def get_index2(self): df_index = DataAPI.MktIdxdGet(tradeDate=u"", indexID=u"", ticker=u"000300", beginDate=self.start, endDate=self.end, exchangeCD=u"XSHE,XSHG", field=['tradeDate', 'closeIndex'], pandas="1") df_index.columns = ['trade_day', 'close'] df_index['trade_day'] = df_index['trade_day'].apply(lambda x: x[:4] + x[5:7] + x[8:]) return df_index
def update_uqer_index_market(ds, **kwargs): ref_date, this_date = process_date(ds) flag = check_holiday(this_date) if not flag: return df = api.MktIdxdGet(tradeDate=ref_date) df = df[df.exchangeCD.isin(['XSHE', 'XSHG', 'ZICN'])] df = df[df.ticker <= '999999'] df.rename(columns={ 'tradeDate': 'trade_date', 'ticker': 'indexCode', 'CHGPct': 'chgPct', 'secShortName': 'indexShortName' }, inplace=True) df = df[[ 'trade_date', 'indexCode', 'preCloseIndex', 'openIndex', 'highestIndex', 'lowestIndex', 'closeIndex', 'turnoverVol', 'turnoverValue', 'chgPct' ]] df['indexCode'] = df.indexCode.astype(int) query = delete(IndexMarket).where(IndexMarket.trade_date == this_date) engine.execute(query) data_info_log(df, Market) format_data(df, format='%Y-%m-%d') df.to_sql(IndexMarket.__table__.name, engine, index=False, if_exists='append')
def get_index_daily(self): df_index_daily = DataAPI.MktIdxdGet(tradeDate=u"", indexID=u"", ticker=u"000300", beginDate='20060104', endDate='20171109', exchangeCD=u"XSHE,XSHG", field=['tradeDate', 'closeIndex'], pandas="1") df_index_daily.columns = ['trade_day', 'close'] df_index_daily['trade_day'] = df_index_daily['trade_day'].apply(lambda x: x[:4] + x[5:7] + x[8:]) return df_index_daily
def get_market_index_daily(self, index_ticker, begin_date, end_date): df = DataAPI.MktIdxdGet(ticker=index_ticker, beginDate=begin_date, endDate=end_date) df['tradeDate'] = df['tradeDate'].apply( lambda x: str(x).replace('-', '')) return df.set_index('tradeDate')['closeIndex']
from uqer import DataAPI client = uqer.Client( token='811e6680b27759e045ed16e2ed9b408dc8a0cbffcf14e4bb755144dd45fa5ea0') import sys sys.path.append("..") from tools import get_tradeDay reload(sys) start = '20080401' end = '20170510' df_index = DataAPI.MktIdxdGet(tradeDate=u"", indexID=u"", ticker=u"000300", beginDate=start, endDate=end, exchangeCD=u"XSHE,XSHG", field=['tradeDate', 'closeIndex'], pandas="1") df_index.columns = ['trade_day', 'close'] fre = 'month' tradeday = get_tradeDay.wind(start, end, fre=fre) factor_name = 'RAND1' factor_path = 'Z:/axioma_data/alpha/%s' % factor_name # factor_path = 'E:/QUANT/alpha_factor/risk_data/SIZE_uqer' close_path = 'Z:/backtest_data/close_data/gogo_data' df_close = pd.DataFrame([]) for i in tradeday: