def AllHS300Code2DB(path):
df = pd.read_excel(path, dtype=str)
out = df.to_dict('list')
all = set()
out2 = {}
code2Map = {}
for k, v in out.items():
if isinstance(k, int):
id = util.String2pdTimestamp(str(k), '%Y%m')
else:
id = util.String2pdTimestamp(k, '%Y%m')
tmpList = []
for one in v:
try:
if isinstance(one, str) and len(one) == 6:
tmp = one
else:
tmp = '{:06}'.format(int(one))
all.add(tmp)
tmpList.append(tmp)
except Exception as e:
util.PrintException(e)
out2[id] = {}
out2[id]['data'] = tmpList
print(all)
allCodes = util.QueryAll()
out = []
for k, row in allCodes.iterrows():
if k in all:
out.append({'_id': k, 'name': row['名称']})
code2Map[k] = {'_id': k, 'name': row['名称']}
util.SaveMongoDBList(out, 'stock_codeList', 'allHS300')
notInAll = set()
for k, v in out2.items():
for index in range(0, len(v['data'])):
try:
v['data'][index] = code2Map[v['data'][index]]
except Exception as e:
util.PrintException(e)
notInAll.add(v['data'][index])
print('not in all################################')
print(notInAll)
print('in all################################')
print(out2)
util.SaveMongoDBDict(out2, 'stock_codeList', 'allHS300Detail')
def Run(codes):
out = []
for one in codes:
try:
baseCounter = 0
hitCounter = 0
firstQuarter = None
lastQuarter = None
baseCounter2010 = 0
hitCounter2010 = 0
firstQuarter2010 = None
lastQuarter2010 = None
df = util.LoadData('stock',
'yjbg2-' + one['_id'],
condition={},
sort=[('_id', 1)])
for quarter, row in df.iterrows():
id = datetime.strptime(quarter, '%Y-%m-%d')
value = util.String2Number(row['sjltz'])
if not np.isnan(value):
if firstQuarter is None:
firstQuarter = id
lastQuarter = id
baseCounter += 1
if id.year >= 2010:
if firstQuarter2010 is None:
firstQuarter2010 = id
lastQuarter2010 = id
baseCounter2010 += 1
if value < -10:
hitCounter += 1
if id.year >= 2010:
hitCounter2010 += 1
percent = 0
percent2010 = 0
if baseCounter > 0:
percent = hitCounter / baseCounter
if baseCounter2010 > 0:
percent2010 = hitCounter2010 / baseCounter2010
out.append({
'_id': one['_id'],
'begin': firstQuarter,
'end': lastQuarter,
'base': baseCounter,
'hit': hitCounter,
'percent': percent,
'begin2010': firstQuarter2010,
'end2010': lastQuarter2010,
'base2010': baseCounter2010,
'hit2010': hitCounter2010,
'percent2010': percent2010
})
except Exception as e:
util.PrintException(e)
dfOut = pd.DataFrame(out)
util.SaveMongoDB_DF(dfOut, 'stock_statistics2',
'dangerousQuarterRatio')
def serve():
# 启动 rpc 服务
print("version=1.0.6 run server ....")
server = None
try:
server = grpc.server(futures.ThreadPoolExecutor(max_workers=10))
py_rpc_pb2_grpc.add_HelloServicer_to_server(Greeter(), server)
py_rpc_pb2_grpc.add_StockPriceServicer_to_server(
StockService(), server)
py_rpc_pb2_grpc.add_StockSignalServicer_to_server(
StockSignalService(), server)
server.add_insecure_port('[::]:7070')
server.start()
while True:
time.sleep(60 * 60 * 24) # one day in seconds
except KeyboardInterrupt:
if server is not None:
server.stop(0)
except Exception as e:
util.PrintException(e)
def Run(self):
# 准备判定条件
now = datetime.now()
stopYear = now.year
for year in range(self.startYear - 1, stopYear + 1):
self.forecast[year] = {}
if year not in self.checkPoint:
self.checkPoint[year] = {}
if year + 1 not in self.checkPoint:
self.checkPoint[year + 1] = {}
# 加载对应年的年报中报
yearPaper = util.LoadYearPaper(year, self.code)
self.checkPoint[year]['midYear'] = yearPaper[0]
self.checkPoint[year]['year'] = yearPaper[1]
# 加载对应的季报
quarterPaper = util.LoadQuaterPaper(year, self.code)
self.checkPoint[year]['first'] = quarterPaper[0]
self.checkPoint[year]['second'] = quarterPaper[1]
self.checkPoint[year]['third'] = quarterPaper[2]
self.checkPoint[year]['forth'] = quarterPaper[3]
#加载业绩预告
forecast = util.LoadForecast(year, self.code)
self.forecast[year]['first'] = forecast[0]
self.forecast[year]['second'] = forecast[1]
self.forecast[year]['third'] = forecast[2]
self.forecast[year]['forth'] = forecast[3]
self.statisticsYears = len(self.checkPoint)
# 对加载出来的数据做初步处理
for k, v in self.checkPoint.items():
try:
if 'notExist' in v['year'] and 'notExist' in v['midYear']:
# 没有查到年报数据的年份，可能是公司就没上市，需要扣减
self.statisticsYears -= 1
# 计算分红
v['midYear']['dividend'] = 0
v['year']['dividend'] = 0
self.CalcDividend(k, 'midYear')
self.CalcDividend(k, 'year')
v['year']['allDividend'] = v['midYear']['dividend'] + v[
'year']['dividend']
# 计算股利支付率，如果这个数字超过100%，则分红不能当真
try:
if GPFH_KEY['EarningsPerShare'] in v['year']:
v['year']['dividendRatio'] = v['year'][
'allDividend'] / v['year'][
GPFH_KEY['EarningsPerShare']]
# 计算分红是不是大于每股收益，如果大于每股收益，显然不可持续
# 002351 漫步者 买入："date" : ISODate("2011-06-17T00:00:00.000Z"),
# 不可持续的分红，需要调整为实际每股收益的80%来测算
# 2019/12/26此段逻辑很好的改善了回测中差标的集合的表现
if GPFH_KEY['EarningsPerShare'] in v['midYear']:
if 0.8 * v['midYear'][
GPFH_KEY['EarningsPerShare']] < v['midYear'][
'dividend']:
v['unsustainable'] = True
v['midYear']['dividend'] = 0.8 * v['midYear'][
GPFH_KEY['EarningsPerShare']]
v['year']['allDividend'] = v['midYear'][
'dividend'] + v['year']['dividend']
if GPFH_KEY['EarningsPerShare'] in v['year']:
if 0.8 * v['year'][GPFH_KEY['EarningsPerShare']] < v[
'year']['dividend']:
v['unsustainable'] = True
v['year']['dividend'] = 0.8 * v['year'][
GPFH_KEY['EarningsPerShare']]
v['year']['allDividend'] = v['midYear'][
'dividend'] + v['year']['dividend']
except Exception as e:
if v['year'][GPFH_KEY['EarningsPerShare']] == '-':
v['year'][GPFH_KEY['EarningsPerShare']] = 0
util.PrintException(e)
# 根据分红计算全年和半年的买入卖出价格
# allDividend影响下一年
if v['year']['allDividend'] > 0:
# 统计分红过的年数
self.dividendYears += 1
self.checkPoint[
k +
1]['buyPrice'] = v['year']['allDividend'] / BUY_PERCENT
self.checkPoint[k + 1][
'sellPrice'] = v['year']['allDividend'] / SELL_PERCENT
else:
self.checkPoint[k + 1]['buyPrice'] = INVALID_BUY_PRICE
self.checkPoint[k + 1]['sellPrice'] = INVALID_SELL_PRICE
# midYear的dividend影响8月31号以后的当年
if v['midYear']['dividend'] > 0:
self.checkPoint[k][
'buyPrice2'] = v['midYear']['dividend'] / BUY_PERCENT
self.checkPoint[k][
'sellPrice2'] = v['midYear']['dividend'] / SELL_PERCENT
else:
self.checkPoint[k]['buyPrice2'] = INVALID_BUY_PRICE
self.checkPoint[k]['sellPrice2'] = INVALID_SELL_PRICE
# 检查净利润同比下降10%以上的位置
self.ProcessQuarterPaper(k, 'first')
self.ProcessQuarterPaper(k, 'second')
self.ProcessQuarterPaper(k, 'third')
self.ProcessQuarterPaper(k, 'forth')
except KeyError as e:
print(e)
# 针对dangerousPoint清理dividendPoint
tmp = []
have = set()
for one in self.dividendPoint:
for two in self.dangerousPoint:
if two[0] <= one.date and two[1] >= one.date:
print("清理除权 {} {} {}".format(one.date, two[0], two[1]))
break
else:
if one.date not in have:
tmp.append(one)
have.add(one.date)
self.dividendPoint = tmp
# 对所有派股的情况，记录除权日，并调整买卖价格
for one in self.dividendPoint:
tmp = {}
# 有派股
if one.gift > 0:
try:
if one.position == 'midYear' and self.checkPoint[
one.year]['buyPrice2'] != INVALID_BUY_PRICE:
tmp['buyPriceX'] = self.checkPoint[
one.year]['buyPrice2'] / (1 + one.gift)
tmp['sellPriceX'] = self.checkPoint[
one.year]['sellPrice2'] / (1 + one.gift)
tmp['y'] = one.year
tmp['p'] = 'midYear'
tmp['date'] = one.date
self.checkPoint[
one.year]['midYear']['dividendAdjust'] = tmp
elif one.position == 'year' and self.checkPoint[
one.year + 1]['buyPrice'] != INVALID_BUY_PRICE:
# 送股調整的時候，年报的调整需要囊括半年报的送股
# TODO 年报调整为何要包括半年报？感觉此处有问题。。。
midYearGift = 0
try:
midYearGift = self.checkPoint[
one.year]['midYear']['gift']
except Exception as e:
pass
if midYearGift != 0:
assert 0
tmp['buyPriceX'] = self.checkPoint[
one.year + 1]['buyPrice'] / ((1 + one.gift) *
(1 + midYearGift))
tmp['sellPriceX'] = self.checkPoint[
one.year + 1]['sellPrice'] / ((1 + one.gift) *
(1 + midYearGift))
tmp['y'] = one.year + 1
tmp['p'] = 'year'
tmp['date'] = one.date
self.checkPoint[one.year +
1]['year']['dividendAdjust'] = tmp
if len(tmp) > 0:
# 有配股有分红才调整价格
self.dividendAdjust[one.date] = tmp
except Exception as e:
print(e)
# 清理所有截止日期早于startDate的cooldown
# Test2('601288', 26405, '农业银行', False, True) ，有2010年的cooldown
tmp = []
for one in self.dangerousPoint:
if one[1] < self.startDate:
continue
else:
tmp.append(one)
self.dangerousPoint = tmp
time.sleep(60 * 60 * 24) # one day in seconds
except KeyboardInterrupt:
if server is not None:
server.stop(0)
except Exception as e:
util.PrintException(e)
if __name__ == '__main__':
if len(sys.argv) >= 2:
logPath = sys.argv[1]
else:
logPath = r'C:\workspace\tmp\stockPyConfig.json'
util.log.Init('main', logPath)
# df = ts.get_index()
# # print(df)
# re = py_rpc_pb2.LastPriceRsp(error=-1)
# AStock = df.loc[df.code == '000001']
# print(AStock)
# re.code = AStock.loc[0, 'code']
# re.name = AStock.loc[0, 'name']
# re.closePrice = AStock.loc[0, 'close']
# re.openPrice = AStock.loc[0, 'open']
log.current().info("server run....")
try:
a = 1
b = 0
c = a / b
except Exception as e:
util.PrintException(e)
serve()