完成日志、配置文件、数据库工具模块

api.py

@@ -19,6 +19,7 @@ class Datum(ABC):
     '''
     基础资料服务，基金资料数据，各种指数，指标资料数据
     '''
+
     @abstractmethod
     def get_fund_datums(self, crncy=None, risk=None, fund_ids=None):
         '''
@@ -35,6 +36,7 @@ class Navs(ABC):
     '''
     基础数据相关服务，基金净值，各种指标 高开低收
     '''
+
     @abstractmethod
     def get_fund_navs(self, fund_ids=None, min_date=None, max_date=None):
         '''
@@ -47,10 +49,11 @@ class Navs(ABC):
         pass
 
 
-class Optimize(ABC):
+class AssetOptimize(ABC):
     '''
     优选相关服务ABC
     '''
+
     @abstractmethod
     def find_optimize(self, ids, day):
         '''
@@ -71,13 +74,26 @@ class Optimize(ABC):
         pass
 
 
-class EwmaCvar(metaclass=ABCMeta):
+class AssetRisk(ABC):
     '''
     ewma相关服务
     '''
 
-    def build_ewma_cvar(self):
+    @abstractmethod
+    def get_risk_pool(self, day):
+        '''
+        获取指定日期的风控池
+        :param day: 指定的日期
+        :return: 风控id列表
+        '''
         pass
 
-
-
+    @abstractmethod
+    def is_risk(self, id, day) -> bool:
+        '''
+        判断指定的id，在指定的日期，是处于风控状态
+        :param id: 指定的资产id
+        :param day: 指定的日期
+        :return: 如果处于风控状态则返回True，否则返回False
+        '''
+        pass

fund_pool/fund_optimize.py → asset_pool/asset_optimize.py

@@ -4,11 +4,11 @@ from abc import ABC, abstractmethod
 from dateutil.relativedelta import relativedelta
 from empyrical import sortino_ratio
 from framework import filter_weekend, dict_remove, get_config, component, autowired
-from api import Optimize, Navs, BusinessException, Datum
-from fund_pool.dao import robo_optimize_pool as rop
+from api import AssetOptimize, Navs, BusinessException, Datum
+from asset_pool.dao import robo_optimize_pool as rop
 
 
-class SortinoOptimize(Optimize, ABC):
+class SortinoAssetOptimize(AssetOptimize, ABC):
 
     def __init__(self):
         optimize_config = get_config(__name__)
@@ -65,7 +65,7 @@ class SortinoOptimize(Optimize, ABC):
 
 
 @component
-class FundSortinoOptimize(SortinoOptimize):
+class FundSortinoAssetOptimize(SortinoAssetOptimize):
     '''
     根据索提诺比率计算基金优选的优选实现
     '''

asset_pool/asset_risk.py

+import pandas as pd
+from framework import component, autowired, get_config
+from api import AssetRisk, Navs
+
+
+@component
+class CvarEwmaAssetRisk(AssetRisk):
+    '''
+    CVAR方式决定风控开始
+    EWMA方式决定风控结束
+    '''
+    @autowired
+    def __init__(self, navs: Navs = None):
+        self._navs = navs
+        self._config = get_config(__name__)
+
+    def get_risk_pool(self, day):
+        pass
+
+    def is_risk(self, id, day) -> bool:
+        rtn = self.get_income_return(id, day)
+        print(rtn)
+
+    def get_cvar_start_date(self):
+        pass
+
+    def get_ewma_start_date(self):
+        pass
+
+    def get_income_return(self, id, day):
+        fund_navs = pd.DataFrame(self._navs.get_fund_navs(fund_ids=id, max_date=day))
+        fund_navs['rtn'] = fund_navs['nav_cal'] / fund_navs['nav_cal'].shift(self._config['rtn_day']) - 1
+        fund_navs.dropna(inplace=True)
+        fund_navs.rename(columns={'nav_date': 'date'}, inplace=True)
+        fund_navs = fund_navs[['date', 'rtn']]
+        return fund_navs.to_dict('records')

fund_pool/dao/mysql.sql → asset_pool/dao/mysql.sql

@@ -2,11 +2,30 @@ CREATE TABLE IF NOT EXISTS robo_optimize_pool
 (
     rop_id          BIGINT UNSIGNED NOT NULL AUTO_INCREMENT,
     rop_date        DATETIME        NOT NULL COMMENT '数据日期',
-    rop_fund_ids    JSON                     DEFAULT NULL COMMENT '基金ID',
+    rop_type        TINYINT         NOT NULL COMMENT '资产池类别',
+    rop_asset_ids   JSON                     DEFAULT NULL COMMENT '基金ID',
     rop_create_time DATETIME        NOT NULL DEFAULT CURRENT_TIMESTAMP,
     rop_update_time DATETIME                 DEFAULT NULL ON UPDATE CURRENT_TIMESTAMP,
     PRIMARY KEY (rop_id),
-    UNIQUE INDEX (rop_date)
+    INDEX (rop_date),
+    INDEX (rop_type)
 ) ENGINE = InnoDB
   AUTO_INCREMENT = 0
   DEFAULT CHARSET = utf8mb4 COMMENT '优选基金池';
+
+
+CREATE TABLE IF NOT EXISTS asset_risk_dates
+(
+    ard_id          BIGINT UNSIGNED NOT NULL AUTO_INCREMENT,
+    ard_date        DATETIME        NOT NULL COMMENT '风控日期',
+    ard_type        TINYINT         NOT NULL COMMENT '日期类型',
+    ard_asset_id    BIGINT UNSIGNED NOT NULL COMMENT '资产ID',
+    ard_create_time DATETIME        NOT NULL DEFAULT CURRENT_TIMESTAMP,
+    ard_update_time DATETIME                 DEFAULT NULL ON UPDATE CURRENT_TIMESTAMP,
+    PRIMARY KEY (ard_id),
+    INDEX (ard_date),
+    INDEX (ard_type),
+    INDEX (ard_asset_id)
+) ENGINE = InnoDB
+  AUTO_INCREMENT = 0
+  DEFAULT CHARSET = utf8mb4 COMMENT '资产风控日期表';
\ No newline at end of file

basic/dao/robo_base_datum.py

-import json
-from framework import read, parse_date, where
 from api import DatumType
+from framework import read, where, to_tuple
 
 
 @read
@@ -14,6 +13,4 @@ def get_one(*args, **kwargs):
 
 
 def get_base_datums(type: DatumType = None, crncy=None, risk=None, fund_ids=None):
-    fund_ids = tuple(fund_ids) if fund_ids else None
-    return get_list(rbd_id=fund_ids, v_rbd_type=type, v_rbd_crncy=crncy, v_rbd_risk=risk)
-
+    return get_list(rbd_id=to_tuple(fund_ids), v_rbd_type=type, v_rbd_crncy=crncy, v_rbd_risk=risk)

basic/dao/robo_fund_navs.py

-from framework import read, where, format_date
+from framework import read, where, format_date, to_tuple
 
 
 @read
@@ -17,5 +17,4 @@ def get_navs(fund_id=None, min_date=None, max_date=None):
         sqls.append(f"rfn_date >= '{format_date(min_date)}'")
     if max_date:
         sqls.append(f"rfn_date <= '{format_date(max_date)}'")
-    fund_id = tuple(fund_id) if fund_id else None
-    return get_list(*sqls, rfn_fund_id=fund_id)
+    return get_list(*sqls, rfn_fund_id=to_tuple(fund_id))

basic/navs.py

@@ -27,6 +27,10 @@ class DefaultNavs(Navs):
             navs = navs.reset_index().melt(id_vars='nav_date', value_name='nav_cal')
             navs.dropna(inplace=True)
             navs = navs[['fund_id', 'nav_date', 'nav_cal']]
-            navs.sort_values('fund_id', inplace=True)
+            navs.sort_values(by=['fund_id', 'nav_date'], inplace=True)
             navs = navs.to_dict('records')
         return navs
+
+
+if __name__ == '__main__':
+    print(isinstance((), tuple))

config.yml

@@ -51,8 +51,8 @@ basic:
     exrate:
       - from: EUR
         ticker: EURUSD BGN Curncy
-fund_pool:
-  fund_optimize:
+asset_pool:
+  asset_optimize:
     sortino_weight:
       - months: 3
         weight: 0.5
@@ -60,5 +60,7 @@ fund_pool:
         weight: 0.2
       - years: 1
         weight: 0.2
+  asset_risk:
+    rtn_day: 5
 
 

framework/base.py

@@ -7,6 +7,7 @@ __all__ = [
     'dict_remove',
     'equals_ignore_case',
     'to_bool',
+    'to_tuple',
 ]
 
 
@@ -60,3 +61,11 @@ def to_bool(v) -> bool:
         if reduce(lambda a, b: a or b, [equals_ignore_case(v, x) for x in _FALSE_STR]):
             return False
     return bool(v)
+
+
+def to_tuple(v) -> tuple:
+    if isinstance(v, tuple):
+        return v
+    if isinstance(v, list):
+        return tuple(v)
+    return (v,) if v else None

framework/database.py

@@ -128,8 +128,9 @@ def where(*args, **kwargs) -> str:
                 result.append(f"{k} = '{format_date(v)}'")
             elif isinstance(v, Enum):
                 result.append(f"{k} = '{v.value}'")
-            elif isinstance(v, tuple):
-                result.append(f"{k} in {v}" if len(v) > 1 else f"{k} = {v[0]}")
+            elif isinstance(v, tuple) or isinstance(v, list):
+                if len(v) > 0:
+                    result.append(f"{k} in {tuple(v)}" if len(v) > 1 else f"{k} = {v[0]}")
             elif v is not None:
                 result.append(f"{k} = {v}")
     if args:

main.py

 from framework import autowired, parse_date, logger
-from api import Optimize
+from api import AssetOptimize, AssetRisk
 
 
 @autowired
-def start(optimize: Optimize = None):
-    pool = optimize.get_optimize_pool(parse_date('2022-11-07'))
-    logger.info(pool)
+def start(optimize: AssetOptimize = None, risk: AssetRisk = None):
+    # pool = optimize.get_optimize_pool(parse_date('2022-11-07'))
+    # logger.info(pool)
+    risk.is_risk(1, parse_date('2022-11-07'))
 
 
 if __name__ == '__main__':