基金优选完成

config.yml

 database:
+  host: ${MYSQL_HOST:127.0.0.1}
+  port: ${MYSQL_PORT:3306}
+  user: ${MYSQL_USER:root}
+  password: ${MYSQL_PWD:123456}
+  dbname: ${MYSQL_DBNAME:jftech_robo}
+database_from:
   host: ${MYSQL_HOST:127.0.0.1}
   port: ${MYSQL_PORT:3306}
   user: ${MYSQL_USER:root}
@@ -10,7 +16,7 @@ email:
   password: 5dbb#30ec6d3
 logger:
   version: 1
-  use: ${LOG_NAME:prod}
+  use: ${LOG_NAME:root}
   formatters:
     brief:
       format: "%(asctime)s - %(levelname)s - %(message)s"
@@ -39,5 +45,14 @@ logger:
   root:
     level: INFO
     handlers: [console]
+fund_pool:
+  fund_optimize:
+    sortino_weight:
+      - months: 3
+        weight: 0.5
+      - months: 6
+        weight: 0.2
+      - years: 1
+        weight: 0.2
 
 

datas/__init__.py

-from . import *
+from datas.datum.enums import *

datas/datum/__init__.py

+from .api import (
+    get_fund_datums,
+)
+
+del api, robo_base_datum, enums

datas/datum/api.py

+import datas.datum.robo_base_datum as _rbd
+from datas.datum.enums import DatumType
+
+
+def get_fund_datums(crncy=None, risk=None):
+    return _rbd.get_base_datums(type=DatumType.FUND, crncy=crncy, risk=risk)
+
+
+if __name__ == '__main__':
+    print(get_fund_datums(risk=1))

datas/datum/enums.py

+from enum import Enum, unique
+
+
+@unique
+class DatumType(Enum):
+    FUND = 'FUND'

datas/datum/robo_base_datum.py

+from utils import read, write, config, format_date, parse_date, where
+import json
+from datetime import datetime
+from datas.datum.enums import DatumType
+
+
+@read
+def _select(*args, **kwargs):
+    return f'''select rbd_id as id, rbd_datas as datas from robo_base_datum {where(*args, **kwargs)}'''
+
+
+def get_base_datums(type: DatumType = None, crncy=None, risk=None):
+    result = _select(v_rbd_type=type, v_rbd_crncy=crncy, v_rbd_risk=risk)
+    result = [{**json.loads(x['datas']), **{'id': x['id']}} for x in result]
+    return [{**x, **{'inceptDate': parse_date(x['inceptDate'])}} for x in result]
+
+
+if __name__ == '__main__':
+    from enums import Enum
+    print(isinstance(DatumType.FUND, Enum))

datas/fund_info/mysql.sql

-CREATE TABLE IF NOT EXISTS robo_fund_info
-(
-    rfi_id             BIGINT UNSIGNED NOT NULL AUTO_INCREMENT,
-    rfi_datas          JSON                     DEFAULT NULL COMMENT '所有数据',
-    v_rfi_gender       VARCHAR(100) GENERATED ALWAYS AS (rfi_datas ->> '$.gender') COMMENT '性别',
-    rfi_create_time    DATETIME        NOT NULL DEFAULT CURRENT_TIMESTAMP,
-    rfi_update_time    DATETIME                 DEFAULT NULL ON UPDATE CURRENT_TIMESTAMP,
-    PRIMARY KEY (rfi_id)
-) ENGINE = InnoDB
-  AUTO_INCREMENT = 0
-  DEFAULT CHARSET = utf8mb4 COMMENT '用户信息表';
\ No newline at end of file

datas/mysql.sql

+CREATE TABLE IF NOT EXISTS robo_base_datum
+(
+    rbd_id                 BIGINT UNSIGNED NOT NULL AUTO_INCREMENT,
+    rbd_datas              JSON                     DEFAULT NULL COMMENT '所有数据',
+    v_rbd_ft_ticker        VARCHAR(255) GENERATED ALWAYS AS (rbd_datas ->> '$.ftTicker') COMMENT 'ft_ticker',
+    v_rbd_bloomberg_ticker VARCHAR(255) GENERATED ALWAYS AS (rbd_datas ->> '$.bloombergTicker') COMMENT 'bloomberg_ticker',
+    v_rbd_type             VARCHAR(255) GENERATED ALWAYS AS (rbd_datas ->> '$.type') COMMENT 'type',
+    v_rbd_crncy            VARCHAR(255) GENERATED ALWAYS AS (rbd_datas ->> '$.currency') COMMENT 'crncy',
+    v_rbd_risk             VARCHAR(255) GENERATED ALWAYS AS (rbd_datas ->> '$.risk') COMMENT 'risk',
+    rbd_create_time        DATETIME        NOT NULL DEFAULT CURRENT_TIMESTAMP,
+    rbd_update_time        DATETIME                 DEFAULT NULL ON UPDATE CURRENT_TIMESTAMP,
+    PRIMARY KEY (rbd_id),
+    UNIQUE KEY (v_rbd_ft_ticker),
+    UNIQUE KEY (v_rbd_bloomberg_ticker),
+    INDEX (v_rbd_crncy),
+    INDEX (v_rbd_risk),
+    INDEX (v_rbd_type)
+) ENGINE = InnoDB
+  AUTO_INCREMENT = 0
+  DEFAULT CHARSET = utf8mb4 COMMENT '基础资料信息表';
+
+
+CREATE TABLE IF NOT EXISTS robo_fund_navs
+(
+    rfn_fund_id      BIGINT UNSIGNED NOT NULL COMMENT '基金ID',
+    rfn_date         DATETIME        NOT NULL COMMENT '数据日期',
+    rfn_av           DOUBLE          NOT NULL COMMENT '原始净值',
+    rfn_div          DOUBLE          NOT NULL DEFAULT 0 COMMENT '原始分红',
+    rfn_split        DOUBLE          NOT NULL DEFAULT 1 COMMENT '拆股',
+    rfn_accrue_split DOUBLE          NOT NULL DEFAULT 1 COMMENT '累积拆股',
+    rfn_av_p         DOUBLE          NOT NULL COMMENT '原始拆股净值',
+    rfn_div_p        DOUBLE          NOT NULL DEFAULT 0 COMMENT '复权拆股分红',
+    rfn_nav_cal      DOUBLE          NOT NULL COMMENT '复权净值',
+    rfn_create_time  DATETIME        NOT NULL DEFAULT CURRENT_TIMESTAMP,
+    rfn_update_time  DATETIME                 DEFAULT NULL ON UPDATE CURRENT_TIMESTAMP,
+    PRIMARY KEY (rfn_fund_id, rfn_date),
+    INDEX (rfn_date)
+) ENGINE = InnoDB
+  DEFAULT CHARSET = utf8mb4 COMMENT '基金数据表';
+

datas/navs/__init__.py

+from .robo_fund_navs import *
+
+del robo_fund_navs

datas/navs/robo_fund_navs.py

+from utils import read, where, format_date
+
+
+@read
+def _select(*args, **kwargs):
+    return f'''select rfn_fund_id as fund_id, rfn_date as nav_date, rfn_nav_cal as nav_cal from robo_fund_navs {where(*args, **kwargs)}'''
+
+
+def get_navs(fund_id=None, min_date=None, max_date=None):
+    sqls = []
+    if min_date:
+        sqls.append(f"rfn_date >= '{format_date(min_date)}'")
+    if max_date:
+        sqls.append(f"rfn_date <= '{format_date(max_date)}'")
+    return _select(*sqls, rfn_fund_id=fund_id)
+
+
+if __name__ == '__main__':
+    from utils import parse_date
+    navs = get_navs(fund_id=1, min_date=parse_date('2022-11-01'))
+    print(navs)

fund_pool/fund_optimize.py

+import pandas as pd
+from utils import filter_weekend, config, dict_remove
+from datas import navs
+from dateutil.relativedelta import relativedelta
+from empyrical import sortino_ratio
+
+optimize_config = config['fund_pool']['fund_optimize']
+sortino_config = [{**x, 'name': [f"sortino_{y[1]}_{y[0]}" for y in x.items() if y[0] != 'weight'][0]} for x in optimize_config['sortino_weight']]
+
+
+def find_optimize(fund_ids, day):
+    start = filter_weekend(sorted([day - relativedelta(days=1, **dict_remove(x, ('weight', 'name'))) for x in sortino_config])[0])
+    fund_navs = pd.DataFrame(navs.get_navs(fund_id=tuple(fund_ids), min_date=start, max_date=day))
+    fund_navs.sort_values('nav_date', inplace=True)
+    fund_navs = fund_navs.pivot_table(index='nav_date', columns='fund_id', values='nav_cal')
+    fund_navs.fillna(method='ffill', inplace=True)
+    day_income = round(fund_navs.pct_change(), 4)
+    sortino = pd.DataFrame()
+    for item in sortino_config:
+        delta_kwargs = {**item}
+        del delta_kwargs['weight'], delta_kwargs['name']
+        ratio = dict(sortino_ratio(day_income.truncate(before=(day - relativedelta(**delta_kwargs)))))
+        sortino = pd.concat([sortino, pd.DataFrame([ratio], index=[item['name']])])
+    sortino = sortino.T
+    sortino['score'] = sortino.apply(lambda r:sum([x['weight'] * r[x['name']] for x in sortino_config]), axis=1)
+    sortino.sort_values('score', ascending=False, inplace=True)
+    return day_income.columns[sortino.index[0]]
+
+
+def get_base_fund_pool():
+    pass
+
+
+if __name__ == '__main__':
+    from datas import datum
+    from datetime import date
+
+    funds = datum.get_fund_datums()
+    funds = pd.DataFrame(funds)
+    for (category, assetType), fund_group in funds.groupby(by=['category', 'assetType']):
+        if len(fund_group) > 1:
+            fund_ids = tuple(fund_group['id'])
+            fund_id = find_optimize(fund_ids, date.today())
+            print(fund_ids, "->", fund_id)
+        else:
+            fund_ids = tuple(fund_group['id'])
+            print(fund_ids, "->", fund_ids[0])

main.py

-from utils import *
+from utils import logger
+from datas import datum
 
 if __name__ == '__main__':
     logger.info(dir())
+    logger.info(datum.get_fund_datums())

requirements.txt

+certifi==2022.9.24
+charset-normalizer==2.1.1
+empyrical==0.5.5
+idna==3.4
+lxml==4.9.1
+numpy==1.23.4
+pandas==1.5.1
+pandas-datareader==0.10.0
 PyMySQL==1.0.2
+python-dateutil==2.8.2
+pytz==2022.6
 PyYAML==6.0
+requests==2.28.1
+scipy==1.9.3
+six==1.16.0
+urllib3==1.26.12

utils/__init__.py

 from .date_utils import *
 from .base import *
-from .datebase import read, write, transaction
+from .datebase import read, write, transaction, where
 from .__env_config import config, get_config
 from .__logger import build_logger, logger

utils/base.py

 import os
 
-__all__ = ['get_project_path', 'deep_dict_update']
+__all__ = ['get_project_path', 'deep_dict_update', 'dict_remove']
 
 
 def get_project_path():
@@ -29,3 +29,10 @@ def deep_dict_update(d1, d2):
     for key in d2:
         if key not in d1:
             d1[key] = d2[key]
+
+
+def dict_remove(d: dict, k) -> dict:
+    result = d.copy()
+    for key in tuple(k):
+        del result[key]
+    return result

utils/date_utils.py

 import calendar
-from datetime import timedelta
-
-__all__ = ['filter_weekend', 'next_workday', 'is_workday']
+from datetime import timedelta, datetime
 
 
 def filter_weekend(day):
@@ -19,3 +17,15 @@ def next_workday(day):
 
 def is_workday(day):
     return day.weekday() in range(5)
+
+
+def format_date(date, has_time=False):
+    return date.strftime('%Y-%m-%d %H:%M:%S' if has_time else '%Y-%m-%d')
+
+
+def parse_date(date, has_time=False):
+    return datetime.strptime(date, '%Y-%m-%d %H:%M:%S' if has_time else '%Y-%m-%d')
+
+
+if __name__ == '__main__':
+    print(parse_date('2022-10-01 10:24:24', has_time=True))

utils/datebase.py

@@ -3,6 +3,8 @@ import pymysql
 import threading
 from pymysql.cursors import DictCursor
 from .__env_config import config as default_config
+from .date_utils import format_date, datetime
+from enum import Enum
 
 
 class Database:
@@ -104,3 +106,24 @@ def transaction(func=None, config=None):
             finally:
                 del __local__.db
     return wraps
+
+
+def where(*args, **kwargs) -> str:
+    result = []
+    if kwargs:
+        for k, v in kwargs.items():
+            if isinstance(v, str):
+                result.append(f"{k} = '{v}'")
+            elif isinstance(v, datetime):
+                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 v is not None:
+                result.append(f"{k} = {v}")
+    if args:
+        result.extend(args)
+    return f"where {' and '.join(result)}" if result else ''
+
+