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alpha-mind
Commit e623409d authored by Dr.李's avatar Dr.李
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made data range work for a list of dates

parent 339dabd6
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Showing with 74 additions and 41 deletions
alphamind/data/engines/sqlengine.py
View file @ e623409d
......@@ -150,10 +150,11 @@ class SqlEngine(object):
return sorted(codes_set)
def fetch_codes_range(self,
start_date: str,
end_date: str,
universe: Universe) -> pd.DataFrame:
query = universe.query_range(start_date, end_date)
universe: Universe,
start_date: str=None,
end_date: str=None,
dates: Iterable[str]=None) -> pd.DataFrame:
query = universe.query_range(start_date, end_date, dates)
return pd.read_sql(query, self.engine)
def fetch_dx_return(self, ref_date, codes, expiry_date=None, horizon=0):
......@@ -190,13 +191,14 @@ class SqlEngine(object):
return pd.read_sql(query, self.engine)
def fetch_factor_range(self,
start_date: str,
end_date: str,
universe: Universe,
factors: Iterable[str],
universe: Universe) -> pd.DataFrame:
start_date: str=None,
end_date: str=None,
dates: Iterable[str]=None) -> pd.DataFrame:
factor_cols = _map_factors(factors)
q2 = universe.query_range(start_date, end_date).alias('temp_universe')
q2 = universe.query_range(start_date, end_date, dates).alias('temp_universe')
big_table = join(Market, q2, and_(Market.Date == q2.c.Date, Market.Code == q2.c.Code))
for t in set(factor_cols.values()):
......@@ -220,15 +222,25 @@ class SqlEngine(object):
return pd.read_sql(query, self.engine)
def fetch_benchmark_range(self,
start_date: str,
end_date: str,
benchmark: int) -> pd.DataFrame:
query = select([IndexComponent.Date, IndexComponent.Code, (IndexComponent.weight / 100.).label('weight')]).where(
and_(
IndexComponent.Date.between(start_date, end_date),
IndexComponent.indexCode == benchmark
benchmark: int,
start_date: str=None,
end_date: str=None,
dates: Iterable[str]=None) -> pd.DataFrame:
if dates:
query = select(
[IndexComponent.Date, IndexComponent.Code, (IndexComponent.weight / 100.).label('weight')]).where(
and_(
IndexComponent.Date.in_(dates),
IndexComponent.indexCode == benchmark
)
)
else:
query = select([IndexComponent.Date, IndexComponent.Code, (IndexComponent.weight / 100.).label('weight')]).where(
and_(
IndexComponent.Date.between(start_date, end_date),
IndexComponent.indexCode == benchmark
)
)
)
return pd.read_sql(query, self.engine)
......@@ -260,20 +272,29 @@ class SqlEngine(object):
return risk_cov, risk_exp
def fetch_risk_model_range(self,
start_date: str,
end_date: str,
universe: Universe,
start_date: str=None,
end_date: str=None,
dates: Iterable[str]=None,
risk_model: str='short') -> 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]
query = select([risk_cov_table.Date,
risk_cov_table.FactorID,
risk_cov_table.Factor]
+ cov_risk_cols).where(
risk_cov_table.Date.between(start_date, end_date)
)
if dates:
query = select([risk_cov_table.Date,
risk_cov_table.FactorID,
risk_cov_table.Factor]
+ cov_risk_cols).where(
risk_cov_table.Date.in_(dates)
)
else:
query = select([risk_cov_table.Date,
risk_cov_table.FactorID,
risk_cov_table.Factor]
+ cov_risk_cols).where(
risk_cov_table.Date.between(start_date, end_date)
)
risk_cov = pd.read_sql(query, self.engine).sort_values(['Date', 'FactorID'])
risk_exposure_cols = [RiskExposure.__table__.columns[f] for f in total_risk_factors]
......@@ -281,7 +302,7 @@ class SqlEngine(object):
and_(special_risk_table.Date == RiskExposure.Date,
special_risk_table.Code == RiskExposure.Code))
q2 = universe.query_range(start_date, end_date).alias('temp_universe')
q2 = universe.query_range(start_date, end_date, dates).alias('temp_universe')
big_table = join(big_table, q2, and_(special_risk_table.Date == q2.c.Date, special_risk_table.Code == q2.c.Code))
query = select(
......@@ -319,25 +340,26 @@ class SqlEngine(object):
return total_data
def fetch_data_range(self,
start_date: str,
end_date: str,
factors: Iterable[str],
universe: Universe,
factors: Iterable[str],
start_date: str=None,
end_date: str=None,
dates: Iterable[str]=None,
benchmark: int = None,
risk_model: str = 'short') -> Dict[str, pd.DataFrame]:
total_data = {}
factor_data = self.fetch_factor_range(start_date, end_date, factors, universe)
factor_data = self.fetch_factor_range(universe, factors, start_date, end_date, dates)
if benchmark:
benchmark_data = self.fetch_benchmark_range(start_date, end_date, benchmark)
benchmark_data = self.fetch_benchmark_range(benchmark, start_date, end_date, dates)
total_data['benchmark'] = benchmark_data
factor_data = pd.merge(factor_data, benchmark_data, how='left', on=['Date', 'Code'])
factor_data['weight'] = factor_data['weight'].fillna(0.)
if risk_model:
risk_cov, risk_exp = self.fetch_risk_model_range(start_date, end_date, universe, risk_model)
risk_cov, risk_exp = self.fetch_risk_model_range(universe, start_date, end_date, dates, risk_model)
factor_data = pd.merge(factor_data, risk_exp, how='left', on=['Date', 'Code'])
total_data['risk_cov'] = risk_cov
......@@ -354,8 +376,8 @@ if __name__ == '__main__':
engine = SqlEngine(db_url)
ref_date = '2017-08-10'
codes = engine.fetch_codes_range('2017-01-01', '2017-08-10', universe)
data = engine.fetch_data_range('2017-01-01', '2017-08-10', ['EPS'], universe, 905, 'short')
codes = engine.fetch_codes_range(universe, None, None, ['2017-01-01', '2017-08-10'])
data = engine.fetch_data_range(universe, ['EPS'], None, None, ['2017-01-01', '2017-08-10'], 905, 'short')
print(codes)
print(data)
alphamind/data/engines/universe.py
View file @ e623409d
......@@ -72,18 +72,29 @@ class Universe(object):
return query
def query_range(self, start_date, end_date):
def query_range(self, start_date=None, end_date=None, dates=None):
query = select([UniverseTable.Date, UniverseTable.Code]).distinct()
all_and_conditions, all_or_conditions = self._create_condition()
query = query.where(
and_(
UniverseTable.Date.between(start_date, end_date),
or_(
and_(*all_and_conditions),
*all_or_conditions
if dates:
query = query.where(
and_(
UniverseTable.Date.in_(dates),
or_(
and_(*all_and_conditions),
*all_or_conditions
)
)
)
else:
query = query.where(
and_(
UniverseTable.Date.between(start_date, end_date),
or_(
and_(*all_and_conditions),
*all_or_conditions
)
)
)
)
return query
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