def volatility(model: OfflineTaskModel):
# 离线计算年化波动率
if del_data('fof_variance') == False:
raise Error("删除历史数据失败，任务结束")
indicatorInfo = model.taskModel
taskName = indicatorInfo.value[0]
indiId = get_indicator_id(taskName)
# fundAdjNav = getPublicData(['股票型', '混合型'])
fundAdjNav = getPublicData()
fundSymbols = list(fundAdjNav.columns)
fundClass_1 = pd.Series('混合型基金', index=fundSymbols)
fundClass_tmp = getData_fundInformation(fundSymbols)['FUND_INVESTTYPE']
fundClass_1[fundClass_tmp.index] = fundClass_tmp
halfs = indicatorInfo.value[1]
for half in halfs:
updatedType = []
allIndicators = []
for symbol in fundSymbols:
fundType = fundClass_1[symbol]
if fundType not in updatedType:
for cycle in n_cycle_tp:
btParms = {'indexName': taskName, 'cycle': cycle, 'symbol': symbol, 'sample': '一级',
'marketIndex': '',
'otherPar': half}
self = indexScore_fund(btParms, fundAdjNav, 'auto')
op = self.output
val = op['factorValue']
allIndicators.append(val)
updatedType.append(fundType)
df = pd.DataFrame(allIndicators).fillna(bus_const.blank)
cols = df.columns.tolist()
for col in cols:
res = df[col]
lst = res.values.tolist()
lst = [transformFloatIfAvaliable(l) for l in lst]
objId = uuid_util.gen_uuid()
lst.insert(0, str(objId))
lst.insert(1, str(indiId))
lst.insert(2, str(col))
date = formatDate2yyyymmdd()
lst.insert(3, str(date))
lst.insert(4, transformString2Decimal(half))
lst.append("sys")
lst.append(datetime.datetime.now())
lst.append("sys")
lst.append(datetime.datetime.now())
tp = tuple(lst)
sql = "INSERT INTO fof_variance (`OBJECT_ID`, `INDICATOR_ID`, `J_WINDCODE`, `TRADE_DT`, `F_WEIGHT`, `THISYEAR_VALUE`, `QUARTER_VALUE`, `HALFYEAR_VALUE`, `YEAR_VALUE`, `TWOYEA_VALUE`, `THREEYEAR_VALUE`, `FIVEYEAR_VALUE`, `N1_VALUE`, `N2_VALUE`, `CREATE_USER_ID`, `CREATE_TIME`, `UPDATE_USER_ID`, `UPDATE_TIME`, `DELETE_FLAG`) VALUES ( %s, %s, %s, %s, %s, %s, %s,%s, %s, %s, %s, %s, %s, %s, %s, %s, %s,%s,0)"
mysqlops.insert_one(MysqlConf.DB.fof, sql, tp)
allIndicators.clear()
def information_ratio(model: OfflineTaskModel):
# 离线计算信息比率
if del_data('fof_inforatio') == False:
raise Error("删除历史数据失败，任务结束")
# sql = "delete from fof_inforatio "
# mysqlops.fetch_one(MysqlConf.DB.fof, sql)
indicatorInfo = model.taskModel
taskName = indicatorInfo.value[0]
indiId = get_indicator_id(taskName)
# fundAdjNav = getPublicData(['股票型', '混合型'])
fundAdjNav = getPublicData()
fundSymbols = list(fundAdjNav.columns)
updatedType = []
fundClass_1 = pd.Series('混合型基金', index=fundSymbols)
fundClass_tmp = getData_fundInformation(fundSymbols)['FUND_INVESTTYPE']
fundClass_1[fundClass_tmp.index] = fundClass_tmp
for symbol in fundSymbols:
allIndicators = []
fundType = fundClass_1[symbol]
if fundType not in updatedType:
for cycle in n_cycle_tp:
btParms = {'indexName': taskName, 'cycle': cycle, 'symbol': symbol, 'sample': '一级',
'marketIndex': '',
'otherPar': ''}
self = indexScore_fund(btParms, fundAdjNav, 'auto')
op = self.output
val = op['factorValue']
allIndicators.append(val)
updatedType.append(fundType)
df = pd.DataFrame(allIndicators).fillna(bus_const.blank)
cols = df.columns.tolist()
for col in cols:
res = df[col]
dd = res.values.tolist()
lst = [transformFloatIfAvaliable(l) for l in dd]
objId = uuid_util.gen_uuid()
lst.insert(0, str(objId))
lst.insert(1, str(indiId))
lst.insert(2, col)
date = formatDate2yyyymmdd()
lst.insert(3, str(date))
# idxVal = None
# try:
# idxVal = CODE_INDEX_CACHE[col]
# except:
# # 缓存没有查一次数据库
# sql = "SELECT s_info_windcode,s_info_indexwindcode FROM chinamutualfundbenchmark where S_INFO_WINDCODE = '{}'".format(
# col)
# res = mysqlops.fetchmany(MysqlConf.DB.fof, sql)
# if res and 's_info_indexwindcode' in res and res['s_info_indexwindcode'] is not None:
# idxVal = res['s_info_indexwindcode'].decode()
lst.insert(4, indicatorInfo.value[1]) # 比较基准wind代码
lst.append("sys")
lst.append(datetime.datetime.now())
lst.append("sys")
lst.append(datetime.datetime.now())
tp = tuple(lst)
sql = "INSERT INTO fof_inforatio (`OBJECT_ID`, `INDICATOR_ID`, `J_WINDCODE`, `TRADE_DT`, `B_WINDCODE`, `THISYEAR_VALUE`, `QUARTER_VALUE`, `HALFYEAR_VALUE`, `YEAR_VALUE`, `TWOYEA_VALUE`, `THREEYEAR_VALUE`, `FIVEYEAR_VALUE`, `N1_VALUE`, `N2_VALUE`, `CREATE_USER_ID`, `CREATE_TIME`, `UPDATE_USER_ID`, `UPDATE_TIME`, `DELETE_FLAG`) VALUES ( %s, %s, %s, %s, %s, %s, %s,%s,%s,%s, %s, %s, %s, %s, %s, %s, %s, %s,0)"
mysqlops.insert_one(MysqlConf.DB.fof, sql, tp)
allIndicators.clear()