import json
import logging
from py_jftech import component, autowired, format_date
from pymysql import IntegrityError, constants
from api import PortfoliosBuilder, PortfoliosRisk, AssetPool, Navs, PortfoliosType, Datum, SolveType, SolverFactory, \
PortfoliosChecker
from portfolios.dao import robo_mpt_portfolios as rmp
logger = logging.getLogger(__name__)
@component(bean_name='mpt')
class MptPortfoliosBuilder(PortfoliosBuilder):
@autowired
def __init__(self, assets: AssetPool = None, navs: Navs = None, datum: Datum = None, factory: SolverFactory = None,
checker: PortfoliosChecker = None):
self._assets = assets
self._navs = navs
self._datum = datum
self._factory = factory
self._checker = checker
def get_portfolios(self, day, risk: PortfoliosRisk, type: PortfoliosType = PortfoliosType.NORMAL):
try:
portfolio = rmp.get_one(day, type, risk)
if not portfolio:
result = self.build_portfolio(day, type)
for build_risk, datas in result.items():
datas['portfolio'] = self._checker.check(day, json.loads(datas['portfolio']))
try:
rmp.insert({
**datas,
'risk': build_risk,
'type': type,
'date': day
})
except IntegrityError as e:
code, msg = e.args
if code != constants.ER.DUP_ENTRY:
raise e
portfolio = rmp.get_one(day, type, risk)
if SolveType(portfolio['solve']) is not SolveType.INFEASIBLE:
result = json.loads(portfolio['portfolio'])
return {int(x[0]): x[1] for x in result.items()}
return None
except Exception as e:
logger.exception(
f"build portfolio of type[{type.name}] and risk[{risk.name}] with date[{format_date(day)}] failure.", e)
raise e
def build_portfolio(self, day, type: PortfoliosType):
result = {}
portfolios = {}
for risk in PortfoliosRisk:
logger.info(
f"start to build protfolio of type[{type.name}] and risk[{risk.name}] with date[{format_date(day)}]")
solver = self._factory.create_solver(risk, type)
navs_group = solver.reset_navs(day)
for category, navs in navs_group.items():
# count = solver.get_config('asset-count')[0]
# nav_count = len(navs.columns)
# if count <= nav_count:
# pass
solver.set_navs(navs)
solver.set_category(category)
logger.debug({
'Khist': len(solver.rtn_history),
'beta': solver.get_config('mpt.cvar-beta'),
'Kbeta': solver.k_beta,
})
max_rtn, max_var, minCVaR_whenMaxR = solver.solve_max_rtn()
min_rtn, min_var, maxCVaR_whenMinV = solver.solve_min_rtn()
portfolio, cvar = solver.solve_mpt(min_rtn, max_rtn)
portfolios = {**portfolios, **portfolio}
result[risk] = {
'solve': SolveType.MPT,
'portfolio': json.dumps(portfolios),
} if portfolios else {
'solve': SolveType.INFEASIBLE
}
return result
def clear(self, day=None, risk: PortfoliosRisk = None):
rmp.delete(min_date=day, risk=risk)
@component(bean_name='mpt')
class PoemPortfoliosBuilder(MptPortfoliosBuilder):
def build_portfolio(self, day, type: PortfoliosType):
result = {}
portfolios = {}
for risk in PortfoliosRisk:
solver = self._factory.create_solver(risk, type)
self.__day = day
navs_group = solver.reset_navs(day)
for category, navs in navs_group.items():
solver.set_navs(navs)
solver.set_category(category)
max_rtn, max_var, minCVaR_whenMaxR = solver.solve_max_rtn()
min_rtn, min_var, maxCVaR_whenMinV = solver.solve_min_rtn()
mpt_portfolio, mpt_cvar = solver.solve_mpt(min_rtn, max_rtn)
portfolio, cvar = solver.solve_poem(min_rtn, max_rtn, mpt_cvar, maxCVaR_whenMinV)
if not portfolio:
portfolio = mpt_portfolio
portfolios = {**portfolios, **portfolio}
if portfolios:
result[risk] = {
'solve': SolveType.POEM,
'portfolio': json.dumps(portfolios),
}
return result
@component(bean_name='mpt')
class MptARCPortfoliosBuilder(MptPortfoliosBuilder):
def get_portfolios(self, day, risk: PortfoliosRisk, type: PortfoliosType = PortfoliosType.NORMAL):
try:
portfolio = rmp.get_one(day, type, risk)
if not portfolio:
result, detail = self.build_portfolio(day, type)
for build_risk, datas in result.items():
datas['portfolio'] = self._checker.check(day, json.loads(datas['portfolio']))
try:
rmp.insert({
**datas,
'risk': build_risk,
'type': type,
'date': day
})
except IntegrityError as e:
code, msg = e.args
if code != constants.ER.DUP_ENTRY:
raise e
portfolio = rmp.get_one(day, type, risk)
if SolveType(portfolio['solve']) is not SolveType.INFEASIBLE:
result = json.loads(portfolio['portfolio'])
return {int(x[0]): x[1] for x in result.items()}
return None
except Exception as e:
logger.exception(
f"build protfolio of type[{type.name}] and risk[{risk.name}] with date[{format_date(day)}] failure.",
exc_info=e)
raise e
def build_portfolio(self, day, type: PortfoliosType):
result = {}
detail = {}
risk = PortfoliosRisk.FT3
logger.info(
f"start to build protfolio of type[{type.name}] and risk[{risk.name}] with date[{format_date(day)}]")
solver = self._factory.create_solver(risk, type)
solver.reset_navs(day)
logger.debug({
'Khist': len(solver.rtn_history),
'beta': solver.get_config('mpt.cvar-beta'),
'Kbeta': solver.k_beta,
})
max_rtn, max_var, minCVaR_whenMaxR = solver.solve_max_rtn()
min_rtn, min_var, maxCVaR_whenMinV = solver.solve_min_rtn()
portfolio, cvar = solver.solve_mpt(min_rtn, max_rtn)
result[risk] = {
'solve': SolveType.MPT,
'portfolio': json.dumps(portfolio),
'cvar': cvar
} if portfolio else {
'solve': SolveType.INFEASIBLE
}
detail[risk] = {
'max_rtn': max_rtn,
'max_var': max_var,
'minCVaR_whenMaxR': minCVaR_whenMaxR,
'min_rtn': min_rtn,
'min_var': min_var,
'maxCVaR_whenMinV': maxCVaR_whenMinV,
}
return result, detail
@component(bean_name='mpt')
class PoemARCPortfoliosBuilder(MptARCPortfoliosBuilder):
def build_portfolio(self, day, type: PortfoliosType):
result, detail = super(PoemARCPortfoliosBuilder, self).build_portfolio(day, type)
risk = PortfoliosRisk.FT3
# if result[risk]['solve'] is SolveType.INFEASIBLE:
# continue
solver = self._factory.create_solver(risk, type)
solver.reset_navs(day)
min_rtn = detail[risk]['min_rtn']
max_rtn = detail[risk]['max_rtn']
mpt_cvar = result[risk]['cvar']
maxCVaR_whenMinV = detail[risk]['maxCVaR_whenMinV']
portfolio, cvar = solver.solve_poem(min_rtn, max_rtn, mpt_cvar, maxCVaR_whenMinV)
if portfolio:
result[risk] = {
'solve': SolveType.POEM,
'portfolio': json.dumps(portfolio),
'cvar': cvar
}
detail[risk]['mpt_cvar'] = mpt_cvar
return result, detail
@component(bean_name='mpt')
class RiskParityARCPortfoliosBuilder(MptPortfoliosBuilder):
def build_portfolio(self, day, type: PortfoliosType):
result = {}
risk = PortfoliosRisk.FT3
logger.info(
f"start to build protfolio of type[{type.name}] and risk[{risk.name}] with date[{format_date(day)}]")
solver = self._factory.create_solver(risk, type)
solver.reset_navs(day)
portfolio = solver.solve_risk_parity()
result[risk] = {
'solve': SolveType.RISK_PARITY,
'portfolio': json.dumps(portfolio),
} if portfolio else {
'solve': SolveType.INFEASIBLE
}
return result