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alpha-mind
Commit fd03f62b authored by Dr.李's avatar Dr.李
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added specific risk

parent 076d95d3
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Showing with 12 additions and 4 deletions
alphamind/data/store.py
View file @ fd03f62b
......@@ -101,25 +101,33 @@ def fetch_data(factors: Iterable[str],
total_risk_factors = risk_styles + industry_styles
risk_str = ','.join('risk_exposure.' + f for f in total_risk_factors)
special_risk_table = 'specific_risk_' + risk_model
if code_str:
sql = "select factors.Date, factors.Code, {0}, {3}, market.chgPct, market.isOpen" \
sql = "select factors.Date, factors.Code, {0}, {3}, market.isOpen, daily_return.d1, {5}.SRISK" \
" from (factors INNER JOIN" \
" risk_exposure on factors.Date = risk_exposure.Date and factors.Code = risk_exposure.Code)" \
" INNER JOIN market on factors.Date = market.Date and factors.Code = market.Code" \
" INNER JOIN daily_return on factors.Date = daily_return.Date and factors.Code = daily_return.Code" \
" INNER JOIN {5} on factors.Date = {5}.Date and factors.Code = {5}.Code" \
" where factors.Date >= '{1}' and factors.Date <= '{2}' and factors.Code in ({4})".format(factor_str,
start_date,
end_date,
risk_str,
code_str)
code_str,
special_risk_table)
else:
sql = "select factors.Date, factors.Code, {0}, {3}, market.chgPct, market.isOpen" \
sql = "select factors.Date, factors.Code, {0}, {3}, market.isOpen, daily_return.d1, {4}.SRISK" \
" from (factors INNER JOIN" \
" risk_exposure on factors.Date = risk_exposure.Date and factors.Code = risk_exposure.Code)" \
" INNER JOIN market on factors.Date = market.Date and factors.Code = market.Code" \
" INNER JOIN daily_return on factors.Date = daily_return.Date and factors.Code = daily_return.Code" \
" INNER JOIN {4} on factors.Date = {4}.Date and factors.Code = {4}.Code" \
" where factors.Date >= '{1}' and factors.Date <= '{2}'".format(factor_str,
start_date,
end_date,
risk_str)
risk_str,
special_risk_table)
factor_data = pd.read_sql(sql, engine)
......
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