实盘

config-svrobo5.yml

@@ -60,6 +60,7 @@ basic: # 基础信息模块
         - 'TEMUSGI LX Equity'
       real:
         - 'FGFSACU LX Equity'
+        - 'TEMUSGI LX Equity'
 #  navs: # 净值模块
 #    exrate: # 汇率，如果不开启，整个这块注释掉
 #      - from: EUR # 需要转换的货币类型

config-svrobo6.yml

@@ -42,10 +42,10 @@ py-jftech:
       hold-report: portfolios.holder.DivHoldReportor
       mpt: portfolios.builder.PoemPortfoliosBuilder
       dividend-holder: portfolios.holder.InvTrustPortfoliosHolder
-#  email:
-#    server: smtphz.qiye.163.com
-#    user: jft-ra@thizgroup.com
-#    password: 5dbb#30ec6d3
+  email:
+    server: smtphz.qiye.163.com
+    user: jft-ra@thizgroup.com
+    password: 5dbb#30ec6d3
   mulit-process:
     max-workers: ${MAX_PROCESS:4}
 basic: # 基础信息模块
@@ -60,6 +60,7 @@ basic: # 基础信息模块
         - 'TEMUSGI LX Equity'
       real:
         - 'FGFSACU LX Equity'
+        - 'TEMUSGI LX Equity'
 #  navs: # 净值模块
 #    exrate: # 汇率，如果不开启，整个这块注释掉
 #      - from: EUR # 需要转换的货币类型
@@ -183,7 +184,7 @@ reports: # 报告模块相关
         - month-div-rate-report # 月度配息率比较
         - year-div-rate-report # 年度配息率比较
     real-daily:
-      file-name: svROBO5_portfolios
+      file-name: svROBO6_portfolios
       include-report:
         - daily-hold-report
         - daily-signal-report
@@ -192,13 +193,13 @@ reports: # 报告模块相关
           - wenwen.tang@thizgroup.com
         copies: ${DAILY_EMAIL_COPIES}
         subject:
-          default: "ROBO5_TAIBEI-实盘版-每日投組推薦_{today}"
-          rebalance: "ROBO5_TAIBEI-实盘版-每日投組推薦_{today}_今日有調倉信號！！！"
+          default: "ROBO6_TAIBEI-实盘版-每日投組推薦_{today}"
+          rebalance: "ROBO6_TAIBEI-实盘版-每日投組推薦_{today}_今日有調倉信號！！！"
         content:
           default: "Dear All: 附件是今天生成的推薦組合，請驗收，謝謝！ 注>：該郵件為自動發送，如有問題請聯繫矽谷團隊 telan_qian@chifufund.com"
           rebalance: "Dear All: 附件是今天生成的推薦組合以及調倉信號，請驗收，謝謝！ 注>：該郵件為自動發送，如有問題請聯繫矽谷團隊 telan_qian@chifufund.com"
     daily-monitor:
-      file-name: svROBO5_monitor
+      file-name: svROBO6_monitor
       include-report:
         - name: relative-range-report # 相对区间收益报告
           min-date: ~
@@ -226,11 +227,11 @@ reports: # 报告模块相关
         receives:
           - wenwen.tang@thizgroup.com
         copies: ${MONITOR_EMAIL_COPIES}
-        subject: "SVROBO5-实盘版-每日监测_{today}"
+        subject: "SVROBO6-实盘版-每日监测_{today}"
         content: "Dear All: 附件是今天生成的监测数据，請驗收，謝謝！ 注>：該郵件為自動發送，如有問題請聯繫矽谷團隊 telan_qian@chifufund.com"
 robo-executor: # 执行器相关
-  use: ${ROBO_EXECUTOR:backtest} # 执行哪个执行器，优先取系统环境变量ROBO_EXECUTOR的值，默认backtest
-  sync-data: ${SYNC_DATA:off} # 是否开启同步资料数据
+  use: ${ROBO_EXECUTOR:real} # 执行哪个执行器，优先取系统环境变量ROBO_EXECUTOR的值，默认backtest
+  sync-data: ${SYNC_DATA:on} # 是否开启同步资料数据
   backtest: # 回测执行器相关
     start-date: 2022-09-30 # 回测起始日期
     end-date: 2023-03-01 # 回测截止日期
@@ -239,7 +240,8 @@ robo-executor: # 执行器相关
     end-step: ${BACKTEST_END_STEP:3} # 回测从哪一步执行完成后结束执行 1:计算资产池；2:计算最优投组：3:计算再平衡信号以及持仓投组
     clean-up: true
   real: # 实盘执行器
-    start-date: 2022-09-01 # 实盘开始时间
+    export: ${EXPORT_ENABLE:on} # 是否开启报告
+    start-date: 2023-01-01 # 实盘开始时间
 
 
 

portfolios/builder.py

 import json
 import logging
-from datetime import datetime as dt
+from datetime import datetime as dt, timedelta
 from typing import List
 
-from py_jftech import component, autowired, format_date
+import pandas as pd
+from py_jftech import component, autowired, format_date, prev_workday, is_workday
 from pymysql import IntegrityError, constants
 
 from api import PortfoliosBuilder, PortfoliosRisk, AssetPool, Navs, PortfoliosType, Datum, SolveType, SolverFactory, \
@@ -143,3 +144,78 @@ class SignalReportor(RoboReportor):
                     'weight': weight
                 })
         return result
+
+
+@component(bean_name='daily-hold-report')
+class DailyHoldReportor(RoboReportor):
+
+    @autowired
+    def __init__(self, datum: Datum = None):
+        self._datum = datum
+
+    @property
+    def report_name(self) -> str:
+        return '每日持仓信息'
+
+    def load_report(self, max_date=prev_workday(dt.today()), min_date=None) -> List[dict]:
+        # 月初调仓，实际相当于调仓信号在上月月末
+        first_day = max_date.replace(day=1)
+        prev_month = first_day - timedelta(days=1)
+        prev_month.replace(day=prev_month.day)
+        prev_month = prev_month if is_workday(prev_month) else prev_workday(prev_month)
+        portfolio = rmp.get_one(prev_month, type=PortfoliosType.NORMAL, risk=PortfoliosRisk.FT3)
+        result = {}
+        if portfolio:
+            datum_ids = list(json.loads(portfolio['portfolio']).keys())
+            datums = pd.DataFrame(self._datum.get_datums(type=DatumType.FUND, datum_ids=datum_ids))
+            datums.set_index('id', inplace=True)
+
+            result['risk'] = [portfolio['risk'] for i in datum_ids]
+            result['rebalance_type'] = [portfolio['type'] for i in datum_ids]
+
+            result['weight'] = [format(i, '.0%') for i in json.loads(portfolio['portfolio']).values()]
+            result['asset_ids'] = datum_ids
+            result['name'] = [datums.loc[int(i)]['chineseName'] for i in datum_ids]
+            result['lipper_id'] = [datums.loc[int(i)]['lipperKey'] for i in datum_ids]
+            result['date'] = [max_date for i in datum_ids]
+            result['rebalance_date'] = [portfolio['date'] for i in datum_ids]
+            result = pd.DataFrame(result)
+            result = result[
+                ['lipper_id', 'asset_ids', 'name', 'weight', 'risk', 'date', 'rebalance_type', 'rebalance_date']]
+            return result.to_dict('records')
+
+        return []
+
+
+@component(bean_name='daily-signal-report')
+class DailySignalReportor(RoboReportor):
+
+    @autowired
+    def __init__(self, datum: Datum = None):
+        self._datum = datum
+
+    @property
+    def report_name(self) -> str:
+        return '每日调仓信号'
+
+    def load_report(self, max_date=prev_workday(dt.today()), min_date=None) -> List[dict]:
+        portfolio = rmp.get_one(max_date, type=PortfoliosType.NORMAL, risk=PortfoliosRisk.FT3)
+        result = {}
+        if portfolio:
+            datum_ids = list(json.loads(portfolio['portfolio']).keys())
+            datums = pd.DataFrame(self._datum.get_datums(type=DatumType.FUND, datum_ids=datum_ids))
+            datums.set_index('id', inplace=True)
+
+            result['risk'] = [portfolio['risk'] for i in datum_ids]
+            result['rebalance_type'] = [portfolio['type'] for i in datum_ids]
+
+            result['weight'] = [format(i, '.0%') for i in json.loads(portfolio['portfolio']).values()]
+            result['asset_ids'] = datum_ids
+            result['name'] = [datums.loc[int(i)]['chineseName'] for i in datum_ids]
+            result['lipper_id'] = [datums.loc[int(i)]['lipperKey'] for i in datum_ids]
+            result['date'] = [max_date for i in datum_ids]
+            result = pd.DataFrame(result)
+            result = result[['lipper_id', 'asset_ids', 'name', 'weight', 'risk', 'date', 'rebalance_type']]
+            return result.to_dict('records')
+
+        return []

robo_executor.py

 import logging
 import sys
 from concurrent.futures import wait
-from datetime import datetime as dt
+from datetime import datetime as dt, timedelta
 from typing import List
 
 import pandas as pd
 from py_jftech import (
     component, autowired, get_config, filter_weekend, asynchronized,
-    parse_date, workday_range
+    parse_date, workday_range, is_workday, prev_workday, format_date
 )
 
 from api import (
@@ -135,12 +135,15 @@ class BacktestExecutor(RoboExecutor):
 @component(bean_name='real')
 class RealExecutor(RoboExecutor):
 
-    @autowired
+    @autowired(names={'daily_export': 'daily-real-export', 'monitor_export': 'daily-monitor-export'})
     def __init__(self, builder: PortfoliosBuilder = None, hold: PortfoliosHolder = None, syncs: List[DataSync] = None,
-                 ):
+                 daily_export: RoboExportor = None, monitor_export: RoboExportor = None, pool: AssetPool = None, ):
         self._builder = builder
+        self._pool = pool
         self._hold = hold
         self._syncs = syncs
+        self._daily_export = daily_export
+        self._monitor_export = monitor_export
         self._config = get_config(__name__)['real']
 
     @property
@@ -164,7 +167,39 @@ class RealExecutor(RoboExecutor):
     def include_date(self):
         return [dt.combine(x, dt.min.time()) for x in self._config['include-date']]
 
+    @property
+    def export(self):
+        return self._config['export'] if 'export' in self._config else False
+
     def start_exec(self):
         if self.is_sync_data:
             for sync in self._syncs:
                 sync.do_sync()
+        date = self.curt_date
+        if is_workday(date) or date in self.include_date:
+            date = prev_workday(filter_weekend(date))
+            for risk in PortfoliosRisk:
+                logger.info(f"start to build risk[{risk.name}] real for date[{format_date(date)}]".center(50, '-'))
+                now = dt.now()
+                first_day = date.replace(day=1)
+                prev_month = first_day - timedelta(days=1)
+                prev_month.replace(day=prev_month.day)
+                prev_month = prev_month if is_workday(prev_month) else prev_workday(prev_month)
+                self._pool.get_pool(prev_month)
+                self._builder.get_portfolios(prev_month, risk)
+                next_month = date.replace(day=28) + timedelta(days=4)
+                prev_month = next_month.replace(day=1) - timedelta(days=1)
+                prev_month = prev_month if is_workday(prev_month) else prev_workday(prev_month)
+                if date.day == prev_month.day:
+                    self._pool.get_pool(date)
+                    self._builder.get_portfolios(date, risk)
+                logger.info(
+                    f"build risk[{risk.name}] real for date[{format_date(date)}] success, use[{(dt.now() - now).seconds}s]")
+            if self.export:
+                now = dt.now()
+                # 每日实盘报告
+                self._daily_export.export(max_date=date)
+                logger.info(
+                    f'export email for date[{format_date(date)}] send success, use[{(dt.now() - now).seconds}s]')
+        else:
+            logger.info(f'today[{format_date(date)}] is a rest day, do not execute the daily real robo.')