def factor_leverage(cur_date):
# 现金比率，-1列为rank,-2列为所需要的
fa_cashtoliqdebt = om.get_fa_cashtoliqdebt(cur_date)
# 流动比率，-1列为rank,-2列为所需要的
fa_current = om.get_fa_current(cur_date)
# 权益乘数，-1列为rank,-2列为所需要的
fa_assetstoequity = om.get_fa_assetstoequity(cur_date)
# 获取个股市值(带index)
index_mkvalue = om.get_index_mkvalue(cur_date)
cashration = fa_cashtoliqdebt.iloc[:, -2] # 现金比率
currentratio = fa_current.iloc[:, -2] # 流动比率
equitymultiplier = fa_assetstoequity.iloc[:, -2]
ln_capital = np.log(index_mkvalue.iloc[:, -1]) # 市值对数
# 入库
stock_list = om.get_all_stock(cur_date)
cashration_flag = fh.df_to_list(cur_date, cashration, 'cashration', stock_list)
currentratio_flag = fh.df_to_list(cur_date, currentratio, 'currentratio', stock_list)
equitymultiplier_flag = fh.df_to_list(cur_date, equitymultiplier, 'equitymultiplier', stock_list)
ln_capital_flag = fh.df_to_list(cur_date, ln_capital, 'ln_capital', stock_list)
if cashration_flag & currentratio_flag & equitymultiplier_flag & ln_capital_flag != 1:
gl.logger.error('factor_leverage insert fail')
return 0
else:
gl.logger.info('factor_leverage insert successful')
return 1
def factor_financial_quality(cur_date):
# 获取经营性现金流(ttm)
val_pcf_ocfttm = om.get_index_val_pcf_ocfttm(cur_date)
# 单季度.净资产收益率，-1列为rank,-2列为所需要的
qfa_roe = om.get_qfa_roe(cur_date)
# 净资产收益率(ttm)，-1列为rank,-2列为所需要的
fa_roe = om.get_fa_roe(cur_date)
# 单季度.总资产净利润，-1列为rank,-2列为所需要的
qfa_roa = om.get_qfa_roa(cur_date)
# 总资产净利润(ttm)，-1列为rank,-2列为所需要的
fa_roa = om.get_fa_roa(cur_date)
# 单季度.销售毛利率，-1列为rank,-2列为所需要的
qfa_grossprofitmargin = om.get_qfa_grossprofitmargin(cur_date)
# 销售毛利率(ttm)，-1列为rank,-2列为所需要的
fa_grossprofitmargin = om.get_fa_grossprofitmargin(cur_date)
# 扣除非经常损益后的净利润/净利润，-1列为rank,-2列为所需要的
deductedprofittoprofit = om.get_deductedprofittoprofit(cur_date)
# 总资产周转率(ttm)，-1列为rank,-2列为所需要的
fa_assetsturn = om.get_fa_assetsturn(cur_date)
# 获取经营性现金流(lyr)
val_pcf_ocf = om.get_index_val_pcf_ocf(cur_date)
roe_q = qfa_roe.iloc[:, -2]
roe_ttm = fa_roe.iloc[:, -2]
roa_q = qfa_roa.iloc[:, -2]
roa_ttm = fa_roa.iloc[:, -2]
grossprofitmargin_q = qfa_grossprofitmargin.iloc[:, -2]
grossprofitmargin_ttm = fa_grossprofitmargin.iloc[:, -2]
profitmargin_ttm = deductedprofittoprofit.iloc[:, -2]
assetturnover_ttm = fa_assetsturn.iloc[:, -2]
operationcashflowratio_q = val_pcf_ocf.iloc[:, -1] / qfa_roa.iloc[:, -2]
operationcashflowratio_ttm = val_pcf_ocfttm.iloc[:, -1] / fa_roa.iloc[:, -2]
# 入库
stock_list = om.get_all_stock(cur_date)
roe_q_flag = fh.df_to_list(cur_date, roe_q, 'roe_q', stock_list)
roe_ttm_flag = fh.df_to_list(cur_date, roe_ttm, 'roe_ttm', stock_list)
roa_q_flag = fh.df_to_list(cur_date, roa_q, 'roa_q', stock_list)
roa_ttm_flag = fh.df_to_list(cur_date, roa_ttm, 'roa_ttm', stock_list)
grossprofitmargin_q_flag = fh.df_to_list(cur_date, grossprofitmargin_q, 'grossprofitmargin_q', stock_list)
grossprofitmargin_ttm_flag = fh.df_to_list(cur_date, grossprofitmargin_ttm, 'grossprofitmargin_ttm', stock_list)
profitmargin_ttm_flag = fh.df_to_list(cur_date, profitmargin_ttm, 'profitmargin_ttm', stock_list)
assetturnover_ttm_flag = fh.df_to_list(cur_date, assetturnover_ttm, 'assetturnover_ttm', stock_list)
operationcashflowratio_q_flag = fh.df_to_list(cur_date, operationcashflowratio_q, 'operationcashflowratio_q', stock_list)
operationcashflowratio_ttm_flag = fh.df_to_list(cur_date, operationcashflowratio_ttm, 'operationcashflowratio_ttm', stock_list)
if roe_q_flag & roe_ttm_flag & roa_q_flag & roa_ttm_flag & grossprofitmargin_q_flag & grossprofitmargin_ttm_flag \
& profitmargin_ttm_flag & assetturnover_ttm_flag & operationcashflowratio_q_flag & operationcashflowratio_ttm_flag != 1:
gl.logger.error('factor_financial_quality insert fail')
return 0
else:
gl.logger.info('factor_financial_quality insert successful')
return 1
def stock_regress(cur_date, date_list):
# 获取前12个月的个股收盘价(未复权)
preclose = om.get_preclose(date_list)
preclose = fh.transform_large_df(preclose)
# 求收益率,并且去掉最后一行
preclose = preclose / preclose.shift(-1) - 1
# 此处为行是日期,列为股票代码
preclose = preclose.iloc[:-1]
# 获取沪深300指数(未复权),取出来是一个数
stock_300 = om.get_stock_300(date_list)
stock_300 = stock_300.iloc[:, -1]
stock_300 = stock_300 / stock_300.shift(-1) - 1
stock_300 = stock_300.iloc[:-1]
train = pd.concat([stock_300, preclose], axis=1, join='inner')
train.fillna(0, inplace=True)
x_df = train.iloc[:, 0:1]
y_df = train.iloc[:, 1:]
model = linear_model.LinearRegression()
regress_result = {}
for y_col_num in range(y_df.shape[1]):
y_matrix = np.mat(y_df.iloc[:, y_col_num]).T
x_matrix = np.mat(x_df)
reg = model.fit(x_matrix, y_matrix)
coef = reg.coef_[0][0]
const = reg.intercept_[0]
beta_consis = coef * (y_matrix - np.dot(coef, x_matrix) + const).std()
regress_result[y_df.columns[y_col_num]] = [coef, const, beta_consis]
return regress_result
def factor_growth(cur_date):
# 单季度 营业收入环比增长率，-1列为rank,-2列为所需要的
qfa_cgrsales = om.get_qfa_cgrsales(cur_date)
# 营业收入同比增长率，-1列为rank,-2列为所需要的
fa_yoy_or = om.get_fa_yoy_or(cur_date)
# 单季度.净利润同比增长率(%)，-1列为rank,-2列为所需要的
qfa_yoyprofit = om.get_qfa_yoyprofit(cur_date)
# 同比增长率-归属母公司股东的净利润-扣除非经常损益(%)，-1列为rank,-2列为所需要的
profit_deducted = om.get_profit_deducted(cur_date)
# 同比增长率-经营活动产生的现金流量净额(%)，-1列为rank,-2列为所需要的
fa_yoyocf = om.get_fa_yoyocf(cur_date)
# 同比增长率-归属母公司股东的净利润-扣除非经常损益(%)，-1列为rank,-2列为所需要的
profit_deducted_second = om.get_profit_deducted(cur_date - 10000)
# 同比增长率-归属母公司股东的净利润-扣除非经常损益(%)，-1列为rank,-2列为所需要的
profit_deducted_third = om.get_profit_deducted(cur_date - 20000)
# 同比增长率-经营活动产生的现金流量净额(%)，-1列为rank,-2列为所需要的
fa_yoyocf_second = om.get_fa_yoyocf(cur_date - 10000)
# 同比增长率-经营活动产生的现金流量净额(%)，-1列为rank,-2列为所需要的
fa_yoyocf_third = om.get_fa_yoyocf(cur_date - 20000)
# 营业收入同比增长率，-1列为rank,-2列为所需要的(去年的)
fa_yoy_or_second = om.get_fa_yoy_or(cur_date - 10000)
# 营业收入同比增长率，-1列为rank,-2列为所需要的(前年的)
fa_yoy_or_third = om.get_fa_yoy_or(cur_date - 20000)
sales_growth_q = qfa_cgrsales.iloc[:, -2]
sales_growth_ttm = fa_yoy_or.iloc[:, -2]
sales_growth_3y = (((fa_yoy_or.iloc[:, -2] / 100 + 1) * (fa_yoy_or_second.iloc[:, -2] / 100 + 1) *
(fa_yoy_or_third.iloc[:, -2] / 100 + 1)) ** (1 / 3) - 1) * 100
profit_growth_q = qfa_yoyprofit.iloc[:, -2]
profit_growth_ttm = profit_deducted.iloc[:, -2]
profit_growth_3y = (((profit_deducted.iloc[:, -2] / 100 + 1) * (profit_deducted_second.iloc[:, -2] / 100 + 1) *
(profit_deducted_third.iloc[:, -2] / 100 + 1)) ** (1 / 3) - 1) * 100
operationcashflow_growth_ttm = fa_yoyocf.iloc[:, -2]
operationcashflow_growth_3y = (((fa_yoyocf.iloc[:, -2] / 100 + 1) * (fa_yoyocf_second.iloc[:, -2] / 100 + 1) *
(fa_yoyocf_third.iloc[:, -2] / 100 + 1)) ** (1 / 3) - 1) * 100
# 入库
stock_list = om.get_all_stock(cur_date)
sales_growth_q_flag = fh.df_to_list(cur_date, sales_growth_q, 'sales_growth_q', stock_list)
sales_growth_ttm_flag = fh.df_to_list(cur_date, sales_growth_ttm, 'sales_growth_ttm', stock_list)
sales_growth_3y_flag = fh.df_to_list(cur_date, sales_growth_3y, 'sales_growth_3y', stock_list)
profit_growth_q_flag = fh.df_to_list(cur_date, profit_growth_q, 'profit_growth_q', stock_list)
profit_growth_ttm_flag = fh.df_to_list(cur_date, profit_growth_ttm, 'profit_growth_ttm', stock_list)
profit_growth_3y_flag = fh.df_to_list(cur_date, profit_growth_3y, 'profit_growth_3y', stock_list)
operationcashflow_growth_ttm_flag = fh.df_to_list(cur_date, operationcashflow_growth_ttm,
'operationcashflow_growth_ttm', stock_list)
operationcashflow_growth_3y_flag = fh.df_to_list(cur_date, operationcashflow_growth_3y,
'operationcashflow_growth_3y', stock_list)
if sales_growth_q_flag & sales_growth_ttm_flag & sales_growth_3y_flag & profit_growth_q_flag & profit_growth_ttm_flag & \
profit_growth_3y_flag & operationcashflow_growth_ttm_flag & operationcashflow_growth_3y_flag != 1:
gl.logger.error('factor_growth insert fail')
return 0
else:
gl.logger.info('factor_growth insert successful')
return 1
def factor_close_bak(cur_date):
close_bak = om.get_close_bak(cur_date)
close_bak = close_bak.iloc[:, -1]
stock_list = om.get_all_stock(cur_date)
close_bak_flag = fh.df_to_list(cur_date, close_bak, 'close_bak', stock_list)
if close_bak_flag != 1:
gl.logger.error('factor_close_bak insert fail')
return 0
else:
gl.logger.info('factor_close_bak insert successful')
return 1
def factor_modified_momentum(cur_date, date_list, date_adjclose, date_dq_turn):
m1, m2, m3, m6, m12 = 20, 40, 60, 120, 240
weighted_strength_1m = calculate_rate(date_adjclose, date_dq_turn, m1)
weighted_strength_2m = calculate_rate(date_adjclose, date_dq_turn, m2)
weighted_strength_3m = calculate_rate(date_adjclose, date_dq_turn, m3)
weighted_strength_6m = calculate_rate(date_adjclose, date_dq_turn, m6)
weighted_strength_12m = calculate_rate(date_adjclose, date_dq_turn, m12)
# 入库
stock_list = om.get_all_stock(cur_date)
weighted_strength_1m_flag = fh.df_to_list(cur_date, weighted_strength_1m, 'weighted_strength_1m', stock_list)
weighted_strength_2m_flag = fh.df_to_list(cur_date, weighted_strength_2m, 'weighted_strength_2m', stock_list)
weighted_strength_3m_flag = fh.df_to_list(cur_date, weighted_strength_3m, 'weighted_strength_3m', stock_list)
weighted_strength_6m_flag = fh.df_to_list(cur_date, weighted_strength_6m, 'weighted_strength_6m', stock_list)
weighted_strength_12m_flag = fh.df_to_list(cur_date, weighted_strength_12m, 'weighted_strength_12m', stock_list)
if weighted_strength_1m_flag & weighted_strength_2m_flag & weighted_strength_3m_flag & weighted_strength_6m_flag & \
weighted_strength_12m_flag != 1:
gl.logger.error('factor_modified_momentum insert fail')
return 0
else:
gl.logger.info('factor_modified_momentum insert successful')
return 1
def factor_turnover(cur_date, date_list):
m1, m2, m3, m6, m12 = 20, 40, 60, 120, 240
# 此处为了获得换手率,取得成交量和流通股本
# 获取成交量，和当日流通股本,不带index，为了格式化df成为index为日期，columns为股票代码
dq_volume = om.get_dq_volume(cur_date, date_list)
shr_today = om.get_shr_today(cur_date, date_list)
# 得到近一年的最高价,最低价,并转换为index为日期，columns为股票代码
date_dq_volume = fh.transform_large_df(dq_volume)
date_shr_today = fh.transform_large_df(shr_today)
turnover = date_dq_volume / date_shr_today
turnover = turnover.loc[list(date_dq_volume.index)]
# 在中国：换手率= 成交量/流通股本×100%,炒股软件的成交量单位是万,流通股本单位是亿
# 流通股本基本不变(大概1年变一次),我都取得各自的总量,然后相除
format = lambda x: '%.4f' % x
turnover_1m = turnover[:m1].sum()
turnover_2m = turnover[:m2].sum()
turnover_3m = turnover[:m3].sum()
turnover_6m = turnover[:m6].sum()
turnover_12m = turnover[:m12].sum()
turnover_1m = turnover_1m[~turnover_1m.isin([np.nan, np.inf, -np.inf])]
turnover_2m = turnover_2m[~turnover_2m.isin([np.nan, np.inf, -np.inf])]
turnover_3m = turnover_3m[~turnover_3m.isin([np.nan, np.inf, -np.inf])]
turnover_6m = turnover_6m[~turnover_6m.isin([np.nan, np.inf, -np.inf])]
turnover_12m = turnover_12m[~turnover_12m.isin([np.nan, np.inf, -np.inf])]
turnover_1m = turnover_1m.dropna()
turnover_2m = turnover_2m.dropna()
turnover_3m = turnover_3m.dropna()
turnover_6m = turnover_6m.dropna()
turnover_12m = turnover_12m.dropna()
turnover_1m = turnover_1m.map(format)
turnover_2m = turnover_2m.map(format)
turnover_3m = turnover_3m.map(format)
turnover_6m = turnover_6m.map(format)
turnover_12m = turnover_12m.map(format)
# 入库
stock_list = om.get_all_stock(cur_date)
turnover_1m_flag = fh.df_to_list(cur_date, turnover_1m, 'turnover_1m', stock_list)
turnover_2m_flag = fh.df_to_list(cur_date, turnover_2m, 'turnover_2m', stock_list)
turnover_3m_flag = fh.df_to_list(cur_date, turnover_3m, 'turnover_3m', stock_list)
turnover_6m_flag = fh.df_to_list(cur_date, turnover_6m, 'turnover_6m', stock_list)
turnover_12m_flag = fh.df_to_list(cur_date, turnover_12m, 'turnover_12m', stock_list)
if turnover_1m_flag & turnover_2m_flag & turnover_3m_flag & turnover_6m_flag & turnover_12m_flag != 1:
gl.logger.error('factor_turnover insert fail')
return 0
else:
gl.logger.info('factor_turnover insert successful')
return 1
def factor_value(cur_date):
# 获取EP(TTM)，净利润/总市值(带index)，（若净利润<=0，则返回空）
inverse_ep = om.get_index_ep(cur_date)
# 获取ps,市销率(PS,TTM)
ps = om.get_ps(cur_date)
# 获取pb值 也就是需要的bp，的倒数
inverse_bp = om.get_index_val_pb_new(cur_date)
# 获取净现金流
val_pcf_ncfttm = om.get_index_val_pcf_ncfttm(cur_date)
# 获取经营性现金流(ttm)
val_pcf_ocfttm = om.get_index_val_pcf_ocfttm(cur_date)
# 获取个股市值(带index)
index_mkvalue = om.get_index_mkvalue(cur_date)
ep = 1 / inverse_ep.iloc[:, -1]
bp = 1 / inverse_bp.iloc[:, -1]
sp = 1 / ps.iloc[:, -1]
ncfp = val_pcf_ncfttm.iloc[:, -1] / index_mkvalue.iloc[:, -1]
ocfp = val_pcf_ocfttm.iloc[:, -1] / index_mkvalue.iloc[:, -1]
# 分红放在最后面了,主要是不是我写的
# 红利(近12个月股息率),首先拼接一年前的日期
struct_time = time.strptime(str(cur_date), '%Y%m%d')
y = struct_time.tm_year - 1
m = struct_time.tm_mon
d = struct_time.tm_mday
year_before = str(date(y, m, d).replace(year=y))
year_before = year_before.replace('-', '')
divdend = om.get_dps(year_before, str(cur_date))
divdend.index = divdend.iloc[:, 0]
dp = divdend.iloc[:, -1]
# 入库
stock_list = om.get_all_stock(cur_date)
ep_flag = fh.df_to_list(cur_date, ep, 'ep', stock_list)
bp_flag = fh.df_to_list(cur_date, bp, 'bp', stock_list)
sp_flag = fh.df_to_list(cur_date, sp, 'sp', stock_list)
ncfp_flag = fh.df_to_list(cur_date, ncfp, 'ncfp', stock_list)
ocfp_flag = fh.df_to_list(cur_date, ocfp, 'ocfp', stock_list)
dp_flag = fh.df_to_list(cur_date, dp, 'dp', stock_list)
if ep_flag & bp_flag & sp_flag & ncfp_flag & ocfp_flag & dp_flag != 1:
gl.logger.error('factor_value insert fail')
return 0
else:
gl.logger.info('factor_value insert successful')
return 1
def factor_momentum(cur_date, regress_result, date_adjclose):
HAlpha = regress_result.loc['const']
relative_strength_1m = date_adjclose.iloc[0] / date_adjclose.shift(-20).iloc[0] - 1
relative_strength_2m = date_adjclose.iloc[0] / date_adjclose.shift(-20 * 2).iloc[0] - 1
relative_strength_3m = date_adjclose.iloc[0] / date_adjclose.shift(-20 * 3).iloc[0] - 1
relative_strength_6m = date_adjclose.iloc[0] / date_adjclose.shift(-20 * 6).iloc[0] - 1
relative_strength_12m = date_adjclose.iloc[0] / date_adjclose.shift(-20 * 12).iloc[0] - 1
# 入库
stock_list = om.get_all_stock(cur_date)
HAlpha_flag = fh.df_to_list(cur_date, HAlpha, 'HAlpha', stock_list)
relative_strength_1m_flag = fh.df_to_list(cur_date, relative_strength_1m, 'relative_strength_1m', stock_list)
relative_strength_2m_flag = fh.df_to_list(cur_date, relative_strength_2m, 'relative_strength_2m', stock_list)
relative_strength_3m_flag = fh.df_to_list(cur_date, relative_strength_3m, 'relative_strength_3m', stock_list)
relative_strength_6m_flag = fh.df_to_list(cur_date, relative_strength_6m, 'relative_strength_6m', stock_list)
relative_strength_12m_flag = fh.df_to_list(cur_date, relative_strength_12m, 'relative_strength_12m', stock_list)
if HAlpha_flag & relative_strength_1m_flag & relative_strength_2m_flag & relative_strength_3m_flag & \
relative_strength_6m_flag & relative_strength_12m_flag != 1:
gl.logger.error('factor_momentum insert fail')
return 0
else:
gl.logger.info('factor_momentum insert successful')
return 1
def factor_prepare(cur_date):
gl.logger.info("start to prepare factor data----------")
n = -365 # 主要因为dq_turn会返回周六周日的日期,数据为na,但是占了行数
# 取某个日期前(负，-7)or后(正，+7)N天的交易日日期,date_list[0]为最近的一天
date_list = om.getNtradeDate(cur_date, n)
# 12个月的个股收益对沪深300 线性回归
gl.logger.info('start to prepare regress data')
regress_result = stock_regress(cur_date, date_list)
regress_result = pd.DataFrame.from_dict(regress_result, orient='columns')
# index分别为权重,常数项,经过处理的残差
regress_result.index = ['coef', 'const', 'beta_consis']
# 获取500天的复权收益列表,为降序排列,第0个位最新的
gl.logger.info('start to prepare adjclose data')
adjclose = om.get_ndays_adjclose(cur_date, date_list)
# 格式化index为日期,columns为股票代码,降序,第0个位最新的
date_adjclose = fh.transform_large_df(adjclose)
# 换手率加权*日均收益率
# 获取换手率，不带index，为了格式化df成为index为日期，columns为股票代码
gl.logger.info('start to prepare dq_turn data')
dq_turn = om.get_dq_turn(cur_date, date_list)
date_dq_turn = fh.transform_large_df(dq_turn)
# 这个会返回周六周日,数据为na,所以导致n取365
date_dq_turn.dropna(how='all', inplace=True)
# -----------------------------------------------------------------------------
# 估值因子,value factor
gl.logger.info('start to run factor_value function')
factor_value_flag = factor_value(cur_date)
# -----------------------------------------------------------------------------
# 成长因子,growth factor
gl.logger.info('start to run factor_growth function')
factor_growth_flag = factor_growth(cur_date)
# -----------------------------------------------------------------------------
# 财务质量因子,financial quality factor
gl.logger.info('start to run factor_financial_quality function')
factor_financial_flag = factor_financial_quality(cur_date)
# -----------------------------------------------------------------------------
# 杠杠因子,leverage factor
# 规模因子,size factor
gl.logger.info('start to run factor_leverage function')
factor_leverage_flag = factor_leverage(cur_date)
# -----------------------------------------------------------------------------
# 动量因子,momentum factor
gl.logger.info('start to run factor_momentum function')
factor_momentum_flag = factor_momentum(cur_date, regress_result, date_adjclose)
# -----------------------------------------------------------------------------
# 波动率因子,volatility factor
gl.logger.info('start to run factor_volatility function')
factor_volatility_flag = factor_volatility(cur_date, date_list, regress_result, date_adjclose)
# -----------------------------------------------------------------------------
# 换手率因子,turnover factor
gl.logger.info('start to run factor_turnover function')
factor_turnover_flag = factor_turnover(cur_date, date_list)
# factor_turnover_flag = 1
# -----------------------------------------------------------------------------
# 改进的动量因子,modified momentum factor
gl.logger.info('start to run factor_modified_momentum function')
factor_modified_flag = factor_modified_momentum(cur_date, date_list, date_adjclose, date_dq_turn)
# -----------------------------------------------------------------------------
gl.logger.info('start to run factor_close_bak function')
close_bak_flag = factor_close_bak(cur_date)
flag = factor_value_flag & factor_growth_flag & factor_financial_flag & factor_leverage_flag & factor_momentum_flag \
& factor_volatility_flag & factor_turnover_flag & factor_modified_flag & close_bak_flag
# 所有函数的返回值是不是都成功了
work_time = time.strftime('%Y%m%d%H%M%S')
work_id = 'FactorPrepare_{}'.format(work_time)
entry_time = time.strftime('%Y-%m-%d %H:%M:%S')
if flag != 1:
status_flag = om.status_insert([[work_id, 0, entry_time]])
gl.logger.error('some function are failed----------')
return 0
else:
status_flag = om.status_insert([[work_id, 1, entry_time]])
gl.logger.info('all function are successful----------')
return 1
def factor_volatility(cur_date, date_list, regress_result, date_adjclose):
m1, m2, m3, m6, m12 = 20, 40, 60, 120, 240
# 获取N天交易日中每天的最高价和最低价，不带index，为了格式化df成为index为日期，columns为股票代码
price_high = om.get_ndays_dq_high(cur_date, date_list)
price_low = om.get_ndays_dq_low(cur_date, date_list)
# 得到近一年的最高价,最低价,并转换为index为日期，columns为股票代码
date_price_high = fh.transform_large_df(price_high)
date_price_low = fh.transform_large_df(price_low)
# 降序排列index（最上面的是最新的日期）, 结果为20天内最高价和最低价
# 获取N天交易日中每天的最高价，不带index，为了格式化df成为index为日期，columns为股票代码
price_max_1m, price_min_1m = price(date_price_high, date_price_low, m1)
price_max_2m, price_min_2m = price(date_price_high, date_price_low, m2)
price_max_3m, price_min_3m = price(date_price_high, date_price_low, m3)
price_max_6m, price_min_6m = price(date_price_high, date_price_low, m6)
price_max_12m, price_min_12m = price(date_price_high, date_price_low, m12)
high_low_1m = price_max_1m / price_min_1m
high_low_2m = price_max_2m / price_min_2m
high_low_3m = price_max_3m / price_min_3m
high_low_6m = price_max_6m / price_min_6m
high_low_12m = price_max_12m / price_min_12m
std_1m = std_adjclose_rate(date_adjclose, m1)
std_2m = std_adjclose_rate(date_adjclose, m2)
std_3m = std_adjclose_rate(date_adjclose, m3)
std_6m = std_adjclose_rate(date_adjclose, m6)
std_12m = std_adjclose_rate(date_adjclose, m12)
ln_price = np.log(date_adjclose.iloc[0]) # 用的每日收盘价
beta_consistence = regress_result.loc['beta_consis']
# 入库
stock_list = om.get_all_stock(cur_date)
high_low_1m_flag = fh.df_to_list(cur_date, high_low_1m, 'high_low_1m', stock_list)
high_low_2m_flag = fh.df_to_list(cur_date, high_low_2m, 'high_low_2m', stock_list)
high_low_3m_flag = fh.df_to_list(cur_date, high_low_3m, 'high_low_3m', stock_list)
high_low_6m_flag = fh.df_to_list(cur_date, high_low_6m, 'high_low_6m', stock_list)
high_low_12m_flag = fh.df_to_list(cur_date, high_low_12m, 'high_low_12m', stock_list)
std_1m_flag = fh.df_to_list(cur_date, std_1m, 'std_1m', stock_list)
std_2m_flag = fh.df_to_list(cur_date, std_2m, 'std_2m', stock_list)
std_3m_flag = fh.df_to_list(cur_date, std_3m, 'std_3m', stock_list)
std_6m_flag = fh.df_to_list(cur_date, std_6m, 'std_6m', stock_list)
std_12m_flag = fh.df_to_list(cur_date, std_12m, 'std_12m', stock_list)
ln_price_flag = fh.df_to_list(cur_date, ln_price, 'ln_price', stock_list)
beta_consistence_flag = fh.df_to_list(cur_date, beta_consistence, 'beta_consistence', stock_list)
if high_low_1m_flag & high_low_2m_flag & high_low_3m_flag & high_low_6m_flag & high_low_12m_flag & \
std_1m_flag & std_2m_flag & std_3m_flag & std_6m_flag & std_12m_flag & ln_price_flag & beta_consistence_flag != 1:
gl.logger.error('factor_volatility insert fail')
return 0
else:
gl.logger.info('factor_volatility insert successful')
return 1