def query_index_weights_daily(self, index, start_date, end_date):
"""
Return all securities that have been in index during start_date and end_date.
Parameters
----------
index : str
start_date : int
end_date : int
Returns
-------
res : pd.DataFrame
Index is trade_date, columns are symbols.
"""
start_dt = jutil.convert_int_to_datetime(start_date)
start_dt_extended = start_dt - pd.Timedelta(days=45)
start_date_extended = jutil.convert_datetime_to_int(start_dt_extended)
trade_dates = self.query_trade_dates(start_date_extended, end_date)
df_weight_raw = self.query_index_weights_range(index, start_date=start_date_extended, end_date=end_date)
res = df_weight_raw.reindex(index=trade_dates)
res = res.fillna(method='ffill')
res = res.loc[res.index >= start_date]
res = res.loc[res.index <= end_date]
mask_col = res.sum(axis=0) > 0
return res
res = res.loc[:, mask_col]
def query_index_weights_daily(self, index, start_date, end_date):
"""
Return all securities that have been in index during start_date and end_date.
Parameters
----------
index : str
start_date : int
end_date : int
Returns
-------
res : pd.DataFrame
Index is trade_date, columns are symbols.
"""
start_dt = jutil.convert_int_to_datetime(start_date)
start_dt_extended = start_dt - pd.Timedelta(days=45)
start_date_extended = jutil.convert_datetime_to_int(start_dt_extended)
trade_dates = self.query_trade_dates(start_date_extended, end_date)
df_weight_raw = self.query_index_weights_range(index, start_date=start_date_extended, end_date=end_date)
res = df_weight_raw.reindex(index=trade_dates)
res = res.fillna(method='ffill')
res = res.loc[res.index >= start_date]
res = res.loc[res.index <= end_date]
mask_col = res.sum(axis=0) > 0
res = res.loc[:, mask_col]
return res
def test_dtutil():
import datetime
date = 20170105
dt = jutil.convert_int_to_datetime(date)
assert jutil.shift(date, 2) == 20170119
assert jutil.convert_datetime_to_int(jutil.shift(dt, 2)) == 20170119
t = 145539
dt = jutil.combine_date_time(date, t)
assert jutil.split_date_time(dt) == (date, t)
assert jutil.get_next_period_day(date, 'day', 1, 1) == 20170109
assert jutil.get_next_period_day(date, 'week', 2, 0) == 20170116
assert jutil.get_next_period_day(date, 'month', 1, 0) == 20170201
date = 20170808
assert jutil.get_next_period_day(20170831, 'day',
extra_offset=1) == 20170904
assert jutil.get_next_period_day(20170831, 'day', n=2,
extra_offset=0) == 20170904
assert jutil.get_next_period_day(20170831, 'day', n=7,
extra_offset=0) == 20170911
assert jutil.get_next_period_day(20170831, 'week',
extra_offset=1) == 20170905
assert jutil.get_next_period_day(20170831, 'month',
extra_offset=0) == 20170901
monthly = 20170101
while monthly < 20180301:
monthly = jutil.get_next_period_day(monthly, 'month', extra_offset=0)
assert datetime.datetime.strptime(str(monthly), "%Y%m%d").weekday() < 5
def _get_first_period_day(self):
current = self.start_date
current_date = jutil.convert_int_to_datetime(current)
period = self.ctx.strategy.period
# set current date to first date of current period
# set offset to first date of previous period
if period == 'day':
offset = pd.tseries.offsets.BDay()
elif period == 'week':
offset = pd.tseries.offsets.Week(weekday=0)
current_date -= pd.tseries.offsets.Day(current_date.weekday())
elif period == 'month':
offset = pd.tseries.offsets.BMonthBegin()
current_date -= pd.tseries.offsets.Day(current_date.day - 1)
else:
raise NotImplementedError(
"Frequency as {} not support".format(period))
current_date -= offset * self.ctx.strategy.n_periods
current = jutil.convert_datetime_to_int(current_date)
return self._get_next_period_day(
current,
self.ctx.strategy.period,
n=self.ctx.strategy.n_periods,
extra_offset=self.ctx.strategy.days_delay)
def matrix_from_different_date():
dates = pd.date_range(end='2018-09-08', periods=5, freq='3M')
dataset = pd.DataFrame()
for dt in dates:
dataset = dataset.append(
last_center_matrix(end_date=jutil.convert_datetime_to_int(dt),
target=20))
return dataset
def get_next_trade_date(self, date):
"""
Parameters
----------
date : int
Returns
-------
res : int
"""
dt = jutil.convert_int_to_datetime(date)
delta = pd.Timedelta(weeks=2)
dt_new = dt + delta
date_new = jutil.convert_datetime_to_int(dt_new)
dates = self.get_trade_date_range(date, date_new)
mask = dates > date
res = dates[mask][0]
return res
def get_last_trade_date(self, date):
"""
Parameters
----------
date : int
Returns
-------
res : int
"""
dt = jutil.convert_int_to_datetime(date)
delta = pd.Timedelta(weeks=2)
dt_old = dt - delta
date_old = jutil.convert_datetime_to_int(dt_old)
dates = self.get_trade_date_range(date_old, date)
mask = dates < date
res = dates[mask][-1]
return res
def query_last_trade_date(self, date):
"""
Parameters
----------
date : int
Returns
-------
res : int
"""
dt = jutil.convert_int_to_datetime(date)
delta = pd.Timedelta(weeks=2)
dt_old = dt - delta
date_old = jutil.convert_datetime_to_int(dt_old)
dates = self.query_trade_dates(date_old, date)
mask = dates < date
res = dates[mask][-1]
return int(res)
def query_next_trade_date(self, date, n=1):
"""
Parameters
----------
date : int
n : int, optional
Next n trade dates, default 0 (next trade date).
Returns
-------
res : int
"""
dt = jutil.convert_int_to_datetime(date)
delta = pd.Timedelta(weeks=(n // 7 + 2))
dt_new = dt + delta
date_new = jutil.convert_datetime_to_int(dt_new)
dates = self.query_trade_dates(date, date_new)
mask = dates > date
res = dates[mask][n - 1]
return res
def query_next_trade_date(self, date, n=1):
"""
Parameters
----------
date : int
n : int, optional
Next n trade dates, default 0 (next trade date).
Returns
-------
res : int
"""
dt = jutil.convert_int_to_datetime(date)
delta = pd.Timedelta(weeks=(n // 7 + 2))
dt_new = dt + delta
date_new = jutil.convert_datetime_to_int(dt_new)
dates = self.query_trade_dates(date, date_new)
mask = dates > date
res = dates[mask][n-1]
return int(res)
def _get_current_date():
now_utc = datetime.datetime.utcnow()
now_utc8 = now_utc + datetime.timedelta(hours=8)
now_date = jutil.convert_datetime_to_int(now_utc8)
return now_date
def _get_next_period_day(self, current, period, n=1, extra_offset=0):
"""
Get the n'th day in next period from current day.
Parameters
----------
current : int
Current date in format "%Y%m%d".
period : str
Interval between current and next. {'day', 'week', 'month'}
n : int
n times period.
extra_offset : int
n'th business day after next period.
Returns
-------
nxt : int
"""
#while True:
#for _ in range(4):
current_date = jutil.convert_int_to_datetime(current)
while current <= self.end_date:
if period == 'day':
offset = pd.tseries.offsets.BDay() # move to next business day
if extra_offset < 0:
raise ValueError("Wrong offset for day period")
elif period == 'week':
offset = pd.tseries.offsets.Week(
weekday=0) # move to next Monday
if extra_offset < -5:
raise ValueError("Wrong offset for week period")
elif period == 'month':
offset = pd.tseries.offsets.BMonthBegin(
) # move to first business day of next month
if extra_offset < -31:
raise ValueError("Wrong offset for month period")
else:
raise NotImplementedError(
"Frequency as {} not support".format(period))
offset = offset * n
begin_date = current_date + offset
if period == 'day':
end_date = begin_date + pd.tseries.offsets.Day() * 366
elif period == 'week':
end_date = begin_date + pd.tseries.offsets.Day() * 6
elif period == 'month':
end_date = begin_date + pd.tseries.offsets.BMonthBegin(
) #- pd.tseries.offsets.BDay()
if extra_offset > 0:
next_date = begin_date + extra_offset * pd.tseries.offsets.BDay(
)
if next_date >= end_date:
next_date = end_date - pd.tseries.offsets.BDay()
elif extra_offset < 0:
next_date = end_date + extra_offset * pd.tseries.offsets.BDay()
if next_date < begin_date:
next_date = begin_date
else:
next_date = begin_date
date = next_date
while date < end_date:
nxt = jutil.convert_datetime_to_int(date)
if self._is_trade_date(nxt):
return nxt
date += pd.tseries.offsets.BDay()
date = next_date
while date >= begin_date:
nxt = jutil.convert_datetime_to_int(date)
if self._is_trade_date(nxt):
return nxt
date -= pd.tseries.offsets.BDay()
# no trading day in this period, try next period
current_date = end_date - pd.tseries.offsets.BDay()
current = jutil.convert_datetime_to_int(current_date)
# Check if there are more trade dates
self._get_next_trade_date(current)
raise ValueError("no trading day after {0}".format(current))