def create_data(root_path, info_path, sector_df, mode='bkt'):
info = pd.read_pickle(info_path)
root_path = pt._BinFiles(mode)
args = info['args']
fun_list = info['fun'].split('.')
raw_data_path = info['raw_data_path']
raw_data_list = load_raw_data(root_path, raw_data_path)
target_fun = find_fun(fun_list)
target_df = target_fun(*raw_data_list, sector_df, *args)
return target_df
def indexDailyVwap(mode):
root_path = pt._BinFiles(mode)
index_TVAL_path = root_path.EM_Funda.INDEX_TD_DAILY / 'TVAL.csv'
index_TVOL_path = root_path.EM_Funda.INDEX_TD_DAILY / 'TVOL.csv'
index_TVOL_df = pd.read_table(index_TVOL_path,
sep='|',
index_col=0,
parse_dates=True)
index_TVAL_df = pd.read_table(index_TVAL_path,
sep='|',
index_col=0,
parse_dates=True)
index_vwap = (index_TVAL_df / index_TVOL_df)
index_vwap_return = index_vwap.pct_change().round(4)
return index_vwap, index_vwap_return
def DailyVwap(mode):
root_path = pt._BinFiles(mode)
tafactor_path = root_path.EM_Funda.TRAD_SK_FACTOR1 / 'TAFACTOR.csv'
TVOL_path = root_path.EM_Funda.TRAD_SK_DAILY_JC / 'TVOL.csv'
TVALCNY_path = root_path.EM_Funda.TRAD_SK_DAILY_JC / 'TVALCNY.csv'
TVOL_df = pd.read_table(TVOL_path, sep='|', index_col=0, parse_dates=True)
TVALCNY_df = pd.read_table(TVALCNY_path,
sep='|',
index_col=0,
parse_dates=True)
tafactor_df = pd.read_table(tafactor_path, sep='|', index_col=0, parse_dates=True) \
.reindex(columns=TVALCNY_df.columns, index=TVALCNY_df.index)
daily_vwap = (TVALCNY_df / TVOL_df)
daily_vwap_adj_price = daily_vwap / tafactor_df
daily_vwap_adj_return = daily_vwap_adj_price.pct_change().round(4)
return daily_vwap_adj_price, daily_vwap_adj_return
suspendday_df_c.iloc[-1] = 1
# 排除入场场涨跌停的影响
order_df = order_df * sector_df * limit_buy_sell_df_c * suspendday_df_c
daily_pos = pos_daily_fun(order_df, n=hold_time)
# 排除出场涨跌停的影响
daily_pos = daily_pos * limit_buy_sell_df * suspendday_df
daily_pos.fillna(method='ffill', inplace=True)
# 获得最终仓位信息
return daily_pos
if __name__ == '__main__':
a = time.time()
mode = 'pro'
root_path = pt._BinFiles(mode)
sector_name = 'market_top_2000'
alpha_name = '018AUG'
config_info_path = f'/mnt/mfs/alpha_whs/{alpha_name}.pkl'
if mode == 'pro':
root_factor_path = '/media/hdd1/DAT_PreCalc/PreCalc_whs/{}'.format(
sector_name)
elif mode == 'bkt':
root_factor_path = '/mnt/mfs/dat_whs/data/new_factor_data/{}'.format(
sector_name)
else:
print('mode error !')
exit()
end_date = datetime.now()
begin_date = end_date - timedelta(3)