def tsvolatility2(self, codes, start_date, end_date, params):
codes = zlist(zcodeparse(codes, formatlike='SH600000'))
start_date = ztimeparse(start_date, '%Y-%m-%d')
end_date = ztimeparse(end_date, '%Y-%m-%d')
ns = {'1M': 21, '3M': 63, '6M': 126, '12M': 252}[params['window']]
tsql = '''
datearray:= MarketTradeDayQk(strtodate('2005-01-01'),
strtodate('{0}'));
results := array();
for i:=0 to length(datearray)-1 do
begin
results[i] := datetostr(datearray[i]);
end
return results;
'''.format(start_date)
calendar = zsqueeze(ts.calltsl(tsql))
calendar = calendar.apply(lambda t: t.decode('utf-8')).values
calendar = np.sort(calendar)
data_start_date = calendar[calendar < start_date][-ns]
pri = self.price(codes, data_start_date, end_date, {'pn_rate': 1})
pri.loc[pri['amount'] < 1e-6, 'ret'] = None
ret2 = pri['ret']**2
def _std(s):
v = s.dropna().values
if v.shape[0] < 2:
return None
return np.sqrt(v.sum() / (len(v) - 1))
results = ret2.groupby(level='ticker').apply(_std)
return results
def tsfactor(self, codes, start_date, end_date, factor_tsql):
codes = zlist(zcodeparse(codes, formatlike='SH600000'))
start_date = ztimeparse(start_date, '%Y-%m-%d')
end_date = ztimeparse(end_date, '%Y-%m-%d')
tsltemp = Template('''
stockarray:=array('{{codes}}');
begt:=strtodate('{{startdate}}');
endt:=strtodate('{{enddate}}');
datearray:= MarketTradeDayQk(begt, endt);
total:=array();
SetSysParam(PN_Precision(),6);
setsysparam(Pn_rate(), 0);
for i:=0 to length(stockarray)-1 do
begin
for j:=0 to length(datearray)-1 do
begin
setsysparam(Pn_stock(), stockarray[i]);
setsysparam(pn_date(), datearray[j]);
rdate := NewReportDateOfEndT2(datearray[j]);
total union= ``array('ticker': stockarray[i],
'date': datetostr(datearray[j]),
'value': {{factor_tsql}});
end
end
return total;
''')
tsl = tsltemp.render(codes="','".join(codes),
startdate=start_date,
enddate=end_date,
factor_tsql=factor_tsql)
return self.calltsl(tsl, None, ['date', 'ticker']).squeeze()
def tsbeta(self, index, codes, start_date, end_date, params):
codes = zlist(zcodeparse(codes, formatlike='SH600000'))
index = zcodeparse(index, formatlike='SH600000')
start_date = ztimeparse(start_date, '%Y-%m-%d')
end_date = ztimeparse(end_date, '%Y-%m-%d')
ns = {'1M': 21, '3M': 63, '6M': 126, '12M': 252}[params['window']]
tsltemp = Template('''
stockarray:=array('{{codes}}');
begt:=strtodate('{{startdate}}');
endt:=strtodate('{{enddate}}');
datearray:= MarketTradeDayQk(begt, endt);
total:=array();
SetSysParam(PN_Precision(),6);
for j:=0 to length(datearray)-1 do
begin
SetSysParam(pn_cycle(), cy_day());
t1 := datearray[j];
setsysparam(pn_date(), t1);
t0 := ref(sp_time(), {{ns}});
for i:=0 to length(stockarray)-1 do
begin
setsysparam(Pn_stock(), stockarray[i]);
total union= ``array('ticker': stockarray[i],
'date': datetostr(datearray[j]),
'value': StockBeta('{{index}}', t0, t1));
end
end
return total;
''')
tsl = tsltemp.render(codes="','".join(codes),
startdate=start_date,
enddate=end_date,
index=index,
ns=ns)
return self.calltsl(tsl, None, ['date', 'ticker'])
def shares(self, codes, start_date, end_date):
codes = zlist(zcodeparse(codes, formatlike='SH600000'))
start_date = ztimeparse(start_date, '%Y-%m-%d')
end_date = ztimeparse(end_date, '%Y-%m-%d')
tsltemp = Template('''
stockarray:=array('{{codes}}');
begt:=strtodate('{{startdate}}');
endt:=strtodate('{{enddate}}');
total:=array();
dates:=MarketTradeDayQk(begt,endt);
for i:=0 to length(stockarray)-1 do
begin
for j:=0 to length(dates)-1 do
begin
total union= ``array(
'ticker':stockarray[i],
'date':datetostr(dates[j]),
'totalshares':Spec(StockTotalShares(dates[j]),stockarray[i]),
'floatshares':Spec(StockNegotiableShares(dates[j]),stockarray[i]));
end
end
return total;
''')
tsl = tsltemp.render(codes="','".join(codes),
startdate=start_date,
enddate=end_date)
return self.calltsl(tsl, None, ['date', 'ticker'])
def statement(self, table_name, entries, codes, start_date, end_date):
codes = zlist(zcodeparse(codes, formatlike='SH600000'))
start_date = ztimeparse(start_date, '%Y-%m-%d')
end_date = ztimeparse(end_date, '%Y-%m-%d')
table_num = {'balance': '44', 'income': '46', 'cash': '48'}
tsltemp = Template('''
SetSysParam('ReportMode',-1);
Return select ['StockID'] as 'ticker',
['StockName'] as 'name',
['截止日'] as 'report_period',
['公布日'] as 'ann_date'
{%- for tsk, myk in entries.items() -%}
,\n['{{tsk}}'] as '{{myk}}'
{%- endfor %}
from infotable {{tnum}} of array('{{codes}}')
where ['截止日']>=DateToInt(strtodate('{{startdate}}'))
and ['公布日']<=DateToInt(strtodate('{{enddate}}'))
end;
''')
tsl = tsltemp.render(entries=entries,
codes="','".join(codes),
startdate=start_date,
enddate=end_date,
tnum=table_num[table_name])
return self.calltsl(tsl, None, ['ann_date', 'ticker', 'report_period'])
def fsdata_ttm(self, entry, codes, start_date, end_date):
codes = zlist(zcodeparse(codes, formatlike='SH600000'))
start_date = ztimeparse(start_date, '%Y-%m-%d')
end_date = ztimeparse(end_date, '%Y-%m-%d')
entries = {
'revenue': 46002,
'net_income': 46033,
'net_income2major': 46078,
'cost': 46005,
'net_value2major': 44140,
'total_asset': 44059,
'total_debt': 44097,
'float_asset': 44028,
'float_debt': 44083,
'inventory': 44019,
'operating_cashflow': 48018
}
tsltemp = Template('''
stockarray:=array('{{codes}}');
begt:=strtodate('{{startdate}}');
endt:=strtodate('{{enddate}}');
total:=array();
dates:=MarketTradeDayQk(begt,endt);
for i:=0 to length(stockarray)-1 do
begin
for j:=0 to length(dates)-1 do
begin
setsysparam(pn_stock(),stockarray[i]);
setsysparam(pn_date(), dates[j]);
RDate:=NewReportDateOfEndT2(dates[j]);
v:=Last12MData(RDate,{{entrynum}});
total union= ``array('ticker':stockarray[i],
'date':datetostr(dates[j]),
'{{entry}}':v);
end
end
return total;
''')
tsl = tsltemp.render(codes="','".join(codes),
startdate=start_date,
enddate=end_date,
entry=entry,
entrynum=str(entries[entry]))
return self.calltsl(tsl, None, ['date', 'ticker']).squeeze()
def tsmomentum(self, codes, start_date, end_date, params):
codes = zlist(zcodeparse(codes, formatlike='SH600000'))
start_date = ztimeparse(start_date, '%Y-%m-%d')
end_date = ztimeparse(end_date, '%Y-%m-%d')
ns = {'1M': 21, '3M': 63, '6M': 126, '12M': 252}[params['window']]
tsltemp = Template('''
stockarray:=array('{{codes}}');
begt:=strtodate('{{startdate}}');
endt:=strtodate('{{enddate}}');
datearray:= MarketTradeDayQk(begt, endt);
total:=array();
setsysparam(Pn_precision(), 6);
t0 := array();
t1 := datearray;
setsysparam(pn_stock(), 'SH000300');
for j:=0 to length(t1)-1 do
begin
setsysparam(pn_date(), t1[j]);
t0 union= array(nday({{ns}}+1, 't0',
strtodate(datetimetostr(sp_time())))[0]);
end
t0 := sselect ['t0'] from t0 end;
for i:=0 to length(stockarray)-1 do
begin
for j:=0 to length(t1)-1 do
begin
setsysparam(Pn_stock(), stockarray[i]);
setsysparam(Pn_rate(), 1);
total union= ``array('ticker': stockarray[i],
'date': datetostr(t1[j]),
'momentum': stockzf(t0[j],t1[j]));
end
end
return total;
''')
tsl = tsltemp.render(codes="','".join(codes),
startdate=start_date,
enddate=end_date,
ns=ns)
return self.calltsl(tsl, None, ['date', 'ticker'])
def tsvolatility(self, codes, start_date, end_date, params):
codes = zlist(zcodeparse(codes, formatlike='SH600000'))
start_date = ztimeparse(start_date, '%Y-%m-%d')
end_date = ztimeparse(end_date, '%Y-%m-%d')
ns = {'1M': 21, '3M': 63, '6M': 126, '12M': 252}[params['window']]
tsql = '''
datearray:= MarketTradeDayQk(strtodate('2005-01-01'),
strtodate('{0}'));
results := array();
for i:=0 to length(datearray)-1 do
begin
results[i] := datetostr(datearray[i]);
end
return results;
'''.format(start_date)
calendar = zsqueeze(ts.calltsl(tsql))
calendar = calendar.apply(lambda t: t.decode('utf-8')).values
calendar = np.sort(calendar)
data_start_date = calendar[calendar < start_date][-ns]
pri = self.price(codes, data_start_date, end_date, {'pn_rate': 1})
pri.loc[pri['amount'] < 1e-6, 'ret'] = None
ret = pri['ret'].sort_index(level=['ticker', 'date'])
def _std(s):
v = s[-ns:].dropna().values
if v.shape[0] < 2:
return None
return np.std(v, ddof=1)
results = ret.groupby(level='ticker').apply(_std)
'''
results = pri.groupby(level='ticker', as_index=False)['ret']\
.rolling(ns, min_periods=2)\
.apply(_std, raw=False)
results.index = results.index.droplevel(level=0)
'''
return results
def price(self, codes, start_date, end_date, params={}):
codes = zlist(zcodeparse(codes, formatlike='SH600000'))
start_date = ztimeparse(start_date, '%Y-%m-%d')
end_date = ztimeparse(end_date, '%Y-%m-%d')
pn_rate = params.setdefault('pn_rate', 0)
tsltemp = Template('''
stockarray:=array('{{codes}}');
begt:=strtodate('{{startdate}}');
endt:=strtodate('{{enddate}}');
datearray:= MarketTradeDayQk(begt, endt);
total:=array();
for i:=0 to length(stockarray)-1 do
begin
for j:=0 to length(datearray)-1 do
begin
setsysparam(Pn_stock(), stockarray[i]);
setsysparam(Pn_rate(), {{pn_rate}});
setsysparam(pn_date(), datearray[j]);
total union= ``array('ticker': stockarray[i],
'date': datetostr(datearray[j]),
'open': open(),
'high': high(),
'low': low(),
'prevclose': StockPrevClose3(),
'close': close(),
'ret': stockzf3(),
'vol': vol(),
'amount': amount());
end
end
return total;
''')
tsl = tsltemp.render(codes="','".join(codes),
startdate=start_date,
enddate=end_date,
pn_rate=pn_rate)
return self.calltsl(tsl, None, ['date', 'ticker'])
def fsdata_raw(self, entry, codes, start_date, end_date):
codes = zlist(zcodeparse(codes, formatlike='SH600000'))
start_date = ztimeparse(start_date, '%Y-%m-%d')
end_date = ztimeparse(end_date, '%Y-%m-%d')
entries = {
'net_value2major': 44140,
'total_asset': 44059,
'inventory': 44019,
'receivable': 44009,
'revenue': 46002,
'operating_profit': 46015,
'cost': 46005,
'net_income2major': 46078
}
tsltemp = Template('''
stockarray:=array('{{codes}}');
begt:=strtodate('{{startdate}}');
endt:=strtodate('{{enddate}}');
datearray:= MarketTradeDayQk(begt, endt);
total:=array();
for i:=0 to length(stockarray)-1 do
begin
for j:=0 to length(datearray)-1 do
begin
setsysparam(pn_stock(),stockarray[i]);
setsysparam(pn_date(), datearray[j]);
RDate:=NewReportDateOfEndT2(datearray[j]);
RtDate:=PreviousReportDate(RDate);
Rt2Date:=PreviousReportDate(RtDate);
RyDate:=strtoint(FormatDateTime('yyyy',inttodate(RtDate))+'1231');
Ry2Date:=strtoint(FormatDateTime('yyyy',inttodate(Rt2Date))+'1231');
RpDate:=PreviousReportDateOfQuarter(RDate,1);
RptDate:=PreviousReportDate(RpDate);
RpyDate:=strtoint(FormatDateTime('yyyy',inttodate(RptDate))+'1231');
v1:=ReportOfAll({{entrynum}},RDate);
v2:=ReportOfAll({{entrynum}},RyDate);
v3:=ReportOfAll({{entrynum}},RtDate);
v4:=ReportOfAll({{entrynum}},RpDate);
v5:=ReportOfAll({{entrynum}},RpyDate);
v6:=ReportOfAll({{entrynum}},RptDate);
v7:=ReportOfAll({{entrynum}},Rt2Date);
v8:=ReportOfAll({{entrynum}},Ry2Date);
total union= ``array('ticker':stockarray[i],
'date':datetostr(datearray[j]),
'latest_report':datetostr(inttodate(RDate)),
'latest_data':v1,
'latest_annual_report':datetostr(inttodate(RyDate)),
'latest_annual_data': v2,
'latest_lastyear_report':datetostr(inttodate(RtDate)),
'latest_lastyear_data': v3,
'latest_annual2_report': Ry2Date,
'latest_annual2_data': v8,
'latest_last2year_report': Rt2Date,
'latest_last2year_data': v7,
'latest_prev_report':datetostr(inttodate(RpDate)),
'latest_prev_data': v4,
'latest_prev_annual_report':datetostr(inttodate(RpyDate)),
'latest_prev_annual_data': v5,
'latest_prev_lastyear_report':datetostr(inttodate(RptDate)),
'latest_prev_lastyear_data': v6 );
end
end
return total;
''')
tsl = tsltemp.render(codes="','".join(codes),
startdate=start_date,
enddate=end_date,
entrynum=entries[entry])
return self.calltsl(tsl, None, ['date', 'ticker'])