FEATURE: added risk model tables

alphamind/data/dbmodel/models_rl.py

@@ -105,8 +105,263 @@ class _SwIndustryDaily(Base):
     Industry_code4 = Column(Text)
     Industry_name4 = Column(Text)
     flag = Column(INT, server_default=text("'1'"))
+    is_verify = Column(INT)
+
+
+class _RiskExposure(Base):
+    __tablename__ = 'risk_exposure'
+    __table_args__ = (
+        Index('risk_exposure_idx', 'trade_date', 'security_code', unique=True),
+    )
+
+    id = Column(INT, primary_key=True)
+    trade_date = Column(Date,  nullable=False)
+    code = Column("security_code", Text)
+    BETA = Column(FLOAT)
+    MOMENTUM = Column(FLOAT)
+    SIZE = Column(FLOAT)
+    EARNYILD = Column(FLOAT)
+    RESVOL = Column(FLOAT)
+    GROWTH = Column(FLOAT)
+    BTOP = Column(FLOAT)
+    LEVERAGE = Column(FLOAT)
+    LIQUIDTY = Column(FLOAT)
+    SIZENL = Column(FLOAT)
+    Bank = Column(INT)
+    RealEstate = Column(INT)
+    Health = Column(INT)
+    Transportation = Column(INT)
+    Mining = Column(INT)
+    NonFerMetal = Column(INT)
+    HouseApp = Column(INT)
+    LeiService = Column(INT)
+    MachiEquip = Column(INT)
+    BuildDeco = Column(INT)
+    CommeTrade = Column(INT)
+    CONMAT = Column(INT)
+    Auto = Column(INT)
+    Textile = Column(INT)
+    FoodBever = Column(INT)
+    Electronics = Column(INT)
+    Computer = Column(INT)
+    LightIndus = Column(INT)
+    Utilities = Column(INT)
+    Telecom = Column(INT)
+    AgriForest = Column(INT)
+    CHEM = Column(INT)
+    Media = Column(INT)
+    IronSteel = Column(INT)
+    NonBankFinan = Column(INT)
+    ELECEQP = Column(INT)
+    AERODEF = Column(INT)
+    Conglomerates = Column(INT)
+    COUNTRY = Column(INT)
+
+
+class _RiskCovDay(Base):
+    __tablename__ = 'risk_cov_day'
+    __table_args__ = (
+        Index('risk_cov_day_idx', 'trade_date', 'FactorID', 'Factor', unique=True),
+    )
+
+    id = Column(INT, primary_key=True)
+    trade_date = Column(Date, nullable=False)
+    FactorID = Column(INT, nullable=False)
+    Factor = Column(Text, nullable=False)
+    BETA = Column(FLOAT)
+    MOMENTUM = Column(FLOAT)
+    SIZE = Column(FLOAT)
+    EARNYILD = Column(FLOAT)
+    RESVOL = Column(FLOAT)
+    GROWTH = Column(FLOAT)
+    BTOP = Column(FLOAT)
+    LEVERAGE = Column(FLOAT)
+    LIQUIDTY = Column(FLOAT)
+    SIZENL = Column(FLOAT)
+    Bank = Column(FLOAT)
+    RealEstate = Column(FLOAT)
+    Health = Column(FLOAT)
+    Transportation = Column(FLOAT)
+    Mining = Column(FLOAT)
+    NonFerMetal = Column(FLOAT)
+    HouseApp = Column(FLOAT)
+    LeiService = Column(FLOAT)
+    MachiEquip = Column(FLOAT)
+    BuildDeco = Column(FLOAT)
+    CommeTrade = Column(FLOAT)
+    CONMAT = Column(FLOAT)
+    Auto = Column(FLOAT)
+    Textile = Column(FLOAT)
+    FoodBever = Column(FLOAT)
+    Electronics = Column(FLOAT)
+    Computer = Column(FLOAT)
+    LightIndus = Column(FLOAT)
+    Utilities = Column(FLOAT)
+    Telecom = Column(FLOAT)
+    AgriForest = Column(FLOAT)
+    CHEM = Column(FLOAT)
+    Media = Column(FLOAT)
+    IronSteel = Column(FLOAT)
+    NonBankFinan = Column(FLOAT)
+    ELECEQP = Column(FLOAT)
+    AERODEF = Column(FLOAT)
+    Conglomerates = Column(FLOAT)
+    COUNTRY = Column(FLOAT)
+
+
+class _RiskCovLong(Base):
+    __tablename__ = 'risk_cov_long'
+    __table_args__ = (
+        Index('risk_cov_long_Date_Factor_uindex', 'trade_date', 'Factor', unique=True),
+        Index('risk_cov_long_Date_FactorID_uindex', 'trade_date', 'FactorID', unique=True)
+    )
+
+    id = Column(INT, primary_key=True)
+    trade_date = Column(Date, nullable=False)
+    FactorID = Column(INT)
+    Factor = Column(Text, nullable=False)
+    BETA = Column(FLOAT)
+    MOMENTUM = Column(FLOAT)
+    SIZE = Column(FLOAT)
+    EARNYILD = Column(FLOAT)
+    RESVOL = Column(FLOAT)
+    GROWTH = Column(FLOAT)
+    BTOP = Column(FLOAT)
+    LEVERAGE = Column(FLOAT)
+    LIQUIDTY = Column(FLOAT)
+    SIZENL = Column(FLOAT)
+    Bank = Column(FLOAT)
+    RealEstate = Column(FLOAT)
+    Health = Column(FLOAT)
+    Transportation = Column(FLOAT)
+    Mining = Column(FLOAT)
+    NonFerMetal = Column(FLOAT)
+    HouseApp = Column(FLOAT)
+    LeiService = Column(FLOAT)
+    MachiEquip = Column(FLOAT)
+    BuildDeco = Column(FLOAT)
+    CommeTrade = Column(FLOAT)
+    CONMAT = Column(FLOAT)
+    Auto = Column(FLOAT)
+    Textile = Column(FLOAT)
+    FoodBever = Column(FLOAT)
+    Electronics = Column(FLOAT)
+    Computer = Column(FLOAT)
+    LightIndus = Column(FLOAT)
+    Utilities = Column(FLOAT)
+    Telecom = Column(FLOAT)
+    AgriForest = Column(FLOAT)
+    CHEM = Column(FLOAT)
+    Media = Column(FLOAT)
+    IronSteel = Column(FLOAT)
+    NonBankFinan = Column(FLOAT)
+    ELECEQP = Column(FLOAT)
+    AERODEF = Column(FLOAT)
+    Conglomerates = Column(FLOAT)
+    COUNTRY = Column(FLOAT)
+
+
+class _RiskCovShort(Base):
+    __tablename__ = 'risk_cov_short'
+    __table_args__ = (
+        Index('risk_cov_short_Date_FactorID_uindex', 'trade_date', 'FactorID', unique=True),
+        Index('risk_cov_short_Date_Factor_uindex', 'trade_date', 'Factor', unique=True)
+    )
+
+    id = Column(INT, primary_key=True)
+    trade_date = Column(Date, nullable=False)
+    FactorID = Column(INT)
+    Factor = Column(Text, nullable=False)
+    BETA = Column(FLOAT)
+    MOMENTUM = Column(FLOAT)
+    SIZE = Column(FLOAT)
+    EARNYILD = Column(FLOAT)
+    RESVOL = Column(FLOAT)
+    GROWTH = Column(FLOAT)
+    BTOP = Column(FLOAT)
+    LEVERAGE = Column(FLOAT)
+    LIQUIDTY = Column(FLOAT)
+    SIZENL = Column(FLOAT)
+    Bank = Column(FLOAT)
+    RealEstate = Column(FLOAT)
+    Health = Column(FLOAT)
+    Transportation = Column(FLOAT)
+    Mining = Column(FLOAT)
+    NonFerMetal = Column(FLOAT)
+    HouseApp = Column(FLOAT)
+    LeiService = Column(FLOAT)
+    MachiEquip = Column(FLOAT)
+    BuildDeco = Column(FLOAT)
+    CommeTrade = Column(FLOAT)
+    CONMAT = Column(FLOAT)
+    Auto = Column(FLOAT)
+    Textile = Column(FLOAT)
+    FoodBever = Column(FLOAT)
+    Electronics = Column(FLOAT)
+    Computer = Column(FLOAT)
+    LightIndus = Column(FLOAT)
+    Utilities = Column(FLOAT)
+    Telecom = Column(FLOAT)
+    AgriForest = Column(FLOAT)
+    CHEM = Column(FLOAT)
+    Media = Column(FLOAT)
+    IronSteel = Column(FLOAT)
+    NonBankFinan = Column(FLOAT)
+    ELECEQP = Column(FLOAT)
+    AERODEF = Column(FLOAT)
+    Conglomerates = Column(FLOAT)
+    COUNTRY = Column(FLOAT)
+
+
+class _SpecificRiskDay(Base):
+    __tablename__ = 'specific_risk_day'
+    __table_args__ = (
+        Index('specific_risk_day_Date_Code_uindex', 'trade_date', 'security_code', unique=True),
+    )
+
+    id = Column(INT, primary_key=True)
+    trade_date = Column(Date, nullable=False)
+    code = Column("security_code", Text, nullable=False)
+    exchangeCD = Column(Text)
+    secShortName = Column(Text)
+    SRISK = Column(FLOAT)
+
+
+class _SpecificRiskLong(Base):
+    __tablename__ = 'specific_risk_long'
+    __table_args__ = (
+        Index('specific_risk_long_Date_Code_uindex', 'trade_date', 'security_code', unique=True),
+    )
+
+    id = Column(INT, primary_key=True)
+    trade_date = Column(Date, nullable=False)
+    code = Column("security_code", Text, nullable=False)
+    exchangeCD = Column(Text)
+    secShortName = Column(Text)
+    SRISK = Column(FLOAT)
+
+
+class _SpecificRiskShort(Base):
+    __tablename__ = 'specific_risk_short'
+    __table_args__ = (
+        Index('specific_risk_short_Date_Code_uindex', 'trade_date', 'security_code', unique=True),
+    )
+
+    id = Column(INT, primary_key=True)
+    trade_date = Column(Date, nullable=False)
+    code = Column("security_code", Text, nullable=False)
+    exchangeCD = Column(Text)
+    secShortName = Column(Text)
+    SRISK = Column(FLOAT)
 
 
 Market = _StkDailyPricePro
 Universe = _StkUniverse
 Industry = _SwIndustryDaily
+RiskExposure = _RiskExposure
+RiskCovDay = _RiskCovDay
+RiskCovShort = _RiskCovShort
+RiskCovLong = _RiskCovLong
+SpecificRiskDay = _SpecificRiskDay
+SpecificRiskShort = _SpecificRiskShort
+SpecificRiskLong = _SpecificRiskLong

alphamind/data/engines/sqlengine_rl.py

@@ -19,7 +19,8 @@ import sqlalchemy as sa
 import sqlalchemy.orm as orm
 from sqlalchemy import (
     and_,
-    select
+    join,
+    select,
 )
 
 from PyFin.api import advanceDateByCalendar
@@ -37,7 +38,56 @@ else:
 
 from alphamind.data.engines.universe import Universe
 from alphamind.data.processing import factor_processing
-from alphamind.data.engines.utilities import _map_industry_category
+
+from alphamind.data.engines.utilities import _map_risk_model_table
+from alphamind.portfolio.riskmodel import FactorRiskModel
+
+
+risk_styles = ['BETA',
+               'MOMENTUM',
+               'SIZE',
+               'EARNYILD',
+               'RESVOL',
+               'GROWTH',
+               'BTOP',
+               'LEVERAGE',
+               'LIQUIDTY',
+               'SIZENL']
+
+industry_styles = [
+    'Bank',
+    'RealEstate',
+    'Health',
+    'Transportation',
+    'Mining',
+    'NonFerMetal',
+    'HouseApp',
+    'LeiService',
+    'MachiEquip',
+    'BuildDeco',
+    'CommeTrade',
+    'CONMAT',
+    'Auto',
+    'Textile',
+    'FoodBever',
+    'Electronics',
+    'Computer',
+    'LightIndus',
+    'Utilities',
+    'Telecom',
+    'AgriForest',
+    'CHEM',
+    'Media',
+    'IronSteel',
+    'NonBankFinan',
+    'ELECEQP',
+    'AERODEF',
+    'Conglomerates'
+]
+
+macro_styles = ['COUNTRY']
+
+total_risk_factors = risk_styles + industry_styles + macro_styles
 
 
 DAILY_RETURN_OFFSET = 0

alphamind/data/engines/utilities.py

@@ -9,19 +9,34 @@ import os
 from typing import Dict
 from typing import Iterable
 
-from alphamind.data.dbmodel.models import Categories
-from alphamind.data.dbmodel.models import Market
-from alphamind.data.dbmodel.models import RiskCovDay
-from alphamind.data.dbmodel.models import RiskCovLong
-from alphamind.data.dbmodel.models import RiskCovShort
-from alphamind.data.dbmodel.models import RiskExposure
-from alphamind.data.dbmodel.models import SpecificRiskDay
-from alphamind.data.dbmodel.models import SpecificRiskLong
-from alphamind.data.dbmodel.models import SpecificRiskShort
-from alphamind.data.dbmodel.models import Uqer
-from alphamind.data.engines.industries import INDUSTRY_MAPPING
+if "DB_VENDOR" in os.environ and os.environ["DB_VENDOR"].lower() == "rl":
+    from alphamind.data.dbmodel.models import Categories
+    from alphamind.data.dbmodel.models import Market
+    from alphamind.data.dbmodel.models import RiskCovDay
+    from alphamind.data.dbmodel.models import RiskCovLong
+    from alphamind.data.dbmodel.models import RiskCovShort
+    from alphamind.data.dbmodel.models import RiskExposure
+    from alphamind.data.dbmodel.models import SpecificRiskDay
+    from alphamind.data.dbmodel.models import SpecificRiskLong
+    from alphamind.data.dbmodel.models import SpecificRiskShort
+    from alphamind.data.dbmodel.models import Uqer
+    from alphamind.data.engines.industries import INDUSTRY_MAPPING
+
+    factor_tables = [Market, RiskExposure, Uqer, Categories]
+else:
+    from alphamind.data.dbmodel.models import Categories
+    from alphamind.data.dbmodel.models import Market
+    from alphamind.data.dbmodel.models_rl import RiskCovDay
+    from alphamind.data.dbmodel.models_rl import RiskCovLong
+    from alphamind.data.dbmodel.models_rl import RiskCovShort
+    from alphamind.data.dbmodel.models_rl import RiskExposure
+    from alphamind.data.dbmodel.models_rl import SpecificRiskDay
+    from alphamind.data.dbmodel.models_rl import SpecificRiskLong
+    from alphamind.data.dbmodel.models_rl import SpecificRiskShort
+    from alphamind.data.dbmodel.models import Uqer
+    from alphamind.data.engines.industries import INDUSTRY_MAPPING
 
-factor_tables = [Market, RiskExposure, Uqer, Categories]
+    factor_tables = [Market, RiskExposure, Uqer, Categories]
 
 
 def _map_risk_model_table(risk_model: str) -> tuple:

pfopt @ a231c326

-Subproject commit cf21f072c71d003666e984c9d5ea761cf74670a9
+Subproject commit a231c326626db460cd40c162b3df932f31409db3