def run(firstRun_update, start, end, fre, index_code, dir_path,
beachmark_file):
if not os.path.exists('%s' % beachmark_file):
os.mkdir('%s' % beachmark_file)
if not os.path.exists('%s/%s' % (beachmark_file, index_code)):
os.mkdir('%s/%s' % (beachmark_file, index_code))
if firstRun_update == 0:
trade_day = get_tradeDay.wind(start, end, fre)
for i in trade_day:
print(i)
df = pd.read_excel('%s/000846weightnextday%s.xls' % (dir_path, i),
dtype={u'成分券代码\nConstituent Code': str})
df = df.iloc[:, [4, 16]]
df.columns = ['code', 'weight']
df['code'] = df['code'].apply(lambda x: x + '-CN')
df.to_csv('%s/%s/benchmark_%s.csv' %
(beachmark_file, index_code, i),
index=None,
header=None)
elif firstRun_update == 1:
cal = Calendar('China.SSE')
today = strftime("%Y%m%d", localtime())
today = Date.strptime(today, '%Y%m%d')
today = cal.advanceDate(today, Period('-1b'))
today = today.strftime("%Y%m%d")
df = pd.read_excel('%s/000846weightnextday%s.xls' % (dir_path, today),
dtype={u'成分券代码\nConstituent Code': str})
df = df.iloc[:, [4, 16]]
df.columns = ['code', 'weight']
df['code'] = df['code'].apply(lambda x: x + '-CN')
df.to_csv('%s/%s/benchmark_%s.csv' %
(beachmark_file, index_code, today),
index=None,
header=None)
def forward_date(date, tenor, date_format='%Y-%m-%d'):
try:
start_date = Date.strptime(date, date_format)
sse_cal = Calendar('China.SSE')
ret = sse_cal.advanceDate(start_date,
Period('-' + tenor),
endOfMonth=True)
# 此处返回的是上一期期末日期，再向后调整一天，以避免区间日期重叠
ret = sse_cal.advanceDate(ret, Period('1b'))
return str(ret)
except NameError:
pass
def forward_date(date, tenor, date_format='%Y-%m-%d'):
try:
# use pyfin instead to get more accurate and flexible date math
start_date = Date.strptime(date, date_format)
sseCal = Calendar('China.SSE')
ret = sseCal.advanceDate(start_date,
Period('-' + tenor),
endOfMonth=True)
# 此处返回的是上一期期末日期，再向后调整一天，以避免区间日期重叠
ret = sseCal.advanceDate(ret, Period('1b'))
return str(ret)
except NameError:
pass
def suspend(day, dirpath, getdb):
sql = 'select S_INFO_WINDCODE from wind.AShareTradingSuspension t where S_DQ_SUSPENDDATE = %s and S_DQ_RESUMPDATE is null' % (
day)
df = getdb.db_query(sql)
df = df.drop_duplicates()
df['value'] = 1
df['S_INFO_WINDCODE'] = df['S_INFO_WINDCODE'].apply(
lambda x: x.split('.')[0] + '-CN')
cal = Calendar('China.SSE')
day_temp = Date.strptime(day, '%Y%m%d')
day_temp = cal.advanceDate(day_temp, Period('-1b'))
day = day_temp.strftime("%Y%m%d")
df.to_csv('%s/suspended_%s.csv' % (dirpath, day), index=None, header=None)
def __init__(self, config_path):
with open(config_path) as f:
self.config = yaml.load(f.read())
self.account = self.config['account']
self.dirpath = self.config['dirpath']
self.account_type = {'s': 'simulation', 'p': 'production'}
'''
注意 这里的today就是指前一个交易日！！！ 因为数据读取 保存日期都不会出现当天日期
'''
cal = Calendar('China.SSE')
self.today = strftime("%Y%m%d", localtime())
today = Date.strptime(self.today, '%Y%m%d')
pre_day = cal.advanceDate(today, Period('-1b'))
self.pre_day = pre_day.strftime("%Y%m%d")
@author: shiyunchao
"""
import numpy as np
import pandas as pd
import os
from sklearn.preprocessing import OneHotEncoder
from time import strftime, localtime
from tools import get_tradeDay
from datetime import datetime
from xutils import (Date, Calendar, Period)
# 设定为上交所的交易日历
cal = Calendar('China.SSE')
def get_filename(tradeday):
exposure_list = []
cov_list = []
for day in tradeday:
if day > '20140930':
cov_list.append('CNE5S%s.COV' % day[2:])
exposure_list.append('CNE5S_X_%s.RSK' % day[2:])
else:
cov_list.append('CNE5S%s.COV' % day[2:6])
exposure_list.append('CNE5S%s.RSK' % day[2:6])
return exposure_list, cov_list
# 也可以直接传递5位数的序列号初始化Date对象
current_date_2 = Date(serial_number=current_date.serialNumber)
str(current_date_2) # 2015-07-24
# Date对象转换成datetime格式
current_date.toDateTime() # dt.datetime(2015, 7, 24)
# 从字符串初始化成Date对象
Date.parseISO('2016-01-15')
Date.strptime('20160115', '%Y%m%d')
# Date对象的加减
Date()
# 设定为上交所的交易日历
cal = Calendar('China.SSE')
# 假设某日为 2015-07-11(周六), 初始化一个Date对象
current_date = Date(2015, 7, 11)
# 判断该日是否是交易日、节假日、周末或者月末
cal.isBizDay(current_date) # False
cal.isHoliday(current_date) # True
cal.isWeekEnd(current_date.weekday()) # True
cal.isEndOfMonth(current_date) # False
# 交易日历下的日期加减
# 默认 当计算返回值为非交易日时返回下一个交易日 bizDayConv = BizDayConventions.Following
current_date = Date(2014, 1, 31)
from xutils.custom_logger import CustomLogger
from xutils.decorators import handle_exception
LOGGER = CustomLogger(logger_name='Update_error_log',
log_level='info',
log_file='F:/logger_file/Update_error.log')
logger123 = CustomLogger(logger_name='log_update',
log_level='info',
log_file='F:/logger_file/log%s.log' %
strftime("%Y%m%d", localtime()))
from xutils import (Date, Calendar, Period)
cal = Calendar('China.SSE')
sys.path.append("F:/QUANT/factor_daily/Suspension/")
reload(sys)
import get_suspension
sys.path.append("F:/QUANT/factor_daily/Insider_Code/")
reload(sys)
import Insider
with open('F:/QUANT/config/config.yaml') as f:
temp = yaml.load(f.read())
username = temp['ct_mail']['username']
password = temp['ct_mail']['password']
host = temp['ct_mail']['host']
receiver = temp['ct_mail']['receiver']