-
Notifications
You must be signed in to change notification settings - Fork 1
/
Public.py
408 lines (376 loc) · 19.1 KB
/
Public.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
import fileinput as fi
import gongcq.Public as Public
import os
import datetime as dt
import warnings
import numpy as np
import time
import cx_Oracle as co
import pymongo as pm
import sys
MIN_DATE = dt.datetime(2004, 12, 31)
MIN_QUARTER = dt.datetime(2004, 12, 31)
# 0.截止日期 1.股票代码 2.公告日期
# 3.营业总收入(非金融类) 4.营业收入 5.其他营业收入(非金融类)
# 6.营业总成本(非金融类) 7.营业成本(非金融类) 8.其他营业成本
# 9.营业利润 10.利润总额 11.减:所得税费用
# 12.净利润 13.归属于母公司所有者的净利润 14.少数股东损益
sqlPrf = "SELECT P.END_DATE, CONCAT(I.STK_CODE, '_CS'), P.INFO_PUB_DATE, " \
" P.IS_10001/*营业总收入(非金融类)*/, P.IS_10000/*营业收入*/, P.IS_10004/*其他营业收入(非金融类)*/, " \
" P.IS_20005/*营业总成本(非金融类)*/, P.IS_20000/*营业成本(非金融类)*/, P.IS_20006/*其他营业成本*/, " \
" P.IS_30000/*营业利润*/, P.IS_40000/*利润总额*/, P.IS_40001/*减:所得税费用*/, " \
" P.IS_50000/*净利润*/, P.IS_50001/*归属于母公司所有者的净利润*/, P.IS_50004/*少数股东损益*/ " \
"FROM UPCENTER.FIN_INCO_SHORT P JOIN UPCENTER.STK_BASIC_INFO I " \
" ON P.COM_UNI_CODE = I.COM_UNI_CODE AND P.ISVALID=1 AND I.ISVALID=1 " \
"WHERE (I.SEC_MAR_PAR BETWEEN 1 AND 2) AND P.END_DATE BETWEEN DATE'{BEGIN_DATE}' AND DATE'{END_DATE}' "
# 0.截止日期 1.股票代码 2.公告日期
# 3.货币资金及现金或存放中央银行款项 4.流动资产合计
# 5.固定资产 6.无形资产 7.非流动资产合计 8.资产总计
# 9.短期借款 10.一年内到期的非流动负债 11.流动负债合计
# 12.长期借款 13.非流动负债合计 14.负债合计
# 15.实收资本(或股本) 16.未分配利润 17.归属母公司权益合计
# 18.少数股东权益 19.所有者权益合计 20.负债和所有者权益合计
# 21.存货
sqlBlc = "SELECT B.END_DATE, CONCAT(I.STK_CODE, '_CS'), B.INFO_PUB_DATE, " \
" B.BS_11001/*货币资金及现金或存放中央银行款项*/, B.BS_11000/*流动资产合计*/, " \
" B.BS_12001/*固定资产*/, B.BS_12046/*无形资产*/, B.BS_12000/*非流动资产合计*/, B.BS_10000/*资产总计*/, " \
" B.BS_21003/*短期借款*/, B.BS_21097/*一年内到期的非流动负债*/, B.BS_21000/*流动负债合计*/, " \
" B.BS_22001/*长期借款*/, B.BS_22000/*非流动负债合计*/, B.BS_20000/*负债合计*/, " \
" B.BS_30001/*实收资本(或股本)*/, B.BS_30004/*未分配利润*/, B.BS_31000/*归属母公司权益合计*/, " \
" B.BS_32000/*少数股东权益*/, B.BS_30000/*所有者权益合计*/, B.BS_40000/*负债和所有者权益合计*/, " \
" B.BS_11003/*存货*/ " \
"FROM UPCENTER.FIN_BALA_SHORT B JOIN UPCENTER.STK_BASIC_INFO I " \
" ON B.COM_UNI_CODE = I.COM_UNI_CODE AND B.ISVALID=1 AND I.ISVALID=1 " \
"WHERE (I.SEC_MAR_PAR BETWEEN 1 AND 2) AND B.END_DATE BETWEEN DATE'{BEGIN_DATE}' AND DATE'{END_DATE}' "
# 0.截止日期 1.股票代码 2.公告日期
# 3.经营活动现金流入小计 4.经营活动现金流出小计 5.经营活动现金流量净额
# 6.投资活动现金流入小计 7.投资活动现金流出小计 8.投资活动现金流量净额
# 9.筹资活动现金流入小计 10.筹资活动现金流出小计 11.筹资活动现金流量净额
# 12.现金及等价物净增加额 13.加:期初现金及现金等价物余额 14.期末现金及现金等价物余额
sqlCash = "SELECT C.END_DATE, CONCAT(I.STK_CODE, '_CS'), C.INFO_PUB_DATE, " \
" C.CS_11000/*经营活动现金流入小计*/, C.CS_12000/*经营活动现金流出小计*/, C.CS_10000/*经营活动现金流量净额*/, " \
" C.CS_21000/*投资活动现金流入小计*/, C.CS_22000/*投资活动现金流出小计*/, C.CS_20000/*投资活动现金流量净额*/, " \
" C.CS_31000/*筹资活动现金流入小计*/, C.CS_32000/*筹资活动现金流出小计*/, C.CS_30000/*筹资活动现金流量净额*/, " \
" C.CS_40000/*现金及等价物净增加额*/, C.CS_50001/*加:期初现金及现金等价物余额*/, C.CS_50000/*期末现金及现金等价物余额*/ " \
"FROM UPCENTER.FIN_CASH_SHORT C JOIN UPCENTER.STK_BASIC_INFO I " \
" ON C.COM_UNI_CODE = I.COM_UNI_CODE AND C.ISVALID=1 AND I.ISVALID=1 " \
"WHERE (I.SEC_MAR_PAR BETWEEN 1 AND 2) AND C.END_DATE BETWEEN DATE'{BEGIN_DATE}' AND DATE'{END_DATE}' "
def GetPara(paraName=None):
paraDict = Public.GetPara(os.path.join('.', 'config', 'para.txt'))
if paraName is None:
return paraDict
else:
return paraDict[paraName]
def GetQuarters(date, num):
'''
get a quarter list in which all quarters are earlier than a special date, sorted descendingly
:param date: a special date
:param num: the number of quarters that you want to get
:return: a quarter list, which is sorted descendingly
'''
endDayList = [31, 31, 30, 30]
monthList = [12, 3, 6, 9]
monthSeq = int((date.month - 1) / 3)
month = monthList[monthSeq]
year = date.year if month != 12 else (date.year - 1)
day = endDayList[monthSeq]
quarter = dt.datetime(year, month, day)
quarterList = [quarter]
if num > 1:
prior = GetQuarters(quarter, num - 1)
quarterList.extend(prior)
return quarterList
else:
return quarterList
def ValidQuarter(date):
if date.month == 3 and date.day == 31 or \
date.month == 6 and date.day == 30 or \
date.month == 9 and date.day == 30 or \
date.month == 12 and date.day == 31:
return True
else:
return False
def GetYears(date, num):
'''
get a year list in which all years are earlier than a special date, sorted descendingly
:param date: a special date
:param num: the number of years that you want to get
:return: a year list, which is sorted descendingly
'''
yearList = [dt.datetime(date.year - 1, 12, 31)]
while len(yearList) < num:
yearList.append(dt.datetime(yearList[-1].year - 1, 12, 31))
return yearList
def Growth(X0, X1) :
g = np.nan * np.zeros([len(X0)])
for i in range(max(len(X0), len(X1))):
r = -np.inf if X1[i] < 0 else ((X1[i] / X0[i] - 1) if X0[i] > 0 else np.inf)
g[i] = r
return g
def GetDataList(sql, beginDate, endDate, conn = None):
if conn is None:
connStr = GetPara('connStr')
conn = co.connect(connStr)
cursor = conn.cursor()
cursor.execute(sql.replace('{BEGIN_DATE}', beginDate.strftime('%Y-%m-%d')).replace('{END_DATE}', endDate.strftime('%Y-%m-%d')))
dataList = cursor.fetchall()
return dataList
def QuarterFormat(dataList):
'''
sort the data by quarter format for each symbol
:param dataList: a 2D list, in which the first column is a quarter date, and the second column is a symbol.
:return: a dict, which's key is symbol and value is a list which's element is sorted by quarter date.
'''
maxQ = dt.datetime.min
minQ = dt.datetime.max
for data in dataList:
if ValidQuarter(data[0]):
maxQ = data[0] if (data[0] > maxQ and ValidQuarter(data[0])) else maxQ
minQ = data[0] if (data[0] < minQ and ValidQuarter(data[0])) else minQ
if maxQ < minQ:
warnings.warn('can not find any valid data in dataList, return None')
return None, None, None, None, None, None, None
SpanQ = lambda qua0, qua1 : ((qua1.year - qua0.year) * 12 + (qua1.month - qua0.month)) / 3 + 1
sq = SpanQ(minQ, maxQ)
if int(sq) != sq:
raise Exception('invalid span between max quarter and min quarter, '
'it seems that some invalid quarter have sneaked.')
sq = int(sq)
quaList = GetQuarters(maxQ + dt.timedelta(days=1), sq)
quaList.reverse()
if sq != len(quaList):
raise Exception('invalid length of quaList, which must be equal to sq.')
GetNanArr = lambda : np.nan * np.zeros([sq, len(dataList[0])])
# original data
dataDict = {}
for row in dataList:
if not ValidQuarter(row[0]):
warnings.warn('record will be ignored because of invalid quarter ' +
str(row[0]) + ', symbol is ' + str(row[1]))
continue
if row[2] is None:
warnings.warn('record will be ignored because of invalid public date ' +
str(row[2]) + ', symbol is ' + str(row[1]))
continue
symbol = row[1]
quarter = row[0]
seqQ = int(SpanQ(minQ, quarter)) - 1
if symbol not in dataDict.keys():
dataDict[symbol] = GetNanArr()
rowCopy = [time.mktime(row[0].timetuple()), np.nan, time.mktime(row[2].timetuple())]
rowCopy.extend(row[3 : ])
dataDict[symbol][seqQ] = np.array(rowCopy)
# quarter data
dataDictQ = {}
for symbol, data in dataDict.items():
dataDictQ[symbol] = GetNanArr()
dataQ = dataDictQ[symbol]
for d in range(1, len(data)):
if data[d] is None or np.isnan(data[d][0]):
continue
quarter = dt.datetime.fromtimestamp(data[d][0])
if quarter.month == 3:
dataQ[d] = data[d]
else:
dataQ[d] = data[d] - data[d - 1]
dataQ[d][0] = data[d][0]
dataQ[d][2] = data[d][2]
# 12 month data
dataDict12M = {}
for symbol, dataQ in dataDictQ.items():
dataDict12M[symbol] = GetNanArr()
data12M = dataDict12M[symbol]
for d in range(3, len(dataQ)):
data12M[d] = sum(dataQ[d - 3 : d + 1, :])
data12M[d][0] = dataQ[d][0]
data12M[d][2] = dataQ[d][2]
# original data growth
dataDictG = {}
for symbol, data in dataDict.items():
dataDictG[symbol] = GetNanArr()
dataG = dataDictG[symbol]
for d in range(4, len(data)):
dataG[d] = Growth(data[d - 4], data[d]) # data[d] / data[d - 4] - 1
dataG[d][0] = data[d][0]
dataG[d][2] = data[d][2]
# quarter data growth
dataDictQG = {}
for symbol, dataQ in dataDictQ.items():
dataDictQG[symbol] = GetNanArr()
dataQG = dataDictQG[symbol]
for d in range(4, len(dataQ)):
dataQG[d] = Growth(dataQ[d - 4], dataQ[d]) # dataQ[d] / dataQ[d - 4] - 1
dataQG[d][0] = dataQ[d][0]
dataQG[d][2] = dataQ[d][2]
# 12 month data growth
dataDict12MG = {}
for symbol, data12M in dataDict12M.items():
dataDict12MG[symbol] = GetNanArr()
data12MG = dataDict12MG[symbol]
for d in range(4, len(data12M)):
data12MG[d] = Growth(data12M[d - 4], data12M[d]) # data12M[d] / data12M[d - 4] - 1
data12MG[d][0] = data12M[d][0]
data12MG[d][2] = data12M[d][2]
# quarter data average
dataDictQA = {}
for symbol, data in dataDict.items():
dataDictQA[symbol] = GetNanArr()
dataQA = dataDictQA[symbol]
for d in range(1, len(data)):
dataQA[d] = np.nanmean(data[[d, d - 1], :], axis=0)
dataQA[d][0] = data[d][0]
dataQA[d][2] = data[d][2]
# 12 month data average
dataDict12MA = {}
for symbol, data in dataDict.items():
dataDict12MA[symbol] = GetNanArr()
data12MA = dataDict12MA[symbol]
for d in range(4, len(data)):
data12MA[d] = np.nanmean(data[[d, d - 1, d - 2, d - 3, d - 4], :], axis=0)
data12MA[d][0] = data[d][0]
data12MA[d][2] = data[d][2]
return quaList, dataDict, dataDictQ, dataDict12M, dataDictG, dataDictQG, dataDict12MG, dataDictQA, dataDict12MA
def ToDB(dataDict, facName, endDate, updateReportDate=True, mongoClient=None):
if endDate is None:
dtNow = dt.datetime.now()
endDate = dt.datetime(dtNow.year, dtNow.month, dtNow.day)
else:
endDate = dt.datetime(endDate.year, endDate.month, endDate.day)
if mongoClient is None:
mongoConn = GetPara('mongoConn')
mongoClient = pm.MongoClient(mongoConn)
db = mongoClient['factor']
lastUpdateDate = GetLastUpdateDate(facName, mongoClient)
lastUpdateTick = lastUpdateDate.timestamp()
# combine all symbols
lastRecord = db[facName].find_one({'_id': lastUpdateDate})
if lastRecord is not None:
sysFieldList = []
for key in lastRecord.keys():
if key[0] == '_':
sysFieldList.append(key)
for sysField in sysFieldList:
lastRecord.pop(sysField)
symbolSet = (lastRecord.keys() | dataDict.keys()) if lastRecord is not None else dataDict.keys()
# reformat all data
invalidDataArr = np.array([[dt.datetime(2099, 12, 31).timestamp(), np.nan, sys.maxsize, np.nan]])
lastReportRecord = db['reportDate'].find_one({'_id': lastUpdateDate})
symbolList = []
dataList = []
cursorList = []
for symbol in symbolSet:
symbolList.append(symbol)
cursorList.append(0)
lastDataArr = np.array([[lastReportRecord[symbol].timestamp()
if (lastReportRecord is not None and symbol in lastReportRecord.keys())
else MIN_QUARTER.timestamp(),
np.nan,
lastUpdateTick,
lastRecord[symbol] if (lastRecord is not None and symbol in lastRecord.keys()) else np.nan]])
if symbol in dataDict.keys():
newDataArr = dataDict[symbol]
newBeginRow = len(newDataArr)
for i in range(len(newDataArr)):
if newDataArr[i][0] > lastDataArr[0][0]:
newBeginRow = i
break
newDataArr = newDataArr[newBeginRow : ]
dataList.append(np.vstack([lastDataArr, newDataArr, invalidDataArr]))
else:
dataList.append(np.vstack([lastDataArr, invalidDataArr]))
# save to db day by day
tradingDateSet = GetCalendar(lastUpdateDate, endDate)
currentDate = lastUpdateDate + dt.timedelta(days=1)
while currentDate <= endDate:
print(facName + ' ' + str(currentDate))
currentTick = currentDate.timestamp()
isTrade = (currentDate in tradingDateSet)
# locate cursor and fill invalid data passingly
valueList = []
reportDateList = []
for s in range(len(symbolList)):
symbol = symbolList[s]
data = dataList[s]
for d in range(cursorList[s], len(data) - 1):
# filled by previous data if invalid
if np.isnan(data[d + 1][3]):
data[d + 1][3] = data[d][3]
# =====================================================================
if data[d][2] < currentTick: # an available record
if d > cursorList[s]: # an available and new record
repDate = dt.datetime.fromtimestamp(data[d][0])
pubDate = currentDate # dt.datetime.fromtimestamp(data[d][2])
value = data[d][3]
db[facName + '_report'].update({'_id': repDate},
{'$set': {symbol: value,
symbol + '_pubDate': pubDate,
'_updateTime': dt.datetime.now()}},
upsert=True, multi=False)
if data[d + 1][2] >= currentTick: # stop fetch
cursorList[s] = d
break
#.................................................
# # fetch to a new report record
# if d > cursorList[s]:
# repDate = dt.datetime.fromtimestamp(data[d][0])
# pubDate = dt.datetime.fromtimestamp(data[d][2])
# value = data[d][3]
# db[facName + '_report'].update({'_id': repDate},
# {'$set': {symbol: value,
# symbol + '_pubDate': pubDate,
# '_updateTime': dt.datetime.now()}},
# upsert=True, multi=False)
# # locate cursor
# if (data[d][2] < currentTick <= data[d + 1][2]) or (data[d] < currentTick and d + 1 == len(data) - 1):
# if cursorList[s] != d: # fetch to a new available record, save publish date to db.
# repDate = dt.datetime.fromtimestamp(data[d][0])
# pubDate = currentDate
# db['publishDate'].update({'_id': repDate},
# {'$set': {symbol: pubDate, '_updateTime': dt.datetime.now()}},
# upsert=True, multi=False)
# cursorList[s] = d
# break
# =====================================================================
cursor = cursorList[s]
value = data[cursor][3]
reportDate = dt.datetime.fromtimestamp(data[cursor][0])
valueList.append(value)
reportDateList.append(reportDate)
# construct mongo document and save to db
mongoFacDoc = {'_id': currentDate, '_isTrade': isTrade, '_updateTime': dt.datetime.now()}
mongoRepDoc = {'_id': currentDate, '_isTrade': isTrade, '_updateTime': dt.datetime.now()}
for s in range(len(symbolList)):
symbol = symbolList[s]
mongoFacDoc[symbol] = valueList[s]
mongoRepDoc[symbol] = reportDateList[s]
db[facName].save(mongoFacDoc)
if updateReportDate:
db['reportDate'].save(mongoRepDoc)
currentDate += dt.timedelta(days=1)
db.cfgUpdate.save({'_id': facName, 'lastUpdateDate': endDate})
def GetLastUpdateDate(facName, mongoClient = None):
if mongoClient is None:
mongoConn = GetPara('mongoConn')
mongoClient = pm.MongoClient(mongoConn)
db = mongoClient['factor']
updateInfo = db.cfgUpdate.find_one({'_id': facName})
if updateInfo is None:
db.cfgUpdate.insert({'_id': facName, 'lastUpdateDate': MIN_DATE})
lastUpdateDate = MIN_DATE
else:
lastUpdateDate = updateInfo['lastUpdateDate']
return lastUpdateDate
def GetCalendar(beginDate, endDate, conn = None):
if conn is None:
connStr = GetPara('connStr')
conn = co.connect(connStr)
sql = "SELECT C.END_DATE " \
"FROM UPCENTER.PUB_EXCH_CALE C " \
"WHERE C.ISVALID = 1 AND C.IS_TRADE_DATE = 1 AND C.SEC_MAR_PAR = 1 AND " \
" C.END_DATE BETWEEN DATE'{BEGIN_DATE}' AND DATE'{END_DATE}' " \
"ORDER BY END_DATE"
cursor = conn.cursor()
cursor.execute(sql.replace('{BEGIN_DATE}', beginDate.strftime('%Y-%m-%d')).replace('{END_DATE}', endDate.strftime('%Y-%m-%d')))
calTupleList = cursor.fetchall()
calList = [calTuple[0] for calTuple in calTupleList]
return set(calList)