Merge branch 'dxhb' of https://github.com/alpha-miner/alpha-mind into dxhb

Dockerfile

@@ -7,7 +7,25 @@ RUN apt-get update && apt-get install git cmake build-essential gfortran -y
 COPY ./alphamind /alphamind
 COPY ./notebooks /notebooks
 
-RUN cd /alphamind/pfopt
+WORKDIR /alphamind/pfopt
 RUN export BUILD_TEST=OFF
 RUN export REDIRECT=$1
-RUN bash build_linux.sh
\ No newline at end of file
+RUN bash ./build_linux.sh
+
+WORKDIR /
+COPY ./requirements.txt /requirements.txt
+RUN pip install numpy==1.19.1 -i https://pypi.douban.com/simple
+RUN pip install -r /requirements.txt -i https://pypi.douban.com/simple
+RUN pip install finance-python==0.8.1 -i https://pypi.douban.com/simple
+
+COPY ./setup.py /setup.py
+COPY ./setup.cfg /setup.cfg
+RUN python setup.py build_ext --inplace
+
+EXPOSE 8080
+COPY ./entrypoint.sh /entrypoint.sh
+RUN chmod +x /entrypoint.sh
+
+WORKDIR /notebooks
+ENTRYPOINT ["/entrypoint.sh"]
+CMD []
\ No newline at end of file

README.md

@@ -107,7 +107,7 @@ alpha - mind 提供了多因子研究中常用的工具链，包括：
 
 安装需要直接clone或者下载源代码安装，具体流程为：
 
-1. 克隆项目到本地
+克隆项目到本地
 ```
 git clone https://github.com/alpha-miner/alpha-mind.git
 cd alpha-mind
@@ -119,16 +119,23 @@ git submodule update
 cd ../..
 ```
 
-2. 参照上节内容，编译好依赖的子项目。
+### SOURCE
 
-3. 确保环境变量'VS90COMNTOOLS'的值为安装的VS的Comntools下的地址，如'\vs2015\Common7\Tools\'
+1. 参照上节内容，编译好依赖的子项目。
 
-4. 回到项目的根目录下运行：
+2. 回到项目的根目录下运行：
 
 ```python
 python setup.py install
 ```
 
+### Docker
+
+1. `docker build -t alpha-mind:latest -f Dockerfile .`
+
+2. `docker run -it -p 8080:8080 --name alpha-mind alpha-mind`
+
+
 * *注意事项*: 
 1. 在Linux系统上,请确保gcc版本大于4.8;
 2. 在libs下面提供了依赖的一些库的二进制文件。linux版本的是在一台具有两个intel cpu的docker虚机上面编译完成的。如果需要实现最佳的性能，建议用户在目标机器上编译相关依赖的库。依赖的库源码地址：[portfolio-optimizer](https://github.com/alpha-miner/portfolio-optimizer)

alphamind/data/dbmodel/models.py

@@ -12,65 +12,6 @@ Base = declarative_base()
 metadata = Base.metadata
 
 
-class FundHolding(Base):
-    __tablename__ = 'fund_holding'
-
-    fund_code = Column(String(15), primary_key=True, nullable=False)
-    ticker = Column(String(15), nullable=False)
-    short_name = Column(String(30), nullable=False)
-    reportDate = Column(DateTime, primary_key=True, nullable=False)
-    holdingsecType = Column(String(5), nullable=False)
-    holdingSecID = Column(String(15), primary_key=True, nullable=False)
-    holdingTicker = Column(String(15), nullable=False)
-    holdingExchangeCd = Column(String(5))
-    holdingsecShortName = Column(String(30))
-    holdVolume = Column(Float(53))
-    marketValue = Column(Float(53))
-    ratioInNa = Column(Float(53))
-    publishDate = Column(DateTime, nullable=False)
-    currencyCd = Column(String(5))
-
-
-class FundMaster(Base):
-    __tablename__ = 'fund_master'
-
-    fund_code = Column(String(15), primary_key=True)
-    ticker = Column(String(15), nullable=False)
-    short_name = Column(String(30), nullable=False)
-    tradeAbbrName = Column(String(20))
-    category = Column(String(5), nullable=False)
-    operationMode = Column(String(5))
-    indexFund = Column(String(5))
-    etfLof = Column(String(5))
-    isQdii = Column(Integer, nullable=False)
-    isFof = Column(Integer, nullable=False)
-    isGuarFund = Column(Integer, nullable=False)
-    guarPeriod = Column(Float(53))
-    guarRatio = Column(Float(53))
-    exchangeCd = Column(String(4))
-    listStatusCd = Column(String(4))
-    managerName = Column(String(50))
-    status = Column(String(5))
-    establishDate = Column(DateTime)
-    listDate = Column(DateTime)
-    delistDate = Column(DateTime)
-    expireDate = Column(DateTime)
-    managementCompany = Column(BigInteger)
-    managementFullName = Column(String(50))
-    custodian = Column(BigInteger)
-    custodianFullName = Column(String(50))
-    investField = Column(Text)
-    investTarget = Column(Text)
-    perfBenchmark = Column(Text)
-    circulationShares = Column(Float(53))
-    isClass = Column(Integer)
-    idxID = Column(String(15))
-    idxTicker = Column(String(15))
-    idxShortName = Column(String(30))
-    managementShortName = Column(String(30))
-    custodianShortName = Column(String(30))
-
-
 class Categories(Base):
     __tablename__ = 'categories'
     __table_args__ = (

alphamind/data/engines/sqlengine.py

@@ -21,8 +21,6 @@ from sqlalchemy.sql import func
 from PyFin.api import advanceDateByCalendar
 
 from alphamind.data.dbmodel.models import FactorMaster
-from alphamind.data.dbmodel.models import FundHolding
-from alphamind.data.dbmodel.models import FundMaster
 from alphamind.data.dbmodel.models import IndexComponent
 from alphamind.data.dbmodel.models import IndexMarket
 from alphamind.data.dbmodel.models import Industry
@@ -114,25 +112,6 @@ class SqlEngine(object):
         db_session = orm.sessionmaker(bind=self.engine)
         return db_session()
 
-    def fetch_fund_meta(self) -> pd.DataFrame:
-        query = self.session.query(FundMaster)
-        return pd.read_sql(query.statement, query.session.bind)
-
-    def fetch_fund_holding(self,
-                           fund_codes,
-                           start_date: str = None,
-                           end_date: str = None,
-                           dates: Iterable[str] = None) -> pd.DataFrame:
-
-        query = select([FundHolding]).where(
-            and_(
-                FundHolding.fund_code.in_(fund_codes),
-                FundHolding.reportDate.in_(dates) if dates else FundHolding.reportDate.between(
-                    start_date, end_date)
-            )
-        )
-        return pd.read_sql(query, self.session.bind)
-
     def fetch_factors_meta(self) -> pd.DataFrame:
         query = self.session.query(FactorMaster)
         return pd.read_sql(query.statement, query.session.bind)

entrypoint.sh

+#!/bin/sh
+
+export PYTHONPATH=$PYTHONPATH:/
+export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:/alphamind/pfopt/lib
+export DB_URI="postgresql+psycopg2://alpha:alpha@localhost:5432/alpha"
+jupyter lab --ip="0.0.0.0" --port=8080 --allow-root --NotebookApp.token='' --NotebookApp.password=''
\ No newline at end of file

requirements.txt

-arrow >= 0.10.0
-cython >= 0.25.2
-cvxpy >= 1.0.3
-deprecated >= 1.1.0
-ecos >= 2.0.4
-finance-python >= 0.5.7
-numba >= 0.33.0
-numpy >= 1.12.1
-pandas >= 0.19.2
-psycopg2 >= 2.7.1
-scikit-learn >= 0.18.1
-scipy >= 0.19.0
-simpleutils >= 0.1.2
-sqlalchemy >= 1.1.14
-xgboost >= 0.90.0
\ No newline at end of file
+arrow == 0.16.0
+cython == 0.29.21
+cvxpy == 1.1.5
+cvxopt == 1.2.5
+deprecated == 1.2.10
+ecos == 2.0.7.post1
+jupyter == 1.0.0
+jupyterlab == 2.2.6
+matplotlib == 3.3.1
+numba == 0.51.1
+numpy == 1.19.1
+pandas == 1.1.1
+psycopg2-binary == 2.8.5
+scikit-learn ==0.23.2
+scipy == 1.5.2
+simpleutils == 0.2.6
+sqlalchemy == 1.3.19
+xgboost == 1.2.0
\ No newline at end of file