more efficiently get data

alphamind/data/dbmodel/models.py

@@ -5,10 +5,9 @@ Created on 2017-6-29
 @author: cheng.li
 """
 
-from sqlalchemy import BigInteger, Column, DateTime, Float, Index, Integer, JSON, String, Text, text
+from sqlalchemy import BigInteger, Column, DateTime, Float, Index, Integer, JSON, String, Text, Table
 from sqlalchemy.ext.declarative import declarative_base
 
-
 Base = declarative_base()
 metadata = Base.metadata
 
@@ -219,7 +218,8 @@ class Performance(Base):
     __tablename__ = 'performance'
     __table_args__ = (
         Index('performance_type_industry_universe_portfolio_index', 'type', 'industry', 'universe', 'portfolio'),
-        Index('performance_Date_type_portfolio_industry_source_universe_uindex', 'trade_date', 'type', 'portfolio', 'industry', 'source', 'universe', unique=True)
+        Index('performance_Date_type_portfolio_industry_source_universe_uindex', 'trade_date', 'type', 'portfolio',
+              'industry', 'source', 'universe', unique=True)
     )
 
     trade_date = Column(DateTime, primary_key=True, nullable=False)
@@ -236,7 +236,8 @@ class Performance(Base):
 class Performance2(Base):
     __tablename__ = 'performance2'
     __table_args__ = (
-        Index('performance2_uindex', 'trade_date', 'type', 'portfolio', 'industry', 'source', 'universe', 'benchmark', unique=True),
+        Index('performance2_uindex', 'trade_date', 'type', 'portfolio', 'industry', 'source', 'universe', 'benchmark',
+              unique=True),
         Index('performance2_index', 'type', 'industry', 'universe', 'portfolio')
     )
 
@@ -553,7 +554,8 @@ class RiskReturn(Base):
 class RiskStat(Base):
     __tablename__ = 'risk_stats'
     __table_args__ = (
-        Index('risk_stats_uindex', 'trade_date', 'type', 'portfolio', 'source', 'universe', 'benchmark', 'factor', unique=True),
+        Index('risk_stats_uindex', 'trade_date', 'type', 'portfolio', 'source', 'universe', 'benchmark', 'factor',
+              unique=True),
     )
 
     trade_date = Column(DateTime, primary_key=True, nullable=False)
@@ -1120,9 +1122,564 @@ class Uqer(Base):
     NLSIZE = Column(Float(53))
 
 
+class FullFactorView(Base):
+    __tablename__ = 'full_factor_view'
+    __table_args__ = (
+        Index('factor_pk', 'trade_date', 'code', unique=True),
+    )
 
-if __name__ == '__main__':
-
+    trade_date = Column(DateTime, primary_key=True, nullable=False)
+    code = Column(Integer, primary_key=True, nullable=False)
+    secShortName = Column(String(10))
+    exchangeCD = Column(String(4))
+    preClosePrice = Column(Float(53))
+    actPreClosePrice = Column(Float(53))
+    openPrice = Column(Float(53))
+    highestPrice = Column(Float(53))
+    lowestPrice = Column(Float(53))
+    closePrice = Column(Float(53))
+    turnoverVol = Column(BigInteger)
+    turnoverValue = Column(Float(53))
+    dealAmount = Column(BigInteger)
+    turnoverRate = Column(Float(53))
+    accumAdjFactor = Column(Float(53))
+    negMarketValue = Column(Float(53))
+    marketValue = Column(Float(53))
+    chgPct = Column(Float(53))
+    isOpen = Column(Integer)
+    vwap = Column(Float(53))
+    AccountsPayablesTDays = Column(Float(53))
+    AccountsPayablesTRate = Column(Float(53))
+    AdminiExpenseRate = Column(Float(53))
+    ARTDays = Column(Float(53))
+    ARTRate = Column(Float(53))
+    ASSI = Column(Float(53))
+    BLEV = Column(Float(53))
+    BondsPayableToAsset = Column(Float(53))
+    CashRateOfSales = Column(Float(53))
+    CashToCurrentLiability = Column(Float(53))
+    CMRA = Column(Float(53))
+    CTOP = Column(Float(53))
+    CTP5 = Column(Float(53))
+    CurrentAssetsRatio = Column(Float(53))
+    CurrentAssetsTRate = Column(Float(53))
+    CurrentRatio = Column(Float(53))
+    DAVOL10 = Column(Float(53))
+    DAVOL20 = Column(Float(53))
+    DAVOL5 = Column(Float(53))
+    DDNBT = Column(Float(53))
+    DDNCR = Column(Float(53))
+    DDNSR = Column(Float(53))
+    DebtEquityRatio = Column(Float(53))
+    DebtsAssetRatio = Column(Float(53))
+    DHILO = Column(Float(53))
+    DilutedEPS = Column(Float(53))
+    DVRAT = Column(Float(53))
+    EBITToTOR = Column(Float(53))
+    EGRO = Column(Float(53))
+    EMA10 = Column(Float(53))
+    EMA120 = Column(Float(53))
+    EMA20 = Column(Float(53))
+    EMA5 = Column(Float(53))
+    EMA60 = Column(Float(53))
+    EPS = Column(Float(53))
+    EquityFixedAssetRatio = Column(Float(53))
+    EquityToAsset = Column(Float(53))
+    EquityTRate = Column(Float(53))
+    ETOP = Column(Float(53))
+    ETP5 = Column(Float(53))
+    FinancialExpenseRate = Column(Float(53))
+    FinancingCashGrowRate = Column(Float(53))
+    FixAssetRatio = Column(Float(53))
+    FixedAssetsTRate = Column(Float(53))
+    GrossIncomeRatio = Column(Float(53))
+    HBETA = Column(Float(53))
+    HSIGMA = Column(Float(53))
+    IntangibleAssetRatio = Column(Float(53))
+    InventoryTDays = Column(Float(53))
+    InventoryTRate = Column(Float(53))
+    InvestCashGrowRate = Column(Float(53))
+    LCAP = Column(Float(53))
+    LFLO = Column(Float(53))
+    LongDebtToAsset = Column(Float(53))
+    LongDebtToWorkingCapital = Column(Float(53))
+    LongTermDebtToAsset = Column(Float(53))
+    MA10 = Column(Float(53))
+    MA120 = Column(Float(53))
+    MA20 = Column(Float(53))
+    MA5 = Column(Float(53))
+    MA60 = Column(Float(53))
+    MAWVAD = Column(Float(53))
+    MFI = Column(Float(53))
+    MLEV = Column(Float(53))
+    NetAssetGrowRate = Column(Float(53))
+    NetProfitGrowRate = Column(Float(53))
+    NetProfitRatio = Column(Float(53))
+    NOCFToOperatingNI = Column(Float(53))
+    NonCurrentAssetsRatio = Column(Float(53))
+    NPParentCompanyGrowRate = Column(Float(53))
+    NPToTOR = Column(Float(53))
+    OperatingExpenseRate = Column(Float(53))
+    OperatingProfitGrowRate = Column(Float(53))
+    OperatingProfitRatio = Column(Float(53))
+    OperatingProfitToTOR = Column(Float(53))
+    OperatingRevenueGrowRate = Column(Float(53))
+    OperCashGrowRate = Column(Float(53))
+    OperCashInToCurrentLiability = Column(Float(53))
+    PB = Column(Float(53))
+    PCF = Column(Float(53))
+    PE = Column(Float(53))
+    PS = Column(Float(53))
+    PSY = Column(Float(53))
+    QuickRatio = Column(Float(53))
+    REVS10 = Column(Float(53))
+    REVS20 = Column(Float(53))
+    REVS5 = Column(Float(53))
+    ROA = Column(Float(53))
+    ROA5 = Column(Float(53))
+    ROE = Column(Float(53))
+    ROE5 = Column(Float(53))
+    RSI = Column(Float(53))
+    RSTR12 = Column(Float(53))
+    RSTR24 = Column(Float(53))
+    SalesCostRatio = Column(Float(53))
+    SaleServiceCashToOR = Column(Float(53))
+    SUE = Column(Float(53))
+    TaxRatio = Column(Float(53))
+    TOBT = Column(Float(53))
+    TotalAssetGrowRate = Column(Float(53))
+    TotalAssetsTRate = Column(Float(53))
+    TotalProfitCostRatio = Column(Float(53))
+    TotalProfitGrowRate = Column(Float(53))
+    VOL10 = Column(Float(53))
+    VOL120 = Column(Float(53))
+    VOL20 = Column(Float(53))
+    VOL240 = Column(Float(53))
+    VOL5 = Column(Float(53))
+    VOL60 = Column(Float(53))
+    WVAD = Column(Float(53))
+    REC = Column(Float(53))
+    DAREC = Column(Float(53))
+    GREC = Column(Float(53))
+    FY12P = Column(Float(53))
+    DAREV = Column(Float(53))
+    GREV = Column(Float(53))
+    SFY12P = Column(Float(53))
+    DASREV = Column(Float(53))
+    GSREV = Column(Float(53))
+    FEARNG = Column(Float(53))
+    FSALESG = Column(Float(53))
+    TA2EV = Column(Float(53))
+    CFO2EV = Column(Float(53))
+    ACCA = Column(Float(53))
+    DEGM = Column(Float(53))
+    SUOI = Column(Float(53))
+    EARNMOM = Column(Float(53))
+    FiftyTwoWeekHigh = Column(Float(53))
+    Volatility = Column(Float(53))
+    Skewness = Column(Float(53))
+    ILLIQUIDITY = Column(Float(53))
+    BackwardADJ = Column(Float(53))
+    MACD = Column(Float(53))
+    ADTM = Column(Float(53))
+    ATR14 = Column(Float(53))
+    ATR6 = Column(Float(53))
+    BIAS10 = Column(Float(53))
+    BIAS20 = Column(Float(53))
+    BIAS5 = Column(Float(53))
+    BIAS60 = Column(Float(53))
+    BollDown = Column(Float(53))
+    BollUp = Column(Float(53))
+    CCI10 = Column(Float(53))
+    CCI20 = Column(Float(53))
+    CCI5 = Column(Float(53))
+    CCI88 = Column(Float(53))
+    KDJ_K = Column(Float(53))
+    KDJ_D = Column(Float(53))
+    KDJ_J = Column(Float(53))
+    ROC6 = Column(Float(53))
+    ROC20 = Column(Float(53))
+    SBM = Column(Float(53))
+    STM = Column(Float(53))
+    UpRVI = Column(Float(53))
+    DownRVI = Column(Float(53))
+    RVI = Column(Float(53))
+    SRMI = Column(Float(53))
+    ChandeSD = Column(Float(53))
+    ChandeSU = Column(Float(53))
+    CMO = Column(Float(53))
+    DBCD = Column(Float(53))
+    ARC = Column(Float(53))
+    OBV = Column(Float(53))
+    OBV6 = Column(Float(53))
+    OBV20 = Column(Float(53))
+    TVMA20 = Column(Float(53))
+    TVMA6 = Column(Float(53))
+    TVSTD20 = Column(Float(53))
+    TVSTD6 = Column(Float(53))
+    VDEA = Column(Float(53))
+    VDIFF = Column(Float(53))
+    VEMA10 = Column(Float(53))
+    VEMA12 = Column(Float(53))
+    VEMA26 = Column(Float(53))
+    VEMA5 = Column(Float(53))
+    VMACD = Column(Float(53))
+    VOSC = Column(Float(53))
+    VR = Column(Float(53))
+    VROC12 = Column(Float(53))
+    VROC6 = Column(Float(53))
+    VSTD10 = Column(Float(53))
+    VSTD20 = Column(Float(53))
+    KlingerOscillator = Column(Float(53))
+    MoneyFlow20 = Column(Float(53))
+    AD = Column(Float(53))
+    AD20 = Column(Float(53))
+    AD6 = Column(Float(53))
+    CoppockCurve = Column(Float(53))
+    ASI = Column(Float(53))
+    ChaikinOscillator = Column(Float(53))
+    ChaikinVolatility = Column(Float(53))
+    EMV14 = Column(Float(53))
+    EMV6 = Column(Float(53))
+    plusDI = Column(Float(53))
+    minusDI = Column(Float(53))
+    ADX = Column(Float(53))
+    ADXR = Column(Float(53))
+    Aroon = Column(Float(53))
+    AroonDown = Column(Float(53))
+    AroonUp = Column(Float(53))
+    DEA = Column(Float(53))
+    DIFF = Column(Float(53))
+    DDI = Column(Float(53))
+    DIZ = Column(Float(53))
+    DIF = Column(Float(53))
+    MTM = Column(Float(53))
+    MTMMA = Column(Float(53))
+    PVT = Column(Float(53))
+    PVT6 = Column(Float(53))
+    PVT12 = Column(Float(53))
+    TRIX5 = Column(Float(53))
+    TRIX10 = Column(Float(53))
+    UOS = Column(Float(53))
+    MA10RegressCoeff12 = Column(Float(53))
+    MA10RegressCoeff6 = Column(Float(53))
+    PLRC6 = Column(Float(53))
+    PLRC12 = Column(Float(53))
+    SwingIndex = Column(Float(53))
+    Ulcer10 = Column(Float(53))
+    Ulcer5 = Column(Float(53))
+    Hurst = Column(Float(53))
+    ACD6 = Column(Float(53))
+    ACD20 = Column(Float(53))
+    EMA12 = Column(Float(53))
+    EMA26 = Column(Float(53))
+    APBMA = Column(Float(53))
+    BBI = Column(Float(53))
+    BBIC = Column(Float(53))
+    TEMA10 = Column(Float(53))
+    TEMA5 = Column(Float(53))
+    MA10Close = Column(Float(53))
+    AR = Column(Float(53))
+    BR = Column(Float(53))
+    ARBR = Column(Float(53))
+    CR20 = Column(Float(53))
+    MassIndex = Column(Float(53))
+    BearPower = Column(Float(53))
+    BullPower = Column(Float(53))
+    Elder = Column(Float(53))
+    NVI = Column(Float(53))
+    PVI = Column(Float(53))
+    RC12 = Column(Float(53))
+    RC24 = Column(Float(53))
+    JDQS20 = Column(Float(53))
+    Variance20 = Column(Float(53))
+    Variance60 = Column(Float(53))
+    Variance120 = Column(Float(53))
+    Kurtosis20 = Column(Float(53))
+    Kurtosis60 = Column(Float(53))
+    Kurtosis120 = Column(Float(53))
+    Alpha20 = Column(Float(53))
+    Alpha60 = Column(Float(53))
+    Alpha120 = Column(Float(53))
+    Beta20 = Column(Float(53))
+    Beta60 = Column(Float(53))
+    Beta120 = Column(Float(53))
+    SharpeRatio20 = Column(Float(53))
+    SharpeRatio60 = Column(Float(53))
+    SharpeRatio120 = Column(Float(53))
+    TreynorRatio20 = Column(Float(53))
+    TreynorRatio60 = Column(Float(53))
+    TreynorRatio120 = Column(Float(53))
+    InformationRatio20 = Column(Float(53))
+    InformationRatio60 = Column(Float(53))
+    InformationRatio120 = Column(Float(53))
+    GainVariance20 = Column(Float(53))
+    GainVariance60 = Column(Float(53))
+    GainVariance120 = Column(Float(53))
+    LossVariance20 = Column(Float(53))
+    LossVariance60 = Column(Float(53))
+    LossVariance120 = Column(Float(53))
+    GainLossVarianceRatio20 = Column(Float(53))
+    GainLossVarianceRatio60 = Column(Float(53))
+    GainLossVarianceRatio120 = Column(Float(53))
+    RealizedVolatility = Column(Float(53))
+    REVS60 = Column(Float(53))
+    REVS120 = Column(Float(53))
+    REVS250 = Column(Float(53))
+    REVS750 = Column(Float(53))
+    REVS5m20 = Column(Float(53))
+    REVS5m60 = Column(Float(53))
+    REVS5Indu1 = Column(Float(53))
+    REVS20Indu1 = Column(Float(53))
+    Volumn1M = Column(Float(53))
+    Volumn3M = Column(Float(53))
+    Price1M = Column(Float(53))
+    Price3M = Column(Float(53))
+    Price1Y = Column(Float(53))
+    Rank1M = Column(Float(53))
+    CashDividendCover = Column(Float(53))
+    DividendCover = Column(Float(53))
+    DividendPaidRatio = Column(Float(53))
+    RetainedEarningRatio = Column(Float(53))
+    CashEquivalentPS = Column(Float(53))
+    DividendPS = Column(Float(53))
+    EPSTTM = Column(Float(53))
+    NetAssetPS = Column(Float(53))
+    TORPS = Column(Float(53))
+    TORPSLatest = Column(Float(53))
+    OperatingRevenuePS = Column(Float(53))
+    OperatingRevenuePSLatest = Column(Float(53))
+    OperatingProfitPS = Column(Float(53))
+    OperatingProfitPSLatest = Column(Float(53))
+    CapitalSurplusFundPS = Column(Float(53))
+    SurplusReserveFundPS = Column(Float(53))
+    UndividedProfitPS = Column(Float(53))
+    RetainedEarningsPS = Column(Float(53))
+    OperCashFlowPS = Column(Float(53))
+    CashFlowPS = Column(Float(53))
+    NetNonOIToTP = Column(Float(53))
+    NetNonOIToTPLatest = Column(Float(53))
+    PeriodCostsRate = Column(Float(53))
+    InterestCover = Column(Float(53))
+    NetProfitGrowRate3Y = Column(Float(53))
+    NetProfitGrowRate5Y = Column(Float(53))
+    OperatingRevenueGrowRate3Y = Column(Float(53))
+    OperatingRevenueGrowRate5Y = Column(Float(53))
+    NetCashFlowGrowRate = Column(Float(53))
+    NetProfitCashCover = Column(Float(53))
+    OperCashInToAsset = Column(Float(53))
+    CashConversionCycle = Column(Float(53))
+    OperatingCycle = Column(Float(53))
+    PEG3Y = Column(Float(53))
+    PEG5Y = Column(Float(53))
+    PEIndu = Column(Float(53))
+    PBIndu = Column(Float(53))
+    PSIndu = Column(Float(53))
+    PCFIndu = Column(Float(53))
+    PEHist20 = Column(Float(53))
+    PEHist60 = Column(Float(53))
+    PEHist120 = Column(Float(53))
+    PEHist250 = Column(Float(53))
+    StaticPE = Column(Float(53))
+    ForwardPE = Column(Float(53))
+    EnterpriseFCFPS = Column(Float(53))
+    ShareholderFCFPS = Column(Float(53))
+    ROEDiluted = Column(Float(53))
+    ROEAvg = Column(Float(53))
+    ROEWeighted = Column(Float(53))
+    ROECut = Column(Float(53))
+    ROECutWeighted = Column(Float(53))
+    ROIC = Column(Float(53))
+    ROAEBIT = Column(Float(53))
+    ROAEBITTTM = Column(Float(53))
+    OperatingNIToTP = Column(Float(53))
+    OperatingNIToTPLatest = Column(Float(53))
+    InvestRAssociatesToTP = Column(Float(53))
+    InvestRAssociatesToTPLatest = Column(Float(53))
+    NPCutToNP = Column(Float(53))
+    SuperQuickRatio = Column(Float(53))
+    TSEPToInterestBearDebt = Column(Float(53))
+    DebtTangibleEquityRatio = Column(Float(53))
+    TangibleAToInteBearDebt = Column(Float(53))
+    TangibleAToNetDebt = Column(Float(53))
+    NOCFToTLiability = Column(Float(53))
+    NOCFToInterestBearDebt = Column(Float(53))
+    NOCFToNetDebt = Column(Float(53))
+    TSEPToTotalCapital = Column(Float(53))
+    InteBearDebtToTotalCapital = Column(Float(53))
+    NPParentCompanyCutYOY = Column(Float(53))
+    SalesServiceCashToORLatest = Column(Float(53))
+    CashRateOfSalesLatest = Column(Float(53))
+    NOCFToOperatingNILatest = Column(Float(53))
+    TotalAssets = Column(Float(53))
+    MktValue = Column(Float(53))
+    NegMktValue = Column(Float(53))
+    TEAP = Column(Float(53))
+    NIAP = Column(Float(53))
+    TotalFixedAssets = Column(Float(53))
+    IntFreeCL = Column(Float(53))
+    IntFreeNCL = Column(Float(53))
+    IntCL = Column(Float(53))
+    IntDebt = Column(Float(53))
+    NetDebt = Column(Float(53))
+    NetTangibleAssets = Column(Float(53))
+    WorkingCapital = Column(Float(53))
+    NetWorkingCapital = Column(Float(53))
+    TotalPaidinCapital = Column(Float(53))
+    RetainedEarnings = Column(Float(53))
+    OperateNetIncome = Column(Float(53))
+    ValueChgProfit = Column(Float(53))
+    NetIntExpense = Column(Float(53))
+    EBIT = Column(Float(53))
+    EBITDA = Column(Float(53))
+    EBIAT = Column(Float(53))
+    NRProfitLoss = Column(Float(53))
+    NIAPCut = Column(Float(53))
+    FCFF = Column(Float(53))
+    FCFE = Column(Float(53))
+    DA = Column(Float(53))
+    TRevenueTTM = Column(Float(53))
+    TCostTTM = Column(Float(53))
+    RevenueTTM = Column(Float(53))
+    CostTTM = Column(Float(53))
+    GrossProfitTTM = Column(Float(53))
+    SalesExpenseTTM = Column(Float(53))
+    AdminExpenseTTM = Column(Float(53))
+    FinanExpenseTTM = Column(Float(53))
+    AssetImpairLossTTM = Column(Float(53))
+    NPFromOperatingTTM = Column(Float(53))
+    NPFromValueChgTTM = Column(Float(53))
+    OperateProfitTTM = Column(Float(53))
+    NonOperatingNPTTM = Column(Float(53))
+    TProfitTTM = Column(Float(53))
+    NetProfitTTM = Column(Float(53))
+    NetProfitAPTTM = Column(Float(53))
+    SaleServiceRenderCashTTM = Column(Float(53))
+    NetOperateCFTTM = Column(Float(53))
+    NetInvestCFTTM = Column(Float(53))
+    NetFinanceCFTTM = Column(Float(53))
+    GrossProfit = Column(Float(53))
+    Beta252 = Column(Float(53))
+    RSTR504 = Column(Float(53))
+    EPIBS = Column(Float(53))
+    CETOP = Column(Float(53))
+    DASTD = Column(Float(53))
+    CmraCNE5 = Column(Float(53))
+    HsigmaCNE5 = Column(Float(53))
+    SGRO = Column(Float(53))
+    EgibsLong = Column(Float(53))
+    STOM = Column(Float(53))
+    STOQ = Column(Float(53))
+    STOA = Column(Float(53))
+    NLSIZE = Column(Float(53))
+    ROEAfterNonRecurring = Column(Float(53))
+    EPSAfterNonRecurring = Column(Float(53))
+    EODPrice = Column(Float(53))
+    LogFloatCap = Column(Float(53))
+    BPS = Column(Float(53))
+    SPS = Column(Float(53))
+    DebtToAsset = Column(Float(53))
+    DROEAfterNonRecurring = Column(Float(53))
+    LogTotalCap = Column(Float(53))
+    BP = Column(Float(53))
+    SP = Column(Float(53))
+    EPAfterNonRecurring = Column(Float(53))
+    DivToB = Column(Float(53))
+    DivP = Column(Float(53))
+    EBITToSales = Column(Float(53))
+    EBITAToSales = Column(Float(53))
+    EVToSales = Column(Float(53))
+    EVToEBIT = Column(Float(53))
+    EVToEBITDA = Column(Float(53))
+    EVToNOPLAT = Column(Float(53))
+    EVToIC = Column(Float(53))
+    FCFFPS = Column(Float(53))
+    FCFFToEarningAfterNonRecurring = Column(Float(53))
+    FCFFP = Column(Float(53))
+    ProfitToAsset = Column(Float(53))
+    GrossProfitRatio = Column(Float(53))
+    LATO = Column(Float(53))
+    FATO = Column(Float(53))
+    TATO = Column(Float(53))
+    EquityTO = Column(Float(53))
+    PayableTO = Column(Float(53))
+    RecievableTO = Column(Float(53))
+    RevenueGrowth = Column(Float(53))
+    GrossProfitGrowth = Column(Float(53))
+    NetProfitGrowth = Column(Float(53))
+    GrossCFToRevenue = Column(Float(53))
+    CFToRevenue = Column(Float(53))
+    CFToProfit = Column(Float(53))
+    CFToAsset = Column(Float(53))
+    GrossCFGrowth = Column(Float(53))
+    CFGrowth = Column(Float(53))
+    ICFGrowth = Column(Float(53))
+    AveAmount60 = Column(Float(53))
+    PeriodReturn60 = Column(Float(53))
+    AmountRatio60to250 = Column(Float(53))
+    CFPS = Column(Float(53))
+    CFP = Column(Float(53))
+    NetCFGrowth = Column(Float(53))
+    NetCFGrowthP = Column(Float(53))
+    NetCash = Column(Float(53))
+    NetCashP = Column(Float(53))
+    BVPSGrowth = Column(Float(53))
+    EquityPSGrowth = Column(Float(53))
+    WholeSales = Column(Float(53))
+    WholeProfitAfterNonRecurring = Column(Float(53))
+    ExpenseRatio = Column(Float(53))
+    AcidTestRatio = Column(Float(53))
+    TimeInterestEarnedRatio = Column(Float(53))
+    DepositReceivedVsSale = Column(Float(53))
+    DebtRatioExcemptDepRec = Column(Float(53))
+    SNBARatio = Column(Float(53))
+    CFinc1 = Column(Float(53))
+    BDTO = Column(Float(53))
+    RVOL = Column(Float(53))
+    CHV = Column(Float(53))
+    VAL = Column(Float(53))
+    BETA = Column(Float(53))
+    MOMENTUM = Column(Float(53))
+    SIZE = Column(Float(53))
+    EARNYILD = Column(Float(53))
+    RESVOL = Column(Float(53))
+    GROWTH = Column(Float(53))
+    BTOP = Column(Float(53))
+    LEVERAGE = Column(Float(53))
+    LIQUIDTY = Column(Float(53))
+    SIZENL = Column(Float(53))
+    Bank = Column(BigInteger)
+    RealEstate = Column(BigInteger)
+    Health = Column(BigInteger)
+    Transportation = Column(BigInteger)
+    Mining = Column(BigInteger)
+    NonFerMetal = Column(BigInteger)
+    HouseApp = Column(BigInteger)
+    LeiService = Column(BigInteger)
+    MachiEquip = Column(BigInteger)
+    BuildDeco = Column(BigInteger)
+    CommeTrade = Column(BigInteger)
+    CONMAT = Column(BigInteger)
+    Auto = Column(BigInteger)
+    Textile = Column(BigInteger)
+    FoodBever = Column(BigInteger)
+    Electronics = Column(BigInteger)
+    Computer = Column(BigInteger)
+    LightIndus = Column(BigInteger)
+    Utilities = Column(BigInteger)
+    Telecom = Column(BigInteger)
+    AgriForest = Column(BigInteger)
+    CHEM = Column(BigInteger)
+    Media = Column(BigInteger)
+    IronSteel = Column(BigInteger)
+    NonBankFinan = Column(BigInteger)
+    ELECEQP = Column(BigInteger)
+    AERODEF = Column(BigInteger)
+    Conglomerates = Column(BigInteger)
+    COUNTRY = Column(BigInteger)
+
+
+if __name__ == '__main__':
     from sqlalchemy import create_engine
 
     engine = create_engine('postgresql+psycopg2://postgres:A12345678!@10.63.6.220/alpha')

alphamind/data/engines/sqlengine.py

@@ -34,6 +34,7 @@ from alphamind.data.dbmodel.models import RiskCovShort
 from alphamind.data.dbmodel.models import RiskCovLong
 from alphamind.data.dbmodel.models import RiskExposure
 from alphamind.data.dbmodel.models import Market
+from alphamind.data.dbmodel.models import FullFactorView
 from alphamind.data.transformer import Transformer
 from PyFin.api import advanceDateByCalendar
 from PyFin.Analysis.SecurityValueHolders import SecurityLatestValueHolder
@@ -84,7 +85,7 @@ macro_styles = ['COUNTRY']
 
 total_risk_factors = risk_styles + industry_styles + macro_styles
 
-factor_tables = [Uqer, LegacyFactor, Tiny,  Experimental, RiskExposure, Market]
+factor_tables = [Uqer, LegacyFactor, Tiny, Experimental, RiskExposure, Market]
 
 
 def append_industry_info(df):
@@ -107,7 +108,16 @@ def _map_risk_model_table(risk_model: str) -> tuple:
         raise ValueError("risk model name {0} is not recognized".format(risk_model))
 
 
-def _map_factors(factors: Iterable[str]) -> dict:
+def _map_factors(factors: Iterable[str]) -> List:
+    factor_cols = []
+    excluded = {'trade_date', 'code', 'isOpen', }
+    for f in factors:
+        if f not in excluded and f in FullFactorView.__table__.columns:
+            factor_cols.append(FullFactorView.__table__.columns[f])
+    return factor_cols
+
+
+def _map_factors_old(factors: Iterable[str]) -> List:
     factor_cols = {}
     excluded = {'trade_date', 'code', 'isOpen', }
     for f in factors:
@@ -178,8 +188,8 @@ class SqlEngine(object):
     def fetch_dx_return(self,
                         ref_date: str,
                         codes: Iterable[int],
-                        expiry_date: str=None,
-                        horizon: int=0) -> pd.DataFrame:
+                        expiry_date: str = None,
+                        horizon: int = 0) -> pd.DataFrame:
         start_date = ref_date
 
         if not expiry_date:
@@ -198,10 +208,10 @@ class SqlEngine(object):
 
     def fetch_dx_return_range(self,
                               universe,
-                              start_date: str=None,
-                              end_date: str=None,
-                              dates: Iterable[str]=None,
-                              horizon: int=0) -> pd.DataFrame:
+                              start_date: str = None,
+                              end_date: str = None,
+                              dates: Iterable[str] = None,
+                              horizon: int = 0) -> pd.DataFrame:
 
         if dates:
             start_date = dates[0]
@@ -210,7 +220,8 @@ class SqlEngine(object):
         end_date = advanceDateByCalendar('china.sse', end_date, str(horizon) + 'b').strftime('%Y-%m-%d')
 
         q2 = universe.query_range(start_date, end_date).alias('temp_universe')
-        big_table = join(DailyReturn, q2, and_(DailyReturn.trade_date == q2.c.trade_date, DailyReturn.code == q2.c.code))
+        big_table = join(DailyReturn, q2,
+                         and_(DailyReturn.trade_date == q2.c.trade_date, DailyReturn.code == q2.c.code))
 
         stats = func.sum(self.ln_func(1. + DailyReturn.d1)).over(
             partition_by=DailyReturn.code,
@@ -232,7 +243,7 @@ class SqlEngine(object):
                      ref_date: str,
                      factors: Iterable[object],
                      codes: Iterable[int],
-                     warm_start: int=0) -> pd.DataFrame:
+                     warm_start: int = 0) -> pd.DataFrame:
 
         if isinstance(factors, Transformer):
             transformer = factors
@@ -246,13 +257,8 @@ class SqlEngine(object):
         start_date = advanceDateByCalendar('china.sse', ref_date, str(-warm_start) + 'b').strftime('%Y-%m-%d')
         end_date = ref_date
 
-        big_table = Market
-        for t in set(factor_cols.values()):
-            big_table = outerjoin(big_table, t, and_(Market.trade_date == t.trade_date, Market.code == t.code))
-
-        query = select([Market.trade_date, Market.code, Market.isOpen] + list(factor_cols.keys())) \
-            .select_from(big_table) \
-            .where(and_(Market.trade_date.between(start_date, end_date), Market.code.in_(codes)))
+        query = select([FullFactorView.trade_date, FullFactorView.code, FullFactorView.isOpen] + factor_cols) \
+            .where(and_(FullFactorView.trade_date.between(start_date, end_date), FullFactorView.code.in_(codes)))
 
         df = pd.read_sql(query, self.engine).sort_values(['trade_date', 'code']).set_index('trade_date')
         res = transformer.transform('code', df)
@@ -271,7 +277,7 @@ class SqlEngine(object):
                            start_date: str = None,
                            end_date: str = None,
                            dates: Iterable[str] = None,
-                           warm_start: int=0) -> pd.DataFrame:
+                           warm_start: int = 0) -> pd.DataFrame:
 
         if isinstance(factors, Transformer):
             transformer = factors
@@ -295,20 +301,21 @@ class SqlEngine(object):
             real_dates = dates
         else:
             if dates:
-                real_start_date = advanceDateByCalendar('china.sse', dates[0], str(-warm_start) + 'b').strftime('%Y-%m-%d')
+                real_start_date = advanceDateByCalendar('china.sse', dates[0], str(-warm_start) + 'b').strftime(
+                    '%Y-%m-%d')
                 real_end_date = dates[-1]
             else:
-                real_start_date = advanceDateByCalendar('china.sse', start_date, str(-warm_start) + 'b').strftime('%Y-%m-%d')
+                real_start_date = advanceDateByCalendar('china.sse', start_date, str(-warm_start) + 'b').strftime(
+                    '%Y-%m-%d')
                 real_end_date = end_date
             real_dates = None
 
         q2 = universe.query_range(real_start_date, real_end_date, real_dates).alias('temp_universe')
 
-        big_table = join(Market, q2, and_(Market.trade_date == q2.c.trade_date, Market.code == q2.c.code))
-        for t in set(factor_cols.values()):
-            big_table = outerjoin(big_table, t, and_(Market.trade_date == t.trade_date, Market.code == t.code))
+        big_table = join(FullFactorView, q2,
+                         and_(FullFactorView.trade_date == q2.c.trade_date, FullFactorView.code == q2.c.code))
 
-        query = select([Market.trade_date, Market.code, Market.isOpen] + list(factor_cols.keys())) \
+        query = select([FullFactorView.trade_date, FullFactorView.code, FullFactorView.isOpen] + factor_cols) \
             .select_from(big_table)
 
         df = pd.read_sql(query, self.engine).sort_values(['trade_date', 'code']).set_index('trade_date')
@@ -341,7 +348,8 @@ class SqlEngine(object):
                               end_date: str = None,
                               dates: Iterable[str] = None) -> pd.DataFrame:
 
-        cond = IndexComponent.trade_date.in_(dates) if dates else IndexComponent.trade_date.between(start_date, end_date)
+        cond = IndexComponent.trade_date.in_(dates) if dates else IndexComponent.trade_date.between(start_date,
+                                                                                                    end_date)
 
         query = select(
             [IndexComponent.trade_date, IndexComponent.code, (IndexComponent.weight / 100.).label('weight')]).where(
@@ -356,7 +364,7 @@ class SqlEngine(object):
                          ref_date: str,
                          codes: Iterable[int],
                          risk_model: str = 'short',
-                         excluded: Iterable[str]=None) -> Tuple[pd.DataFrame, pd.DataFrame]:
+                         excluded: Iterable[str] = None) -> Tuple[pd.DataFrame, pd.DataFrame]:
         risk_cov_table, special_risk_table = _map_risk_model_table(risk_model)
 
         cov_risk_cols = [risk_cov_table.__table__.columns[f] for f in total_risk_factors]
@@ -392,7 +400,8 @@ class SqlEngine(object):
 
         cov_risk_cols = [risk_cov_table.__table__.columns[f] for f in total_risk_factors]
 
-        cond = risk_cov_table.trade_date.in_(dates) if dates else risk_cov_table.trade_date.between(start_date, end_date)
+        cond = risk_cov_table.trade_date.in_(dates) if dates else risk_cov_table.trade_date.between(start_date,
+                                                                                                    end_date)
         query = select([risk_cov_table.trade_date,
                         risk_cov_table.FactorID,
                         risk_cov_table.Factor]
@@ -425,7 +434,7 @@ class SqlEngine(object):
     def fetch_industry(self,
                        ref_date: str,
                        codes: Iterable[int],
-                       category: str='sw'):
+                       category: str = 'sw'):
 
         industry_category_name = _map_industry_category(category)
 
@@ -449,18 +458,26 @@ class SqlEngine(object):
                              category: str = 'sw'):
         industry_category_name = _map_industry_category(category)
 
+        if dates:
+            q1 = select([Industry.trade_date,
+                         Industry.code,
+                         Industry.industryID1.label('industry_code'),
+                         Industry.industryName1.label('industry')]).where(
+                and_(Industry.industry == industry_category_name,
+                     Industry.trade_date.in_(dates))).alias('temp_industry')
+        else:
+            q1 = select([Industry.trade_date,
+                         Industry.code,
+                         Industry.industryID1.label('industry_code'),
+                         Industry.industryName1.label('industry')]).where(
+                and_(Industry.industry == industry_category_name,
+                     Industry.trade_date.between(start_date, end_date))).alias('temp_industry')
+
         q2 = universe.query_range(start_date, end_date, dates).alias('temp_universe')
-        big_table = join(Industry, q2,
-                         and_(Industry.trade_date == q2.c.trade_date, Industry.code == q2.c.code))
+        big_table = join(q1, q2,
+                         and_(q1.c.trade_date == q2.c.trade_date, q1.c.code == q2.c.code))
 
-        query = select(
-            [Industry.trade_date,
-             Industry.code,
-             Industry.industryID1.label('industry_code'),
-             Industry.industryName1.label('industry')]). \
-            select_from(big_table).where(
-            Industry.industry == industry_category_name
-        )
+        query = select([q1]).select_from(big_table)
         return pd.read_sql(query, self.engine)
 
     def fetch_data(self, ref_date: str,
@@ -499,7 +516,7 @@ class SqlEngine(object):
                          dates: Iterable[str] = None,
                          benchmark: int = None,
                          risk_model: str = 'short',
-                         industry: str='sw') -> Dict[str, pd.DataFrame]:
+                         industry: str = 'sw') -> Dict[str, pd.DataFrame]:
 
         total_data = {}
         transformer = Transformer(factors)
@@ -513,7 +530,8 @@ class SqlEngine(object):
 
         if risk_model:
             excluded = list(set(total_risk_factors).intersection(transformer.dependency))
-            risk_cov, risk_exp = self.fetch_risk_model_range(universe, start_date, end_date, dates, risk_model, excluded)
+            risk_cov, risk_exp = self.fetch_risk_model_range(universe, start_date, end_date, dates, risk_model,
+                                                             excluded)
             factor_data = pd.merge(factor_data, risk_exp, how='left', on=['trade_date', 'code'])
             total_data['risk_cov'] = risk_cov
 
@@ -529,22 +547,34 @@ class SqlEngine(object):
 
 
 if __name__ == '__main__':
+    import datetime as dt
     from PyFin.api import *
+    from alphamind.api import alpha_logger
+
     db_url = 'postgresql+psycopg2://postgres:A12345678!@10.63.6.220/alpha'
     # db_url = 'mssql+pymssql://licheng:A12345678!@10.63.6.220/alpha'
 
     universe = Universe('custom', ['zz500'])
     engine = SqlEngine(db_url)
-    ref_date = '2017-08-10'
     start_date = '2017-08-01'
-    end_date = '2017-08-12'
-
-    codes = engine.fetch_codes(universe=universe, ref_date=ref_date)
-    data2 = engine.fetch_industry(ref_date=ref_date,
-                                  codes=codes)
-    data2 = engine.fetch_data_range(universe,
-                                    factors=None,
-                                    start_date=start_date,
-                                    end_date=end_date)
-    print(codes)
-    print(data2)
+    end_date = '2017-08-31'
+
+    dates = makeSchedule(start_date, end_date, '1w', 'china.sse')
+
+    alpha_logger.info('start')
+    # codes = engine.fetch_codes(universe=universe, ref_date=ref_date)
+
+    data1 = engine.fetch_factor_range(universe=universe,
+                                      start_date=start_date,
+                                      end_date=end_date,
+                                      dates=dates,
+                                      factors=['RVOL', 'EPS', 'CFinc1', 'BDTO', 'VAL', 'CHV', 'GREV', 'ROEDiluted'])
+    alpha_logger.info('end')
+    data2 = engine.fetch_industry_range(universe, start_date=start_date, end_date=end_date, dates=dates)
+    alpha_logger.info('end')
+    data3 = engine.fetch_benchmark_range(905, start_date=start_date, end_date=end_date, dates=dates)
+    alpha_logger.info('end')
+    data4 = engine.fetch_risk_model_range(universe=universe, start_date=start_date, end_date=end_date, dates=dates)
+    alpha_logger.info('end')
+    data2 = engine.fetch_codes_range(universe, start_date=start_date, end_date=end_date, dates=dates)
+    alpha_logger.info('end')

scripts/create_view.sql

@@ -30,8 +30,14 @@ create MATERIALIZED VIEW full_factor_view as SELECT m."trade_date",m."code",m."s
 u."AccountsPayablesTDays",u."AccountsPayablesTRate",u."AdminiExpenseRate",u."ARTDays",u."ARTRate",u."ASSI",u."BLEV",u."BondsPayableToAsset",u."CashRateOfSales",u."CashToCurrentLiability",u."CMRA",u."CTOP",u."CTP5",u."CurrentAssetsRatio",u."CurrentAssetsTRate",u."CurrentRatio",u."DAVOL10",u."DAVOL20",u."DAVOL5",u."DDNBT",u."DDNCR",u."DDNSR",u."DebtEquityRatio",u."DebtsAssetRatio",u."DHILO",u."DilutedEPS",u."DVRAT",u."EBITToTOR",u."EGRO",u."EMA10",u."EMA120",u."EMA20",u."EMA5",u."EMA60",u."EPS",u."EquityFixedAssetRatio",u."EquityToAsset",u."EquityTRate",u."ETOP",u."ETP5",u."FinancialExpenseRate",u."FinancingCashGrowRate",u."FixAssetRatio",u."FixedAssetsTRate",u."GrossIncomeRatio",u."HBETA",u."HSIGMA",u."IntangibleAssetRatio",u."InventoryTDays",u."InventoryTRate",u."InvestCashGrowRate",u."LCAP",u."LFLO",u."LongDebtToAsset",u."LongDebtToWorkingCapital",u."LongTermDebtToAsset",u."MA10",u."MA120",u."MA20",u."MA5",u."MA60",u."MAWVAD",u."MFI",u."MLEV",u."NetAssetGrowRate",u."NetProfitGrowRate",u."NetProfitRatio",u."NOCFToOperatingNI",u."NonCurrentAssetsRatio",u."NPParentCompanyGrowRate",u."NPToTOR",u."OperatingExpenseRate",u."OperatingProfitGrowRate",u."OperatingProfitRatio",u."OperatingProfitToTOR",u."OperatingRevenueGrowRate",u."OperCashGrowRate",u."OperCashInToCurrentLiability",u."PB",u."PCF",u."PE",u."PS",u."PSY",u."QuickRatio",u."REVS10",u."REVS20",u."REVS5",u."ROA",u."ROA5",u."ROE",u."ROE5",u."RSI",u."RSTR12",u."RSTR24",u."SalesCostRatio",u."SaleServiceCashToOR",u."SUE",u."TaxRatio",u."TOBT",u."TotalAssetGrowRate",u."TotalAssetsTRate",u."TotalProfitCostRatio",u."TotalProfitGrowRate",u."VOL10",u."VOL120",u."VOL20",u."VOL240",u."VOL5",u."VOL60",u."WVAD",u."REC",u."DAREC",u."GREC",u."FY12P",u."DAREV",u."GREV",u."SFY12P",u."DASREV",u."GSREV",u."FEARNG",u."FSALESG",u."TA2EV",u."CFO2EV",u."ACCA",u."DEGM",u."SUOI",u."EARNMOM",u."FiftyTwoWeekHigh",u."Volatility",u."Skewness",u."ILLIQUIDITY",u."BackwardADJ",u."MACD",u."ADTM",u."ATR14",u."ATR6",u."BIAS10",u."BIAS20",u."BIAS5",u."BIAS60",u."BollDown",u."BollUp",u."CCI10",u."CCI20",u."CCI5",u."CCI88",u."KDJ_K",u."KDJ_D",u."KDJ_J",u."ROC6",u."ROC20",u."SBM",u."STM",u."UpRVI",u."DownRVI",u."RVI",u."SRMI",u."ChandeSD",u."ChandeSU",u."CMO",u."DBCD",u."ARC",u."OBV",u."OBV6",u."OBV20",u."TVMA20",u."TVMA6",u."TVSTD20",u."TVSTD6",u."VDEA",u."VDIFF",u."VEMA10",u."VEMA12",u."VEMA26",u."VEMA5",u."VMACD",u."VOSC",u."VR",u."VROC12",u."VROC6",u."VSTD10",u."VSTD20",u."KlingerOscillator",u."MoneyFlow20",u."AD",u."AD20",u."AD6",u."CoppockCurve",u."ASI",u."ChaikinOscillator",u."ChaikinVolatility",u."EMV14",u."EMV6",u."plusDI",u."minusDI",u."ADX",u."ADXR",u."Aroon",u."AroonDown",u."AroonUp",u."DEA",u."DIFF",u."DDI",u."DIZ",u."DIF",u."MTM",u."MTMMA",u."PVT",u."PVT6",u."PVT12",u."TRIX5",u."TRIX10",u."UOS",u."MA10RegressCoeff12",u."MA10RegressCoeff6",u."PLRC6",u."PLRC12",u."SwingIndex",u."Ulcer10",u."Ulcer5",u."Hurst",u."ACD6",u."ACD20",u."EMA12",u."EMA26",u."APBMA",u."BBI",u."BBIC",u."TEMA10",u."TEMA5",u."MA10Close",u."AR",u."BR",u."ARBR",u."CR20",u."MassIndex",u."BearPower",u."BullPower",u."Elder",u."NVI",u."PVI",u."RC12",u."RC24",u."JDQS20",u."Variance20",u."Variance60",u."Variance120",u."Kurtosis20",u."Kurtosis60",u."Kurtosis120",u."Alpha20",u."Alpha60",u."Alpha120",u."Beta20",u."Beta60",u."Beta120",u."SharpeRatio20",u."SharpeRatio60",u."SharpeRatio120",u."TreynorRatio20",u."TreynorRatio60",u."TreynorRatio120",u."InformationRatio20",u."InformationRatio60",u."InformationRatio120",u."GainVariance20",u."GainVariance60",u."GainVariance120",u."LossVariance20",u."LossVariance60",u."LossVariance120",u."GainLossVarianceRatio20",u."GainLossVarianceRatio60",u."GainLossVarianceRatio120",u."RealizedVolatility",u."REVS60",u."REVS120",u."REVS250",u."REVS750",u."REVS5m20",u."REVS5m60",u."REVS5Indu1",u."REVS20Indu1",u."Volumn1M",u."Volumn3M",u."Price1M",u."Price3M",u."Price1Y",u."Rank1M",u."CashDividendCover",u."DividendCover",u."DividendPaidRatio",u."RetainedEarningRatio",u."CashEquivalentPS",u."DividendPS",u."EPSTTM",u."NetAssetPS",u."TORPS",u."TORPSLatest",u."OperatingRevenuePS",u."OperatingRevenuePSLatest",u."OperatingProfitPS",u."OperatingProfitPSLatest",u."CapitalSurplusFundPS",u."SurplusReserveFundPS",u."UndividedProfitPS",u."RetainedEarningsPS",u."OperCashFlowPS",u."CashFlowPS",u."NetNonOIToTP",u."NetNonOIToTPLatest",u."PeriodCostsRate",u."InterestCover",u."NetProfitGrowRate3Y",u."NetProfitGrowRate5Y",u."OperatingRevenueGrowRate3Y",u."OperatingRevenueGrowRate5Y",u."NetCashFlowGrowRate",u."NetProfitCashCover",u."OperCashInToAsset",u."CashConversionCycle",u."OperatingCycle",u."PEG3Y",u."PEG5Y",u."PEIndu",u."PBIndu",u."PSIndu",u."PCFIndu",u."PEHist20",u."PEHist60",u."PEHist120",u."PEHist250",u."StaticPE",u."ForwardPE",u."EnterpriseFCFPS",u."ShareholderFCFPS",u."ROEDiluted",u."ROEAvg",u."ROEWeighted",u."ROECut",u."ROECutWeighted",u."ROIC",u."ROAEBIT",u."ROAEBITTTM",u."OperatingNIToTP",u."OperatingNIToTPLatest",u."InvestRAssociatesToTP",u."InvestRAssociatesToTPLatest",u."NPCutToNP",u."SuperQuickRatio",u."TSEPToInterestBearDebt",u."DebtTangibleEquityRatio",u."TangibleAToInteBearDebt",u."TangibleAToNetDebt",u."NOCFToTLiability",u."NOCFToInterestBearDebt",u."NOCFToNetDebt",u."TSEPToTotalCapital",u."InteBearDebtToTotalCapital",u."NPParentCompanyCutYOY",u."SalesServiceCashToORLatest",u."CashRateOfSalesLatest",u."NOCFToOperatingNILatest",u."TotalAssets",u."MktValue",u."NegMktValue",u."TEAP",u."NIAP",u."TotalFixedAssets",u."IntFreeCL",u."IntFreeNCL",u."IntCL",u."IntDebt",u."NetDebt",u."NetTangibleAssets",u."WorkingCapital",u."NetWorkingCapital",u."TotalPaidinCapital",u."RetainedEarnings",u."OperateNetIncome",u."ValueChgProfit",u."NetIntExpense",u."EBIT",u."EBITDA",u."EBIAT",u."NRProfitLoss",u."NIAPCut",u."FCFF",u."FCFE",u."DA",u."TRevenueTTM",u."TCostTTM",u."RevenueTTM",u."CostTTM",u."GrossProfitTTM",u."SalesExpenseTTM",u."AdminExpenseTTM",u."FinanExpenseTTM",u."AssetImpairLossTTM",u."NPFromOperatingTTM",u."NPFromValueChgTTM",u."OperateProfitTTM",u."NonOperatingNPTTM",u."TProfitTTM",u."NetProfitTTM",u."NetProfitAPTTM",u."SaleServiceRenderCashTTM",u."NetOperateCFTTM",u."NetInvestCFTTM",u."NetFinanceCFTTM",u."GrossProfit",u."Beta252",u."RSTR504",u."EPIBS",u."CETOP",u."DASTD",u."CmraCNE5",u."HsigmaCNE5",u."SGRO",u."EgibsLong",u."STOM",u."STOQ",u."STOA",u."NLSIZE",
  l."ROEAfterNonRecurring",l."EPSAfterNonRecurring",l."EODPrice",l."LogFloatCap",l."BPS",l."SPS",l."DebtToAsset",l."DROEAfterNonRecurring",l."LogTotalCap",l."BP",l."SP",l."EPAfterNonRecurring",l."DivToB",l."DivP",l."EBITToSales",l."EBITAToSales",l."EVToSales",l."EVToEBIT",l."EVToEBITDA",l."EVToNOPLAT",l."EVToIC",l."FCFFPS",l."FCFFToEarningAfterNonRecurring",l."FCFFP",l."ProfitToAsset",l."GrossProfitRatio",l."LATO",l."FATO",l."TATO",l."EquityTO",l."PayableTO",l."RecievableTO",l."RevenueGrowth",l."GrossProfitGrowth",l."NetProfitGrowth",l."GrossCFToRevenue",l."CFToRevenue",l."CFToProfit",l."CFToAsset",l."GrossCFGrowth",l."CFGrowth",l."ICFGrowth",l."AveAmount60",l."PeriodReturn60",l."AmountRatio60to250",l."CFPS",l."CFP",l."NetCFGrowth",l."NetCFGrowthP",l."NetCash",l."NetCashP",l."BVPSGrowth",l."EquityPSGrowth",l."WholeSales",l."WholeProfitAfterNonRecurring",l."ExpenseRatio",l."AcidTestRatio",l."TimeInterestEarnedRatio",l."DepositReceivedVsSale",l."DebtRatioExcemptDepRec",l."SNBARatio",
   t."CFinc1",t."BDTO",t."RVOL",t."CHV",t."VAL",
-  r."BETA",r."MOMENTUM",r."SIZE",r."EARNYILD",r."RESVOL",r."GROWTH",r."BTOP",r."LEVERAGE",r."LIQUIDTY",r."SIZENL",r."Bank",r."RealEstate",r."Health",r."Transportation",r."Mining",r."NonFerMetal",r."HouseApp",r."LeiService",r."MachiEquip",r."BuildDeco",r."CommeTrade",r."CONMAT",r."Auto",r."Textile",r."FoodBever",r."Electronics",r."Computer",r."LightIndus",r."Utilities",r."Telecom",r."AgriForest",r."CHEM",r."Media",r."IronSteel",r."NonBankFinan",r."ELECEQP",r."AERODEF",r."Conglomerates",r."COUNTRY"
+  r."BETA",r."MOMENTUM",r."SIZE",r."EARNYILD",r."RESVOL",r."GROWTH",r."BTOP",r."LEVERAGE",r."LIQUIDTY",r."SIZENL",r."Bank",r."RealEstate",r."Health",r."Transportation",r."Mining",r."NonFerMetal",r."HouseApp",r."LeiService",r."MachiEquip",r."BuildDeco",r."CommeTrade",r."CONMAT",r."Auto",r."Textile",r."FoodBever",r."Electronics",r."Computer",r."LightIndus",r."Utilities",r."Telecom",r."AgriForest",r."CHEM",r."Media",r."IronSteel",r."NonBankFinan",r."ELECEQP",r."AERODEF",r."Conglomerates",r."COUNTRY",
+  s1."SRISK" as d_srisk, s2."SRISK" as s_srisk, s3."SRISK" as l_srisk
  FROM market AS m left join uqer AS u on m.trade_date = u.trade_date and m.code = u.code
  inner join risk_exposure AS r on m.trade_date = r.trade_date and m.code = r.code
+ inner join specific_risk_day as s1 on m.trade_date = s1.trade_date and m.code = s1.code
+ inner join specific_risk_short as s2 on m.trade_date = s2.trade_date and m.code = s2.code
+ inner join specific_risk_long as s3 on m.trade_date = s3.trade_date and m.code = s3.code
  left join legacy_factor as l on m.trade_date = l.trade_date and m.code = l.code
- left join tiny as t on m.trade_date = t.trade_date and m.code = t.code
+ left join tiny as t on m.trade_date = t.trade_date and m.code = t.code
\ No newline at end of file
+
+create UNIQUE index on MATERIALIZED (trade_date, code)
\ No newline at end of file