def _factor_convert2daily(self):
tiaocang_date_list = self._tiaocang_date
ret = pd.DataFrame()
for i in range(0, len(tiaocang_date_list) - 1):
date = bizDatesList(self._calendar.name, tiaocang_date_list[i],
tiaocang_date_list[i + 1])
date = date if i == len(tiaocang_date_list) - 2 else date[:-1]
nb_date = len(date)
tiancang_factor = self._factor.loc[
self._factor.index.
get_level_values('date') >= tiaocang_date_list[i], :]
tiancang_factor = tiancang_factor.loc[
tiancang_factor.index.
get_level_values('date') < tiaocang_date_list[i + 1], :]
duplicate_date = np.concatenate(
map(lambda x: np.tile(x, len(tiancang_factor)), date))
duplicate_sec_score = np.tile(tiancang_factor.values, nb_date)
duplicate_sec_id = np.tile(
tiancang_factor.index.get_level_values('asset'), nb_date)
ret = pd.concat([
ret,
pd.DataFrame({
'date': duplicate_date,
'secID': duplicate_sec_id,
'factor': duplicate_sec_score
})
])
ret = ret.set_index(['date', 'secID'])
ret = ret['factor']
return ret
def testBizDatesList(self):
bizDtList = bizDatesList('China.SSE', self.fromDate, self.toDate)
fromDate = Date.fromDateTime(self.fromDate)
currentDate = fromDate.toDateTime()
cal = Calendar('China.SSE')
while currentDate <= self.toDate:
finpyDate = Date.fromDateTime(currentDate)
if cal.isBizDay(finpyDate):
self.assertTrue(finpyDate.toDateTime() in bizDtList,
"{0} is expected as a business day in {1}".format(finpyDate, cal))
currentDate = (finpyDate + 1).toDateTime()
def testIsBizDay(self):
bizDates = bizDatesList('China.SSE', self.fromDate, self.toDate)
for i, date in enumerate(bizDates):
isBizFlag = isBizDay('China.SSE', date)
self.assertTrue(isBizFlag, "at index {0:d} {1} is expected to be business day.".format(i, date))
holDates = holDatesList('China.SSE', self.fromDate, self.toDate)
for i, date in enumerate(holDates):
isBizFlag = isBizDay('China.SSE', date)
self.assertTrue(isBizFlag is False, "at index {0:d} {1} is expected to be business day.".format(i, date))
def _get_sec_price_between_tiaocang_date(self, tiaocang_start_date, tiaocang_end_date):
tiaocang_data = get_multi_index_data(self._secSelected, 'tiaoCangDate', tiaocang_start_date)
sec_ids = tiaocang_data.index.get_level_values('secID').tolist()
date = bizDatesList('China.SSE', tiaocang_start_date, tiaocang_end_date)
if self._dataSource == DataSource.WIND:
price_data = WindMarketDataHandler.get_sec_price_on_date(start_date=date[0],
end_date=date[-1],
sec_ids=sec_ids)
else:
raise NotImplementedError
return price_data
def testBizDatesList(self):
bizDtList = bizDatesList('China.SSE', self.fromDate, self.toDate)
fromDate = Date.fromDateTime(self.fromDate)
currentDate = fromDate.toDateTime()
cal = Calendar('China.SSE')
while currentDate <= self.toDate:
finpyDate = Date.fromDateTime(currentDate)
if cal.isBizDay(finpyDate):
self.assertTrue(finpyDate.toDateTime() in bizDtList,
"{0} is expected as a business day in {1}".format(finpyDate, cal))
currentDate = (finpyDate + 1).toDateTime()
def testIsBizDay(self):
bizDates = bizDatesList('China.SSE', self.fromDate, self.toDate)
for i, date in enumerate(bizDates):
isBizFlag = isBizDay('China.SSE', date)
self.assertTrue(isBizFlag, "at index {0:d} {1} is expected to be business day.".format(i, date))
holDates = holDatesList('China.SSE', self.fromDate, self.toDate)
for i, date in enumerate(holDates):
isBizFlag = isBizDay('China.SSE', date)
self.assertTrue(isBizFlag is False, "at index {0:d} {1} is expected to be business day.".format(i, date))
def _get_sec_price_between_tiaocang_date(self, tiaocang_start_date,
tiaocang_end_date):
tiaocang_data = get_multi_index_data(self._sec_selected,
'tiaoCangDate',
tiaocang_start_date)
sec_ids = tiaocang_data.index.get_level_values('secID').tolist()
date = bizDatesList('China.SSE', tiaocang_start_date,
tiaocang_end_date)
price_data = get_sec_price(start_date=date[0],
end_date=date[-1],
sec_ids=sec_ids,
data_source=self._data_source,
csv_path=self._csv_path)
return price_data
