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李煜
FactorCalculate
Commits
74ec7081
Commit
74ec7081
authored
Jul 16, 2019
by
李煜
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code update
parent
cf988166
Changes
4
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4 changed files
with
24 additions
and
18 deletions
+24
-18
client.py
client.py
+21
-14
factor_growth.py
factor/factor_growth.py
+1
-1
factor_per_share_indicators.py
factor/factor_per_share_indicators.py
+1
-1
historical_value.py
factor/historical_value.py
+1
-2
No files found.
client.py
View file @
74ec7081
...
...
@@ -338,22 +338,26 @@ def get_basic_cash_flow(trade_date):
:return:
"""
cash_flow_sets
=
get_fundamentals
(
add_filter_trade
(
query
(
CashFlow
.
__name__
,
[
CashFlow
.
symbol
,
CashFlow
.
net_operate_cash_flow
,
[
CashFlow
.
symbol
,
CashFlow
.
net_operate_cash_flow
,
CashFlow
.
goods_sale_and_service_render_cash
])
,
[
trade_date
]))
income_sets
=
get_fundamentals
(
add_filter_trade
(
query
(
Income
.
__name__
,
[
Income
.
symbol
,
Income
.
operating_revenue
,
[
Income
.
symbol
,
Income
.
operating_revenue
,
Income
.
total_operating_cost
,
Income
.
total_operating_revenue
]),
[
trade_date
]))
valuation_sets
=
get_fundamentals
(
add_filter_trade
(
query
(
Valuation
.
__name__
,
[
Valuation
.
symbol
,
Valuation
.
market_cap
,
[
Valuation
.
symbol
,
Valuation
.
market_cap
,
Valuation
.
circulating_market_cap
]),
[
trade_date
]))
# 合并
tp_cash_flow
=
pd
.
merge
(
cash_flow_sets
,
income_sets
,
on
=
"symbol"
)
tp_cash_flow
=
tp_cash_flow
[
-
tp_cash_flow
.
duplicated
()]
ttm_factors
=
{
Balance
.
__name__
:
[
Balance
.
symbol
,
Balance
.
total_liability
,
ttm_factors
=
{
Balance
.
__name__
:
[
Balance
.
symbol
,
Balance
.
total_liability
,
Balance
.
shortterm_loan
,
Balance
.
longterm_loan
,
Balance
.
total_current_liability
,
...
...
@@ -365,8 +369,11 @@ def get_basic_cash_flow(trade_date):
CashFlow
.
net_operate_cash_flow
,
CashFlow
.
goods_sale_and_service_render_cash
,
CashFlow
.
cash_and_equivalents_at_end
],
Income
.
__name__
:
[
Income
.
symbol
,
Income
.
operating_revenue
,
Income
.
total_operating_revenue
,
Income
.
total_operating_cost
,
Income
.
net_profit
,
Income
.
__name__
:
[
Income
.
symbol
,
Income
.
operating_revenue
,
Income
.
total_operating_revenue
,
Income
.
total_operating_cost
,
Income
.
net_profit
,
Income
.
np_parent_company_owners
]
}
ttm_cash_flow_sets
=
get_ttm_fundamental
([],
ttm_factors
,
trade_date
)
.
reset_index
()
...
...
@@ -392,7 +399,8 @@ def get_basic_constrain(trade_date):
balance_sets
=
balance_sets
[
-
balance_sets
.
duplicated
()]
# TTM计算
ttm_factors
=
{
Income
.
_name_
:
[
Income
.
symbol
,
Income
.
operating_cost
,
ttm_factors
=
{
Income
.
_name_
:
[
Income
.
symbol
,
Income
.
operating_cost
,
Income
.
operating_revenue
,
Income
.
operating_tax_surcharges
,
Income
.
total_operating_revenue
,
...
...
@@ -479,13 +487,11 @@ def get_basic_earning(trade_date):
## 5年TTM数据
ttm_factors
=
{
Balance
.
__name__
:
[
Balance
.
symbol
,
Balance
.
total_assets
,
Balance
.
total_owner_equities
],
Balance
.
total_owner_equities
],
CashFlow
.
__name__
:
[
CashFlow
.
symbol
,
CashFlow
.
cash_and_equivalents_at_end
],
Income
.
__name__
:
[
Income
.
symbol
,
Income
.
net_profit
,
]
Income
.
net_profit
,]
}
# 通过cache_data.set_cache, 会使得index的name丢失
ttm_earning_5y
=
get_ttm_fundamental
([],
ttm_factors
,
trade_date
,
year
=
5
)
.
reset_index
()
...
...
@@ -535,11 +541,12 @@ if __name__ == '__main__':
# earning.create_dest_tables()
for
date_index
in
trade_date_sets
:
print
(
'trade_date: {}'
.
format
(
date_index
))
# factor_growth
start_time
=
time
.
time
()
ttm_factor_sets
,
balance_sets
=
get_basic_growth_data
(
date_index
)
growth_sets
=
pd
.
merge
(
ttm_factor_sets
,
balance_sets
,
on
=
'symbol'
)
cache_data
.
set_cache
(
session1
,
date_index
,
growth_sets
.
to_json
(
orient
=
'records'
))
cache_data
.
set_cache
(
session1
+
str
(
date_index
)
,
date_index
,
growth_sets
.
to_json
(
orient
=
'records'
))
factor_growth
.
factor_calculate
.
delay
(
date_index
=
date_index
,
session
=
session1
)
time1
=
time
.
time
()
print
(
'growth_cal_time:{}'
.
format
(
time1
-
start_time
))
...
...
@@ -549,7 +556,7 @@ if __name__ == '__main__':
valuation_sets
=
pd
.
merge
(
valuation_sets
,
income_sets
,
on
=
'symbol'
)
valuation_sets
=
pd
.
merge
(
valuation_sets
,
ttm_factor_sets
,
on
=
'symbol'
)
valuation_sets
=
pd
.
merge
(
valuation_sets
,
cash_flow_sets
,
on
=
'symbol'
)
cache_data
.
set_cache
(
session2
,
date_index
,
valuation_sets
.
to_json
(
orient
=
'records'
))
cache_data
.
set_cache
(
session2
+
str
(
date_index
)
,
date_index
,
valuation_sets
.
to_json
(
orient
=
'records'
))
historical_value
.
factor_calculate
.
delay
(
date_index
=
date_index
,
session
=
session2
)
time2
=
time
.
time
()
print
(
'history_cal_time:{}'
.
format
(
time2
-
time1
))
...
...
@@ -560,7 +567,7 @@ if __name__ == '__main__':
valuation_sets
=
pd
.
merge
(
valuation_sets
,
ttm_factor_sets
,
on
=
'symbol'
)
valuation_sets
=
pd
.
merge
(
valuation_sets
,
cash_flow_sets
,
on
=
'symbol'
)
valuation_sets
=
pd
.
merge
(
valuation_sets
,
balance_sets
,
on
=
'symbol'
)
cache_data
.
set_cache
(
session3
,
date_index
,
valuation_sets
.
to_json
(
orient
=
'records'
))
cache_data
.
set_cache
(
session3
+
str
(
date_index
)
,
date_index
,
valuation_sets
.
to_json
(
orient
=
'records'
))
factor_per_share_indicators
.
factor_calculate
.
delay
(
date_index
=
date_index
,
session
=
session3
)
time3
=
time
.
time
()
print
(
'per_share_cal_time:{}'
.
format
(
time3
-
time2
))
...
...
factor/factor_growth.py
View file @
74ec7081
...
...
@@ -687,7 +687,7 @@ def factor_calculate(**kwargs):
date_index
=
kwargs
[
'date_index'
]
session
=
kwargs
[
'session'
]
growth
=
Growth
(
'factor_growth'
)
# 注意, 这里的name要与client中新建table时的name一致, 不然回报错
content
=
cache_data
.
get_cache
(
session
,
date_index
)
content
=
cache_data
.
get_cache
(
session
+
str
(
date_index
)
,
date_index
)
total_growth_data
=
json_normalize
(
json
.
loads
(
str
(
content
,
encoding
=
'utf8'
)))
print
(
"len_total_growth_data {}"
.
format
(
len
(
total_growth_data
)))
calculate
(
date_index
,
total_growth_data
,
growth
)
...
...
factor/factor_per_share_indicators.py
View file @
74ec7081
...
...
@@ -532,7 +532,7 @@ def factor_calculate(**kwargs):
date_index
=
kwargs
[
'date_index'
]
session
=
kwargs
[
'session'
]
per_share
=
PerShareIndicators
(
'factor_per_share'
)
# 注意, 这里的name要与client中新建table时的name一致, 不然回报错
content
=
cache_data
.
get_cache
(
session
,
date_index
)
content
=
cache_data
.
get_cache
(
session
+
str
(
date_index
)
,
date_index
)
total_pre_share_data
=
json_normalize
(
json
.
loads
(
str
(
content
,
encoding
=
'utf8'
)))
print
(
"len_total_per_share_data {}"
.
format
(
len
(
total_pre_share_data
)))
calculate
(
date_index
,
total_pre_share_data
,
per_share
)
factor/historical_value.py
View file @
74ec7081
...
...
@@ -391,9 +391,8 @@ def factor_calculate(**kwargs):
date_index
=
kwargs
[
'date_index'
]
session
=
kwargs
[
'session'
]
historical_value
=
HistoricalValue
(
'factor_historical_value'
)
# 注意, 这里的name要与client中新建table时的name一致, 不然回报错
content
=
cache_data
.
get_cache
(
session
,
date_index
)
content
=
cache_data
.
get_cache
(
session
+
str
(
date_index
)
,
date_index
)
total_history_data
=
json_normalize
(
json
.
loads
(
str
(
content
,
encoding
=
'utf8'
)))
print
(
"len_history_value_data {}"
.
format
(
len
(
total_history_data
)))
calculate
(
date_index
,
total_history_data
,
historical_value
)
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