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robo-dividend
Commit e71c080d authored by wenwen.tang's avatar wenwen.tang 😕
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bugfix

parent 582e5dac
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Showing with 118 additions and 107 deletions
basic/dao/robo_eco_datas.py
View file @ e71c080d
from py_jftech import read, write, where, mapper_columns, format_date from py_jftech import read, write, where, mapper_columns, format_date,to_tuple
__COLUMNS__ = { __COLUMNS__ = {
'red_eco_id': 'eco_id', 'red_eco_id': 'eco_id',
...@@ -24,7 +24,7 @@ def get_list(eco_ids=None, min_date=None, max_date=None): ...@@ -24,7 +24,7 @@ def get_list(eco_ids=None, min_date=None, max_date=None):
sqls.append(f"red_date <= '{format_date(max_date)}'") sqls.append(f"red_date <= '{format_date(max_date)}'")
return f''' return f'''
select {','.join([f"{x[0]} as {x[1]}" for x in __COLUMNS__.items()])} from robo_eco_datas select {','.join([f"{x[0]} as {x[1]}" for x in __COLUMNS__.items()])} from robo_eco_datas
{where(*sqls, red_eco_id=to_tuple(index_ids))} order by red_eco_id, red_date {where(*sqls, red_eco_id=to_tuple(eco_ids))} order by red_eco_id, red_date
''' '''
......
basic/navs.py
View file @ e71c080d
from datetime import datetime as dt
from typing import List
import pandas as pd import pandas as pd
from py_jftech import get_config, component, autowired, to_tuple from py_jftech import get_config, component, autowired, to_tuple
...@@ -72,7 +69,7 @@ class DefaultNavs(Navs): ...@@ -72,7 +69,7 @@ class DefaultNavs(Navs):
def get_eco_values(self, datum_ids=None, min_date=None, max_date=None, ticker=None, by_release_date=False): def get_eco_values(self, datum_ids=None, min_date=None, max_date=None, ticker=None, by_release_date=False):
datum_ids = to_tuple(datum_ids) datum_ids = to_tuple(datum_ids)
if ticker: if ticker:
datums = self._datum.get_datums(type=DatumType.INDEX, ticker=ticker) datums = self._datum.get_datums(type=DatumType.ECO, ticker=ticker)
datum_ids = tuple(set(list(datum_ids or []) | {x['id'] for x in datums})) datum_ids = tuple(set(list(datum_ids or []) | {x['id'] for x in datums}))
return red.get_list(eco_ids=datum_ids, min_date=min_date, max_date=max_date, by_release_date=by_release_date) return red.get_list(eco_ids=datum_ids, min_date=min_date, max_date=max_date, by_release_date=by_release_date)
......
basic/sync.py
View file @ e71c080d
...@@ -6,6 +6,7 @@ from datetime import datetime as dt, timedelta ...@@ -6,6 +6,7 @@ from datetime import datetime as dt, timedelta
from typing import List from typing import List
from urllib.parse import quote from urllib.parse import quote
import pytz
import requests import requests
from dateutil.relativedelta import relativedelta from dateutil.relativedelta import relativedelta
from py_jftech import format_date, is_workday, component, autowired, get_config, filter_weekend, next_workday from py_jftech import format_date, is_workday, component, autowired, get_config, filter_weekend, next_workday
...@@ -107,7 +108,7 @@ class TWDataSync(DataSync, ABC): ...@@ -107,7 +108,7 @@ class TWDataSync(DataSync, ABC):
pass pass
@component(bean_name='tw-navs-sync') @component(bean_name='navs-sync')
class TWFundNavSync(TWDataSync): class TWFundNavSync(TWDataSync):
def get_all_data(self, start_date=dt.today()): def get_all_data(self, start_date=dt.today()):
...@@ -181,7 +182,7 @@ class IndexSync(JDCDataSync): ...@@ -181,7 +182,7 @@ class IndexSync(JDCDataSync):
def store_date(self, datumid, datas: List[dict]): def store_date(self, datumid, datas: List[dict]):
save_datas = [{ save_datas = [{
'index_id': datumid, 'index_id': datumid,
'date': dt.fromtimestamp(x['date'] / 1000).strftime('%Y-%m-%d'), 'date': dt.fromtimestamp(x['date'] / 1000, tz=pytz.timezone('Asia/Shanghai')).strftime('%Y-%m-%d'),
'close': x['close'], 'close': x['close'],
'open': x['open'] if 'open' in x else None, 'open': x['open'] if 'open' in x else None,
'high': x['high'] if 'high' in x else None, 'high': x['high'] if 'high' in x else None,
...@@ -189,7 +190,7 @@ class IndexSync(JDCDataSync): ...@@ -189,7 +190,7 @@ class IndexSync(JDCDataSync):
'pe': x['peRatio'] if 'peRatio' in x else None, 'pe': x['peRatio'] if 'peRatio' in x else None,
'pb': x['pbRatio'] if 'pbRatio' in x else None, 'pb': x['pbRatio'] if 'pbRatio' in x else None,
'volume': x['volume'] if 'volume' in x else None, 'volume': x['volume'] if 'volume' in x else None,
} for x in datas if is_workday(dt.fromtimestamp(x['date'] / 1000)) and 'close' in x] } for x in datas if is_workday(dt.fromtimestamp(x['date'] / 1000), tz=pytz.timezone('Asia/Shanghai')) and 'close' in x]
if save_datas: if save_datas:
rid.batch_insert(save_datas) rid.batch_insert(save_datas)
...@@ -215,9 +216,9 @@ class EcoSync(JDCDataSync): ...@@ -215,9 +216,9 @@ class EcoSync(JDCDataSync):
def store_date(self, datumid, datas: List[dict]): def store_date(self, datumid, datas: List[dict]):
save_datas = [{ save_datas = [{
'eco_id': datumid, 'eco_id': datumid,
'date': dt.fromtimestamp(x['date'] / 1000), 'date': dt.fromtimestamp(x['date'] / 1000, tz=pytz.timezone('Asia/Shanghai')),
'indicator': x['close'], 'indicator': x['close'],
'release_date': dt.fromtimestamp(x['releaseDate'] / 1000), 'release_date': dt.fromtimestamp(x['releaseDate'] / 1000, tz=pytz.timezone('Asia/Shanghai')),
} for x in datas if 'releaseDate' in x] } for x in datas if 'releaseDate' in x]
if save_datas: if save_datas:
red.batch_insert(save_datas) red.batch_insert(save_datas)
...@@ -245,18 +246,19 @@ class FundNavSync(JDCDataSync): ...@@ -245,18 +246,19 @@ class FundNavSync(JDCDataSync):
return f'http://jdcprod.thiztech.com/api/datas/asset-value?subjectKeys={key}&page={page}&size=200&sourceType=TW&startDate={format_date(start_date)}' return f'http://jdcprod.thiztech.com/api/datas/asset-value?subjectKeys={key}&page={page}&size=200&sourceType=TW&startDate={format_date(start_date)}'
def find_jdc_subject_key(self): def find_jdc_subject_key(self):
funds = self._datum.get_datums(type=DatumType.FUND) funds = {x['isin']: x for x in self._datum.get_datums(type=DatumType.FUND)}
funds = {x['ftTicker']: x for x in self._datum.get_datums(type=DatumType.FUND)}
response = requests.get('http://jdcprod.thiztech.com/api/subject?busiField=TW&sourceType=TW&subjectType=FUND') response = requests.get('http://jdcprod.thiztech.com/api/subject?busiField=TW&sourceType=TW&subjectType=FUND')
response = response.json() response = response.json()
if not response['success']: if not response['success']:
raise CollectError(f'''find fund subject failed: {response['status']}''') raise CollectError(f'''find fund subject failed: {response['status']}''')
return {funds[x['fundId']]['id']: x['key'] for x in response['body']['content'] if x['fundId'] in funds} content = response['body']['content']
content = [x for x in content if x.get('isin')]
return {funds[x['isin']]['id']: x['key'] for x in content if x['isin'] in funds}
def store_date(self, datumid, datas: List[dict]): def store_date(self, datumid, datas: List[dict]):
save_navs = [{ save_navs = [{
'fund_id': datumid, 'fund_id': datumid,
'nav_date': dt.fromtimestamp(x['date'] / 1000), 'nav_date': dt.fromtimestamp(x['date'] / 1000, tz=pytz.timezone('Asia/Shanghai')),
'av': x['originValue'], 'av': x['originValue'],
'div': x['dividend'] if 'dividend' in x else 0, 'div': x['dividend'] if 'dividend' in x else 0,
'split': x['split'] if 'split' in x else 1, 'split': x['split'] if 'split' in x else 1,
...@@ -264,7 +266,7 @@ class FundNavSync(JDCDataSync): ...@@ -264,7 +266,7 @@ class FundNavSync(JDCDataSync):
'av_p': x['postValue'], 'av_p': x['postValue'],
'div_p': x['postDividend'] if 'postDividend' in x else 0, 'div_p': x['postDividend'] if 'postDividend' in x else 0,
'nav_cal': x['calibrateValue'] 'nav_cal': x['calibrateValue']
} for x in datas if is_workday(dt.fromtimestamp(x['date'] / 1000))] } for x in datas if is_workday(dt.fromtimestamp(x['date'] / 1000, tz=pytz.timezone('Asia/Shanghai')))]
if save_navs: if save_navs:
rfn.batch_insert(save_navs) rfn.batch_insert(save_navs)
...@@ -301,7 +303,7 @@ class ExrateSync(DataSync): ...@@ -301,7 +303,7 @@ class ExrateSync(DataSync):
try: try:
save_dates = [{ save_dates = [{
'ticker': ticker, 'ticker': ticker,
'date': dt.fromtimestamp(x['date'] / 1000), 'date': dt.fromtimestamp(x['date'] / 1000, tz=pytz.timezone('Asia/Shanghai')),
'close': x['close'], 'close': x['close'],
} for x in response['body']['content']] } for x in response['body']['content']]
if save_dates: if save_dates:
......
config-svrobo4.yml
View file @ e71c080d
...@@ -42,6 +42,7 @@ py-jftech: ...@@ -42,6 +42,7 @@ py-jftech:
hold-report: portfolios.holder.DivHoldReportor hold-report: portfolios.holder.DivHoldReportor
mpt: portfolios.builder.PoemPortfoliosBuilder mpt: portfolios.builder.PoemPortfoliosBuilder
dividend-holder: portfolios.holder.DividendPortfoliosHolder dividend-holder: portfolios.holder.DividendPortfoliosHolder
navs-sync: basic.sync.FundNavSync
email: email:
server: smtphz.qiye.163.com server: smtphz.qiye.163.com
user: jft-ra@thizgroup.com user: jft-ra@thizgroup.com
......
config-svrobo5.yml
View file @ e71c080d
...@@ -42,6 +42,7 @@ py-jftech: ...@@ -42,6 +42,7 @@ py-jftech:
hold-report: portfolios.holder.DivHoldReportor hold-report: portfolios.holder.DivHoldReportor
mpt: portfolios.builder.PoemPortfoliosBuilder mpt: portfolios.builder.PoemPortfoliosBuilder
dividend-holder: portfolios.holder.DividendPortfoliosHolder dividend-holder: portfolios.holder.DividendPortfoliosHolder
navs-sync: basic.sync.FundNavSync
email: email:
server: smtphz.qiye.163.com server: smtphz.qiye.163.com
user: jft-ra@thizgroup.com user: jft-ra@thizgroup.com
......
config-svrobo6.yml
View file @ e71c080d
...@@ -42,6 +42,7 @@ py-jftech: ...@@ -42,6 +42,7 @@ py-jftech:
hold-report: portfolios.holder.DivHoldReportor hold-report: portfolios.holder.DivHoldReportor
mpt: portfolios.builder.PoemARCPortfoliosBuilder mpt: portfolios.builder.PoemARCPortfoliosBuilder
dividend-holder: portfolios.holder.InvTrustPortfoliosHolder dividend-holder: portfolios.holder.InvTrustPortfoliosHolder
navs-sync: basic.sync.FundNavSync
email: email:
server: smtphz.qiye.163.com server: smtphz.qiye.163.com
user: jft-ra@thizgroup.com user: jft-ra@thizgroup.com
...@@ -231,7 +232,7 @@ reports: # 报告模块相关 ...@@ -231,7 +232,7 @@ reports: # 报告模块相关
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" 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 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 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 sync-data: ${SYNC_DATA:on} # 是否开启同步资料数据
backtest: # 回测执行器相关 backtest: # 回测执行器相关
start-date: 2022-02-16 # 回测起始日期 start-date: 2022-02-16 # 回测起始日期
end-date: 2023-01-03 # 回测截止日期 end-date: 2023-01-03 # 回测截止日期
......
requirements.txt
View file @ e71c080d
...@@ -23,3 +23,12 @@ urllib3==1.26.12 ...@@ -23,3 +23,12 @@ urllib3==1.26.12
fastapi==0.100.0 fastapi==0.100.0
uvicorn==0.23.1 uvicorn==0.23.1
apscheduler==3.10.1 apscheduler==3.10.1
sklearn
finta
keras
tensorflow
matplotlib
lightgbm
\ No newline at end of file
web/robo_controller.py
View file @ e71c080d
import datetime as dt # import datetime as dt
import json # import json
from multiprocessing import Process # from multiprocessing import Process
#
import uvicorn # import uvicorn
from apscheduler.schedulers.blocking import BlockingScheduler # from apscheduler.schedulers.blocking import BlockingScheduler
from fastapi import FastAPI # from fastapi import FastAPI
from py_jftech import prev_workday, filter_weekend # from py_jftech import prev_workday, filter_weekend
#
import main # import main
from api import DatumType, PortfoliosRisk # from api import DatumType, PortfoliosRisk
from basic.datum import DefaultDatum # from basic.datum import DefaultDatum
#
app = FastAPI() # app = FastAPI()
#
REC_GID = 'E3886FBA-123B-7890-123E-123456BEEED' # REC_GID = 'E3886FBA-123B-7890-123E-123456BEEED'
#
#
def get_today_rec(): # def get_today_rec():
from portfolios.dao import robo_mpt_portfolios as rmp # from portfolios.dao import robo_mpt_portfolios as rmp
from api import PortfoliosType, PortfoliosRisk # from api import PortfoliosType, PortfoliosRisk
day = prev_workday(filter_weekend(dt.date.today())) # day = prev_workday(filter_weekend(dt.date.today()))
portfolio = rmp.get_one(day, PortfoliosType.NORMAL, PortfoliosRisk.FT3) # portfolio = rmp.get_one(day, PortfoliosType.NORMAL, PortfoliosRisk.FT3)
return portfolio # return portfolio
#
#
def get_last_signal(): # def get_last_signal():
from rebalance.dao import robo_rebalance_signal as rrs # from rebalance.dao import robo_rebalance_signal as rrs
#
day = prev_workday(filter_weekend(dt.date.today())) # day = prev_workday(filter_weekend(dt.date.today()))
last_re = rrs.get_last_one(max_date=day, risk=PortfoliosRisk.FT3, effective=True) # last_re = rrs.get_last_one(max_date=day, risk=PortfoliosRisk.FT3, effective=True)
return last_re # return last_re
#
#
@app.get("/recommend") # @app.get("/recommend")
async def root(): # async def root():
portfolio = get_today_rec() # portfolio = get_today_rec()
if portfolio: # if portfolio:
fund_infos = DefaultDatum().get_datums(DatumType.FUND) # fund_infos = DefaultDatum().get_datums(DatumType.FUND)
id_ticker_map = {str(info['id']): info for info in fund_infos} # id_ticker_map = {str(info['id']): info for info in fund_infos}
funds = json.loads(portfolio['portfolio']) # funds = json.loads(portfolio['portfolio'])
rec_list = [] # rec_list = []
portfolios = {'recomm_guid': REC_GID} # portfolios = {'recomm_guid': REC_GID}
data = {'recomm_guid': REC_GID} # data = {'recomm_guid': REC_GID}
data['data_date'] = portfolio['date'].strftime('%Y-%m-%d') # data['data_date'] = portfolio['date'].strftime('%Y-%m-%d')
data['funds'] = [{'weight': round(weight * 100), 'fund_id': id_ticker_map[key]['ftTicker']} for key, weight in # data['funds'] = [{'weight': round(weight * 100), 'fund_id': id_ticker_map[key]['ftTicker']} for key, weight in
funds.items()] # funds.items()]
data['creat_date'] = portfolio['create_time'].strftime('%Y-%m-%d %H:%M:%S') # data['creat_date'] = portfolio['create_time'].strftime('%Y-%m-%d %H:%M:%S')
# todo 补全 # # todo 补全
data['cp'] = 0.81 # data['cp'] = 0.81
data['rr'] = 0.81 # data['rr'] = 0.81
data['roi'] = 0.81 # data['roi'] = 0.81
data['risk'] = round(sum([id_ticker_map[key]['risk'] * weight for key, weight in funds.items()]), 2) # data['risk'] = round(sum([id_ticker_map[key]['risk'] * weight for key, weight in funds.items()]), 2)
note = {} # note = {}
sig = get_last_signal() # sig = get_last_signal()
note['last_reg_reb'] = sig['date'].strftime('%Y-%m-%d') # note['last_reg_reb'] = sig['date'].strftime('%Y-%m-%d')
data['note'] = json.dumps(note) # data['note'] = json.dumps(note)
portfolios['data'] = data # portfolios['data'] = data
rec_list.append(portfolios) # rec_list.append(portfolios)
return rec_list # return rec_list
else: # else:
return {'msg': '当日投组未产生，待10:00后获取'} # return {'msg': '当日投组未产生，待10:00后获取'}
#
#
def start_robo(): # def start_robo():
# 异常情况可以重启跑当天投组 # # 异常情况可以重启跑当天投组
current_time = dt.datetime.now() # current_time = dt.datetime.now()
target_time = dt.time(10, 0) # target_time = dt.time(10, 0)
if current_time.time() > target_time: # if current_time.time() > target_time:
main.start() # main.start()
#
# 开启定时任务，执行实盘 # # 开启定时任务，执行实盘
scheduler = BlockingScheduler() # scheduler = BlockingScheduler()
scheduler.add_job(main.start, 'cron', day_of_week='0-4', hour=10, minute=00) # scheduler.add_job(main.start, 'cron', day_of_week='0-4', hour=10, minute=00)
scheduler.start() # scheduler.start()
#
#
def start_web(): # def start_web():
uvicorn.run("robo_controller:app", reload=True, port=8080) # uvicorn.run("robo_controller:app", reload=True, port=8080)
#
#
if __name__ == "__main__": # if __name__ == "__main__":
# 开启一个进程执行start_robo() # # 开启一个进程执行start_robo()
p1 = Process(target=start_robo) # p1 = Process(target=start_robo)
p1.start() # p1.start()
#
# 启动进程2 # # 启动进程2
p2 = Process(target=start_web) # p2 = Process(target=start_web)
p2.start() # p2.start()
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