def date_stamps(start_date, end_date):
start_date = Date.fromDateTime(start_date)
end_date = Date.fromDateTime(end_date)
start_year = start_date.year()
start_month = start_date.month()
if start_month <= 3:
start_month = 3
elif start_month <= 6:
start_month = 6
elif start_month <= 9:
start_month = 9
else:
start_month = 12
stamps = []
start_point = Date(start_year, start_month, 1)
start_point = Date.endOfMonth(start_point)
while start_point <= end_date:
stamps.append(start_point.toDateTime().strftime('%Y%m%d'))
start_point = Date.endOfMonth(start_point + '3m')
return stamps
def bizDatesList(holidayCenter, fromDate, toDate):
cal = Calendar(holidayCenter)
fromDate = Date.fromDateTime(fromDate)
toDate = Date.fromDateTime(toDate)
assert fromDate <= toDate, "from date ({0} must be earlier than to date {1}".format(
fromDate, toDate)
return [d.toDateTime() for d in cal.bizDatesList(fromDate, toDate)]
def datesList(fromDate, toDate):
fromDate = Date.fromDateTime(fromDate)
toDate = Date.fromDateTime(toDate)
assert fromDate <= toDate, "from date ({0} must be earlier than to date {1}".format(
fromDate, toDate)
return [
Date.fromExcelSerialNumber(serial).toDateTime()
for serial in range(fromDate.serialNumber, toDate.serialNumber + 1)
]
def get_pos_adj_date(start_date,
end_date,
formats="%Y-%m-%d",
calendar='China.SSE',
freq='m',
return_biz_day=False):
"""
:param start_date: str/datetime.datetime, start date of strategy
:param end_date: str/datetime.datetime, end date of strat egy
:param formats: optional, formats of the string date
:param calendar: str, optional, name of the calendar to use in dates math
:param freq: str, optional, the frequency of data
:param return_biz_day: bool, optional, if the return dates are biz days
:return: list of datetime.datetime, pos adjust dates
"""
if isinstance(start_date, str) and isinstance(end_date, str):
d_start_date = Date.strptime(start_date, formats)
d_end_date = Date.strptime(end_date, formats)
elif isinstance(start_date, datetime.datetime) and isinstance(
end_date, datetime.datetime):
d_start_date = Date.fromDateTime(start_date)
d_end_date = Date.fromDateTime(end_date)
cal = Calendar(calendar)
pos_adjust_date = Schedule(d_start_date, d_end_date,
Period(length=1, units=_freqDict[freq]), cal,
BizDayConventions.Unadjusted)
# it fails if setting dStartDate to be first adjustment date, then use Schedule to compute the others
# so i first compute dates list in each period, then compute the last date of each period
# last day of that period(month) is the pos adjustment date
if _freqDict[freq] == TimeUnits.Weeks:
pos_adjust_date = [
Date.nextWeekday(date, Weekdays.Friday)
for date in pos_adjust_date[:-1]
]
elif _freqDict[freq] == TimeUnits.Months:
pos_adjust_date = [
cal.endOfMonth(date) for date in pos_adjust_date[:-1]
]
elif _freqDict[freq] == TimeUnits.Years:
pos_adjust_date = [
Date(date.year(), 12, 31) for date in pos_adjust_date[:-1]
]
if return_biz_day:
pos_adjust_date = [
cal.adjustDate(date, BizDayConventions.Preceding)
for date in pos_adjust_date
]
pos_adjust_date = [Date.toDateTime(date) for date in pos_adjust_date]
pos_adjust_date = [
date for date in pos_adjust_date if date <= d_end_date.toDateTime()
]
return pos_adjust_date
def advanceDateByCalendar(holidayCenter,
referenceDate,
period,
convention=BizDayConventions.Following):
cal = Calendar(holidayCenter)
refer = Date.fromDateTime(referenceDate)
return cal.advanceDate(refer, period, convention).toDateTime()
def __init__(self,
layer_factor,
alpha_factor,
sec_return,
tiaocang_date,
tiaocang_date_window_size=12,
save_sec_score=True,
factor_weight_type=FactorWeightType.ICWeight,
alpha_factor_sign=None,
na_handler=FactorNAHandler.ReplaceWithMedian):
self._layerFactor = layer_factor
self._layerFactorNames = [
layer_factor.name for layer_factor in self._layerFactor
]
self._alphaFactor = alpha_factor
self._alphaFactorNames = [
alpha_factor.name for alpha_factor in self._alphaFactor
]
self._secReturn = sec_return
self._tiaoCangDate = tiaocang_date
self._startDate = str(Date.fromDateTime(self._tiaoCangDate[0]))
self._endDate = str(Date.fromDateTime(self._tiaoCangDate[-1]))
self._tiaoCangDateWindowSize = tiaocang_date_window_size
pyFinAssert(
len(self._tiaoCangDate) > self._tiaoCangDateWindowSize, ValueError,
"length of tiaoCangDate must be larger than moving window size")
self._saveSecScore = save_sec_score
self._factorWeightType = factor_weight_type
self._alphaFactorSign = alpha_factor_sign
self._na_handler = na_handler
self._rank_ic = None
if self._factorWeightType == FactorWeightType.EqualWeight:
pyFinAssert(
len(self._alphaFactorSign) == len(self._alphaFactor),
ValueError,
"length of alpha_factor_sign({0}), does not equal to that of alpha factor({1})"
.format(len(self._alphaFactorSign), len(self._alphaFactor)))
def map_to_biz_day(date_series,
calendar='China.SSE',
convention=BizDayConventions.Preceding):
"""
:param date_series: pd.Sereis, datetime.datetime
:param calendar: str, optional, name of the calendar to use in dates math
:param convention: str, optional, pyFin date conventions
:return: pd.Series, datetime.datetime
用更快的方式计算, 避免对每个日期进行循环
"""
unique_date_list = sorted(set(date_series))
py_date_list = [Date.fromDateTime(date) for date in unique_date_list]
py_date_list = [
Calendar(calendar).adjustDate(date, convention)
for date in py_date_list
]
biz_day_list = [Date.toDateTime(date) for date in py_date_list]
dict_date_map = dict(zip(unique_date_list, biz_day_list))
ret = date_series.map(dict_date_map)
return ret
def get_report_date(act_date, return_biz_day=True):
"""
:param act_date: str/datetime.datetime, 任意日期
:param return_biz_day: bool, 是否返回交易日
:return: datetime, 对应应使用的报告日期， 从wind数据库中爬取
此函数的目的是要找到，任意时刻可使用最新的季报数据的日期，比如2-20日可使用的最新季报是去年的三季报（对应日期为9-30），
"""
if isinstance(act_date, str):
act_date = Date.strptime(act_date)
elif isinstance(act_date, datetime.datetime):
act_date = Date.fromDateTime(act_date)
act_month = act_date.month()
act_year = act_date.year()
if 1 <= act_month <= 3: # 第一季度使用去年三季报的数据
year = act_year - 1
month = 9
day = 30
elif 4 <= act_month <= 7: # 第二季度使用当年一季报
year = act_year
month = 3
day = 31
elif 8 <= act_month <= 9: # 第三季度使用当年中报
year = act_year
month = 6
day = 30
else:
year = act_year # 第四季度使用当年三季报
month = 9
day = 30
if return_biz_day:
date_adj = Calendar('China.SSE').adjustDate(
Date(year, month, day), BizDayConventions.Preceding)
ret = date_adj.toDateTime()
else:
ret = datetime.datetime(year, month, day)
return ret
def check_date(date):
from PyFin.DateUtilities import Date
if isinstance(date, str):
return Date.strptime(date, dateFormat='%Y-%m-%d')
else:
return Date.fromDateTime(date)
def advanceDateByCalendar(holidayCenter, referenceDate, period, convention=BizDayConventions.Following):
cal = Calendar(holidayCenter)
refer = Date.fromDateTime(referenceDate)
return cal.advanceDate(refer, period, convention).toDateTime()
def advanceDate(referenceDate, period):
d = Date.fromDateTime(referenceDate) + period
return d.toDateTime()
def holDatesList(holidayCenter, fromDate, toDate, includeWeekend=True):
cal = Calendar(holidayCenter)
fromDate = Date.fromDateTime(fromDate)
toDate = Date.fromDateTime(toDate)
assert fromDate <= toDate, "from date ({0} must be earlier than to date {1}".format(fromDate, toDate)
return [d.toDateTime() for d in cal.holDatesList(fromDate, toDate, includeWeekend)]
def datesList(fromDate, toDate):
fromDate = Date.fromDateTime(fromDate)
toDate = Date.fromDateTime(toDate)
assert fromDate <= toDate, "from date ({0} must be earlier than to date {1}".format(fromDate, toDate)
return [Date.fromExcelSerialNumber(serial).toDateTime() for serial in
range(fromDate.serialNumber, toDate.serialNumber + 1)]
def isBizDay(holidayCenter, ref):
cal = Calendar(holidayCenter)
ref = Date.fromDateTime(ref)
return cal.isBizDay(ref)
