def main():
signalData = SourceDataDao.getSignalData()
dailyQuote = SourceDataDao.getDailyQuote()
#columns filter
#df3 = sourceData.loc[(df['Mom'] <= 4) & (df['Mom'] <= 4), ['Mom']]
#index filter
#startDate=DateUtils.str2Datetime('20010105');
#endDate=DateUtils.str2Datetime('20010111');
#df4 = df3.ix[startDate:endDate]
#select top 5 group by TradingDay order by Mom desc
groupedSignalData = signalData.groupby(level='TradingDay').apply(
SelectUtil.top, 5, 'Mom', False)
#param
#period = 5
startDate = '1/8/2001'
#endDate = '1/1/2017'
endDate = '18/1/2001'
#time series
dateList = DateUtil.get_date_list2(startDate, endDate)
stockHoldDF = {}
stockTradeDF = {}
lastSignalData = pd.DataFrame()
usableVol = 100
netValue = 1
stockStatDaily = pd.DataFrame(index=pd.date_range(startDate, endDate),
columns=['netValue', 'changePCT'])
for date in dateList.index:
#print(date)
dateStr = DateUtil.datetime2_str(date)
#print(dateStr)
#isinstance(date, datetime)
#DateUtil.str2Datetime('20010108')
# select by single date
try:
#print(1)
currSignalData = groupedSignalData.ix[date]
print("currSignalData:" + str(len(currSignalData)))
print(currSignalData)
except:
#假期,双休日,原数据问题
print(DateUtil.datetime2_str(date) + ': no data')
continue
def main():
signalData = SourceDataDao.getSignalData()
dailyQuote = SourceDataDao.getDailyQuote()
#columns filter
#df3 = sourceData.loc[(df['Mom'] <= 4) & (df['Mom'] <= 4), ['Mom']]
#index filter
#startDate=DateUtils.str2Datetime('20010105');
#endDate=DateUtils.str2Datetime('20010111');
#df4 = df3.ix[startDate:endDate]
#select top 5 group by TradingDay order by Mom desc
groupedSignalData = signalData.groupby(level='TradingDay').apply(SelectUtil.top,5,'Mom',False)
#param
period = 5
startDate = '1/8/2001'
#endDate = '1/1/2017'
endDate = '1/18/2001'
#time series
dateList = DateUtil.get_date_list2(startDate, endDate)
currHoldSet = {}
stockHoldDF = {}
stockTradeDF = {}
#lastSignalData = pd.DataFrame()
usableVol = 100;
netValue = 1;
stockStatDaily = pd.DataFrame(index=pd.date_range(startDate, endDate), columns=['netValue','changePCT','buyCnt','sellCnt','holdCnt'])
for date in dateList.index:
#print(date)
dateStr = DateUtil.datetime2_str(date)
#print(dateStr)
#isinstance(date, datetime)
#DateUtil.str2Datetime('20010108')
# select by single date
try:
#print(1)
currSignalData = groupedSignalData.ix[date]
print("currSignalData:"+str(len(currSignalData)))
#print(2)
buyList = getBuyList(currSignalData,lastSignalData)
#print(3)
sellList = getSellList(currSignalData,lastSignalData)
#print(4)
holdList = getHoldList(currSignalData,lastSignalData)
#print(currSignalData)
#print("len:"+str(len(currSignalData)))
except:
#假期,双休日,原数据问题
print(DateUtil.datetime2_str(date) + ': no data')
continue
buyCnt = len(buyList)
sellCnt = len(sellList)
holdCnt = len(holdList)
dailyChangePCT = 0
changePCTBuy = handleBuyList(date,buyList,dailyQuote,usableVol,stockHoldDF,stockTradeDF)
releasedVol = getReleasedVol(sellList, stockHoldDF)
usableVol = usableVol + releasedVol
changePCTSell = handleSellList(date,sellList,dailyQuote,usableVol,stockHoldDF,stockTradeDF)
#changePCTHold = handleHoldList(date, sellList, dailyQuote, usableVol, stockHoldDF, stockTradeDF)
changePCTHold = 0
print("dateStr:" + dateStr +
" changePCTBuy:" + str(changePCTBuy) +
" changePCTSell:" + str(changePCTSell) +
" changePCTHold:" + str(changePCTHold))
dailyChangePCT = changePCTBuy+changePCTSell+changePCTHold
#print("dailyChangePCT:"+str(dailyChangePCT))
netValue = netValue * (1 + dailyChangePCT / 100)
#print("netValue:" + str(netValue))
stockStatDaily.ix[dateStr] = netValue,dailyChangePCT,buyCnt,sellCnt,holdCnt
#innerCodeList = currSignalData["InnerCode"]
#print(innerCodeList)
#lastSignalData = currSignalData
print(stockStatDaily)
