fixed when has dependency on hist

alphamind/data/engines/sqlengine.py

@@ -356,9 +356,11 @@ class SqlEngine(object):
             factor_cols = _map_factors(dependency, factor_tables)
 
         big_table = FullFactor
+        joined_tables = set()
+        joined_tables.add(FullFactor.__table__.name)
 
         for t in set(factor_cols.values()):
-            if t.__table__.name != FullFactor.__table__.name:
+            if t.__table__.name not in joined_tables:
                 if dates is not None:
                     big_table = outerjoin(big_table, t, and_(FullFactor.trade_date == t.trade_date,
                                                              FullFactor.code == t.code,
@@ -367,20 +369,18 @@ class SqlEngine(object):
                     big_table = outerjoin(big_table, t, and_(FullFactor.trade_date == t.trade_date,
                                                              FullFactor.code == t.code,
                                                              FullFactor.trade_date.between(start_date, end_date)))
+                joined_tables.add(t.__table__.name)
 
-        cond = universe._query_statements(start_date, end_date, dates)
-
-        big_table = join(big_table, UniverseTable,
-                         and_(
-                             FullFactor.trade_date == UniverseTable.trade_date,
-                             FullFactor.code == UniverseTable.code,
-                             cond
-                         )
-                         )
+        universe_df = universe.query(self, start_date, end_date, dates)
 
         query = select(
             [FullFactor.trade_date, FullFactor.code, FullFactor.isOpen] + list(factor_cols.keys())) \
-            .select_from(big_table).distinct()
+            .select_from(big_table).where(
+                and_(
+                    FullFactor.code.in_(universe_df.code.unique().tolist()),
+                    FullFactor.trade_date.in_(dates) if dates is not None else FullFactor.trade_date.between(start_date, end_date)
+                )
+        ).distinct()
 
         df = pd.read_sql(query, self.engine)
         if universe.is_filtered:
@@ -391,7 +391,6 @@ class SqlEngine(object):
             df = pd.merge(df, external_data, on=['trade_date', 'code']).dropna()
 
         df.sort_values(['trade_date', 'code'], inplace=True)
-
         df.set_index('trade_date', inplace=True)
         res = transformer.transform('code', df)
 
@@ -400,7 +399,8 @@ class SqlEngine(object):
                 df[col] = res[col].values
 
         df['isOpen'] = df.isOpen.astype(bool)
-        return df.reset_index()
+        df = df.reset_index()
+        return pd.merge(df, universe_df[['trade_date', 'code']], how='inner')
 
     def fetch_benchmark(self,
                         ref_date: str,
@@ -924,7 +924,10 @@ class SqlEngine(object):
 
 if __name__ == '__main__':
 
+    from PyFin.api import *
     engine = SqlEngine()
     ref_date = '2017-06-29'
     universe = Universe('', ['zz800'])
-    p_returns = engine.fetch_dx_return_range(universe, ref_date, ref_date, horizon=0)
+
+    dates = makeSchedule('2010-01-01', '2018-02-01', '10b', 'china.sse')
+    df = engine.fetch_factor_range(universe, DIFF('roe_q'), dates=dates)