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alpha-mind
Commit d66ca648 authored by Dr.李's avatar Dr.李
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update engine

parent 65c347f3
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Showing with 3 additions and 5 deletions
alphamind/data/engines/sqlengine.py
View file @ d66ca648
...@@ -358,7 +358,7 @@ class SqlEngine(object): ...@@ -358,7 +358,7 @@ class SqlEngine(object):
joined_tables.add(t.__table__.name) joined_tables.add(t.__table__.name)
query = select( query = select(
[Market.trade_date, Market.code, Market.isOpen, Market.chgPct] + list(factor_cols.keys())) \ [Market.trade_date, Market.code, Market.chgPct] + list(factor_cols.keys())) \
.select_from(big_table).where(and_(Market.trade_date.between(start_date, end_date), .select_from(big_table).where(and_(Market.trade_date.between(start_date, end_date),
Market.code.in_(codes))) Market.code.in_(codes)))
...@@ -368,7 +368,6 @@ class SqlEngine(object): ...@@ -368,7 +368,6 @@ class SqlEngine(object):
.set_index('trade_date') .set_index('trade_date')
res = transformer.transform('code', df).replace([-np.inf, np.inf], np.nan) res = transformer.transform('code', df).replace([-np.inf, np.inf], np.nan)
res['isOpen'] = df.isOpen.astype(bool)
res['chgPct'] = df.chgPct res['chgPct'] = df.chgPct
res = res.loc[ref_date] res = res.loc[ref_date]
res.index = list(range(len(res))) res.index = list(range(len(res)))
...@@ -414,7 +413,7 @@ class SqlEngine(object): ...@@ -414,7 +413,7 @@ class SqlEngine(object):
universe_df = universe.query(self, start_date, end_date, dates) universe_df = universe.query(self, start_date, end_date, dates)
query = select( query = select(
[Market.trade_date, Market.code, Market.isOpen, Market.chgPct] + list(factor_cols.keys())) \ [Market.trade_date, Market.code, Market.chgPct] + list(factor_cols.keys())) \
.select_from(big_table).where( .select_from(big_table).where(
and_( and_(
Market.code.in_(universe_df.code.unique().tolist()), Market.code.in_(universe_df.code.unique().tolist()),
...@@ -431,7 +430,6 @@ class SqlEngine(object): ...@@ -431,7 +430,6 @@ class SqlEngine(object):
df.set_index('trade_date', inplace=True) df.set_index('trade_date', inplace=True)
res = transformer.transform('code', df).replace([-np.inf, np.inf], np.nan) res = transformer.transform('code', df).replace([-np.inf, np.inf], np.nan)
res['isOpen'] = df.isOpen.astype(bool)
res['chgPct'] = df.chgPct res['chgPct'] = df.chgPct
res = res.reset_index() res = res.reset_index()
return pd.merge(res, universe_df[['trade_date', 'code']], how='inner').drop_duplicates(['trade_date', 'code']) return pd.merge(res, universe_df[['trade_date', 'code']], how='inner').drop_duplicates(['trade_date', 'code'])
...@@ -728,7 +726,7 @@ class SqlEngine(object): ...@@ -728,7 +726,7 @@ class SqlEngine(object):
end_date = advanceDateByCalendar('china.sse', end_date, end_date = advanceDateByCalendar('china.sse', end_date,
str(offset) + 'b').strftime('%Y-%m-%d') str(offset) + 'b').strftime('%Y-%m-%d')
stats = func.lead(Market.isOpen, 1).over( stats = func.lead(Market.isOpen, offset).over(
partition_by=Market.code, partition_by=Market.code,
order_by=Market.trade_date).label('is_open') order_by=Market.trade_date).label('is_open')
cte = select([Market.trade_date, Market.code, stats]).where( cte = select([Market.trade_date, Market.code, stats]).where(
......
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