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Commit 57df73cd authored by Dr.李's avatar Dr.李
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using hb classification

parent 64406a81
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Showing with 115 additions and 54 deletions
fof/utility.py
View file @ 57df73cd
......@@ -497,15 +497,25 @@ def fd_fund_mktv(security_ids, trade_dt):
return df
def fd_rl_classification(security_ids, trade_dt):
def fd_rl_classification(security_ids, trade_dt, source="hb"):
sec_id_strs = _join_ids(security_ids)
query = f"""
SELECT security_id as SECURITYID, rl_class, rl_class_name, rl_sub_class, rl_sub_class_name FROM fd_rl_classification
WHERE
trade_date = '{_to_yyyymmdd(trade_dt)}' AND
security_id in ({sec_id_strs}) AND
flag = 1
"""
if source == "rl":
table = "fd_rl_classification"
query = f"""
SELECT security_id as SECURITYID, rl_class, rl_class_name, rl_sub_class, rl_sub_class_name FROM {table}
WHERE
trade_date = '{_to_yyyymmdd(trade_dt)}' AND
security_id in ({sec_id_strs}) AND
flag = 1
"""
elif source == "hb":
table = "hb_fd_classification"
query = f"""
SELECT security_code as SECURITYID, rl_class, rl_class_name, rl_sub_class, rl_sub_class_name FROM {table}
WHERE
security_code in ({sec_id_strs}) AND
flag = 1
"""
return read_sql(query, source="mysql").sort_values("SECURITYID").reset_index(drop=True)
......
manager/010 基金经理指数.ipynb
View file @ 57df73cd
......@@ -2,7 +2,7 @@
"cells": [
{
"cell_type": "code",
"execution_count": 3,
"execution_count": 1,
"id": "ca389ee5-b800-4682-bfab-a22a6247bd67",
"metadata": {},
"outputs": [],
......@@ -31,7 +31,7 @@
},
{
"cell_type": "code",
"execution_count": 4,
"execution_count": 2,
"id": "008213ed-f569-4535-8519-7a5b1b06503c",
"metadata": {},
"outputs": [],
......@@ -41,7 +41,7 @@
},
{
"cell_type": "code",
"execution_count": 5,
"execution_count": 3,
"id": "be10d317-bca6-41db-9b54-56573cd564a6",
"metadata": {},
"outputs": [
......@@ -146,7 +146,7 @@
"4 19000101 "
]
},
"execution_count": 5,
"execution_count": 3,
"metadata": {},
"output_type": "execute_result"
}
......@@ -159,7 +159,7 @@
},
{
"cell_type": "code",
"execution_count": 6,
"execution_count": 4,
"id": "ffbac3af-39d6-4cd3-95cb-705c32380985",
"metadata": {},
"outputs": [
......@@ -197,40 +197,40 @@
" <td>1030000867</td>\n",
" <td>1.9650</td>\n",
" <td>1.708075</td>\n",
" <td>1.940913e+08</td>\n",
" <td>3.813894e+08</td>\n",
" <td>1.050033e+09</td>\n",
" <td>2.063315e+09</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>1030004356</td>\n",
" <td>1.5530</td>\n",
" <td>1.569653</td>\n",
" <td>3.329090e+08</td>\n",
" <td>5.170077e+08</td>\n",
" <td>2.049993e+08</td>\n",
" <td>3.183639e+08</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>1030005207</td>\n",
" <td>1.8904</td>\n",
" <td>1.689080</td>\n",
" <td>8.860713e+07</td>\n",
" <td>1.675029e+08</td>\n",
" <td>9.794179e+07</td>\n",
" <td>1.851492e+08</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>1030007006</td>\n",
" <td>1.1860</td>\n",
" <td>0.168919</td>\n",
" <td>4.971115e+08</td>\n",
" <td>5.895742e+08</td>\n",
" <td>5.582928e+08</td>\n",
" <td>6.621352e+08</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>1030008874</td>\n",
" <td>1.7560</td>\n",
" <td>1.679213</td>\n",
" <td>1.152421e+07</td>\n",
" <td>2.023652e+07</td>\n",
" <td>2.997801e+06</td>\n",
" <td>5.264138e+06</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
......@@ -238,14 +238,14 @@
],
"text/plain": [
" SECURITYID UNITNAV NAVGRTD ENDFDSHARE MKTV\n",
"0 1030000867 1.9650 1.708075 1.940913e+08 3.813894e+08\n",
"1 1030004356 1.5530 1.569653 3.329090e+08 5.170077e+08\n",
"2 1030005207 1.8904 1.689080 8.860713e+07 1.675029e+08\n",
"3 1030007006 1.1860 0.168919 4.971115e+08 5.895742e+08\n",
"4 1030008874 1.7560 1.679213 1.152421e+07 2.023652e+07"
"0 1030000867 1.9650 1.708075 1.050033e+09 2.063315e+09\n",
"1 1030004356 1.5530 1.569653 2.049993e+08 3.183639e+08\n",
"2 1030005207 1.8904 1.689080 9.794179e+07 1.851492e+08\n",
"3 1030007006 1.1860 0.168919 5.582928e+08 6.621352e+08\n",
"4 1030008874 1.7560 1.679213 2.997801e+06 5.264138e+06"
]
},
"execution_count": 6,
"execution_count": 4,
"metadata": {},
"output_type": "execute_result"
}
......@@ -258,7 +258,7 @@
},
{
"cell_type": "code",
"execution_count": 7,
"execution_count": 5,
"id": "3dc7be9d-e8c2-4566-bf14-d617ea230c14",
"metadata": {},
"outputs": [
......@@ -325,11 +325,11 @@
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>1030008874</td>\n",
" <td>9902</td>\n",
" <td>混合型基金</td>\n",
" <td>990202</td>\n",
" <td>高权益仓位混合型基金</td>\n",
" <td>1030010453</td>\n",
" <td>9901</td>\n",
" <td>股票型基金</td>\n",
" <td>990102</td>\n",
" <td>普通股票型基金</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
......@@ -341,10 +341,10 @@
"1 1030004356 9901 股票型基金 990102 普通股票型基金\n",
"2 1030005207 9901 股票型基金 990102 普通股票型基金\n",
"3 1030007006 9902 混合型基金 990202 高权益仓位混合型基金\n",
"4 1030008874 9902 混合型基金 990202 高权益仓位混合型基金"
"4 1030010453 9901 股票型基金 990102 普通股票型基金"
]
},
"execution_count": 7,
"execution_count": 5,
"metadata": {},
"output_type": "execute_result"
}
......@@ -357,7 +357,7 @@
},
{
"cell_type": "code",
"execution_count": 8,
"execution_count": 6,
"id": "1055c68c-3875-489b-acaa-a9046d98a2c1",
"metadata": {},
"outputs": [],
......@@ -368,7 +368,7 @@
},
{
"cell_type": "code",
"execution_count": 9,
"execution_count": 7,
"id": "00d6c888-682e-43c5-8c57-420a279effa3",
"metadata": {},
"outputs": [],
......@@ -389,7 +389,7 @@
},
{
"cell_type": "code",
"execution_count": 10,
"execution_count": 8,
"id": "e1817df4-ce3f-48ca-b656-2a17abc18f8e",
"metadata": {},
"outputs": [],
......@@ -406,17 +406,19 @@
" def calc(g):\n",
" market_manager_index_ret = g.MKTV @ g.NAVGRTD / (1e-10 + g.MKTV.sum()) / 100.0\n",
" flags = g.rl_sub_class.isin(BOND_CLASSES)\n",
" bond_market_mktv = g[flags].MKTV.sum()\n",
" bond_market_manager_index_ret = g[flags].MKTV @ g[flags].NAVGRTD / (1e-10 + g[flags].MKTV.sum()) / 100.0\n",
" equity_market_mktv = g[~flags].MKTV.sum()\n",
" equity_market_manager_index_ret = g[~flags].MKTV @ g[~flags].NAVGRTD / (1e-10 + g[~flags].MKTV.sum()) / 100.0\n",
" return pd.Series(\n",
" dict(MANAGERNAME=g.MANAGERNAME.values[0], all=market_manager_index_ret, bond=bond_market_manager_index_ret, equity=equity_market_manager_index_ret)\n",
" dict(MANAGERNAME=g.MANAGERNAME.values[0], all=market_manager_index_ret, bond=bond_market_manager_index_ret, equity=equity_market_manager_index_ret, bond_mktv=bond_market_mktv, equity_mktv=equity_market_mktv)\n",
" )\n",
" return total_df.groupby(\"MANAGERCODE\", as_index=False).apply(calc)"
]
},
{
"cell_type": "code",
"execution_count": 11,
"execution_count": 13,
"id": "3225d437-56a8-4fc6-80bc-22456a356754",
"metadata": {},
"outputs": [
......@@ -446,26 +448,65 @@
" <th>all</th>\n",
" <th>bond</th>\n",
" <th>equity</th>\n",
" <th>bond_mktv</th>\n",
" <th>equity_mktv</th>\n",
" <th>trade_date</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>30026663</td>\n",
" <td>王安良</td>\n",
" <td>-0.009760</td>\n",
" <td>0.000000</td>\n",
" <td>-0.009760</td>\n",
" <td>0.000000e+00</td>\n",
" <td>3.521567e+07</td>\n",
" <td>20220207</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>30189744</td>\n",
" <td>张坤</td>\n",
" <td>0.039522</td>\n",
" <td>0.0</td>\n",
" <td>0.039522</td>\n",
" <td>0.020960</td>\n",
" <td>0.000000</td>\n",
" <td>0.020960</td>\n",
" <td>0.000000e+00</td>\n",
" <td>2.635986e+10</td>\n",
" <td>20220207</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <th>2</th>\n",
" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>0.003522</td>\n",
" <td>0.003466</td>\n",
" <td>0.004702</td>\n",
" <td>4.004395e+09</td>\n",
" <td>1.906394e+08</td>\n",
" <td>20220207</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>30241730</td>\n",
" <td>陈轶平</td>\n",
" <td>0.001170</td>\n",
" <td>0.001170</td>\n",
" <td>0.000000</td>\n",
" <td>1.935148e+10</td>\n",
" <td>0.000000e+00</td>\n",
" <td>20220207</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>0.011596</td>\n",
" <td>0.0</td>\n",
" <td>0.011596</td>\n",
" <td>0.013261</td>\n",
" <td>0.000000</td>\n",
" <td>0.013261</td>\n",
" <td>0.000000e+00</td>\n",
" <td>1.796571e+09</td>\n",
" <td>20220207</td>\n",
" </tr>\n",
" </tbody>\n",
......@@ -473,18 +514,28 @@
"</div>"
],
"text/plain": [
" MANAGERCODE MANAGERNAME all bond equity trade_date\n",
"0 30189744 张坤 0.039522 0.0 0.039522 20220207\n",
"1 30322345 左金保 0.011596 0.0 0.011596 20220207"
" MANAGERCODE MANAGERNAME all bond equity bond_mktv \\\n",
"0 30026663 王安良 -0.009760 0.000000 -0.009760 0.000000e+00 \n",
"1 30189744 张坤 0.020960 0.000000 0.020960 0.000000e+00 \n",
"2 30212064 董阳阳 0.003522 0.003466 0.004702 4.004395e+09 \n",
"3 30241730 陈轶平 0.001170 0.001170 0.000000 1.935148e+10 \n",
"4 30322345 左金保 0.013261 0.000000 0.013261 0.000000e+00 \n",
"\n",
" equity_mktv trade_date \n",
"0 3.521567e+07 20220207 \n",
"1 2.635986e+10 20220207 \n",
"2 1.906394e+08 20220207 \n",
"3 0.000000e+00 20220207 \n",
"4 1.796571e+09 20220207 "
]
},
"execution_count": 11,
"execution_count": 13,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"res = cal_manager_index_ret([\"30322345\", \"30189744\"], trade_dt=trade_dt)\n",
"res = cal_manager_index_ret([\"30322345\", \"30189744\", \"30026663\", \"30241730\", \"30212064\"], trade_dt=trade_dt)\n",
"res[\"trade_date\"] = trade_dt\n",
"res"
]
......
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