def run(firstRun_update, start, end, fre, index_code, dir_path,
beachmark_file):
if not os.path.exists('%s' % beachmark_file):
os.mkdir('%s' % beachmark_file)
if not os.path.exists('%s/%s' % (beachmark_file, index_code)):
os.mkdir('%s/%s' % (beachmark_file, index_code))
if firstRun_update == 0:
trade_day = get_tradeDay.wind(start, end, fre)
for i in trade_day:
print(i)
df = pd.read_excel('%s/000846weightnextday%s.xls' % (dir_path, i),
dtype={u'成分券代码\nConstituent Code': str})
df = df.iloc[:, [4, 16]]
df.columns = ['code', 'weight']
df['code'] = df['code'].apply(lambda x: x + '-CN')
df.to_csv('%s/%s/benchmark_%s.csv' %
(beachmark_file, index_code, i),
index=None,
header=None)
elif firstRun_update == 1:
cal = Calendar('China.SSE')
today = strftime("%Y%m%d", localtime())
today = Date.strptime(today, '%Y%m%d')
today = cal.advanceDate(today, Period('-1b'))
today = today.strftime("%Y%m%d")
df = pd.read_excel('%s/000846weightnextday%s.xls' % (dir_path, today),
dtype={u'成分券代码\nConstituent Code': str})
df = df.iloc[:, [4, 16]]
df.columns = ['code', 'weight']
df['code'] = df['code'].apply(lambda x: x + '-CN')
df.to_csv('%s/%s/benchmark_%s.csv' %
(beachmark_file, index_code, today),
index=None,
header=None)
def forward_date(date, tenor, date_format='%Y-%m-%d'):
try:
start_date = Date.strptime(date, date_format)
sse_cal = Calendar('China.SSE')
ret = sse_cal.advanceDate(start_date,
Period('-' + tenor),
endOfMonth=True)
# 此处返回的是上一期期末日期，再向后调整一天，以避免区间日期重叠
ret = sse_cal.advanceDate(ret, Period('1b'))
return str(ret)
except NameError:
pass
def factor_multi():
today = strftime("%Y%m%d", localtime())
today = Date.strptime(today, '%Y%m%d')
today = cal.advanceDate(today, Period('-1b'))
today = today.strftime("%Y%m%d")
update_risk_factor(today)
update_barra_factor(today)
update_stdfcf(today)
update_stdni(today)
update_pmom(today)
update_to_reverse(today)
def forward_date(date, tenor, date_format='%Y-%m-%d'):
try:
# use pyfin instead to get more accurate and flexible date math
start_date = Date.strptime(date, date_format)
sseCal = Calendar('China.SSE')
ret = sseCal.advanceDate(start_date,
Period('-' + tenor),
endOfMonth=True)
# 此处返回的是上一期期末日期，再向后调整一天，以避免区间日期重叠
ret = sseCal.advanceDate(ret, Period('1b'))
return str(ret)
except NameError:
pass
def insider_data():
today = strftime("%Y%m%d", localtime())
today = Date.strptime(today, '%Y%m%d')
today = cal.advanceDate(today, Period('-1b'))
today = today.strftime("%Y%m%d")
N = -1
Fre = 'Y'
Halflife = 180.0
datapath = 'F:/factor_data/Insider_Data/'
barapath = 'Z:/axioma_data/barra_model/Exposure/'
outputpath = 'F:/factor_data/test_data/'
update_insider_data([today], N, Fre, datapath, barapath)
def base_data():
today = strftime("%Y%m%d", localtime())
today = Date.strptime(today, '%Y%m%d')
today = cal.advanceDate(today, Period('-1b'))
today = today.strftime("%Y%m%d")
update_barra_model()
update_risk_model()
update_risk_tolocal()
update_esg100_weight()
update_csi_weight()
update_barra_model_backtest(today)
def suspend(day, dirpath, getdb):
sql = 'select S_INFO_WINDCODE from wind.AShareTradingSuspension t where S_DQ_SUSPENDDATE = %s and S_DQ_RESUMPDATE is null' % (
day)
df = getdb.db_query(sql)
df = df.drop_duplicates()
df['value'] = 1
df['S_INFO_WINDCODE'] = df['S_INFO_WINDCODE'].apply(
lambda x: x.split('.')[0] + '-CN')
cal = Calendar('China.SSE')
day_temp = Date.strptime(day, '%Y%m%d')
day_temp = cal.advanceDate(day_temp, Period('-1b'))
day = day_temp.strftime("%Y%m%d")
df.to_csv('%s/suspended_%s.csv' % (dirpath, day), index=None, header=None)
def __init__(self, config_path):
with open(config_path) as f:
self.config = yaml.load(f.read())
self.account = self.config['account']
self.dirpath = self.config['dirpath']
self.account_type = {'s': 'simulation', 'p': 'production'}
'''
注意 这里的today就是指前一个交易日！！！ 因为数据读取 保存日期都不会出现当天日期
'''
cal = Calendar('China.SSE')
self.today = strftime("%Y%m%d", localtime())
today = Date.strptime(self.today, '%Y%m%d')
pre_day = cal.advanceDate(today, Period('-1b'))
self.pre_day = pre_day.strftime("%Y%m%d")
def job():
today = strftime("%Y%m%d", localtime())
today = Date.strptime(today, '%Y%m%d')
today = cal.advanceDate(today, Period('-1b'))
today = today.strftime("%Y%m%d")
update_barra_model()
update_risk_model()
update_risk_tolocal()
update_esg100_weight()
update_barra_model_backtest(today)
f = open('F:/logger_file/log%s.log' % strftime("%Y%m%d", localtime()), "r")
lines = f.readlines()
msg = ''.join(lines)
send('test', msg, receiver)
def job():
today = strftime("%Y%m%d", localtime())
today = Date.strptime(today, '%Y%m%d')
today = cal.advanceDate(today, Period('-1b'))
today = today.strftime("%Y%m%d")
update_barra_model()
update_barra_factor(today)
update_risk_model()
update_risk_tolocal()
update_risk_factor(today)
update_esg100_weight()
update_barra_model_backtest(today)
update_stdfcf(today)
update_stdni(today)
update_pmom(today)
update_to_reverse(today)
def run(start, end, flag, dirpath, output1, output2):
if not os.path.exists(output1):
os.mkdir(output1)
if not os.path.exists(output2):
os.mkdir(output2)
if flag == 0:
fre = 'day'
tradeday = get_tradeDay.wind(start, end, fre=fre)
for day in tradeday:
print(day)
get_exposure(dirpath, output1, day)
get_cov(dirpath, output2, day)
else:
end = Date.strptime(end, '%Y%m%d')
today = cal.advanceDate(end, Period('-1b'))
today = today.strftime("%Y%m%d")
# today = datetime.strftime(today.toDateTime(), "%Y%m%d")
get_exposure(dirpath, output1, today)
get_cov(dirpath, output2, today)
def factor_insider():
today = strftime("%Y%m%d", localtime())
today = Date.strptime(today, '%Y%m%d')
today = cal.advanceDate(today, Period('-1b'))
today = today.strftime("%Y%m%d")
N = -1
Fre = 'Y'
Halflife = 180.0
datapath = 'F:/factor_data/Insider_Data/'
barapath = 'Z:/axioma_data/barra_model/Exposure/'
outputpath = 'F:/factor_data/test_data/'
update_PV(today, N, Fre, Halflife, datapath, outputpath)
update_AES(today, datapath, outputpath)
update_NSTS(today, N, Fre, Halflife, datapath, outputpath)
update_SSAA(today, N, Fre, Halflife, datapath, outputpath)
update_MJRR(today, N, Fre, Halflife, datapath, outputpath)
update_MJRV(today, N, Fre, Halflife, datapath, outputpath)
update_LIO(today, datapath, outputpath)
update_LIOCHANGE(today, datapath, outputpath)
if not os.path.exists(output2):
os.mkdir(output2)
if flag == 0:
fre = 'day'
tradeday = get_tradeDay.wind(start, end, fre=fre)
for day in tradeday:
print(day)
get_exposure(dirpath, output1, day)
get_cov(dirpath, output2, day)
else:
today = end
# today = datetime.strftime(today.toDateTime(), "%Y%m%d")
get_exposure(dirpath, output1, today)
get_cov(dirpath, output2, today)
if __name__ == '__main__':
dirpath = 'Z:/MSCI/daily'
output1 = 'Z:/axioma_data/barra_model/Exposure'
output2 = 'Z:/axioma_data/barra_model/Covariance'
start = '20171201'
# end = strftime("%Y%m%d", localtime())
today = strftime("%Y%m%d", localtime())
today = Date.strptime(today, '%Y%m%d')
today = cal.advanceDate(today, Period('-1b'))
end = today.strftime("%Y%m%d")
flag = 0
run(start, end, flag, dirpath, output1, output2)
# 生成Date对象
current_date = Date(2015, 7, 24)
# Date对象的字符串表示
str(current_date) # 2015-07-24
# 也可以直接传递5位数的序列号初始化Date对象
current_date_2 = Date(serial_number=current_date.serialNumber)
str(current_date_2) # 2015-07-24
# Date对象转换成datetime格式
current_date.toDateTime() # dt.datetime(2015, 7, 24)
# 从字符串初始化成Date对象
Date.parseISO('2016-01-15')
Date.strptime('20160115', '%Y%m%d')
# Date对象的加减
Date()
# 设定为上交所的交易日历
cal = Calendar('China.SSE')
# 假设某日为 2015-07-11(周六), 初始化一个Date对象
current_date = Date(2015, 7, 11)
# 判断该日是否是交易日、节假日、周末或者月末
cal.isBizDay(current_date) # False
cal.isHoliday(current_date) # True
cal.isWeekEnd(current_date.weekday()) # True
cal.isEndOfMonth(current_date) # False