refactor return get

alphamind/data/engines/sqlengine.py

@@ -155,6 +155,13 @@ class SqlEngine(object):
                           dates: Iterable[str] = None) -> pd.DataFrame:
         return universe.query(self, start_date, end_date, dates)
 
+    def _create_stats(self, table, horizon, offset):
+        stats = func.sum(self.ln_func(1. + table.chgPct)).over(
+            partition_by=table.code,
+            order_by=table.trade_date,
+            rows=(1 + DAILY_RETURN_OFFSET + offset, 1 + horizon + DAILY_RETURN_OFFSET + offset)).label('dx')
+        return stats
+
     def fetch_dx_return(self,
                         ref_date: str,
                         codes: Iterable[int],
@@ -169,10 +176,7 @@ class SqlEngine(object):
         else:
             end_date = expiry_date
 
-        stats = func.sum(self.ln_func(1. + Market.chgPct)).over(
-            partition_by=Market.code,
-            order_by=Market.trade_date,
-            rows=(1 + DAILY_RETURN_OFFSET + offset, 1 + horizon + DAILY_RETURN_OFFSET + offset)).label('dx')
+        stats = self._create_stats(Market, horizon, offset)
 
         query = select([Market.trade_date, Market.code, stats]).where(
             and_(
@@ -200,10 +204,7 @@ class SqlEngine(object):
         end_date = advanceDateByCalendar('china.sse', end_date,
                                          str(1 + horizon + offset + DAILY_RETURN_OFFSET) + 'b').strftime('%Y-%m-%d')
 
-        stats = func.sum(self.ln_func(1. + Market.chgPct)).over(
-            partition_by=Market.code,
-            order_by=Market.trade_date,
-            rows=(1 + offset + DAILY_RETURN_OFFSET, 1 + horizon + offset + DAILY_RETURN_OFFSET)).label('dx')
+        stats = self._create_stats(Market, horizon, offset)
 
         cond = universe._query_statements(start_date, end_date, None)
 
@@ -243,10 +244,7 @@ class SqlEngine(object):
         else:
             end_date = expiry_date
 
-        stats = func.sum(self.ln_func(1. + IndexMarket.chgPct)).over(
-            partition_by=IndexMarket.indexCode,
-            order_by=IndexMarket.trade_date,
-            rows=(1 + DAILY_RETURN_OFFSET + offset, 1 + horizon + DAILY_RETURN_OFFSET + offset)).label('dx')
+            stats = self._create_stats(IndexMarket, horizon, offset)
 
         query = select([IndexMarket.trade_date, IndexMarket.indexCode.label('code'), stats]).where(
             and_(
@@ -274,10 +272,7 @@ class SqlEngine(object):
         end_date = advanceDateByCalendar('china.sse', end_date,
                                          str(1 + horizon + offset + DAILY_RETURN_OFFSET) + 'b').strftime('%Y-%m-%d')
 
-        stats = func.sum(self.ln_func(1. + IndexMarket.chgPct)).over(
-            partition_by=IndexMarket.indexCode,
-            order_by=IndexMarket.trade_date,
-            rows=(1 + offset + DAILY_RETURN_OFFSET, 1 + horizon + offset + DAILY_RETURN_OFFSET)).label('dx')
+        stats = self._create_stats(IndexMarket, horizon, offset)
 
         query = select([IndexMarket.trade_date, IndexMarket.indexCode.label('code'), stats]) \
             .where(