def init_selectors(self, entity_ids, entity_schema, exchanges, codes, start_timestamp, end_timestamp):
ma_vol_selector = TargetSelector(entity_ids=entity_ids, entity_schema=entity_schema, exchanges=exchanges,
codes=codes, start_timestamp=start_timestamp, end_timestamp=end_timestamp,
provider='joinquant', level=IntervalLevel.LEVEL_1DAY)
# 放量突破年线
ma_vol_factor = ImprovedMaFactor(entity_ids=entity_ids, entity_schema=entity_schema, exchanges=exchanges,
codes=codes, start_timestamp=start_timestamp - datetime.timedelta(365),
end_timestamp=end_timestamp,
provider='joinquant', level=IntervalLevel.LEVEL_1DAY)
ma_vol_selector.add_filter_factor(ma_vol_factor)
self.selectors.append(ma_vol_selector)
def init_selectors(self, entity_ids, entity_schema, exchanges, codes,
start_timestamp, end_timestamp):
ma_vol_selector = TargetSelector(region=self.region,
entity_ids=entity_ids,
entity_schema=entity_schema,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
provider=Provider.JoinQuant,
level=IntervalLevel.LEVEL_1DAY)
# 放量突破年线
ma_vol_factor = ImprovedMaFactor(region=self.region,
entity_ids=entity_ids,
entity_schema=entity_schema,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp -
datetime.timedelta(365),
end_timestamp=end_timestamp,
provider=Provider.JoinQuant,
level=IntervalLevel.LEVEL_1DAY)
# 底部附近突破
cross_factor = CrossTopBottomFactor(region=self.region,
entity_ids=entity_ids,
entity_schema=entity_schema,
exchanges=exchanges,
codes=codes,
start_timestamp=start_timestamp -
datetime.timedelta(365),
end_timestamp=end_timestamp,
provider=Provider.JoinQuant,
level=IntervalLevel.LEVEL_1DAY)
ma_vol_selector.add_filter_factor(ma_vol_factor)
ma_vol_selector.add_filter_factor(cross_factor)
self.selectors.append(ma_vol_selector)
def report_vol_up_120():
while True:
error_count = 0
email_action = EmailInformer()
try:
# 抓取k线数据
# StockTradeDay.record_data(provider='joinquant')
# Stock1dKdata.record_data(provider='joinquant')
latest_day: Stock1dKdata = Stock1dKdata.query_data(
order=Stock1dKdata.timestamp.desc(),
limit=1,
return_type='domain')
target_date = latest_day[0].timestamp
# 计算均线
my_selector = TargetSelector(start_timestamp='2019-06-01',
end_timestamp=target_date)
# add the factors
factor1 = ImprovedMaFactor(start_timestamp='2019-06-01',
end_timestamp=target_date,
windows=[120])
my_selector.add_filter_factor(factor1)
my_selector.run()
long_stocks = my_selector.get_open_long_targets(
timestamp=target_date)
msg = 'no targets'
# 过滤亏损股
# check StockValuation data
pe_date = target_date - datetime.timedelta(10)
if StockValuation.query_data(start_timestamp=pe_date,
limit=1,
return_type='domain'):
positive_df = StockValuation.query_data(
provider='joinquant',
entity_ids=long_stocks,
start_timestamp=pe_date,
filters=[StockValuation.pe > 0],
columns=['entity_id'])
bad_stocks = set(long_stocks) - set(
positive_df['entity_id'].tolist())
if bad_stocks:
stocks = get_entities(provider='joinquant',
entity_schema=Stock,
entity_ids=bad_stocks,
return_type='domain')
info = [f'{stock.name}({stock.code})' for stock in stocks]
msg = '亏损股:' + ' '.join(info) + '\n'
long_stocks = set(positive_df['entity_id'].tolist())
if long_stocks:
stocks = get_entities(provider='joinquant',
entity_schema=Stock,
entity_ids=long_stocks,
return_type='domain')
# add them to eastmoney
try:
try:
eastmoneypy.del_group('high')
except:
pass
eastmoneypy.create_group('high')
for stock in stocks:
eastmoneypy.add_to_group(stock.code, group_name='high')
except Exception as e:
email_action.send_message(
"*****@*****.**", f'report_vol_up_120 error',
'report_vol_up_120 error:{}'.format(e))
info = [f'{stock.name}({stock.code})' for stock in stocks]
msg = msg + '盈利股:' + ' '.join(info) + '\n'
logger.info(msg)
email_action.send_message('*****@*****.**',
f'{target_date} 改进版放量突破半年线选股结果', msg)
break
except Exception as e:
logger.exception('report_vol_up_120 error:{}'.format(e))
time.sleep(60 * 3)
error_count = error_count + 1
if error_count == 10:
email_action.send_message(
"*****@*****.**", f'report_vol_up_120 error',
'report_vol_up_120 error:{}'.format(e))
def report_state(region):
while True:
error_count = 0
email_action = EmailInformer(ssl=True)
try:
latest_day: Stock1dKdata = Stock1dKdata.query_data(
region=region,
order=Stock1dKdata.timestamp.desc(),
limit=1,
return_type='domain')
target_date = latest_day[0].timestamp
# target_date = to_pd_timestamp('2020-01-02')
# 计算均线
my_selector = TargetSelector(region=region,
start_timestamp='2018-01-01',
end_timestamp=target_date)
# add the factors
factor1 = ImprovedMaFactor(region=region,
start_timestamp='2018-01-01',
end_timestamp=target_date)
my_selector.add_filter_factor(factor1)
my_selector.run()
long_stocks = my_selector.get_open_long_targets(
timestamp=target_date)
stock_map_slope = {}
logger.info(long_stocks)
msg = 'no targets'
if long_stocks:
pre_date = target_date - datetime.timedelta(2 * 365)
ma_state = MaStateStatsFactor(region=region,
entity_ids=long_stocks,
start_timestamp=pre_date,
end_timestamp=target_date,
need_persist=False)
ma_state.factor_df['slope'] = 100 * ma_state.factor_df[
'current_pct'] / ma_state.factor_df['current_count']
high_stocks = []
for entity_id, df in ma_state.factor_df.groupby(level=0):
if df['current_pct'].max() >= 0.7:
high_stocks.append(entity_id)
stock_map_slope[entity_id] = round(df['slope'].iat[-1], 2)
if high_stocks:
stocks = get_entities(region=region,
provider=Provider.JoinQuant,
entity_schema=Stock,
entity_ids=high_stocks,
return_type='domain')
info = [
f'{stock.name}({stock.code})[{stock_map_slope.get(stock.entity_id)}]'
for stock in stocks
]
msg = msg + '2年内高潮过:' + ' '.join(info) + '\n'
# 过滤风险股
if long_stocks:
risky_codes = risky_company(region=region,
the_date=target_date,
entity_ids=long_stocks,
income_yoy=-0.8,
profit_yoy=-0.8)
if risky_codes:
long_stocks = [
entity_id for entity_id in long_stocks
if get_entity_code(entity_id) not in risky_codes
]
stocks = get_entities(region=region,
provider=Provider.JoinQuant,
entity_schema=Stock,
codes=risky_codes,
return_type='domain')
info = [
f'{stock.name}({stock.code})[{stock_map_slope.get(stock.entity_id)}]'
for stock in stocks
]
msg = msg + '风险股:' + ' '.join(info) + '\n'
if long_stocks:
stocks = get_entities(region=region,
provider=Provider.JoinQuant,
entity_schema=Stock,
entity_ids=long_stocks,
return_type='domain')
# add them to eastmoney
try:
try:
eastmoneypy.del_group('real')
except:
pass
eastmoneypy.create_group('real')
for stock in stocks:
eastmoneypy.add_to_group(stock.code, group_name='real')
except Exception as e:
email_action.send_message(
"*****@*****.**", f'report state error',
'report state error:{}'.format(e))
info = [
f'{stock.name}({stock.code})[{stock_map_slope.get(stock.entity_id)}]'
for stock in stocks
]
msg = msg + '选中:' + ' '.join(info) + '\n'
logger.info(msg)
email_action.send_message('*****@*****.**',
f'{target_date} 放量突破年线state选股结果', msg)
break
except Exception as e:
logger.exception('report state error:{}'.format(e))
time.sleep(60 * 3)
error_count = error_count + 1
if error_count == 10:
email_action.send_message("*****@*****.**",
f'report state error',
'report state error:{}'.format(e))