def save_dataview():
data_config = {
"remote.data.address":
"tcp://data.tushare.org:8910",
"remote.data.username":
"******",
"remote.data.password":
"******" #QuantOs API令牌
}
ds = RemoteDataService()
ds.init_from_config(data_config)
dv = DataView()
props = {
'start_date': 20140101,
'end_date': 20180101,
'universe': '000300.SH', #'universe': '000300.SH'表示标的股票池取的是沪深300
'fields':
"pb,pe,ps,float_mv,sw1,roe", #'fields'表示取的数据,pb,pe,ps分别表示市净率,市盈率,市销率;float_mv代表流通市值,sw1表示申万1级行业分类的数据
'freq': 1
}
dv.init_from_config(props, ds)
dv.prepare_data()
dv.save_dataview(dataview_folder) # 保存数据文件到指定路径，方便下次直接加载
def save_dataview():
data_config = {
"remote.data.address":
"tcp://data.quantOS.org:8910",
"remote.data.username":
"******",
"remote.data.password":
"******"
}
ds = RemoteDataService()
ds.init_from_config(data_config)
dv = DataView()
props = {
'start_date': 20140101,
'end_date': 20180101,
'universe': '000300.SH',
'fields': "volume,pb,pe,ps,roe,float_mv,sw1",
'freq': 1,
'timeout': 180
}
dv.init_from_config(props, ds)
dv.prepare_data()
dv.save_dataview(dataview_folder) # 保存数据文件到指定路径，方便下次直接加载
def test_write():
ds = RemoteDataService()
ds.init_from_config(data_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 test_dataview_universe():
ds = RemoteDataService()
ds.init_from_config(data_config)
dv = DataView()
props = {
'start_date':
20170227,
'end_date':
20170327,
'universe':
'000016.SH',
# 'symbol': 'rb1710.SHF,rb1801.SHF',
'fields':
('open,high,low,close,vwap,volume,turnover,' + 'sw1,zz2,' +
'roe,net_assets,' + 'total_oper_rev,oper_exp,tot_profit,int_income'),
'freq':
1
}
dv.init_from_config(props, ds)
dv.prepare_data()
data_bench = dv.data_benchmark.copy()
dv.data_benchmark = data_bench
try:
dv.data_benchmark = data_bench.iloc[3:]
except ValueError:
pass
dv.remove_field('roe,net_assets')
dv.remove_field('close')
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(data_config)
dv.add_field('total_share', ds)
assert dv.data_d.shape == (nrows, ncols + 1 * n_securities)
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(data_config)
dv.add_field("debttoassets", ds)
assert dv.data_q.shape == (nrows, ncols + 1 * n_securities)
def get_dv(start=20170101, end=20180101):
import jaqs_fxdayu
jaqs_fxdayu.patch_all()
from jaqs.data import DataView
from jaqs_fxdayu.data.dataservice import LocalDataService
import warnings
warnings.filterwarnings("ignore")
#--------------------------------------------------------
#define
factor_list = [
'volume', 'tot_profit', 'plus_non_oper_rev', 'less_non_oper_exp',
'net_cash_flows_oper_act', 'total_oper_rev', 'tot_oper_cost',
'fin_exp', 'less_selling_dist_exp', 'less_gerl_admin_exp', 'oper_rev',
'less_oper_cost', 'turnover'
]
check_factor = ','.join(factor_list)
dataview_folder = 'G:\GSICE\DATA\data'
ds = LocalDataService(fp=dataview_folder)
ZZ800_id = ds.query_index_member("000906.SH", start, end)
stock_symbol = list(set(ZZ800_id))
dv_props = {
'start_date': start,
'end_date': end,
'symbol': ','.join(stock_symbol),
'fields': check_factor,
'freq': 1,
"prepare_fields": True
}
dv = DataView()
dv.init_from_config(dv_props, data_api=ds)
dv.prepare_data()
data_config = {
"remote.data.address":
"tcp://data.tushare.org:8910",
"remote.data.username":
"******",
"remote.data.password":
"******"
}
from jaqs_fxdayu.data import RemoteDataService
Ds = RemoteDataService()
Ds.init_from_config(data_config)
dv.add_field('pe', Ds)
return dv
def test_add_formula_directly():
ds = RemoteDataService()
ds.init_from_config(data_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, 36)
def test_q():
ds = RemoteDataService()
ds.init_from_config(data_config)
dv = DataView()
secs = '600030.SH,000063.SZ,000001.SZ'
props = {
'start_date':
20160609,
'end_date':
20170601,
'symbol':
secs,
'fields':
('open,close,' + 'pb,net_assets,' + 'total_oper_rev,oper_exp,' +
'cash_paid_invest,' + 'capital_stk,' + 'roe'),
'freq':
1
}
dv.init_from_config(props, data_api=ds)
dv.prepare_data()
dv.save_dataview(folder_path=quarterly_path)
import os
import numpy as np
import warnings
from jaqs_fxdayu.util import dp
warnings.filterwarnings("ignore")
data_config = {
"remote.data.address":
"tcp://data.tushare.org:8910",
"remote.data.username":
"******",
"remote.data.password":
"******"
}
ds = RemoteDataService()
ds.init_from_config(data_config)
DV = DataView()
start = 20100101
end = 20161231
stock_symbol = list(
set(dp.index_cons(ds, "000906.SH", start, end).symbol.values))
zz800_props = {
'start_date': start,
'end_date': end,
'symbol': ','.join(stock_symbol),
'fields': 'pb,pe,ps,float_mv,sw1,volume',
'freq': 1,
"prepare_fields": True
}
import pandas as pd
factor=pd.read_excel('因子搜索.xlsx')
FactorList=list(factor.index[:10])
from jaqs_fxdayu.util import dp
from jaqs.data.dataapi import DataApi
from jaqs_fxdayu.data import RemoteDataService
data_config = {
"remote.data.address": "tcp://data.tushare.org:8910",
"remote.data.username": "******",
"remote.data.password": "******"
}
ds = api = RemoteDataService()
ds.init_from_config(data_config)
start = 20160101
end = 20180327
stock_symbol = list(set(dp.index_cons(ds, "000906.SH", start, end).symbol.values))
factor_list = ['volume', 'pb', 'roe','pe','share_trans_ratio','sw1']
check_factor = ','.join(factor_list)
import jaqs_fxdayu
jaqs_fxdayu.patch_all()
from jaqs_fxdayu.data import DataView
from jaqs.data import RemoteDataService
from jaqs_fxdayu.data.dataservice import LocalDataService
import os
import numpy as np
import pandas as pd