def other_indicator(model: OfflineTaskModel):
# 离线计算其他指标
indicatorInfo = model.taskModel
indicatorId = model.extVal
if del_data(sqlPa="delete from fof_index_value where INDICATOR_ID = '%s'" % indicatorId) == False:
raise Error("删除历史数据失败，任务结束")
if indicatorId not in INDEX_CODE_NAME_CACHE.keys():
raise Error("指标id不存在:{}".format(indicatorId))
indexName = INDEX_CODE_NAME_CACHE[indicatorId]
# 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': indexName, '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]
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(indicatorId))
lst.insert(2, col)
date = formatDate2yyyymmdd()
lst.insert(3, str(date))
lst.append("sys")
lst.append(datetime.datetime.now())
lst.append("sys")
lst.append(datetime.datetime.now())
tp = tuple(lst)
sql = "INSERT INTO fof_index_value (`OBJECT_ID`, `INDICATOR_ID`, `J_WINDCODE`, `TRADE_DT`, `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,0)"
mysqlops.insert_one(MysqlConf.DB.fof, sql, tp)
allIndicators.clear()
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 indicator_score_rank(model: OfflineTaskModel):
# 离线计算指标得分
indicatorId = model.extVal
if indicatorId not in INDEX_CODE_NAME_CACHE.keys():
raise Error("指标id不存在:{}".format(indicatorId))
if not del_data(
sqlPa="delete from fof_index_score where INDICATOR_ID = '%s' " %
indicatorId):
raise Error("删除历史数据失败，任务结束")
iName = INDEX_CODE_NAME_CACHE[indicatorId]
# 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:
indicators = []
ranks = []
fundType = fundClass_1[symbol]
if fundType not in updatedType:
for cycle in cycle_score:
btParms = {
'indexName': iName,
'cycle': cycle,
'symbol': symbol,
'sample': '一级',
'marketIndex': '',
'otherPar': ''
}
self = indexScore_fund(btParms, fundAdjNav, 'auto')
op = self.output
score = op['factorScore']
rank = op['factorRank']
# 这个值是用来记录当前cycle及分类下参与排名的样本数量，因为前端显示的排名都是5 / 200
# 这种形式，本意是要存入数据库的，但我跟平赞沟通过了，他说他们前端直接根据数据库里的数据处理即可，不用存这个字段了
# sc = op['sampleCounts']
# tp = score
# for ti in tp.index:
# tp[ti] = str(sc)
indicators.append(score)
ranks.append(rank)
ranks.append(pd.Series()) # 一级分类排名样本
ranks.append(pd.Series()) # 二级分类排名一期不上，先做个空值
ranks.append(pd.Series()) # 二级分类排名样本一期不上，先做个空值
updatedType.append(fundType)
indicators.extend(ranks)
df = pd.DataFrame(indicators).fillna('9999999999999.0')
cols = df.columns.tolist()
for col in cols:
res = df[col] # [基金id,score,score,...]
lst = res.values.tolist()
lst = [transformFloatIfAvaliable2(l) for l in lst]
objId = uuid_util.gen_uuid()
lst.insert(0, str(objId))
lst.insert(1, str(indicatorId))
lst.insert(2, col)
# lst.insert(2, list(map(lambda x: x[-2:] + x[:-2], [col]))[0])
date = formatDate2yyyymmdd()
lst.insert(3, str(date))
lst.append("sys")
lst.append(datetime.datetime.now())
lst.append("sys")
lst.append(datetime.datetime.now())
lst = [
'9999999999999.0' if type(ele) == pd.Series else ele
for ele in lst
]
tp = tuple(lst)
sql = "INSERT INTO fof_index_score VALUES ( %s, %s, %s, %s, %s, %s, %s,%s, %s, %s, %s, %s, %s, %s,%s, %s, %s, %s, %s, %s, %s, %s,%s,%s,%s, %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)
indicators.clear()
ranks.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()