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Commit c66e3552 authored by Dr.李's avatar Dr.李
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added wind category

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category/010 股票型基金.ipynb
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category/020 混合型基金.ipynb
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category/030 债券型基金.ipynb
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category/040 货币基金.ipynb
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...@@ -2,7 +2,7 @@ ...@@ -2,7 +2,7 @@
"cells": [ "cells": [
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 2, "execution_count": 1,
"id": "51382765-24b4-4e5e-a118-077b276e0774", "id": "51382765-24b4-4e5e-a118-077b276e0774",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -21,7 +21,7 @@ ...@@ -21,7 +21,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 3, "execution_count": 11,
"id": "47939edc-07d2-4c8e-b061-187806e124ea", "id": "47939edc-07d2-4c8e-b061-187806e124ea",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -33,7 +33,7 @@ ...@@ -33,7 +33,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 4, "execution_count": 12,
"id": "9a596482-dd98-49dc-b717-c17177f2cd64", "id": "9a596482-dd98-49dc-b717-c17177f2cd64",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -46,19 +46,18 @@ ...@@ -46,19 +46,18 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 9, "execution_count": 15,
"id": "5ccf2dc7-fea9-4d52-b15d-e8ff55fac3dc", "id": "5ccf2dc7-fea9-4d52-b15d-e8ff55fac3dc",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
"# 分类\n", "# 分类\n",
"security_info.loc[(security_info.CLASSCODE.str.startswith(\"220502\")), \"货币型（子类）\"] = \"场内货币型基金\"\n", "security_info[\"货币型（子类）\"] = \"货币型基金\""
"security_info.loc[(~security_info.CLASSCODE.str.startswith(\"220502\")), \"货币型（子类）\"] = \"场外货币型基金\""
] ]
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 10, "execution_count": 16,
"id": "9d34507e-9efd-479a-8b25-a095de5a552c", "id": "9d34507e-9efd-479a-8b25-a095de5a552c",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
...@@ -98,18 +97,11 @@ ...@@ -98,18 +97,11 @@
" </thead>\n", " </thead>\n",
" <tbody>\n", " <tbody>\n",
" <tr>\n", " <tr>\n",
" <th>场内货币型基金</th>\n", " <th>货币型基金</th>\n",
" <td>41</td>\n", " <td>711</td>\n",
" <td>41</td>\n", " <td>711</td>\n",
" <td>41</td>\n", " <td>711</td>\n",
" <td>41</td>\n", " <td>711</td>\n",
" </tr>\n",
" <tr>\n",
" <th>场外货币型基金</th>\n",
" <td>622</td>\n",
" <td>622</td>\n",
" <td>622</td>\n",
" <td>622</td>\n",
" </tr>\n", " </tr>\n",
" </tbody>\n", " </tbody>\n",
"</table>\n", "</table>\n",
...@@ -118,11 +110,10 @@ ...@@ -118,11 +110,10 @@
"text/plain": [ "text/plain": [
" SECURITYID BEGINDATE ENDDATE CLASSCODE\n", " SECURITYID BEGINDATE ENDDATE CLASSCODE\n",
"货币型（子类） \n", "货币型（子类） \n",
"场内货币型基金 41 41 41 41\n", "货币型基金 711 711 711 711"
"场外货币型基金 622 622 622 622"
] ]
}, },
"execution_count": 10, "execution_count": 16,
"metadata": {}, "metadata": {},
"output_type": "execute_result" "output_type": "execute_result"
} }
......
category/050 另类投资基金.ipynb
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...@@ -2,7 +2,7 @@ ...@@ -2,7 +2,7 @@
"cells": [ "cells": [
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 1, "execution_count": 5,
"id": "76b46662-651d-4bcd-b554-f116051cf297", "id": "76b46662-651d-4bcd-b554-f116051cf297",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -21,7 +21,7 @@ ...@@ -21,7 +21,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 2, "execution_count": 6,
"id": "f5d4b805-d5a3-4b4c-8429-7044e9bef831", "id": "f5d4b805-d5a3-4b4c-8429-7044e9bef831",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -33,17 +33,17 @@ ...@@ -33,17 +33,17 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 22, "execution_count": 7,
"id": "72d3f785-aee7-44d9-a393-3abbdb4d60a4", "id": "72d3f785-aee7-44d9-a393-3abbdb4d60a4",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
{ {
"data": { "data": {
"text/plain": [ "text/plain": [
"40" "84"
] ]
}, },
"execution_count": 22, "execution_count": 7,
"metadata": {}, "metadata": {},
"output_type": "execute_result" "output_type": "execute_result"
} }
...@@ -51,14 +51,14 @@ ...@@ -51,14 +51,14 @@
"source": [ "source": [
"# 获取所有目标基金（清算结束日期晚于当前日）\n", "# 获取所有目标基金（清算结束日期晚于当前日）\n",
"\n", "\n",
"security_info = fd_alive_funds(today, [2204, 22020803, 22021401])\n", "security_info = fd_alive_funds(today, 2204)\n",
"security_ids = security_info.SECURITYID.unique().tolist()\n", "security_ids = security_info.SECURITYID.unique().tolist()\n",
"len(security_ids)" "len(security_ids)"
] ]
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 23, "execution_count": 8,
"id": "52607b95-9d62-4f68-8256-984827dd0bea", "id": "52607b95-9d62-4f68-8256-984827dd0bea",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -68,21 +68,21 @@ ...@@ -68,21 +68,21 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 24, "execution_count": 9,
"id": "60fe66ee-a8d3-4a33-8c5a-555f68d9758c", "id": "60fe66ee-a8d3-4a33-8c5a-555f68d9758c",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
"# 分类\n", "# 分类\n",
"df.loc[(~df.CLASSCODE.str.startswith(\"220409\")) & (df.CLASSCODE.str.startswith(\"2204\")), \"另类投资型（子类）\"] = \"商品型基金\"\n", "df.loc[df.CLASSCODE == \"220401\", \"另类投资型（子类）\"] = \"商品型基金\"\n",
"df.loc[df.CLASSCODE.str.startswith(\"2202\"), \"另类投资型（子类）\"] = \"量化对冲基金\"\n", "df.loc[df.CLASSCODE == \"220402\", \"另类投资型（子类）\"] = \"量化对冲基金\"\n",
"df.loc[pd.isnull(df[\"另类投资型（子类）\"]), \"另类投资型（子类）\"] = \"其他另类基金\"\n", "df.loc[pd.isnull(df[\"另类投资型（子类）\"]), \"另类投资型（子类）\"] = \"其他另类基金\"\n",
"# df.loc[(df[\"L3NAME\"] == \"对冲策略基金\"), \"另类投资型（子类）\"] = " "# df.loc[(df[\"L3NAME\"] == \"对冲策略基金\"), \"另类投资型（子类）\"] = "
] ]
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 25, "execution_count": 10,
"id": "1bb62bc7-2515-415a-8eec-087d2d1787b6", "id": "1bb62bc7-2515-415a-8eec-087d2d1787b6",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
...@@ -122,25 +122,18 @@ ...@@ -122,25 +122,18 @@
" </thead>\n", " </thead>\n",
" <tbody>\n", " <tbody>\n",
" <tr>\n", " <tr>\n",
" <th>其他另类基金</th>\n",
" <td>1</td>\n",
" <td>1</td>\n",
" <td>1</td>\n",
" <td>1</td>\n",
" </tr>\n",
" <tr>\n",
" <th>商品型基金</th>\n", " <th>商品型基金</th>\n",
" <td>14</td>\n", " <td>48</td>\n",
" <td>14</td>\n", " <td>48</td>\n",
" <td>14</td>\n", " <td>48</td>\n",
" <td>14</td>\n", " <td>48</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>量化对冲基金</th>\n", " <th>量化对冲基金</th>\n",
" <td>25</td>\n", " <td>36</td>\n",
" <td>25</td>\n", " <td>36</td>\n",
" <td>25</td>\n", " <td>36</td>\n",
" <td>25</td>\n", " <td>36</td>\n",
" </tr>\n", " </tr>\n",
" </tbody>\n", " </tbody>\n",
"</table>\n", "</table>\n",
...@@ -149,12 +142,11 @@ ...@@ -149,12 +142,11 @@
"text/plain": [ "text/plain": [
" SECURITYID BEGINDATE ENDDATE CLASSCODE\n", " SECURITYID BEGINDATE ENDDATE CLASSCODE\n",
"另类投资型（子类） \n", "另类投资型（子类） \n",
"其他另类基金 1 1 1 1\n", "商品型基金 48 48 48 48\n",
"商品型基金 14 14 14 14\n", "量化对冲基金 36 36 36 36"
"量化对冲基金 25 25 25 25"
] ]
}, },
"execution_count": 25, "execution_count": 10,
"metadata": {}, "metadata": {},
"output_type": "execute_result" "output_type": "execute_result"
} }
......
category/060 QDII基金.ipynb
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category/070 FOF基金.ipynb
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...@@ -2,7 +2,7 @@ ...@@ -2,7 +2,7 @@
"cells": [ "cells": [
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 2, "execution_count": 1,
"id": "de082674-0285-4894-905a-52da1ab1727d", "id": "de082674-0285-4894-905a-52da1ab1727d",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -21,7 +21,7 @@ ...@@ -21,7 +21,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 3, "execution_count": 2,
"id": "11d2dbfe-b1c7-41b1-8df3-b6f40b096f83", "id": "11d2dbfe-b1c7-41b1-8df3-b6f40b096f83",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -33,17 +33,17 @@ ...@@ -33,17 +33,17 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 4, "execution_count": 3,
"id": "004a8f9f-4011-48c6-a5dd-327cce42de51", "id": "004a8f9f-4011-48c6-a5dd-327cce42de51",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
{ {
"data": { "data": {
"text/plain": [ "text/plain": [
"13" "351"
] ]
}, },
"execution_count": 4, "execution_count": 3,
"metadata": {}, "metadata": {},
"output_type": "execute_result" "output_type": "execute_result"
} }
...@@ -58,41 +58,113 @@ ...@@ -58,41 +58,113 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 7, "execution_count": 6,
"id": "fc897e0e-46f1-48a2-be9a-6381086c94bf", "id": "fc897e0e-46f1-48a2-be9a-6381086c94bf",
"metadata": {}, "metadata": {},
"outputs": [],
"source": [
"df = security_info"
]
},
{
"cell_type": "code",
"execution_count": 7,
"id": "c3e8441c-d3c5-48f7-aa98-0b3aa7794767",
"metadata": {},
"outputs": [],
"source": [
"df.loc[df.CLASSCODE.str.startswith(\"221001\"), \"FOF型（子类）\"] = \"偏股混合型FOF基金\"\n",
"df.loc[df.CLASSCODE.str.startswith(\"221002\"), \"FOF型（子类）\"] = \"平衡混合型FOF基金\"\n",
"df.loc[df.CLASSCODE.str.startswith(\"221003\"), \"FOF型（子类）\"] = \"偏债混合型FOF基金\""
]
},
{
"cell_type": "code",
"execution_count": 9,
"id": "2f43d675-50a9-4eb7-ae94-13cb235d93d7",
"metadata": {},
"outputs": [ "outputs": [
{ {
"data": { "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>SECURITYID</th>\n",
" <th>BEGINDATE</th>\n",
" <th>ENDDATE</th>\n",
" <th>CLASSCODE</th>\n",
" </tr>\n",
" <tr>\n",
" <th>FOF型（子类）</th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>偏债混合型FOF基金</th>\n",
" <td>4</td>\n",
" <td>4</td>\n",
" <td>4</td>\n",
" <td>4</td>\n",
" </tr>\n",
" <tr>\n",
" <th>偏股混合型FOF基金</th>\n",
" <td>9</td>\n",
" <td>9</td>\n",
" <td>9</td>\n",
" <td>9</td>\n",
" </tr>\n",
" <tr>\n",
" <th>平衡混合型FOF基金</th>\n",
" <td>338</td>\n",
" <td>338</td>\n",
" <td>338</td>\n",
" <td>338</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [ "text/plain": [
"['1030010441',\n", " SECURITYID BEGINDATE ENDDATE CLASSCODE\n",
" '1030010443',\n", "FOF型（子类） \n",
" '1030010444',\n", "偏债混合型FOF基金 4 4 4 4\n",
" '1030010446',\n", "偏股混合型FOF基金 9 9 9 9\n",
" '1030010447',\n", "平衡混合型FOF基金 338 338 338 338"
" '1030010449',\n",
" '1030010450',\n",
" '1030010451',\n",
" '1030010459',\n",
" '1030010460',\n",
" '1030011412',\n",
" '1030011413',\n",
" '1030011474']"
] ]
}, },
"execution_count": 7, "execution_count": 9,
"metadata": {}, "metadata": {},
"output_type": "execute_result" "output_type": "execute_result"
} }
], ],
"source": [ "source": [
"security_ids" "df.groupby(\"FOF型（子类）\").count()"
] ]
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": null,
"id": "c3e8441c-d3c5-48f7-aa98-0b3aa7794767", "id": "2234dfb1-5b08-44d4-91bf-e52a43bf4076",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [] "source": []
......
category/wind.ipynb 0 → 100644
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category/wind_table.csv 0 → 100644
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category/wind基金分类.csv 0 → 100644
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fof/utility.py
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...@@ -5,6 +5,7 @@ import pymssql ...@@ -5,6 +5,7 @@ import pymssql
import sqlalchemy as sa import sqlalchemy as sa
import numpy as np import numpy as np
import pandas as pd import pandas as pd
from pathlib import Path
MSSQL_CONN = "mssql+pymssql://readdnds:reader%402021@121.37.138.1:14331/dnds" MSSQL_CONN = "mssql+pymssql://readdnds:reader%402021@121.37.138.1:14331/dnds"
...@@ -90,39 +91,48 @@ def nearest_report_date(date, freq="Q", method="forward"): ...@@ -90,39 +91,48 @@ def nearest_report_date(date, freq="Q", method="forward"):
def fd_alive_funds(trade_dt, class_code=None): def fd_alive_funds(trade_dt, class_code=None):
# if class_code:
# if isinstance(class_code, str) or isinstance(class_code, int):
# condition = f" CLASSCODE like '{class_code}%' AND "
# else:
# condition = []
# for c in class_code:
# condition.append(f" CLASSCODE like '{c}%' ")
# condition = "OR".join(condition)
# condition = "(" + condition + ") AND"
# query = f"""
# select SECODE as SECURITYID, BEGINDATE, ENDDATE, CLASSCODE FROM TQ_FD_TYPE
# WHERE
# ISVALID = 1 AND
# {condition}
# TYPESTYLE = '22' AND
# BEGINDATE <= '{trade_dt}' AND
# (ENDDATE>='{trade_dt}' or ENDDATE = '19000101')
# ORDER BY SECODE;
# """
# else:
# query = f"""
# select SECODE as SECURITYID,BEGINDATE, ENDDATE, CLASSCODE FROM TQ_FD_TYPE
# WHERE
# ISVALID = 1 AND
# BEGINDATE <= '{trade_dt}' AND
# TYPESTYLE = '22' AND
# (ENDDATE>='{trade_dt}' or ENDDATE = '19000101')
# ORDER BY SECODE;
# """
# return read_sql(query)
df = pd.read_csv(str(Path(__file__).parents[0] / "wind_table.csv"))
df["SECODE"] = df["SECODE"].astype(str)
df["CLASSCODE"] = df["CLASSCODE"].astype(str)
if class_code: if class_code:
df = df[df.CLASSCODE.str.contains(str(class_code))]
if isinstance(class_code, str) or isinstance(class_code, int): df.rename(columns={"SECODE": "SECURITYID"}, inplace=True)
condition = f" CLASSCODE like '{class_code}%' AND " df = df.sort_values("CLASSCODE").groupby("SECURITYID", as_index=False).last()
else: return df
condition = []
for c in class_code:
condition.append(f" CLASSCODE like '{c}%' ")
condition = "OR".join(condition)
condition = "(" + condition + ") AND"
query = f"""
select SECODE as SECURITYID, BEGINDATE, ENDDATE, CLASSCODE FROM TQ_FD_TYPE
WHERE
ISVALID = 1 AND
{condition}
TYPESTYLE = '22' AND
BEGINDATE <= '{trade_dt}' AND
(ENDDATE>='{trade_dt}' or ENDDATE = '19000101')
ORDER BY SECODE;
"""
else:
query = f"""
select SECODE as SECURITYID,BEGINDATE, ENDDATE, CLASSCODE FROM TQ_FD_TYPE
WHERE
ISVALID = 1 AND
BEGINDATE <= '{trade_dt}' AND
TYPESTYLE = '22' AND
(ENDDATE>='{trade_dt}' or ENDDATE = '19000101')
ORDER BY SECODE;
"""
return read_sql(query)
def fd_basicinfo(security_ids=None, trade_dt=None): def fd_basicinfo(security_ids=None, trade_dt=None):
......
fof/wind_table.csv 0 → 100644
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manager/010 基金经理指数.ipynb
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manager/020 基金经理穿透.ipynb
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