def testSelectSignalByDateAndInnerCode(self):
signalData = SourceDataDao.load_signal_data('')
signalData = SourceDataDao.select_signal_by_date_and_inner_code(signalData, '2004-01-31', '000049.SZ')
# self.assertEqual(self.sum(1, 2), 3)
print('signalData:'+str(len(signalData)))
#print(signalData)
self.assertNotEqual(len(signalData), 0)
def getActualSellList(planSellList, tradingDate, signalData, dailyQuote,
numOfToKeepInSellList, cannotSellList):
if len(planSellList) == 0:
return planSellList
#创建2列DF，innerCode，Mom（空）
dic = {StockConst.INNERCODE: planSellList}
sortedSellDf = pd.DataFrame(data=dic)
sortedSellDf.insert(1, StockConst.MOM, Series())
#print(sortedSellList)
#从信号数据中获取Mom用于排序
for innerCode in planSellList:
signalEntity = SourceDataDao.select_signal_by_date_and_inner_code(
signalData, tradingDate, innerCode)
#entity = signalData.ix[(tradingDate, innerCode)]
sortedSellDf.loc[(sortedSellDf[StockConst.INNERCODE] == innerCode),
[StockConst.MOM]] = signalEntity[StockConst.MOM]
#按Mom倒序排序
sortedSellDf = sortedSellDf.sort_values(by=StockConst.MOM, ascending=False)
#卖出列表中保留的股票
toKeepInSellList = []
#保留的股票: 停牌或一字跌停股
#if len(toKeepInSellList) < numOfToKeepInSellList:
for index, row in sortedSellDf.iterrows():
innerCode = row[StockConst.INNERCODE]
#try:
isCannotSell = SourceDataDao.check_if_cannot_sell(
dailyQuote, tradingDate, innerCode)
#except:
#print('getToSellInSellList '+DateUtil.datetime2Str(tradingDate)+' '+str(innerCode))
#print(sortedSellDf)
#print(sellList)
#print(currHoldSet)
#print(dailyQuoteRow)
#退市的股票:卖出
#不能卖
if isCannotSell:
toKeepInSellList.append(innerCode)
cannotSellList.append(innerCode)
# 保留的股票:按sortedSellDf的顺序加入
for index, row in sortedSellDf.iterrows():
if len(toKeepInSellList) < numOfToKeepInSellList:
innerCode = row[StockConst.INNERCODE]
if (innerCode not in toKeepInSellList):
toKeepInSellList.append(innerCode)
#去掉需要保留的股票
actualSellList = sortedSellDf[~(
sortedSellDf[StockConst.INNERCODE].isin(toKeepInSellList))][
StockConst.INNERCODE].values
#print('toSellInSellList')
#print(toSellInSellList)
return actualSellList
def sort_by_tech(planSellList, signalData, tradingDay, tech):
techDict = {}
for innerCode in planSellList:
signalEntity = SourceDataDao.select_signal_by_date_and_inner_code(signalData, tradingDay, innerCode)
techDict.setdefault(innerCode, signalEntity[tech]) # TODO
dict = sorted(techDict.items(), key=lambda d: d[1], reverse=True)
# print(dict)
planSellList2 = []
for x in dict: planSellList2.append(x[0])
return planSellList2
def getActualSellList(planSellList,tradingDate,signalData,dailyQuote,numOfToKeepInSellList,cannotSellList):
if len(planSellList) == 0:
return planSellList
if StockConst.IS_DEBUG:
start_1 = time.clock()
# #创建2列DF: innerCode，Mom（空）
# dic = {StockConst.InnerCode: planSellList}
# sortedSellDf = pd.DataFrame(data=dic)
# sortedSellDf.insert(1, StockConst.Mom, Series())
# sortedSellDf = sortedSellDf.set_index([StockConst.InnerCode])
# # print(sortedSellDf)
#
# # sortedSellDf = sortedSellDf.groupby(level=0).apply(setMom,tradingDate,signalData)#tradingDate,signalData
# # print(sortedSellDf)
#
# for index, row in sortedSellDf.iterrows():
# innerCode = index
# signalEntity = SourceDataDao.selectSignalByDateAndInnerCode2(signalData, tradingDate, innerCode, StockConst.Mom)
# # sortedSellDf.loc[index, [StockConst.Mom]] = signalEntity[StockConst.Mom]
# sortedSellDf.loc[index, [StockConst.Mom]] = signalEntity
techDict = {}
for innerCode in planSellList:
signalEntity = SourceDataDao.select_signal_by_date_and_inner_code(signalData, tradingDate, innerCode)
techDict.setdefault(innerCode, signalEntity[StockConst.MOM])#TODO
dict = sorted(techDict.items(), key=lambda d: d[1], reverse=True)
# print(dict)
planSellList = []
for x in dict: planSellList.append(x[0])
#print(sortedSellList)
#从信号数据中获取Mom用于排序
# for innerCode in planSellList:
# # signalEntity = SourceDataDao.selectSignalByDateAndInnerCode(signalData, tradingDate, innerCode)
# #entity = signalData.ix[(tradingDate, innerCode)]
# sortedSellDf.loc[(sortedSellDf[StockConst.InnerCode] == innerCode), [StockConst.Mom]] = 1 # signalEntity[StockConst.Mom]
# sortedSellDf = signalData[(signalData.index.get_level_values(0) == tradingDate) & (signalData.index.get_level_values(1).isin(planSellList))]
#按Mom倒序排序
# sortedSellDf = sortedSellDf.sort_values(by=StockConst.Mom, ascending=False)
# print(sortedSellDf)
if StockConst.IS_DEBUG:
end_1 = time.clock()
print("节点1花费时间：%f s" % (end_1 - start_1))
if StockConst.IS_DEBUG:
start_2 = time.clock()
#卖出列表中保留的股票
toKeepInSellList = []
#保留的股票: 停牌或一字跌停股
#if len(toKeepInSellList) < numOfToKeepInSellList:
for innerCode in planSellList:
# for index,row in sortedSellDf.iterrows():
# innerCode = row[StockConst.InnerCode]
# innerCode = index
#try:
isCannotSell = SourceDataDao.check_if_cannot_sell(dailyQuote, tradingDate, innerCode)
# isCannotSell = False
#except:
#print('getToSellInSellList '+DateUtil.datetime2Str(tradingDate)+' '+str(innerCode))
#print(sortedSellDf)
#print(sellList)
#print(currHoldSet)
#print(dailyQuoteRow)
#退市的股票:卖出
#不能卖
if isCannotSell:
toKeepInSellList.append(innerCode)
cannotSellList.append(innerCode)
if StockConst.IS_DEBUG:
end_2 = time.clock()
print("节点2花费时间：%f s" % (end_2 - start_2))
if StockConst.IS_DEBUG:
start_3 = time.clock()
# 保留的股票:按sortedSellDf的顺序加入
# for index,row in sortedSellDf.iterrows():
for innerCode in planSellList:
if len(toKeepInSellList) < numOfToKeepInSellList:
# innerCode = row[StockConst.InnerCode]
# innerCode = index
if(innerCode not in toKeepInSellList) :
toKeepInSellList.append(innerCode)
#去掉需要保留的股票
# actualSellList = sortedSellDf[~(sortedSellDf.index.get_level_values(1).isin(toKeepInSellList))].index.get_level_values(1)
# actualSellList = sortedSellDf[~(sortedSellDf[StockConst.InnerCode].isin(toKeepInSellList))][StockConst.InnerCode].values
actualSellList = list(set(planSellList).difference(set(toKeepInSellList)))
#print('toSellInSellList')
#print(toSellInSellList)
if StockConst.IS_DEBUG:
end_3 = time.clock()
print("节点3花费时间：%f s" % (end_3 - start_3))
return actualSellList
