def init_selectors(self,
entity_ids,
entity_schema,
exchanges,
codes,
start_timestamp,
end_timestamp,
adjust_type=None):
myselector = TargetSelector(
entity_ids=entity_ids,
entity_schema=entity_schema,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
provider="em",
)
myselector.add_factor(
DragonTigerFactor(
entity_ids=entity_ids,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
))
self.selectors.append(myselector)
def init_selectors(self,
entity_ids,
entity_schema,
exchanges,
codes,
start_timestamp,
end_timestamp,
adjust_type=None):
# 日线策略
start_timestamp = next_date(start_timestamp, -50)
day_selector = TargetSelector(
entity_ids=entity_ids,
entity_schema=entity_schema,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
long_threshold=0.7,
level=IntervalLevel.LEVEL_1DAY,
provider="joinquant",
)
day_gold_cross_factor = GoldCrossFactor(
entity_ids=entity_ids,
entity_schema=entity_schema,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
provider="joinquant",
level=IntervalLevel.LEVEL_1DAY,
)
day_selector.add_factor(day_gold_cross_factor)
self.selectors.append(day_selector)
def init_selectors(self,
entity_ids,
entity_schema,
exchanges,
codes,
start_timestamp,
end_timestamp,
adjust_type=None):
start_timestamp = next_date(start_timestamp, -50)
# 周线策略
week_selector = TargetSelector(entity_ids=entity_ids,
entity_schema=entity_schema,
exchanges=exchanges,
codes=codes,
start_timestamp=next_date(
start_timestamp, -200),
end_timestamp=end_timestamp,
long_threshold=0.7,
level=IntervalLevel.LEVEL_1WEEK,
provider='joinquant')
week_bull_factor = BullFactor(entity_ids=entity_ids,
entity_schema=entity_schema,
exchanges=exchanges,
codes=codes,
start_timestamp=next_date(
start_timestamp, -200),
end_timestamp=end_timestamp,
provider='joinquant',
level=IntervalLevel.LEVEL_1WEEK)
week_selector.add_factor(week_bull_factor)
# 日线策略
day_selector = TargetSelector(entity_ids=entity_ids,
entity_schema=entity_schema,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
long_threshold=0.7,
level=IntervalLevel.LEVEL_1DAY,
provider='joinquant')
day_gold_cross_factor = GoldCrossFactor(
entity_ids=entity_ids,
entity_schema=entity_schema,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
provider='joinquant',
level=IntervalLevel.LEVEL_1DAY)
day_selector.add_factor(day_gold_cross_factor)
# 同时使用日线,周线级别
self.selectors.append(day_selector)
self.selectors.append(week_selector)
def report_targets(
factor_cls: Type[Factor],
entity_provider,
data_provider,
title,
entity_type="stock",
informer: EmailInformer = None,
em_group=None,
em_group_over_write=True,
filter_by_volume=True,
adjust_type=None,
start_timestamp="2019-01-01",
**factor_kv,
):
logger.info(
f"entity_provider: {entity_provider}, data_provider: {data_provider}, entity_type: {entity_type}, start_timestamp: {start_timestamp}"
)
error_count = 0
while error_count <= 10:
try:
if not adjust_type:
adjust_type = default_adjust_type(entity_type=entity_type)
target_date = get_latest_kdata_date(provider=data_provider,
entity_type=entity_type,
adjust_type=adjust_type)
logger.info(f"target_date :{target_date}")
current_entity_pool = None
if filter_by_volume:
# 成交量
vol_df = get_top_volume_entities(
entity_type=entity_type,
start_timestamp=next_date(target_date, -30),
end_timestamp=target_date,
adjust_type=adjust_type,
pct=0.4,
data_provider=data_provider,
)
current_entity_pool = vol_df.index.tolist()
logger.info(
f"current_entity_pool({len(current_entity_pool)}): {current_entity_pool}"
)
kdata_schema = get_kdata_schema(entity_type,
level=IntervalLevel.LEVEL_1DAY,
adjust_type=adjust_type)
filters = []
if "turnover_threshold" in factor_kv:
filters = filters + [
kdata_schema.turnover >=
factor_kv.get("turnover_threshold")
]
if "turnover_rate_threshold" in factor_kv:
filters = filters + [
kdata_schema.turnover_rate >=
factor_kv.get("turnover_rate_threshold")
]
if filters:
filters = filters + [kdata_schema.timestamp == target_date]
kdata_df = kdata_schema.query_data(
provider=data_provider,
filters=filters,
columns=["entity_id", "timestamp"],
index="entity_id")
if current_entity_pool:
current_entity_pool = set(current_entity_pool) & set(
kdata_df.index.tolist())
else:
current_entity_pool = kdata_df.index.tolist()
if "entity_ids" in factor_kv:
if current_entity_pool:
current_entity_pool = set(current_entity_pool) & set(
factor_kv.pop("entity_ids"))
else:
current_entity_pool = set(factor_kv.pop("entity_ids"))
# add the factor
my_selector = TargetSelector(start_timestamp=start_timestamp,
end_timestamp=target_date,
select_mode=SelectMode.condition_or)
entity_schema = get_entity_schema(entity_type=entity_type)
tech_factor = factor_cls(
entity_schema=entity_schema,
entity_provider=entity_provider,
provider=data_provider,
entity_ids=current_entity_pool,
start_timestamp=start_timestamp,
end_timestamp=target_date,
adjust_type=adjust_type,
**factor_kv,
)
my_selector.add_factor(tech_factor)
my_selector.run()
long_stocks = my_selector.get_open_long_targets(
timestamp=target_date)
inform(
informer,
entity_ids=long_stocks,
target_date=target_date,
title=title,
entity_provider=entity_provider,
entity_type=entity_type,
em_group=em_group,
em_group_over_write=em_group_over_write,
)
break
except Exception as e:
logger.exception("report error:{}".format(e))
time.sleep(60 * 3)
error_count = error_count + 1
if error_count == 10:
informer.send_message(
zvt_config["email_username"],
f"report {entity_type}{factor_cls.__name__} error",
f"report {entity_type}{factor_cls.__name__} error: {e}",
)
def report_targets(
factor_cls: Type[Factor],
entity_provider,
data_provider,
title,
entity_type="stock",
em_group=None,
em_group_over_write=True,
filter_by_volume=True,
adjust_type=None,
start_timestamp="2019-01-01",
**factor_kv,
):
logger.info(
f"entity_provider: {entity_provider}, data_provider: {data_provider}, entity_type: {entity_type}, start_timestamp: {start_timestamp}"
)
error_count = 0
while error_count <= 10:
email_action = EmailInformer()
try:
if entity_type == "stock" and not adjust_type:
adjust_type = AdjustType.hfq
target_date = get_latest_kdata_date(provider=data_provider,
entity_type=entity_type,
adjust_type=adjust_type)
logger.info(f"target_date :{target_date}")
current_entity_pool = None
if filter_by_volume:
# 成交量
vol_df = get_top_volume_entities(
entity_type=entity_type,
start_timestamp=next_date(target_date, -30),
end_timestamp=target_date,
adjust_type=adjust_type,
pct=0.4,
)
current_entity_pool = vol_df.index.tolist()
logger.info(
f"current_entity_pool({len(current_entity_pool)}): {current_entity_pool}"
)
# add the factor
my_selector = TargetSelector(start_timestamp=start_timestamp,
end_timestamp=target_date,
select_mode=SelectMode.condition_or)
entity_schema = get_entity_schema(entity_type=entity_type)
tech_factor = factor_cls(
entity_schema=entity_schema,
entity_provider=entity_provider,
provider=data_provider,
entity_ids=current_entity_pool,
start_timestamp=start_timestamp,
end_timestamp=target_date,
adjust_type=adjust_type,
**factor_kv,
)
my_selector.add_factor(tech_factor)
my_selector.run()
long_stocks = my_selector.get_open_long_targets(
timestamp=target_date)
msg = "no targets"
if long_stocks:
entities = get_entities(provider=entity_provider,
entity_type=entity_type,
entity_ids=long_stocks,
return_type="domain")
if em_group:
try:
codes = [entity.code for entity in entities]
add_to_eastmoney(codes=codes,
entity_type=entity_type,
group=em_group,
over_write=em_group_over_write)
except Exception as e:
email_action.send_message(
zvt_config["email_username"],
f"report {entity_type}{factor_cls.__name__} error",
f"report {entity_type}{factor_cls.__name__} error: {e}",
)
infos = [
f"{entity.name}({entity.code})" for entity in entities
]
msg = "\n".join(infos) + "\n"
logger.info(msg)
email_action.send_message(zvt_config["email_username"],
f"{target_date} {title}", msg)
break
except Exception as e:
logger.exception("report error:{}".format(e))
time.sleep(60 * 3)
error_count = error_count + 1
if error_count == 10:
email_action.send_message(
zvt_config["email_username"],
f"report {entity_type}{factor_cls.__name__} error",
f"report {entity_type}{factor_cls.__name__} error: {e}",
)