update engines

alphamind/analysis/factoranalysis.py

@@ -166,6 +166,9 @@ def factor_analysis(factors: pd.DataFrame,
                     method='risk_neutral',
                     **kwargs) -> Tuple[pd.DataFrame, Optional[pd.DataFrame]]:
 
+    if risk_exp is not None:
+        risk_exp = risk_exp[:, risk_exp.sum(axis=0) != 0]
+
     data_pack = FDataPack(raw_factors=factors.values,
                           d1returns=d1returns,
                           groups=industry,

alphamind/data/engines/sqlengine.py

@@ -22,8 +22,7 @@ risk_styles = ['BETA',
                'BTOP',
                'LEVERAGE',
                'LIQUIDTY',
-               'SIZENL',
-               'COUNTRY']
+               'SIZENL']
 
 industry_styles = [
     'Bank',
@@ -68,12 +67,14 @@ def append_industry_info(df):
 
 class SqlEngine(object):
     def __init__(self,
-                 db_url: str,
-                 universe: Universe):
+                 db_url: str):
         self.engine = sa.create_engine(db_url)
-        self.unv = universe
 
-    def fetch_codes(self, ref_date: str) -> List[int]:
+    def fetch_factors_meta(self) -> pd.DataFrame:
+        sql = "select * from factor_master"
+        return pd.read_sql(sql, self.engine)
+
+    def fetch_codes(self, ref_date: str, univ: Universe) -> List[int]:
 
         def get_universe(univ, ref_date):
             univ_str = ','.join("'" + u + "'" for u in univ)
@@ -85,19 +86,19 @@ class SqlEngine(object):
 
         codes_set = None
 
-        if self.unv.include_universe:
-            include_codes_set = get_universe(self.unv.include_universe, ref_date)
+        if univ.include_universe:
+            include_codes_set = get_universe(univ.include_universe, ref_date)
             codes_set = include_codes_set
 
-        if self.unv.exclude_universe:
-            exclude_codes_set = get_universe(self.unv.exclude_universe, ref_date)
+        if univ.exclude_universe:
+            exclude_codes_set = get_universe(univ.exclude_universe, ref_date)
             codes_set -= exclude_codes_set
 
-        if self.unv.include_codes:
-            codes_set = codes_set.union(self.unv.include_codes)
+        if univ.include_codes:
+            codes_set = codes_set.union(univ.include_codes)
 
-        if self.unv.exclude_codes:
-            codes_set -= set(self.unv.exclude_codes)
+        if univ.exclude_codes:
+            codes_set -= set(univ.exclude_codes)
 
         return sorted(codes_set)
 
@@ -154,16 +155,17 @@ class SqlEngine(object):
 
 if __name__ == '__main__':
     db_url = 'mysql+mysqldb://root:we083826@localhost/alpha?charset=utf8'
-    universe = Universe(['zz500'])
+    universe = Universe('zz500', ['zz500'])
 
-    engine = SqlEngine(db_url, universe)
+    engine = SqlEngine(db_url)
     ref_date = '2017-07-04'
 
     import datetime as dt
 
     start = dt.datetime.now()
-    for i in range(500):
-        codes = engine.fetch_codes('2017-07-04')
+    for i in range(10):
+        factors = engine.fetch_factors_meta()
+        codes = engine.fetch_codes('2017-07-04', universe)
         total_data = engine.fetch_data(ref_date, ['EPS'], [1, 5], 905)
 
     print(dt.datetime.now() - start)

alphamind/data/engines/universe.py

@@ -11,11 +11,13 @@ from typing import Iterable
 class Universe(object):
 
     def __init__(self,
+                 name,
                  include_universe: Iterable[str]=None,
                  exclude_universe: Iterable[str]=None,
                  include_codes: Iterable[str]=None,
                  exclude_codes: Iterable[str]=None):
 
+        self.name = name
         self.include_universe = include_universe
         self.exclude_universe = exclude_universe
         self.include_codes = include_codes