added single phase data fetching

alphamind/examples/model_training.py

@@ -29,7 +29,7 @@ re-balance   - 1 week
 training     - every 4 week
 '''
 
-engine = SqlEngine('postgresql+psycopg2://postgres:we083826@192.168.0.101/alpha')
+engine = SqlEngine('postgresql+psycopg2://postgres:A12345678!@10.63.6.220/alpha')
 universe = Universe('zz500', ['zz500'])
 neutralize_risk = ['SIZE'] + industry_styles
 portfolio_risk_neutralize = ['SIZE']
@@ -59,7 +59,7 @@ data_package = fetch_data_package(engine,
                                   neutralized_risk=neutralize_risk,
                                   pre_process=[winsorize_normal, standardize],
                                   post_process=[standardize],
-                                  warm_start=20)
+                                  warm_start=8)
 
 '''
 training phase: using Linear - regression from scikit-learn

alphamind/model/data_preparing.py

@@ -5,12 +5,14 @@ Created on 2017-8-24
 @author: cheng.li
 """
 
+import datetime as dt
 import numpy as np
 import pandas as pd
 from typing import Iterable
 from typing import Union
 from PyFin.api import makeSchedule
 from PyFin.api import BizDayConventions
+from PyFin.api import DateGeneration
 from PyFin.api import advanceDateByCalendar
 from PyFin.DateUtilities import Period
 from PyFin.Enums import TimeUnits
@@ -35,6 +37,31 @@ def _map_horizon(frequency: str) -> int:
         raise ValueError('{0} is an unrecognized frequency rule'.format(frequency))
 
 
+def _merge_df(engine, names, factor_df, return_df, universe, dates, risk_model, neutralized_risk):
+    if neutralized_risk:
+        risk_df = engine.fetch_risk_model_range(universe, dates=dates, risk_model=risk_model)[1]
+        used_neutralized_risk = list(set(neutralized_risk).difference(names))
+        risk_df = risk_df[['trade_date', 'code'] + used_neutralized_risk].dropna()
+
+        train_x = pd.merge(factor_df, risk_df, on=['trade_date', 'code'])
+        return_df = pd.merge(return_df, risk_df, on=['trade_date', 'code'])[['trade_date', 'code', 'dx']]
+        train_y = return_df.copy()
+
+        risk_exp = train_x[neutralized_risk].values.astype(float)
+        x_values = train_x[names].values.astype(float)
+        y_values = train_y[['dx']].values
+    else:
+        risk_exp = None
+        train_x = factor_df.copy()
+        train_y = return_df.copy()
+        x_values = train_x[names].values.astype(float)
+        y_values = train_y[['dx']].values
+
+    date_label = pd.DatetimeIndex(factor_df.trade_date).to_pydatetime()
+    dates = np.unique(date_label)
+    return return_df, dates, date_label, risk_exp, x_values, y_values, train_x, train_y
+
+
 def prepare_data(engine: SqlEngine,
                  factors: Union[Transformer, Iterable[object]],
                  start_date: str,
@@ -44,9 +71,16 @@ def prepare_data(engine: SqlEngine,
                  benchmark: int,
                  warm_start: int = 0):
     if warm_start > 0:
-        start_date = advanceDateByCalendar('china.sse', start_date, str(-warm_start) + 'b').strftime('%Y-%m-%d')
+        p = Period(frequency)
+        p = Period(length=-warm_start * p.length(), units=p.units())
+        start_date = advanceDateByCalendar('china.sse', start_date, p).strftime('%Y-%m-%d')
 
-    dates = makeSchedule(start_date, end_date, frequency, calendar='china.sse', dateRule=BizDayConventions.Following)
+    dates = makeSchedule(start_date,
+                         end_date,
+                         frequency,
+                         calendar='china.sse',
+                         dateRule=BizDayConventions.Following,
+                         dateGenerationRule=DateGeneration.Backward)
 
     horizon = _map_horizon(frequency)
 
@@ -155,27 +189,8 @@ def fetch_data_package(engine: SqlEngine,
                                                benchmark,
                                                warm_start)
 
-    if neutralized_risk:
-        risk_df = engine.fetch_risk_model_range(universe, dates=dates, risk_model=risk_model)[1]
-        used_neutralized_risk = list(set(neutralized_risk).difference(transformer.names))
-        risk_df = risk_df[['trade_date', 'code'] + used_neutralized_risk].dropna()
-
-        train_x = pd.merge(factor_df, risk_df, on=['trade_date', 'code'])
-        return_df = pd.merge(return_df, risk_df, on=['trade_date', 'code'])[['trade_date', 'code', 'dx']]
-        train_y = return_df.copy()
-
-        risk_exp = train_x[neutralized_risk].values.astype(float)
-        x_values = train_x[transformer.names].values.astype(float)
-        y_values = train_y[['dx']].values
-    else:
-        risk_exp = None
-        train_x = factor_df.copy()
-        train_y = return_df.copy()
-        x_values = train_x[transformer.names].values.astype(float)
-        y_values = train_y[['dx']].values
-
-    date_label = pd.DatetimeIndex(factor_df.trade_date).to_pydatetime()
-    dates = np.unique(date_label)
+    return_df, dates, date_label, risk_exp, x_values, y_values, train_x, train_y = \
+        _merge_df(engine, transformer.names, factor_df, return_df, universe, dates, risk_model, neutralized_risk)
 
     return_df['weight'] = train_x['weight']
     return_df['industry'] = train_x['industry']
@@ -205,18 +220,171 @@ def fetch_data_package(engine: SqlEngine,
     return ret
 
 
-if __name__ == '__main__':
-    from PyFin.api import MA
+def fetch_train_phase(engine,
+                    alpha_factors: Iterable[object],
+                    ref_date,
+                    frequency,
+                    universe,
+                    batch,
+                    neutralized_risk: Iterable[str] = None,
+                    risk_model: str = 'short',
+                    pre_process: Iterable[object] = None,
+                    post_process: Iterable[object] = None,
+                    warm_start: int = 0):
+    transformer = Transformer(alpha_factors)
+
+    p = Period(frequency)
+    p = Period(length=-(warm_start + batch + 1) * p.length(), units=p.units())
+
+    start_date = advanceDateByCalendar('china.sse', ref_date, p, BizDayConventions.Following)
+    dates = makeSchedule(start_date,
+                         ref_date,
+                         frequency,
+                         calendar='china.sse',
+                         dateRule=BizDayConventions.Following,
+                         dateGenerationRule=DateGeneration.Backward)
+
+    horizon = _map_horizon(frequency)
+
+    factor_df = engine.fetch_factor_range(universe, factors=transformer, dates=dates)
+    return_df = engine.fetch_dx_return_range(universe, dates=dates, horizon=horizon)
+
+    df = pd.merge(factor_df, return_df, on=['trade_date', 'code']).dropna()
+
+    return_df, factor_df = df[['trade_date', 'code', 'dx']], df[
+        ['trade_date', 'code', 'isOpen'] + transformer.names]
+
+    return_df, dates, date_label, risk_exp, x_values, y_values, _, _ = \
+        _merge_df(engine, transformer.names, factor_df, return_df, universe, dates, risk_model, neutralized_risk)
+
+    if dates[-1] == dt.datetime.strptime(ref_date, '%Y-%m-%d'):
+        end = dates[-2]
+        start = dates[-batch - 1]
+    else:
+        end = dates[-1]
+        start = dates[-batch]
+
+    index = (date_label >= start) & (date_label <= end)
+    this_raw_x = x_values[index]
+    this_raw_y = y_values[index]
+    if risk_exp is not None:
+        this_risk_exp = risk_exp[index]
+    else:
+        this_risk_exp = None
 
+    ne_x = factor_processing(this_raw_x,
+                             pre_process=pre_process,
+                             risk_factors=this_risk_exp,
+                             post_process=post_process)
+
+    ne_y = factor_processing(this_raw_y,
+                             pre_process=pre_process,
+                             risk_factors=this_risk_exp,
+                             post_process=post_process)
+
+    ret = dict()
+    ret['x_names'] = transformer.names
+    ret['train'] = {'x': ne_x, 'y': ne_y}
+
+    return ret
+
+
+def fetch_predict_phase(engine,
+                    alpha_factors: Iterable[object],
+                    ref_date,
+                    frequency,
+                    universe,
+                    batch,
+                    neutralized_risk: Iterable[str] = None,
+                    risk_model: str = 'short',
+                    pre_process: Iterable[object] = None,
+                    post_process: Iterable[object] = None,
+                    warm_start: int = 0):
+    transformer = Transformer(alpha_factors)
+
+    p = Period(frequency)
+    p = Period(length=-(warm_start + batch) * p.length(), units=p.units())
+
+    start_date = advanceDateByCalendar('china.sse', ref_date, p, BizDayConventions.Following)
+    dates = makeSchedule(start_date,
+                         ref_date,
+                         frequency,
+                         calendar='china.sse',
+                         dateRule=BizDayConventions.Following,
+                         dateGenerationRule=DateGeneration.Backward)
+
+    factor_df = engine.fetch_factor_range(universe, factors=transformer, dates=dates).dropna()
+
+    names = transformer.names
+
+    if neutralized_risk:
+        risk_df = engine.fetch_risk_model_range(universe, dates=dates, risk_model=risk_model)[1]
+        used_neutralized_risk = list(set(neutralized_risk).difference(names))
+        risk_df = risk_df[['trade_date', 'code'] + used_neutralized_risk].dropna()
+        train_x = pd.merge(factor_df, risk_df, on=['trade_date', 'code'])
+        risk_exp = train_x[neutralized_risk].values.astype(float)
+        x_values = train_x[names].values.astype(float)
+    else:
+        train_x = factor_df.copy()
+        risk_exp = None
+
+    date_label = pd.DatetimeIndex(factor_df.trade_date).to_pydatetime()
+    dates = np.unique(date_label)
+
+    if dates[-1] == dt.datetime.strptime(ref_date, '%Y-%m-%d'):
+        end = dates[-1]
+        start = dates[-batch]
+
+        index = (date_label >= start) & (date_label <= end)
+        this_raw_x = x_values[index]
+        sub_dates = date_label[index]
+
+        if risk_exp is not None:
+            this_risk_exp = risk_exp[index]
+        else:
+            this_risk_exp = None
+
+        ne_x = factor_processing(this_raw_x,
+                                 pre_process=pre_process,
+                                 risk_factors=this_risk_exp,
+                                 post_process=post_process)
+
+        ne_x = ne_x[sub_dates == end]
+        codes = train_x.code.values[date_label == end]
+    else:
+        ne_x = None
+        codes = None
+
+    ret = dict()
+    ret['x_names'] = transformer.names
+    ret['predict'] = {'x': ne_x, 'code': codes}
+
+    return ret
+
+
+if __name__ == '__main__':
     engine = SqlEngine('postgresql+psycopg2://postgres:A12345678!@10.63.6.220/alpha')
-    universe = Universe('zz500', ['zz500'])
-    res = fetch_data_package(engine,
-                             MA(10, 'EPS'),
-                             '2012-01-01',
-                             '2012-04-01',
-                             '1m',
+    universe = Universe('zz500', ['ashare_ex'])
+    neutralized_risk = ['SIZE']
+    res = fetch_train_phase(engine,
+                          ['EPS', 'CFinc1'],
+                          '2017-09-04',
+                          '2w',
+                          universe,
+                          4,
+                          warm_start=1,
+                          neutralized_risk=neutralized_risk)
+
+    print(res)
+
+    res = fetch_predict_phase(engine,
+                            ['EPS', 'CFinc1'],
+                            '2017-09-04',
+                            '2w',
                             universe,
-                             905,
-                             0)
+                            4,
+                            warm_start=1,
+                            neutralized_risk=neutralized_risk)
 
     print(res)
+