def getRMCovarianceShort(self, i):
if self.fre_type == 'short':
data = DataAPI.RMCovarianceShortGet(tradeDate="%s" % i, beginDate=u"", \
endDate=u"", Factor=u"", field=u"", pandas="1")
elif self.fre_type == 'long':
data = DataAPI.RMCovarianceLongGet(tradeDate="%s" % i, beginDate=u"", \
endDate=u"", Factor=u"", field=u"", pandas="1")
del data['tradeDate']
del data['FactorID']
del data['updateTime']
path = '%s/Covariance' % self.dirpath
if not os.path.exists(path):
os.mkdir(path)
if not data.empty:
df1 = pd.DataFrame([np.nan] + data.columns[1:].tolist())
df1 = df1.T
df1.columns = data.columns
df_new = pd.concat([df1, data])
df_new.iloc[1:, 1:] = df_new.iloc[1:, 1:] / 10000.0
df_new.to_csv('%s/Covariance_%s.csv' % (path, i),
encoding='gb18030',
index=None,
header=None)
self.check1 = df_new
def get_risk_model(self, trading_day_list, universe):
result = {}
specific_return = {}
for date in trading_day_list:
result[date] = {}
result[date]['exposure'] = DataAPI.RMExposureDayGet(
secID=universe, tradeDate=date).set_index('secID').iloc[:,
4:-1]
result[date]['factor_covariance'] = DataAPI.RMCovarianceShortGet(
tradeDate=date).set_index('Factor').iloc[:, 2:-1] / 10000.
result[date]['specific_risk'] = \
DataAPI.RMSriskShortGet(secID=universe, tradeDate=date).set_index('secID')['SRISK'] / 100.
specific_return[date] = \
DataAPI.RMSpecificRetDayGet(secID=universe, tradeDate=date).set_index('secID')['spret']
return result, specific_return
def getRMCovarianceShort(self, i):
if self.fre_type == 'short':
data = DataAPI.RMCovarianceShortGet(tradeDate="%s"%i,beginDate=u"",\
endDate=u"",Factor=u"",field=u"",pandas="1")
elif self.fre_type == 'long':
data = DataAPI.RMCovarianceLongGet(tradeDate="%s"%i,beginDate=u"",\
endDate=u"",Factor=u"",field=u"",pandas="1")
del data['tradeDate']
del data['FactorID']
path = '%s/getRMCovariance' % self.dirpath
if not os.path.exists(path):
os.mkdir(path)
if not data.empty:
data.to_csv('%s/%s.csv' % (path, i),
encoding='gb18030',
index=None)
def update_uqer_risk_model(ds, **kwargs):
ref_date, this_date = process_date(ds)
flag = check_holiday(this_date)
if not flag:
return
df = api.RMExposureDayGet(tradeDate=ref_date)
df.rename(columns={
'tradeDate': 'trade_date',
'ticker': 'code'
},
inplace=True)
df.code = df.code.astype(int)
del df['secID']
engine.execute(
delete(RiskExposure).where(RiskExposure.trade_date == this_date))
data_info_log(df, RiskExposure)
format_data(df)
df.to_sql(RiskExposure.__table__.name,
engine,
index=False,
if_exists='append')
df = api.RMFactorRetDayGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'trade_date'}, inplace=True)
engine.execute(
delete(RiskReturn).where(RiskReturn.trade_date == this_date))
data_info_log(df, RiskReturn)
format_data(df)
df.to_sql(RiskReturn.__table__.name,
engine,
index=False,
if_exists='append')
df = api.RMSpecificRetDayGet(tradeDate=ref_date)
df.rename(columns={
'tradeDate': 'trade_date',
'ticker': 'code'
},
inplace=True)
df.code = df.code.astype(int)
del df['secID']
engine.execute(
delete(SpecificReturn).where(SpecificReturn.trade_date == this_date))
data_info_log(df, SpecificReturn)
format_data(df)
df.to_sql(SpecificReturn.__table__.name,
engine,
index=False,
if_exists='append')
df = api.RMCovarianceDayGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'trade_date'}, inplace=True)
engine.execute(
delete(RiskCovDay).where(RiskCovDay.trade_date == this_date))
data_info_log(df, RiskCovDay)
format_data(df)
df.to_sql(RiskCovDay.__table__.name,
engine,
index=False,
if_exists='append')
df = api.RMCovarianceShortGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'trade_date'}, inplace=True)
engine.execute(
delete(RiskCovShort).where(RiskCovShort.trade_date == this_date))
data_info_log(df, RiskCovShort)
format_data(df)
df.to_sql(RiskCovShort.__table__.name,
engine,
index=False,
if_exists='append')
df = api.RMCovarianceLongGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'trade_date'}, inplace=True)
engine.execute(
delete(RiskCovLong).where(RiskCovLong.trade_date == this_date))
data_info_log(df, RiskCovLong)
format_data(df)
df.to_sql(RiskCovLong.__table__.name,
engine,
index=False,
if_exists='append')
df = api.RMSriskDayGet(tradeDate=ref_date)
df.rename(columns={
'tradeDate': 'trade_date',
'ticker': 'code'
},
inplace=True)
df.code = df.code.astype(int)
del df['secID']
engine.execute(
delete(SpecificRiskDay).where(SpecificRiskDay.trade_date == this_date))
data_info_log(df, SpecificRiskDay)
format_data(df)
df.to_sql(SpecificRiskDay.__table__.name,
engine,
index=False,
if_exists='append')
df = api.RMSriskShortGet(tradeDate=ref_date)
df.rename(columns={
'tradeDate': 'trade_date',
'ticker': 'code'
},
inplace=True)
df.code = df.code.astype(int)
del df['secID']
engine.execute(
delete(SpecificRiskShort).where(
SpecificRiskShort.trade_date == this_date))
data_info_log(df, SpecificRiskShort)
format_data(df)
df.to_sql(SpecificRiskShort.__table__.name,
engine,
index=False,
if_exists='append')
df = api.RMSriskLongGet(tradeDate=ref_date)
df.rename(columns={
'tradeDate': 'trade_date',
'ticker': 'code'
},
inplace=True)
df.code = df.code.astype(int)
del df['secID']
engine.execute(
delete(SpecificRiskLong).where(
SpecificRiskLong.trade_date == this_date))
data_info_log(df, SpecificRiskLong)
format_data(df)
df.to_sql(SpecificRiskLong.__table__.name,
engine,
index=False,
if_exists='append')
def update_uqer_risk_model(ds, **kwargs):
ref_date, this_date = process_date(ds)
table = 'risk_exposure'
df = api.RMExposureDayGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'Date', 'ticker': 'Code'}, inplace=True)
df.Code = df.Code.astype(int)
del df['secID']
engine2.execute("delete from {0} where Date = '{1}';".format(table, ref_date))
df.to_sql(table, engine2, index=False, if_exists='append')
table = 'risk_return'
df = api.RMFactorRetDayGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'Date'}, inplace=True)
engine2.execute("delete from {0} where Date = '{1}';".format(table, ref_date))
df.to_sql(table, engine2, index=False, if_exists='append')
table = 'specific_return'
df = api.RMSpecificRetDayGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'Date', 'ticker': 'Code'}, inplace=True)
df.Code = df.Code.astype(int)
del df['secID']
engine2.execute("delete from {0} where Date = '{1}';".format(table, ref_date))
df.to_sql(table, engine2, index=False, if_exists='append')
table = 'risk_cov_day'
df = api.RMCovarianceDayGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'Date'}, inplace=True)
engine2.execute("delete from {0} where Date = '{1}';".format(table, ref_date))
df.to_sql(table, engine2, index=False, if_exists='append')
table = 'risk_cov_short'
df = api.RMCovarianceShortGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'Date'}, inplace=True)
engine2.execute("delete from {0} where Date = '{1}';".format(table, ref_date))
df.to_sql(table, engine2, index=False, if_exists='append')
table = 'risk_cov_long'
df = api.RMCovarianceLongGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'Date'}, inplace=True)
engine2.execute("delete from {0} where Date = '{1}';".format(table, ref_date))
df.to_sql(table, engine2, index=False, if_exists='append')
table = 'specific_risk_day'
df = api.RMSriskDayGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'Date', 'ticker': 'Code'}, inplace=True)
df.Code = df.Code.astype(int)
del df['secID']
engine2.execute("delete from {0} where Date = '{1}';".format(table, ref_date))
df.to_sql(table, engine2, index=False, if_exists='append')
table = 'specific_risk_short'
df = api.RMSriskShortGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'Date', 'ticker': 'Code'}, inplace=True)
df.Code = df.Code.astype(int)
del df['secID']
engine2.execute("delete from {0} where Date = '{1}';".format(table, ref_date))
df.to_sql(table, engine2, index=False, if_exists='append')
table = 'specific_risk_long'
df = api.RMSriskLongGet(tradeDate=ref_date)
df.rename(columns={'tradeDate': 'Date', 'ticker': 'Code'}, inplace=True)
df.Code = df.Code.astype(int)
del df['secID']
engine2.execute("delete from {0} where Date = '{1}';".format(table, ref_date))
df.to_sql(table, engine2, index=False, if_exists='append')
