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Commit 2387388e authored by Dr.李's avatar Dr.李
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added more api

parent c0494dcc
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Showing with 706 additions and 67 deletions
attribution/010 style attribution.ipynb
View file @ 2387388e
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attribution/020 brison attribution.ipynb
View file @ 2387388e
......@@ -2,10 +2,224 @@
"cells": [
{
"cell_type": "code",
"execution_count": null,
"execution_count": 1,
"id": "a1fbf6c8-e22a-4d0d-b3d8-c6c54d60bce1",
"metadata": {},
"outputs": [],
"source": [
"import sys\n",
"sys.path.append(\"../\")\n",
"from fof.utility import *"
]
},
{
"cell_type": "code",
"execution_count": 2,
"id": "21a0b455-1eb3-47f0-8a9c-15533dd12939",
"metadata": {},
"outputs": [],
"source": [
"df = fd_skdetail(\"1030000006\", trade_dt=\"20210630\")"
]
},
{
"cell_type": "code",
"execution_count": 3,
"id": "82ca3a10-45e2-4b49-8be1-1e77104a1a52",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>trade_date</th>\n",
" <th>security_code</th>\n",
" <th>sname</th>\n",
" <th>weighing</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>115</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000001</td>\n",
" <td>浦发银行</td>\n",
" <td>0.55</td>\n",
" </tr>\n",
" <tr>\n",
" <th>116</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000010</td>\n",
" <td>上海机场</td>\n",
" <td>0.22</td>\n",
" </tr>\n",
" <tr>\n",
" <th>117</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000011</td>\n",
" <td>包钢股份</td>\n",
" <td>0.17</td>\n",
" </tr>\n",
" <tr>\n",
" <th>118</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000012</td>\n",
" <td>华能国际</td>\n",
" <td>0.09</td>\n",
" </tr>\n",
" <tr>\n",
" <th>119</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000014</td>\n",
" <td>华夏银行</td>\n",
" <td>0.18</td>\n",
" </tr>\n",
" <tr>\n",
" <th>...</th>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" </tr>\n",
" <tr>\n",
" <th>296</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010032227</td>\n",
" <td>沪硅产业</td>\n",
" <td>0.07</td>\n",
" </tr>\n",
" <tr>\n",
" <th>278</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010032240</td>\n",
" <td>万泰生物</td>\n",
" <td>0.08</td>\n",
" </tr>\n",
" <tr>\n",
" <th>191</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010032306</td>\n",
" <td>中泰证券</td>\n",
" <td>0.04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>270</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010032493</td>\n",
" <td>甘李药业</td>\n",
" <td>0.03</td>\n",
" </tr>\n",
" <tr>\n",
" <th>267</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010033291</td>\n",
" <td>中金公司</td>\n",
" <td>0.08</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"<p>300 rows × 4 columns</p>\n",
"</div>"
],
"text/plain": [
" trade_date security_code sname weighing\n",
"115 2021-06-30 2010000001 浦发银行 0.55\n",
"116 2021-06-30 2010000010 上海机场 0.22\n",
"117 2021-06-30 2010000011 包钢股份 0.17\n",
"118 2021-06-30 2010000012 华能国际 0.09\n",
"119 2021-06-30 2010000014 华夏银行 0.18\n",
".. ... ... ... ...\n",
"296 2021-06-30 2010032227 沪硅产业 0.07\n",
"278 2021-06-30 2010032240 万泰生物 0.08\n",
"191 2021-06-30 2010032306 中泰证券 0.04\n",
"270 2021-06-30 2010032493 甘李药业 0.03\n",
"267 2021-06-30 2010033291 中金公司 0.08\n",
"\n",
"[300 rows x 4 columns]"
]
},
"execution_count": 3,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"index_component(\"2070000060\", trade_dt=\"20210630\")"
]
},
{
"cell_type": "code",
"execution_count": 4,
"id": "6d57d8f9-6c1c-4a41-ae64-87763648a22b",
"metadata": {},
"outputs": [],
"source": [
"res = sw_industry_daily(df.SKCODE, \"20210630\", 2)"
]
},
{
"cell_type": "code",
"execution_count": 5,
"id": "6883105d-9a59-4e08-847c-a9c056826fd1",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"39"
]
},
"execution_count": 5,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"len(res.industry_name.unique())"
]
},
{
"cell_type": "code",
"execution_count": 8,
"id": "fa17cc0d-61ad-4958-bf01-7cdc1c17230d",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Wall time: 44.6 s\n"
]
}
],
"source": [
"%%time\n",
"rtns = stk_return_range(df.SKCODE, \"20210630\", \"20211231\")"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "7743d37c-eb35-4294-95ef-da1007e3c175",
"metadata": {},
"outputs": [],
"source": []
}
],
......
fof/utility.py
View file @ 2387388e
......@@ -256,7 +256,7 @@ def risk_exposure(security_ids, trade_dt):
sec_id_strs = ",".join(["'" + s + "'" for s in security_ids])
query = f"""
SELECT * FROM risk_exposure
SELECT trade_date, security_code, {','.join(RISK_STYLES)}, {','.join(INDUSTRY_STYLES)} FROM risk_exposure
WHERE
trade_date = '{_to_yyyy_mm_dd(trade_dt)}' AND
is_verify = 1 AND
......@@ -291,4 +291,57 @@ def special_risk(security_ids, trade_dt, model="short"):
flag = 1 AND
security_code IN ({sec_id_strs})
"""
return read_sql(query, source="mysql").sort_values("security_code")
\ No newline at end of file
return read_sql(query, source="mysql").sort_values("security_code")
def index_component(index_code, trade_dt):
query = f"""
SELECT index_component.trade_date, index_component.security_code, `index`.sname, `index`.weighing FROM `index`
JOIN index_component ON
`index`.trade_date = index_component.trade_date AND
`index`.isymbol = index_component.isymbol AND
`index`.symbol = index_component.symbol
WHERE
`index`.trade_date = '{_to_yyyy_mm_dd(trade_dt)}' AND
`index`.is_verify = 1 AND
`index`.flag = 1 AND
index_component.is_verify = 1 AND
index_component.flag = 1 AND
index_component.isecurity_code = '{index_code}';
"""
return read_sql(query, source="mysql").sort_values("security_code")
def sw_industry_daily(security_ids, trade_dt, level=1):
if isinstance(security_ids, str):
sec_id_strs = security_ids
else:
sec_id_strs = ",".join(["'" + s + "'" for s in security_ids])
query = f"""
SELECT trade_date, security_code, industry_code{level} as industry_code, industry_name{level} as industry_name FROM sw_industry_daily
WHERE
trade_date = '{_to_yyyy_mm_dd(trade_dt)}' AND
is_verify = 1 AND
flag = 1 AND
security_code IN ({sec_id_strs})
"""
return read_sql(query, source="mysql").sort_values("security_code")
def stk_return_range(security_ids, start_date, end_date):
if isinstance(security_ids, str):
sec_id_strs = security_ids
else:
sec_id_strs = ",".join(["'" + s + "'" for s in security_ids])
query = f"""
SELECT security_code, min(trade_date) as start_date, max(trade_date) as end_date, exp(sum(log(change_pct / 100.0 + 1.0))) - 1.0 as rtn FROM stk_daily_price_pro
WHERE
trade_date >= '{_to_yyyy_mm_dd(start_date)}' AND
trade_date <= '{_to_yyyy_mm_dd(end_date)}' AND
security_code IN ({sec_id_strs}) AND
flag = 1
GROUP BY security_code;
"""
return read_sql(query, source="mysql").sort_values("security_code")
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