def get_index2(self):
df_index = DataAPI.MktIdxdGet(tradeDate=u"", indexID=u"", ticker=u"000300", beginDate=self.start,
endDate=self.end,
exchangeCD=u"XSHE,XSHG", field=['tradeDate', 'closeIndex'], pandas="1")
df_index.columns = ['trade_day', 'close']
df_index['trade_day'] = df_index['trade_day'].apply(lambda x: x[:4] + x[5:7] + x[8:])
return df_index
def update_uqer_index_market(ds, **kwargs):
ref_date, this_date = process_date(ds)
flag = check_holiday(this_date)
if not flag:
return
df = api.MktIdxdGet(tradeDate=ref_date)
df = df[df.exchangeCD.isin(['XSHE', 'XSHG', 'ZICN'])]
df = df[df.ticker <= '999999']
df.rename(columns={
'tradeDate': 'trade_date',
'ticker': 'indexCode',
'CHGPct': 'chgPct',
'secShortName': 'indexShortName'
},
inplace=True)
df = df[[
'trade_date', 'indexCode', 'preCloseIndex', 'openIndex',
'highestIndex', 'lowestIndex', 'closeIndex', 'turnoverVol',
'turnoverValue', 'chgPct'
]]
df['indexCode'] = df.indexCode.astype(int)
query = delete(IndexMarket).where(IndexMarket.trade_date == this_date)
engine.execute(query)
data_info_log(df, Market)
format_data(df, format='%Y-%m-%d')
df.to_sql(IndexMarket.__table__.name,
engine,
index=False,
if_exists='append')
def get_index_daily(self):
df_index_daily = DataAPI.MktIdxdGet(tradeDate=u"", indexID=u"", ticker=u"000300", beginDate='20060104',
endDate='20171109',
exchangeCD=u"XSHE,XSHG", field=['tradeDate', 'closeIndex'], pandas="1")
df_index_daily.columns = ['trade_day', 'close']
df_index_daily['trade_day'] = df_index_daily['trade_day'].apply(lambda x: x[:4] + x[5:7] + x[8:])
return df_index_daily
def get_market_index_daily(self, index_ticker, begin_date, end_date):
df = DataAPI.MktIdxdGet(ticker=index_ticker,
beginDate=begin_date,
endDate=end_date)
df['tradeDate'] = df['tradeDate'].apply(
lambda x: str(x).replace('-', ''))
return df.set_index('tradeDate')['closeIndex']
from uqer import DataAPI
client = uqer.Client(
token='811e6680b27759e045ed16e2ed9b408dc8a0cbffcf14e4bb755144dd45fa5ea0')
import sys
sys.path.append("..")
from tools import get_tradeDay
reload(sys)
start = '20080401'
end = '20170510'
df_index = DataAPI.MktIdxdGet(tradeDate=u"",
indexID=u"",
ticker=u"000300",
beginDate=start,
endDate=end,
exchangeCD=u"XSHE,XSHG",
field=['tradeDate', 'closeIndex'],
pandas="1")
df_index.columns = ['trade_day', 'close']
fre = 'month'
tradeday = get_tradeDay.wind(start, end, fre=fre)
factor_name = 'RAND1'
factor_path = 'Z:/axioma_data/alpha/%s' % factor_name
# factor_path = 'E:/QUANT/alpha_factor/risk_data/SIZE_uqer'
close_path = 'Z:/backtest_data/close_data/gogo_data'
df_close = pd.DataFrame([])
for i in tradeday:
