def get_fund_detail_position(fund_symbol, rpt_date):
"""
从数据库中获取给定基金的持仓
Parameter
---------
fund_symbol: string
基金的代码，可以通过各大基金网站查询
rpt_date: datetime like
基金报告期
Return
------
position: pandas.Series
"""
sql = '''
SELECT M2.SecuCode, S.RatioInNV
FROM SecuMain M, MF_StockPortfolioDetail S, SecuMain M2
WHERE
S.InnerCode = M.InnerCode AND
M.SecuCode = \'{fund_symbol}\' AND
S.StockInnerCode = M2.InnerCode AND
M.SecuCategory = 8 AND
M2.SecuCategory = 1 AND
M2.SecuMarket in (83, 90) AND
S.ReportDate = \'{rpt_date}\'
'''.format(fund_symbol=fund_symbol, rpt_date=rpt_date)
fund_data = fetch_db_data(jydb, sql, ['symbol', 'ratio'],
dtypes={'ratio': 'float64'})
fund_data.symbol = fund_data.symbol.apply(add_suffix)
fund_data = fund_data.set_index('symbol')['ratio']
return fund_data
def get_liststatus(start_time, end_time):
'''
获取上市公司的上市状态，1表示正常上市，2表示暂停上市，3表示退市整理，4表示终止上市，NA表示非
正常上市状态
'''
sql = '''
SELECT M.Secucode, S.ChangeType, S.changeDate
FROM SECUMAIN M, LC_ListStatus S
WHERE M.INNERCODE = S.INNERCODE AND
M.SecuCategory = 1 AND
S.SecuMarket in (90, 83) AND
S.ChangeType != 9
ORDER BY M.SECUCODE ASC, S.changeDate ASC
'''
ls_data = fetch_db_data(jydb,
sql, ['symbol', 'data', 'time'],
dtypes={'data': 'int'})
# 原数据库中1表示上市，2表示暂停上市，3表示恢复上市，4表示退市,6表示退市整理
ls_map = {1: 1, 2: 2, 3: 1, 4: 4, 6: 3}
ls_data['data'] = ls_data.data.map(ls_map)
ls_data['symbol'] = ls_data.symbol.apply(add_stock_suffix)
by_symbol = ls_data.groupby('symbol')
tds = get_calendar('stock.sse').get_tradingdays(start_time, end_time)
ls_data = by_symbol.apply(map2td,
days=tds,
timecol='time',
fillna={'symbol': lambda x: x.symbol.iloc[0]})
ls_data = ls_data.pivot_table('data', index='time', columns='symbol')
last_td = get_calendar('stock.sse').latest_tradingday(end_time, 'PAST')
universe = sorted(
pitcache_getter('UNIVERSE', 10).get_csdata(last_td).index)
ls_data = ls_data.reindex(columns=universe).sort_index(ascending=True)
if not check_completeness(ls_data.index, start_time, end_time):
raise ValueError('Error, data missed!')
return ls_data
def get_padjfactor(start_time, end_time):
'''
从数据库中获取复权因子
'''
sql = '''
SELECT A.ExDiviDate, A.RatioAdjustingFactor, M.SecuCode
FROM QT_AdjustingFactor A, SecuMain M
WHERE
A.InnerCode = M.InnerCode AND
M.secuMarket in (83, 90) AND
M.SECUCATEGORY = 1
ORDER BY M.SecuCode ASC, A.ExDiviDate ASC
'''
data = fetch_db_data(jydb,
sql, ['exdivdate', 'data', 'symbol'],
dtypes={'data': 'float64'})
data.symbol = data.symbol.apply(add_stock_suffix)
by_symbol = data.groupby('symbol')
tds = get_calendar('stock.sse').get_tradingdays(start_time, end_time)
data = by_symbol.apply(map2td,
days=tds,
timecol='exdivdate',
fillna={
'data': lambda x: 1,
'symbol': lambda x: x.symbol.iloc[0]
})
data = data.pivot_table('data', index='exdivdate', columns='symbol')
last_td = get_calendar('stock.sse').latest_tradingday(end_time, 'PAST')
universe = sorted(
pitcache_getter('UNIVERSE', 10).get_csdata(last_td).index)
data = data.reindex(columns=universe).sort_index(ascending=True).fillna(1)
if not check_completeness(data.index, start_time, end_time):
raise ValueError('Data missed!')
return data
def inner(start_time, end_time):
sql = '''
SELECT S.{share_type}, S.EndDate, M.SecuCode
FROM SecuMain M, LC_ShareStru S
WHERE M.CompanyCode = S.CompanyCode AND
M.SecuMarket in (83, 90) AND
M.SecuCategory = 1 AND
M.ListedState != 9
ORDER BY M.SecuCode ASC, S.EndDate ASC
'''.format(share_type=share_type)
data = fetch_db_data(jydb,
sql, ['data', 'time', 'symbol'],
dtypes={'data': 'float64'})
data.symbol = data.symbol.apply(add_stock_suffix)
data = data.drop_duplicates(['symbol', 'time'
]) # 若证券代码和时间相同则认为是相同数据，一般不会出现股本数据更正
by_symbol = data.groupby('symbol')
tds = get_calendar('stock.sse').get_tradingdays(start_time, end_time)
data = by_symbol.apply(map2td,
days=tds,
timecol='time',
fillna={'symbol': lambda x: x.symbol.iloc[0]})
data = data.pivot_table('data', index='time', columns='symbol')
last_td = get_calendar('stock.sse').latest_tradingday(end_time, 'PAST')
universe = sorted(
pitcache_getter('UNIVERSE', 10).get_csdata(last_td).index)
data = data.reindex(columns=universe)
if not check_completeness(data.index, start_time, end_time):
raise ValueError('Error, data missed!')
return data
def inner(start_time, end_time):
sql = '''
SELECT S.{level}, S.InfoPublDate, M.SecuCode
FROM LC_exgIndustry S, SecuMain M
WHERE S.CompanyCOde = M.CompanyCode AND
S.Standard = {standard} AND
M.SecuCategory = 1 AND
M.SecuMarket in (90, 83)
ORDER BY M.Secucode, S.InfoPublDate ASC
'''.format(level=INDUSTRY_LEVEL_MAP[class_level], standard=class_standard)
data = fetch_db_data(jydb, sql, ['data', 'time', 'symbol'])
data['data'] = data.data.map(translate_table)
data['symbol'] = data.symbol.apply(add_stock_suffix)
by_symbol = data.groupby('symbol')
tds = get_calendar('stock.sse').get_tradingdays(start_time, end_time)
data = by_symbol.apply(map2td, days=tds, timecol='time',
fillna={'data': lambda x: NaS, 'symbol': lambda x: x.symbol.iloc[0]})
data = data.pivot_table('data', index='time', columns='symbol',
aggfunc=lambda x: ';'.join(x))
check_agg_error(data)
last_td = get_calendar('stock.sse').latest_tradingday(end_time, 'PAST')
universe = sorted(pitcache_getter('UNIVERSE', 10).get_csdata(last_td).index)
data = data.reindex(columns=universe).fillna(NaS).astype(np_unicode)
if not check_completeness(data.index, start_time, end_time):
raise ValueError('Error, data missed!')
return data
def inner(start_time, end_time):
nonlocal sql_kwargs
if sql_kwargs is None:
sql_kwargs = {}
sql = sql_template.format(start_time=start_time,
end_time=end_time,
**sql_kwargs)
data = fetch_db_data(db, sql, cols, dtypes)
return data
def get_trade_status(start_time, end_time):
'''
获取股票的交易状态
Notes
-----
将成交量为0或者最高价等于最低价视为不能交易，返回值为1表示正常交易，0表示不能交易，NA表示未上市而不能交易
'''
sql = '''
SELECT S.TradingDay, S.TurnoverVolume, S.HighPrice, S.LowPrice, M.Secucode
FROM QT_DailyQuote S, SecuMain M
WHERE
S.InnerCode = M.InnerCode AND
M.SecuMarket in (83, 90) AND
S.TradingDay <= \'{end_time:%Y-%m-%d}\' AND
S.TradingDay >= \'{start_time:%Y-%m-%d}\' AND
M.SecuCategory = 1
ORDER BY M.Secucode ASC, S.TradingDay ASC
'''
start_time, end_time = trans_date(start_time, end_time)
offset = 30
start_time_shifted = get_calendar('stock.sse').shift_tradingdays(
start_time, -offset - 10)
sql = sql.format(start_time=start_time_shifted, end_time=end_time)
data = fetch_db_data(jydb,
sql, ['time', 'vol', 'high', 'low', 'symbol'],
dtypes={
'vol': 'float64',
'high': 'float64',
'low': 'float64'
})
data.symbol = data.symbol.apply(add_stock_suffix)
ma_vol = data.groupby('symbol', as_index=False).vol.rolling(
offset, min_periods=offset).mean()
ma_vol = ma_vol.reset_index(level=0, drop=True)
data = data.assign(ma_vol=ma_vol)
data = data.assign(flag=1)
# pdb.set_trace()
data.loc[np.isclose(data.ma_vol, 0, 0.1),
'ma_vol'] = np.nan # (上个交易日)移动平均成交量过低
data.ma_vol = data.vol / data.ma_vol
data.loc[np.isclose(data.vol, 0, 0.1), 'flag'] = 0 # 成家量过低，不可交易
data.loc[data.high == data.low, 'flag'] = 0 # 最高价等于最低价，不可交易
# 移动平均成交量过低，不可交易
data.loc[np.isclose(data.ma_vol, 0, 0.05) | (pd.isnull(data.ma_vol)),
'flag'] = 0
data = data.pivot_table('flag', index='time', columns='symbol')
last_td = get_calendar('stock.sse').latest_tradingday(end_time, 'PAST')
universe = sorted(
pitcache_getter('UNIVERSE', 10).get_csdata(last_td).index)
data = data.loc[(data.index >= start_time)
& (data.index <= end_time)].reindex(columns=universe)
if not check_completeness(data.index, start_time, end_time):
raise ValueError('Error, data missed!')
return data
def xps_shift_year(symbol, date, data_name, tab_name, offset):
# 计算年度偏移后的XPS指标
symbol = drop_suffix(symbol)
date = trans_date(date)
if tab_name == 'LC_BalanceSheetAll':
if_adjusted = ''
else:
if_adjusted = 'IfAdjusted NOT IN (4, 5) AND'
sql = '''
SELECT m.SecuCode, s.TotalShares, s.{data}, s.enddate, s.infopubldate
FROM
(select s1.EndDate, s1.InfoPublDate, s1.{data}, s1.CompanyCode, s1.rnum, s2.TotalShares from
(SELECT EndDate, InfoPublDate, {data}, CompanyCode, BulletinType, IfAdjusted, IfMerged, ROW_NUMBER()
OVER(PARTITION BY COMPANYCODE, ENDDATE ORDER BY INFOPUBLDATE DESC) as rnum FROM {tab_name}
WHERE
BulletinType != 10 AND
InfoPublDate < \'{date:%Y-%m-%d}\' AND
{if_adjusted}
IfMerged = 1) s1 left outer join LC_ShareStru s2 on (s1.CompanyCode = s2.CompanyCode AND s1.EndDate = s2.EndDate)) s, SecuMain M
where
s.rnum = 1 AND
S.CompanyCode = M.CompanyCode AND
M.SecuCode = \'{symbol}\' AND
M.SecuCategory = 1 AND
M.SecuMarket IN (83, 90) AND
S.EndDate >= (SELECT TOP(1) S3.CHANGEDATE
FROM LC_ListStatus S3
WHERE
S3.INNERCODE = M.INNERCODE AND
S3.ChangeType = 1)
ORDER BY S.EndDate ASC
'''.format(data=data_name,
tab_name=tab_name,
date=date,
symbol=symbol,
if_adjusted=if_adjusted)
data = fetch_db_data(
jydb, sql,
['symbol', 'total_share', 'data', 'rpt_date', 'update_time'], {
'data': 'float64',
'total_share': 'float64'
})
data['total_share'] = data.total_share.fillna(method='ffill')
if len(data) < 1:
return np.nan
data = data.loc[data.rpt_date.dt.month == 12]
if len(data) < offset or get_calendar('stock.sse').count(
data.iloc[-1, -1], date) > 120:
return np.nan
return data.iloc[-offset, 2] / data.iloc[-offset, 1]
def get_suspend_state(start_time, end_time):
"""
获取股票停牌状态
Notes
-----
其中，0表示未停牌，1表示整日停牌，2表示日内部分交易时间停牌
"""
start_time, end_time = trans_date(start_time, end_time)
sql = '''
SELECT M.SecuCode, S.SuspendDate, S.ResumptionDate
FROM LC_SuspendResumption S, SecuMain M
WHERE
S.InnerCode = M.InnerCode AND
M.SecuMarket in (83, 90) AND
(S.ResumptionDate >= \'{start_time: %Y-%m-%d}\' OR
s.ResumptionDate = '1900-01-01') AND
S.suspenddate <= \'{end_time: %Y-%m-%d}\' AND
M.SecuCategory = 1
ORDER BY M.Secucode ASC, S.SuspendDate ASC
'''.format(start_time=start_time, end_time=end_time)
data = fetch_db_data(jydb, sql,
['symbol', 'suspend_date', 'resumption_date'])
data.symbol = data.symbol.apply(add_stock_suffix)
tds = get_calendar('stock.sse').get_tradingdays(start_time, end_time)
def process_per_symbol(df):
state = {}
for _, line in df.iterrows():
_, start, end = line
if start < end: # 正常超过一个交易日的停牌
state[start] = 1
state[end] = 0
elif end == pd.to_datetime('1900-01-01'): # 停牌至计算日还未复牌
state[start] = 1
else: # 日内停牌
state[start] = 2
state = pd.Series(state).sort_index()
return state
data = data.groupby('symbol').apply(process_per_symbol).unstack().T
data = data.fillna(method='ffill')
data = map2td(data, tds)
latest_td = get_calendar('stock.sse').latest_tradingday(end_time, 'PAST')
universe = sorted(
pitcache_getter('UNIVERSE', 10).get_csdata(latest_td).index)
data = data.reindex(columns=universe).fillna(0)
if not check_completeness(data.index, start_time, end_time):
raise ValueError('Data missed!')
return data
def ttm_db(symbol, date, data_name, tab_name):
# 从SQL数据库中取出ttm数据
# symbol: 测试股票代码，带后缀
# date: 测试数据的时间
# data_name: 数据名称(通过聚源查询)
# tab_name: 表名称，仅支持[LC_IncomeStatementAll, LC_CashFlowStatementAll]
symbol = drop_suffix(symbol)
date = trans_date(date)
sql = '''
SELECT m.SecuCode, s.{data}, s.enddate, s.infopubldate
FROM
(SELECT EndDate, InfoPublDate, {data}, CompanyCode, BulletinType, IfMerged, ROW_NUMBER()
OVER(PARTITION BY COMPANYCODE, ENDDATE ORDER BY INFOPUBLDATE DESC) as rnum FROM {tab_name}
WHERE
BulletinType != 10 AND
InfoPublDate < \'{date:%Y-%m-%d}\' AND
IfMerged = 1
) s, SecuMain M
where
s.rnum = 1 AND
S.CompanyCode = M.CompanyCode AND
M.SecuCode = \'{symbol}\' AND
M.SecuCategory = 1 AND
M.SecuMarket IN (83, 90) AND
S.EndDate >= (SELECT TOP(1) S2.CHANGEDATE
FROM LC_ListStatus S2
WHERE
S2.INNERCODE = M.INNERCODE AND
S2.ChangeType = 1)
ORDER BY S.EndDate ASC'''.format(data=data_name,
symbol=symbol,
date=date,
tab_name=tab_name)
data = fetch_db_data(jydb, sql,
['symbol', 'data', 'rpt_date', 'update_time'],
{'data': 'float64'})
# pdb.set_trace()
if len(data) <= 4 or get_calendar('stock.sse').count(
data.iloc[-1, 3], date) > 120:
if len(data) == 4:
if data['rpt_date'].iloc[0].month != 3:
return np.nan
else:
return np.nan
raw_data = data.set_index('rpt_date').data
seasonly_data = raw_data - raw_data.shift(1)
seasonly_data.loc[seasonly_data.index.month == 3] = np.nan
seasonly_data = seasonly_data.fillna(raw_data)
return seasonly_data.iloc[-4:].sum()
def bs_shift_db_year(symbol,
date,
offset,
data_name,
tab_name='LC_BalanceSheetAll'):
# 按年度进行偏移的资产负债表数据
# 计算资产负债表偏移后的数据
# symbol: 股票代码
# date: 测试数据时间
# data_name: 数据名称(查询聚源)
# offset: 数据时间偏移量，以季度为单位
# tab_name: 报表名称，默认为资产负债表
symbol = drop_suffix(symbol)
date = trans_date(date)
sql = '''
SELECT m.SecuCode, s.{data}, s.enddate, s.infopubldate
FROM
(SELECT EndDate, InfoPublDate, {data}, CompanyCode, BulletinType, IfMerged, ROW_NUMBER()
OVER(PARTITION BY COMPANYCODE, ENDDATE ORDER BY INFOPUBLDATE DESC) as rnum FROM {tab_name}
WHERE
BulletinType != 10 AND
InfoPublDate < \'{date:%Y-%m-%d}\' AND
IfMerged = 1
) s, SecuMain M
where
s.rnum = 1 AND
S.CompanyCode = M.CompanyCode AND
M.SecuCode = \'{symbol}\' AND
M.SecuCategory = 1 AND
M.SecuMarket IN (83, 90) AND
S.EndDate >= (SELECT TOP(1) S2.CHANGEDATE
FROM LC_ListStatus S2
WHERE
S2.INNERCODE = M.INNERCODE AND
S2.ChangeType = 1)
ORDER BY S.EndDate ASC
'''.format(symbol=symbol, data=data_name, date=date, tab_name=tab_name)
data = fetch_db_data(jydb, sql,
['symbol', 'data', 'rpt_date', 'update_time'],
{'data': 'float64'})
if len(data) < 1: # 没有发不过年报
return np.nan
data = data.loc[data.rpt_date.dt.month == 12]
if len(data) < offset or get_calendar('stock.sse').count(
data.iloc[-1, 3], date) > 120:
return np.nan
# pdb.set_trace()
return data.iloc[-offset, 1]
def get_universe(start_time, end_time):
sql = '''
SELECT SecuCode
FROM SecuMain
WHERE
SecuCategory = 1 AND
SecuMarket in (83, 90) AND
ListedState != 9
'''
if not check_jydb_update_state(end_time):
raise ValueError('JYDB has not been updated!')
tds = get_calendar('stock.sse').get_tradingdays(start_time, end_time)
data = fetch_db_data(jydb, sql, ['symbol'])
symbols = sorted(add_stock_suffix(s) for s in data.symbol)
out = DataFrame(1, index=tds, columns=symbols)
return out
def inner(start_time, end_time):
start_time, end_time = trans_date(start_time, end_time)
start_time_shift = get_calendar('stock.sse').shift_tradingdays(start_time, -180)
nonlocal sql
sql = sql.format(code=index_symbol, start_time=start_time_shift, end_time=end_time)
data = fetch_db_data(jydb, sql, ['symbol', 'weight', 'time'], dtypes={'weight': 'float64'})
data.symbol = data.symbol.apply(add_stock_suffix)
tds = get_calendar('stock.sse').get_tradingdays(start_time, end_time)
data = data.pivot_table('weight', index='time', columns='symbol')
data = map2td(data, tds)
last_td = get_calendar('stock.sse').latest_tradingday(end_time, 'PAST')
universe = sorted(pitcache_getter('UNIVERSE', 10).get_csdata(last_td).index)
data = data.reindex(columns=universe)
if not check_completeness(data.index, start_time, end_time):
raise ValueError('Error, data missed!')
return data
def cshift_db(symbol, date, data_name, tab_name, offset):
# 计算流量类报表偏移后的数据
# symbol: 股票代码
# date: 测试数据时间
# data_name: 数据名称(查询聚源)
# tab_name: 报表名称(查询聚源)
# offset: 数据时间偏移量，以季为单位
symbol = drop_suffix(symbol)
date = trans_date(date)
sql = '''
SELECT m.SecuCode, s.{data}, s.enddate, s.infopubldate
FROM
(SELECT EndDate, InfoPublDate, {data}, CompanyCode, BulletinType, IfAdjusted, IfMerged, ROW_NUMBER()
OVER(PARTITION BY COMPANYCODE, ENDDATE ORDER BY INFOPUBLDATE DESC) as rnum FROM {tab_name}
WHERE
BulletinType != 10 AND
InfoPublDate < \'{date:%Y-%m-%d}\' AND
IfAdjusted NOT IN (4, 5) AND
IfMerged = 1) s, SecuMain M
where
s.rnum = 1 AND
S.CompanyCode = M.CompanyCode AND
M.SecuCode = \'{symbol}\' AND
M.SecuCategory = 1 AND
M.SecuMarket IN (83, 90) AND
S.EndDate >= (SELECT TOP(1) S2.CHANGEDATE
FROM LC_ListStatus S2
WHERE
S2.INNERCODE = M.INNERCODE AND
S2.ChangeType = 1)
ORDER BY S.EndDate ASC'''.format(data=data_name,
symbol=symbol,
date=date,
tab_name=tab_name)
data = fetch_db_data(jydb, sql,
['symbol', 'data', 'rpt_date', 'update_time'],
{'data': 'float64'})
# pdb.set_trace()
if len(data) < offset or get_calendar('stock.sse').count(
data.iloc[-1, 3], date) > 120:
return np.nan
raw_data = data.set_index('rpt_date').data
seasonly_data = raw_data - raw_data.shift(1)
seasonly_data.loc[seasonly_data.index.month == 3] = np.nan
seasonly_data = seasonly_data.fillna(raw_data)
return seasonly_data.iloc[-offset]
def inner(start_time, end_time):
start_time, end_time = trans_date(start_time, end_time)
nonlocal sql
sql = sql.format(start_time=start_time, end_time=end_time)
data = fetch_db_data(jydb, sql, cols, dtypes=dtypes)
data.symbol = data.symbol.apply(add_stock_suffix)
if len(cols) == 4: # 当前数据为需要使用前收盘填充的数据
data.loc[data.data == 0, 'data'] = data['prevclose']
data = data.drop('prevclose', axis=1)
data = data.pivot_table('data', index='time', columns='symbol')
latest_td = get_calendar('stock.sse').latest_tradingday(
end_time, 'PAST')
universe = sorted(
pitcache_getter('UNIVERSE', 10).get_csdata(latest_td).index)
data = data.reindex(columns=universe).sort_index(ascending=True)
if not check_completeness(data.index, start_time, end_time):
raise ValueError('Data missed!')
return data
def inner(start_time, end_time):
start_time, end_time = trans_date(start_time, end_time)
if not check_jydb_update_state(end_time):
raise ValueError('JYDB has not been updated!')
sql = '''
SELECT S.{field}, S.TradingDay
FROM QT_IndexQuote S, SecuMain M
WHERE
S.InnerCode = M.InnerCode AND
M.SecuCode = \'{symbol}\' AND
M.SecuCategory = 4 AND
S.TradingDay >= \'{start_time:%Y-%m-%d}\' AND
S.TradingDay <= \'{end_time:%Y-%m-%d}\'
ORDER BY S.TradingDay ASC
'''.format(symbol=index_symbol, start_time=start_time, end_time=end_time, field=field)
data = fetch_db_data(jydb, sql, ['data', 'time'], dtypes={'data': 'float64'})
data = data.set_index('time').data
if (start_time != trans_date(DATA_START_DATE) and
not check_completeness(data.index, start_time, end_time)):
raise ValueError('Data Missed!')
return data
def get_db_update_time():
'''
以指数行情作为标志获取聚源数据库中最新数据的日期
Return
------
date: datetime like
更新时间，如果数据库没有数据，返回时间为1900-01-01
'''
sql = '''
SELECT S.XGRQ
FROM QT_IndexQuote S, SecuMain M
WHERE
S.InnerCode = M.InnerCode AND
M.SecuCode = '000001' AND
M.SecuCategory = 4 AND
S.TradingDay >= '2007-01-01'
ORDER BY S.XGRQ ASC
'''
data = fetch_db_data(jydb, sql, ['date'])
if len(data) <= 0:
return trans_date('1900-01-01')
else:
return data.date.iloc[-1]
def get_st_status(start_time, end_time):
'''
获取股票特殊处理的情况
'''
sql = '''
SELECT S.SpecialTradeTime, S.SecurityAbbr, C.MS, M.SecuCode
FROM LC_SpecialTrade S, SecuMain M, CT_SystemConst C
WHERE
S.InnerCode = M.InnerCode AND
M.SecuMarket in (83, 90) AND
S.SpecialTradeType = C.DM AND
C.LB = 1185 AND
M.SecuCategory = 1
'''
data = fetch_db_data(jydb, sql, ['time', 'abbr', 'ms', 'symbol'])
def _assign_st(row):
map_dict = {
'ST': 1.,
'PT': 5.,
'撤销ST': 0.,
'*ST': 2.,
'撤消*ST并实行ST': 1.,
'从ST变为*ST': 2.,
'撤销*ST': 0.,
'退市整理期': 3.,
'高风险警示': 4.
}
if row.ms in map_dict:
return map_dict[row.ms]
else:
assert row.ms == '撤销PT', "Error, cannot handle tag '{tag}'".format(
tag=row.ms)
if 'ST' in row.abbr:
return 1
elif '*ST' in row.abbr:
return 2
else:
return 0
data = data.assign(tag=lambda x: x.apply(_assign_st, axis=1))
data['symbol'] = data.symbol.apply(add_stock_suffix)
# 剔除日期重复项，因为数字越大表示越风险越高，因而只保留数字大的
data = data.sort_values(['symbol', 'time', 'tag'])
by_snt = data.groupby(['symbol', 'time'])
data = by_snt.tail(1)
data = data.reset_index(drop=True)
tds = get_calendar('stock.sse').get_tradingdays(start_time, end_time)
by_symbol = data.groupby('symbol')
data = by_symbol.apply(map2td,
days=tds,
timecol='time',
fillna={'symbol': lambda x: x.symbol.iloc[0]})
data = data.pivot_table('tag', index='time',
columns='symbol').dropna(axis=0, how='all')
last_td = get_calendar('stock.sse').latest_tradingday(end_time, 'PAST')
universe = sorted(
pitcache_getter('UNIVERSE', 10).get_csdata(last_td).index)
data = data.reindex(columns=universe).fillna(0)
if not check_completeness(data.index, start_time, end_time):
raise ValueError('Error, data missed!')
return data
