def __QS_readData__(self, factor_names=None, ids=None, dts=None, args={}):
if dts: StartDate, EndDate = dts[0].date(), dts[-1].date()
else: StartDate, EndDate = None, None
if factor_names is None: factor_names = self.FactorNames
RawData = self._getRawData(factor_names, ids, start_date=StartDate, end_date=EndDate, args=args)
if StartDate is None:
StartDate = dt.datetime.strptime(np.min(RawData["纳入日期"].values), "%Y%m%d").date()
DateSeries = getDateSeries(StartDate, dt.date.today())
else:
DateSeries = getDateSeries(dts[0].date(), dts[-1].date())
Data = {}
for iIndexID in factor_names:
iRawData = RawData[RawData["指数ID"]==iIndexID].set_index(["ID"])
iData = pd.DataFrame(0, index=DateSeries, columns=pd.unique(iRawData.index))
for jID in iData.columns:
jIDRawData = iRawData.loc[[jID]]
for k in range(jIDRawData.shape[0]):
kStartDate = dt.datetime.strptime(jIDRawData["纳入日期"].iloc[k], "%Y%m%d").date()
kEndDate = (dt.datetime.strptime(jIDRawData["剔除日期"].iloc[k], "%Y%m%d").date()-dt.timedelta(1) if jIDRawData["剔除日期"].iloc[k] is not None else dt.date.today())
iData[jID].loc[kStartDate:kEndDate] = 1
Data[iIndexID] = iData
Data = pd.Panel(Data).loc[factor_names]
Data.major_axis = [dt.datetime.combine(iDate, dt.time(0)) for iDate in Data.major_axis]
Data.fillna(value=0, inplace=True)
return adjustDateTime(Data, dts, fillna=True, method="bfill")
def __QS_readData__(self, factor_names=None, ids=None, dts=None, args={}):
if dts: StartDate, EndDate = dts[0].date(), dts[-1].date()
else: StartDate, EndDate = None, None
FillNa = args.get("缺失填充", self.FillNa)
if FillNa: StartDate -= dt.timedelta(args.get("回溯天数", self.LookBack))
if factor_names is None: factor_names = self.FactorNames
RawData = self._getRawData(factor_names,
ids,
StartDate,
EndDate,
args=args)
RawData = RawData.set_index(["日期", "ID"])
DataType = self.getFactorMetaData(factor_names=factor_names,
key="DataType")
Data = {}
for iFactorName in RawData.columns:
iRawData = RawData[iFactorName].unstack()
if DataType[iFactorName] == "double":
iRawData = iRawData.astype("float")
Data[iFactorName] = iRawData
Data = pd.Panel(Data).loc[factor_names]
Data.major_axis = [
dt.datetime.strptime(iDate, "%Y%m%d") for iDate in Data.major_axis
]
Data = adjustDateTime(Data, dts, fillna=FillNa, method="pad")
if ids is not None: Data = Data.loc[:, :, ids]
return Data