forked from GongCQ/QuantFactor
-
Notifications
You must be signed in to change notification settings - Fork 0
/
FinDer.py
235 lines (187 loc) · 11 KB
/
FinDer.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
import Public
import pymongo as pm
import cx_Oracle as co
import datetime as dt
import numpy as np
import os
os.environ['NLS_LANG'] = 'SIMPLIFIED CHINESE_CHINA.UTF8'
def FinDer(configDictList, endDate):
if endDate is None:
dtNow = dt.datetime.now() - dt.timedelta(days=1)
endDate = dt.datetime(dtNow.year, dtNow.month, dtNow.day)
else:
endDate = dt.datetime(endDate.year, endDate.month, endDate.day)
if endDate.date() >= dt.datetime.now().date():
endDate = dt.datetime(dt.datetime.now().year, dt.datetime.now().month, dt.datetime.now().day) - \
dt.timedelta(days=1)
mongoConn = Public.GetPara('mongoConn')
mc = pm.MongoClient(mongoConn)
db = mc['factor']
# for each factor
for configDict in configDictList:
facName = configDict['facName']
depFacNameList = configDict['depFacNameList']
EvalFun = configDict['EvalFun']
lastUpdateDate = Public.GetLastUpdateDate(facName, mc)
tradingDateSet = Public.GetCalendar(lastUpdateDate, endDate)
currentDate = lastUpdateDate + dt.timedelta(days=1)
savedDate = lastUpdateDate
while currentDate <= endDate:
deficientData = False
# get all dependent factor
symbolSet = set()
depFacListDict = {}
for d in range(len(depFacNameList)):
depFacName = depFacNameList[d]
record = db[depFacName].find_one({'_id': currentDate})
if record is None:
deficientData = True
break
for symbol, value in record.items():
if symbol[0] == '_':
continue
if symbol not in depFacListDict.keys():
depFacListDict[symbol] = np.nan * np.zeros([len(depFacNameList)])
depFacListDict[symbol][d] = value if value is not None else np.nan
symbolSet = symbolSet | record.keys()
if deficientData:
break
# evaluate factor value and save to db
mongoDoc = {'_id': currentDate, '_isTrade': (currentDate in tradingDateSet), '_updateTime': dt.datetime.now()}
for symbol in symbolSet:
if symbol[0] == '_': # system field
continue
facValue = EvalFun(depFacListDict[symbol])
mongoDoc[symbol] = facValue
db[facName].save(mongoDoc)
savedDate = currentDate
print(facName + ' ' + str(currentDate))
currentDate += dt.timedelta(days=1)
db.cfgUpdate.save({'_id': facName, 'lastUpdateDate': savedDate})
configDictList = [
{'facName': 'FFD_ROE_Q', # ROE(季度)
'depFacNameList': ['FIN_NP_Q', 'FIN_TOE_QA'],
'EvalFun': lambda x : x[0] / x[1]},
{'facName': 'FFD_ROE_12M', # ROE(12个月)
'depFacNameList': ['FIN_NP_12M', 'FIN_TOE_12MA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_ROEAPC_Q', # 归母ROE(季度)
'depFacNameList': ['FIN_NPAPC_Q', 'FIN_TOEAPC_QA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_ROEAPC_12M', # 归母ROE(12个月)
'depFacNameList': ['FIN_NPAPC_12M', 'FIN_TOEAPC_12MA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_ROA_Q', # ROA(季度)
'depFacNameList': ['FIN_NP_Q', 'FIN_TA_QA'],
'EvalFun': lambda x : x[0] / x[1]},
{'facName': 'FFD_ROA_12M', # ROA(12个月)
'depFacNameList': ['FIN_NP_12M', 'FIN_TA_12MA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_ROAAPC_Q', # 归母ROA(季度)
'depFacNameList': ['FIN_NPAPC_Q', 'FIN_TA_QA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_ROAAPC_12M', # 归母ROA(12个月)
'depFacNameList': ['FIN_NPAPC_12M', 'FIN_TA_12MA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_OCFPR_Q', # 经营性现金流/净利润(季度)
'depFacNameList': ['FIN_OCF_Q', 'FIN_NP_Q'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_OCFPR_12M', # 经营性现金流/净利润(12个月)
'depFacNameList': ['FIN_OCF_12M', 'FIN_NP_12M'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_PSR_Q', # 归母净利润/总营业收入(季度)
'depFacNameList': ['FIN_NPAPC_Q', 'FIN_OTR_Q'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_PSR_12M', # 归母净利润/总营业收入(12个月)
'depFacNameList': ['FIN_NPAPC_12M', 'FIN_OTR_12M'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_OCFTAR_Q', # 经营性现金流/平均总资产(季度)
'depFacNameList': ['FIN_OCF_Q', 'FIN_TA_QA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_OCFTAR_12M', # 经营性现金流/平均总资产(12个月)
'depFacNameList': ['FIN_OCF_12M', 'FIN_TA_12MA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_OSR_Q', # 营业利润/营业收入(季度)
'depFacNameList': ['FIN_OP_Q', 'FIN_OR_Q'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_OSR_12M', # 营业利润/营业收入(12个月)
'depFacNameList': ['FIN_OP_12M', 'FIN_OR_12M'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_OSA_Q', # 营业收入/平均总资产(季度)
'depFacNameList': ['FIN_OR_Q', 'FIN_TA_QA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_OSA_12M', # 营业收入/平均总资产(12个月)
'depFacNameList': ['FIN_OR_12M', 'FIN_TA_12MA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_CPR_Q', # 毛利率(季度)
'depFacNameList': ['FIN_OR_Q', 'FIN_OC_Q'],
'EvalFun': lambda x: (x[0] / x[1] - 1)},
{'facName': 'FFD_CPR_12M', # 毛利率(12个月)
'depFacNameList': ['FIN_OR_12M', 'FIN_OC_12M'],
'EvalFun': lambda x: (x[0] / x[1] - 1)},
{'facName': 'FFD_NPR_Q', # 净利润/营业收入(季度)
'depFacNameList': ['FIN_NP_Q', 'FIN_OR_Q'],
'EvalFun': lambda x: x[0] / x[1] },
{'facName': 'FFD_NPR_12M', # 净利润/营业收入(12个月)
'depFacNameList': ['FIN_NP_12M', 'FIN_OR_12M'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_OPR_Q', # 营业利润/营业收入(季度)
'depFacNameList': ['FIN_OP_Q', 'FIN_OR_Q'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_OPR_12M', # 营业利润/营业收入(12个月)
'depFacNameList': ['FIN_OP_12M', 'FIN_OR_12M'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_CPTA_Q', # (营业收入 - 营业成本) / 总资产 (季度)
'depFacNameList': ['FIN_OR_Q', 'FIN_OC_Q', 'FIN_TA_QA'],
'EvalFun': lambda x: (x[0] - x[1]) / x[2]},
{'facName': 'FFD_CPTA_12M', # (营业收入 - 营业成本) / 总资产(12个月)
'depFacNameList': ['FIN_OR_12M', 'FIN_OC_12M', 'FIN_TA_12MA'],
'EvalFun': lambda x: (x[0] - x[1]) / x[2]},
{'facName': 'FFD_IT_Q', # 营业成本/平均存货余额 (季度)
'depFacNameList': ['FIN_OC_Q', 'FIN_IVT_QA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_IT_12M', # 营业成本/平均存货余额 (12个月)
'depFacNameList': ['FIN_OC_12M', 'FIN_IVT_12MA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FDD_PB', # 总市值/所有者权益合计
'depFacNameList': ['DAY_TV', 'FIN_TOE'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FDD_PE', # 总市值/12个月净利润
'depFacNameList': ['DAY_TV', 'FIN_NP_12M'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FDD_PE_EBIT', # 总市值/12个月税前净利润
'depFacNameList': ['DAY_TV', 'FIN_NP_12M', 'FIN_ITE_12M'],
'EvalFun': lambda x: x[0] / (x[1] + np.nan_to_num(x[2]))},
{'facName': 'FDD_PS', # 总市值/12个月营业收入
'depFacNameList': ['DAY_TV', 'FIN_OR_12M'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FDD_PC', # 总市值/12个月经营性现金流
'depFacNameList': ['DAY_TV', 'FIN_OCF_12M'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FDD_PEPGR', # 总市值/12个月净利润/12个月净利润增长率
'depFacNameList': ['DAY_TV', 'FIN_NP_12M', 'FIN_NP_12MG'],
'EvalFun': lambda x: x[0] / x[1] / x[2]},
{'facName': 'FDD_EV', # 总市值+非流动负债合计-货币资金
'depFacNameList': ['DAY_TV', 'FIN_TNLL', 'FIN_MC'],
'EvalFun': lambda x: (x[0] + x[1] - x[2])},
{'facName': 'FFD_LAD', # 流动资产/流动负债
'depFacNameList': ['FIN_LA', 'FIN_TLL'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_CAR', # 12个月经营现金净流量/流动负债
'depFacNameList': ['FIN_OCF_12M', 'FIN_TLL'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_TDA', # 总负债/总资产
'depFacNameList': ['FIN_TL', 'FIN_TA'],
'EvalFun': lambda x: x[0] / x[1]},
{'facName': 'FFD_NFALD', # (流动资产 - 流动负债)/ 长期负债
'depFacNameList': ['FIN_LA', 'FIN_TLL', 'FIN_LTB'],
'EvalFun': lambda x: ((x[0] - x[1]) / x[2])},
# {'facName': '', # 总市值/12个月
# 'depFacNameList': ['', ''],
# 'EvalFun': lambda x: },
#
# {'facName': '', # 总市值/12个月
# 'depFacNameList': ['', ''],
# 'EvalFun': lambda x: },
]
FinDer(configDictList, endDate=dt.datetime.now())