
res = ds.get_adj_factor_daily(symbol_arr, start_date=20130101, end_date=20170101, div=False)
assert abs(res.loc[20160408, '300024.SZ'] - 10.735) < 1e-3
assert abs(res.loc[20160412, '300024.SZ'] - 23.658) < 1e-3
assert res.isnull().sum().sum() == 0
def test_add_field():
dv = DataView()
dv.load_dataview(folder_path=daily_path)
nrows, ncols = dv.data_d.shape
n_securities = len(dv.data_d.columns.levels[0])
ds = RemoteDataService()
ds.init_from_config()
dv.add_field('total_share', ds)
assert dv.data_d.shape == (nrows, ncols + 1 * n_securities)
def test_remote_data_service_inst_info():
ds = RemoteDataService()
ds.init_from_config()
sec = '000001.SZ'
res = ds.query_inst_info(
sec, fields='status,selllot,buylot,pricetick,multiplier,product')
assert res.at[sec, 'multiplier'] == 1
assert abs(res.at[sec, 'pricetick'] - 0.01) < 1e-2
assert res.at[sec, 'buylot'] == 100
def test_align():
# -------------------------------------------------------------------------------------
# input and pre-process demo data
ds = RemoteDataService()
raw, msg = ds.query_lb_fin_stat('income', '600000.SH', 20151225, 20170501,
'oper_rev')
assert msg == '0,'
idx_list = ['report_date', 'symbol']
raw_idx = raw.set_index(idx_list)
raw_idx.sort_index(axis=0, level=idx_list, inplace=True)
df_ann = raw_idx.loc[pd.IndexSlice[:, :], 'ann_date']
df_ann = df_ann.unstack(level=1)
df_value = raw_idx.loc[pd.IndexSlice[:, :], 'oper_rev']
df_value = df_value.unstack(level=1)
date_arr = ds.get_trade_date(20160101, 20170501)
df_close = pd.DataFrame(index=date_arr, columns=df_value.columns, data=1e3)
# -------------------------------------------------------------------------------------
# demo usage of parser
parser = Parser()
parser.register_function(
'Myfunc',
lambda x: x * 0 + 1) # simultaneously test register function and align
expr_formula = 'revenue / Myfunc(close)'
expression = parser.parse(expr_formula)
for i in range(100):
df_res = parser.evaluate({
'revenue': df_value,
'close': df_close
}, df_ann, date_arr)
# -------------------------------------------------------------------------------------
sec = '600000.SH'
"""
# print to validate results
print "\n======Expression Formula:\n{:s}".format(expr_formula)
print "\n======Report date, ann_date and evaluation value:"
tmp = pd.concat([df_ann.loc[:, sec], df_value.loc[:, sec]], axis=1)
tmp.columns = ['df_ann', 'df_value']
print tmp
print "\n======Selection of result of expansion:"
print "20161028 {:.4f}".format(df_res.loc[20161028, sec])
print "20161031 {:.4f}".format(df_res.loc[20161031, sec])
print "20170427 {:.4f}".format(df_res.loc[20170427, sec])
"""
assert abs(df_res.loc[20161028, sec] - 82172000000) < 1
assert abs(df_res.loc[20161031, sec] - 120928000000) < 1
assert abs(df_res.loc[20170427, sec] - 42360000000) < 1
def test_remote_data_service_daily_ind_performance():
ds = RemoteDataService()
hs300 = ds.get_index_comp('000300.SH', 20140101, 20170101)
hs300_str = ','.join(hs300)
fields = "pb,pe,share_float_free,net_assets,limit_status"
res, msg = ds.query("lb.secDailyIndicator", fields=fields,
filter=("symbol=" + hs300_str
+ "&start_date=20160907&end_date=20170907"),
orderby="trade_date")
assert msg == '0,'
def test_bar():
from jaqs.data.dataservice import RemoteDataService
from jaqs.trade.common import QUOTE_TYPE
ds = RemoteDataService()
df_quotes, msg = ds.bar(symbol='rb1710.SHF,hc1710.SHF',
start_time=200000,
end_time=160000,
trade_date=20170704,
freq=QUOTE_TYPE.MIN)
for i in range(100):
quotes_list = Bar.create_from_df(df_quotes)
def connect(self, db_config):
self.ds_props = {
'remote.data.address': db_config['addr'],
'remote.data.username': db_config['user'],
'remote.data.password': db_config['password'],
"timeout": 600
}
try:
ds = RemoteDataService()
ds.init_from_config(self.ds_props)
self.conn = ds
except:
raise ValueError('数据库连接失败，请检查配置信息是否正确')
def test_q_add_field():
dv = DataView()
dv.load_dataview(folder_path=quarterly_path)
nrows, ncols = dv.data_q.shape
n_securities = len(dv.data_d.columns.levels[0])
ds = RemoteDataService()
ds.init_from_config()
dv.add_field('net_inc_other_ops', ds)
"""
dv.add_field('oper_rev', ds)
dv.add_field('turnover', ds)
"""
assert dv.data_q.shape == (nrows, ncols + 1 * n_securities)
def my_globals(request):
ds = RemoteDataService()
df, msg = ds.daily("000001.SH, 600030.SH, 000300.SH", start_date=20170801, end_date=20170820,
fields="open,high,low,close,vwap,preclose")
multi_index_names = ['trade_date', 'symbol']
df_multi = df.set_index(multi_index_names, drop=False)
df_multi.sort_index(axis=0, level=multi_index_names, inplace=True)
dfx = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['close']].unstack()
dfy = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['open']].unstack()
parser = Parser()
request.function.func_globals.update({'parser': parser, 'dfx': dfx, 'dfy': dfy})
def test_save_dataview():
ds = RemoteDataService()
ds.init_from_config()
dv = DataView()
props = {'start_date': 20170201, 'end_date': 20171001, 'universe': '000300.SH',
'fields': ('float_mv,sw2,sw1'),
'freq': 1}
dv.init_from_config(props, ds)
dv.prepare_data()
factor_formula = 'GroupQuantile(float_mv, sw1, 10)'
dv.add_formula('gq30', factor_formula, is_quarterly=False)
dv.save_dataview(folder_path=dataview_dir_path)
def test_remote_data_service_bar():
ds = RemoteDataService()
# test bar
res2, msg2 = ds.bar('rb1710.SHF,600662.SH', start_time=200000, end_time=160000, trade_date=20170831, fields="")
assert msg2 == '0,'
rb2 = res2.loc[res2.loc[:, 'symbol'] == 'rb1710.SHF', :]
stk2 = res2.loc[res2.loc[:, 'symbol'] == '600662.SH', :]
assert set(rb2.columns) == {u'close', u'code', u'date', u'freq', u'high', u'low', u'oi', u'open',
u'settle', u'symbol', u'time', u'trade_date', u'turnover', u'volume',
u'vwap'}
assert abs(rb2.loc[:, 'settle'].values[0] - 0.0) < 1e-3
assert rb2.shape == (345, 15)
assert stk2.shape == (240, 15)
assert rb2.loc[:, 'volume'].values[344] == 3366
def test_remote_data_service_daily():
ds = RemoteDataService()
# test daily
res, msg = ds.daily('rb1710.SHF,600662.SH', fields="",
start_date=20170828, end_date=20170831,
adjust_mode=None)
assert msg == '0,'
rb = res.loc[res.loc[:, 'symbol'] == 'rb1710.SHF', :]
stk = res.loc[res.loc[:, 'symbol'] == '600662.SH', :]
assert set(rb.columns) == {'close', 'code', 'high', 'low', 'oi', 'open', 'settle', 'symbol',
'trade_date', 'trade_status', 'turnover', 'volume', 'vwap'}
assert rb.shape == (4, 13)
assert rb.loc[:, 'volume'].values[0] == 189616
assert stk.loc[:, 'volume'].values[0] == 7174813
def save_dataview(sub_folder='test_dataview'):
ds = RemoteDataService()
dv = DataView()
props = {
'start_date':
20141114,
'end_date':
20160327,
'universe':
'000300.SH',
'fields': (
'open,high,low,close,vwap,volume,turnover,'
# + 'pb,net_assets,'
+ 's_fa_eps_basic,oper_exp,tot_profit,int_income'),
'freq':
1
}
dv.init_from_config(props, ds)
dv.prepare_data()
factor_formula = 'close > Ts_Max(close, 20)' # 20 days new high
factor_name = 'new_high'
dv.add_formula(factor_name, factor_formula, is_quarterly=False)
dv.save_dataview(
folder_path=fileio.join_relative_path('../output/prepared'),
sub_folder=sub_folder)
def test_double_ma():
prop_file_path = fileio.join_relative_path("etc/backtest.json")
print prop_file_path
prop_file = open(prop_file_path, 'r')
props = json.load(prop_file)
enum_props = {'bar_type': common.QUOTE_TYPE}
for k, v in enum_props.iteritems():
props[k] = v.to_enum(props[k])
# strategy = CtaStrategy()
strategy = DoubleMaStrategy()
gateway = BarSimulatorGateway()
data_service = RemoteDataService()
context = model.Context()
context.register_data_api(data_service)
context.register_gateway(gateway)
context.register_trade_api(gateway)
backtest = EventBacktestInstance()
backtest.init_from_config(props, strategy, context=context)
# trade.run()
backtest.run()
report = backtest.generate_report(output_format="")
def save_dataview():
ds = RemoteDataService()
ds.init_from_config(data_config)
dv = DataView()
start_date = get_index_basic_information()[2]
end_date = get_index_basic_information()[3]
props = {
'universe': index,
'start_date': start_date,
'end_date': end_date,
'fields': fields,
'freq': 1
}
dv.init_from_config(props, data_api=ds)
dv.prepare_data()
dv.save_dataview(folder_path=dataview_dir_path)
def test_remote_data_service_industry_df():
from jaqs.data.dataservice import Calendar
cal = Calendar()
ds = RemoteDataService()
ds.init_from_config()
arr = ds.get_index_comp(index='000300.SH',
start_date=20130101,
end_date=20170505)
symbol_arr = ','.join(arr)
sec = '000008.SZ'
type_ = 'ZZ'
df_raw = ds.get_industry_raw(symbol=sec, type_=type_)
df = ds.get_industry_daily(symbol=symbol_arr,
start_date=df_raw['in_date'].min(),
end_date=20170505,
type_=type_,
level=1)
for idx, row in df_raw.iterrows():
in_date = row['in_date']
value = row['industry1_code']
if in_date in df.index:
assert df.loc[in_date, sec] == value
else:
idx = cal.get_next_trade_date(in_date)
assert df.loc[idx, sec] == value
def test_add_formula_directly():
ds = RemoteDataService()
ds.init_from_config()
dv = DataView()
secs = '600030.SH,000063.SZ,000001.SZ'
props = {
'start_date': 20160601,
'end_date': 20170601,
'symbol': secs,
'fields': 'open,close',
'freq': 1
}
dv.init_from_config(props, data_api=ds)
dv.prepare_data()
dv.add_formula("myfactor", 'close / open', is_quarterly=False)
assert dv.data_d.shape == (281, 39)