def gen_suspended_days(d):
from rqdatac.client import get_client
stocks = rqdatac.all_instruments('CS').order_book_id.tolist()
suspended_days = get_client().execute(
'get_suspended_days', stocks, START_DATE,
convert_date_to_date_int(datetime.date.today()))
with h5py.File(os.path.join(d, 'suspended_days.h5'), 'w') as h5:
for order_book_id, days in suspended_days.items():
h5[order_book_id] = days
def gen_yield_curve(d):
yield_curve = rqdatac.get_yield_curve(start_date=START_DATE,
end_date=datetime.date.today())
yield_curve.index = [
convert_date_to_date_int(d) for d in yield_curve.index
]
yield_curve.index.name = 'date'
with h5py.File(os.path.join(d, 'yield_curve.h5'), 'w') as f:
f.create_dataset('data', data=yield_curve.to_records())
def raw_history_bars(self, instrument, frequency, start_dt=None, end_dt=None, length=None):
env = Environment.get_instance()
now = env.calendar_dt
today = now.date()
today_int = convert_date_to_date_int(today)
yesterday = datetime.combine(env.data_proxy.get_previous_trading_date(today),
time=time(hour=23, minute=59, second=59))
history_bars = EMPTY_BARS
today_bars = EMPTY_BARS
if end_dt and start_dt:
end_dt = min(now, end_dt)
if start_dt > end_dt:
return EMPTY_BARS
if end_dt.date == today:
start_time = convert_dt_to_int(start_dt) % 1000000 if start_dt.date() == today else None
end_time = convert_dt_to_int(end_dt) % 1000000
today_bars = self._inday_bars.bars(instrument, frequency, today_int,
start_time, end_time)
if start_dt.date() < today:
history_bars = self._hist_source.raw_history_bars(
instrument, frequency,
start_dt=start_dt,
end_dt=min(end_dt, yesterday)
)
elif start_dt and length:
if start_dt.date() > today:
return EMPTY_BARS
if start_dt.date() < today:
history_bars = self._hist_source.raw_history_bars(
instrument, frequency, start_dt=start_dt, length=length)
left = length - len(history_bars) if history_bars is not None else length
start_time = convert_dt_to_int(start_dt) % 1000000 if start_dt.date() == today else None
today_bars = self._inday_bars.get_bars(instrument, frequency,
today_int, start_time)[:left]
elif end_dt and length:
end_dt = min(now, end_dt)
if end_dt.date() == today:
end_time = convert_dt_to_int(end_dt) % 1000000
today_bars = self._inday_bars.get_bars(instrument, frequency, today_int,
end_time=end_time)[-length:]
left = length - len(today_bars) if today_bars is not None else length
if left > 0:
history_bars = self._hist_source.raw_history_bars(
instrument, frequency, end_dt=min(end_dt, yesterday), length=left)
else:
raise RuntimeError
if history_bars is not None and today_bars is not None:
return np.concatenate([history_bars, today_bars])
elif history_bars is not None:
return history_bars
else:
return today_bars
def get_yield_curve(self, start_date, end_date, tenor):
d1 = convert_date_to_date_int(start_date)
d2 = convert_date_to_date_int(end_date)
s = self._data['date'].searchsorted(d1)
e = self._data['date'].searchsorted(d2, side='right')
if e == len(self._data):
e -= 1
if self._data[e]['date'] == d2:
e += 1
if e < s:
return None
df = pandas.DataFrame(self._data[s:e])
df.index = pandas.to_datetime([str(d) for d in df['date']])
del df['date']
if tenor is not None:
return df[tenor]
return df
def gen_dividends(d):
stocks = rqdatac.all_instruments().order_book_id.tolist()
dividend = rqdatac.get_dividend(stocks)
dividend.reset_index(inplace=True)
dividend.rename(
columns={'declaration_announcement_date': 'announcement_date'},
inplace=True)
for f in ('book_closure_date', 'ex_dividend_date', 'payable_date',
'announcement_date'):
dividend[f] = [convert_date_to_date_int(d) for d in dividend[f]]
dividend.set_index(['order_book_id', 'book_closure_date'], inplace=True)
with h5py.File(os.path.join(d, 'dividends.h5'), 'w') as h5:
for order_book_id in dividend.index.levels[0]:
h5[order_book_id] = dividend.loc[order_book_id].to_records()
def gen_trading_dates(d):
dates = rqdatac.get_trading_dates(start_date=START_DATE,
end_date='2999-01-01')
dates = np.array([convert_date_to_date_int(d) for d in dates])
np.save(os.path.join(d, 'trading_dates.npy'), dates, allow_pickle=False)
