def Dependency(self):
Dependency = {}
if self.Benchmark: Dependency["基准投资组合"] = True
if self.TargetIDs:
CompiledIDFilterStr, IDFilterFactors = testIDFilterStr(self.TargetIDs)
if CompiledIDFilterStr is None: raise __QS_Error__("ID 过滤字符串有误!")
Dependency["因子"] = IDFilterFactors
return Dependency
def __QS_start__(self, mdl, dts, **kwargs):
if self._isStarted: return ()
super().__QS_start__(mdl=mdl, dts=dts, **kwargs)
self._Output = {}
self._Output["正常收益率"] = np.zeros(shape=(0, self.EventPreWindow+1+self.EventPostWindow))
self._Output["异常收益率"] = np.zeros(shape=(0, self.EventPreWindow+1+self.EventPostWindow))
self._Output["异常协方差"] = np.zeros(shape=(0, self.EventPreWindow+1+self.EventPostWindow, self.EventPreWindow+1+self.EventPostWindow))
self._Output["事件记录"] = np.full(shape=(0, 3), fill_value=None, dtype="O")# [ID, 时点, 事件发生距离当前的时点数]
self._AllDTs = self._FactorTable.getDateTime()
if self.EstSampleFilter: self._CompiledIDFilterStr, self._FilterFactors = testIDFilterStr(self.EstSampleFilter, self._FactorTable.FactorNames)
if not self._AllDTs: self._AllDTs = dts
return (self._FactorTable, )
def genConstraint(self):
if not self.TargetIDs:
UpConstraint = pd.Series(self.UpLimit, index=self._PC._TargetIDs)
DownConstraint = pd.Series(self.DownLimit, index=self._PC._TargetIDs)
else:
UpConstraint = pd.Series(np.inf, index=self._PC._TargetIDs)
DownConstraint = pd.Series(-np.inf, index=self._PC._TargetIDs)
CompiledIDFilterStr, IDFilterFactors = testIDFilterStr(self.TargetIDs)
TargetIDs = filterID(self._PC.FactorData.loc[:, IDFilterFactors])
TargetIDs = list(set(TargetIDs).intersection(self._PC._TargetIDs))
UpConstraint[TargetIDs] = self.UpLimit
DownConstraint[TargetIDs] = self.DownLimit
if self.Benchmark:
UpConstraint += self._PC.BenchmarkHolding
DownConstraint += self._PC.BenchmarkHolding
return [{"type":"Box", "lb":DownConstraint.values.reshape((self._PC._nID, 1)), "ub":UpConstraint.values.reshape((self._PC._nID, 1))}]
def _getDefaultNontradableIDFilter(data_source=None,
nonbuyable=True,
qs_env=None):
if data_source is None:
return None
with shelve.open(qs_env.SysArgs['LibPath'] + os.sep +
'IDFilter') as LibFile:
if nonbuyable:
DefaultNontradableIDFilter = LibFile.get('默认限买条件')
else:
DefaultNontradableIDFilter = LibFile.get('默认限卖条件')
if DefaultNontradableIDFilter is not None:
CompiledIDFilterStr, IDFilterFactors = testIDFilterStr(
DefaultNontradableIDFilter, data_source.FactorNames)
if CompiledIDFilterStr is not None:
return DefaultNontradableIDFilter
AllFactorNames = set(data_source.FactorNames)
if {'交易状态', '涨跌停'}.issubset(AllFactorNames):
if nonbuyable:
DefaultNontradableIDFilter = "(@交易状态==0) | (@交易状态==-2) | pd.isnull(@交易状态) | (@涨跌停==1)"
else:
DefaultNontradableIDFilter = "(@交易状态==0) | (@交易状态==-2) | pd.isnull(@交易状态) | (@涨跌停==-1)"
elif '交易状态' in AllFactorNames:
DefaultNontradableIDFilter = "(@交易状态==0) | (@交易状态==-2) | pd.isnull(@交易状态)"
elif {'是否在市', '涨跌停'}.issubset(AllFactorNames):
if nonbuyable:
DefaultNontradableIDFilter = "(@是否在市!=1) | (@涨跌停==1)"
else:
DefaultNontradableIDFilter = "(@是否在市!=1) | (@涨跌停==-1)"
elif '是否在市' in AllFactorNames:
DefaultNontradableIDFilter = "(@是否在市!=1)"
elif '涨跌停' in AllFactorNames:
if nonbuyable:
DefaultNontradableIDFilter = "(@涨跌停==1)"
else:
DefaultNontradableIDFilter = "(@涨跌停==-1)"
else:
DefaultNontradableIDFilter = None
return DefaultNontradableIDFilter