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dolphin-dev/ddb.ipynb

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1. Add `DDBDailyFactor.py`, which creates daily factors from HFT data. 2. Correct some typo in `DDBLoader.py`, but shouldn't affect its normal behaviour.
2 years ago
{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"id": "7246e0c8-61cd-4cbf-a978-aa0dc0172d6d",
"metadata": {},
"outputs": [],
"source": [
"import dolphindb as ddb"
]
},
{
"cell_type": "code",
"execution_count": 9,
"id": "5d0f471e-682e-43cc-abdb-7e52f3bbd707",
"metadata": {},
"outputs": [],
"source": [
"sess = ddb.session('192.168.1.7', 8848)\n",
"sess.login('admin', '123456')"
]
},
{
"cell_type": "code",
"execution_count": 7,
"id": "ed17fd0b-9b36-47e4-9ab6-11459a3621fb",
"metadata": {},
"outputs": [],
"source": [
"# backup(backup_path, sql_obj, force, parallel)\n",
"code = \"\"\"\n",
" backup('/data/dolphindb/backup/', <select * from loadTable(\"dfs://hft_stock_ts\", \"KLinePartitioned\")>, false, true)\n",
"\"\"\""
]
},
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"cell_type": "code",
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"execution_count": 25,
"id": "155735c7-bdad-4c64-a2a1-514fe54e088c",
"metadata": {},
"outputs": [],
"source": [
"import dolphindb as ddb\n",
"\n",
"sess = ddb.session('localhost', 8848)\n",
"sess.login('admin', '123456')"
]
},
{
"cell_type": "code",
"execution_count": 5,
"id": "a2e95bc5-c1d5-47f5-9488-9b8702947afc",
"metadata": {},
"outputs": [],
"source": [
"# migrate(backupDir, [backupDBPath], [backupTableName], [newDBPath=backupDBPath], [newTableName=backupTableName])\n",
"code = \"\"\"\n",
" migrate('/data/dolphindb/backup/',\"dfs://hft_stock_ts\", \"KLinePartitioned\")\n",
"\"\"\""
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "8a6198ef-e7f1-4f58-ba24-32dc429c9803",
"metadata": {},
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"source": [
"sess.run(code)"
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{
"cell_type": "code",
"execution_count": 28,
"id": "60f71516-33fc-4147-9740-c493ccb6b6a8",
"metadata": {},
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"source": [
"def make_kurto_code_partition(partition_num):\n",
" code = \"\"\"\n",
" tbl = loadTable(\"dfs://hft_stock_ts\", \"KLinePartitioned\");\n",
" ret = select \n",
" code, m_nDate, eachPre(\\, m_nClose)-1.0 as ret \n",
" from tbl \n",
" where partition(code, {partition_num}) \n",
" context by m_nDate;\n",
" kurto = select \n",
" code, m_nDate, sqrt(239) * sum(pow(ret, 3)) / pow(sum(pow(ret, 2)), 1.5) as kurto \n",
" from ret \n",
" group by code, m_nDate;\n",
" \"\"\".format(\n",
" partition_num = partition_num\n",
" )\n",
" sess.run(code)"
]
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],
"source": [
"sess.run(\"\"\"\n",
" select code, count(*) from kurto group by code\n",
"\"\"\")"
]
},
{
"cell_type": "code",
"execution_count": 12,
"id": "59758901-3728-4355-bbb8-15b3eb537cdf",
"metadata": {},
"outputs": [],
"source": [
"def create_daily_ddb_database():\n",
" code = \"\"\"\n",
" daily_stock_ts = database(\n",
" \"dfs://daily_stock_ts\", \n",
" HASH, [SYMBOL, 50], \n",
" engine = 'TSDB'\n",
" )\n",
" \"\"\"\n",
" sess.run(code)"
]
},
{
"cell_type": "code",
"execution_count": 38,
"id": "d8fa94ae-6ca4-41f3-8b13-47ab8876ba95",
"metadata": {},
"outputs": [],
"source": [
"def load_daily_ddb_database():\n",
" code = \"\"\"\n",
" daily_stock_ts = database(\"dfs://daily_stock_ts\")\n",
" \"\"\"\n",
" sess.run(code)\n",
"\n",
"load_daily_ddb_database()"
]
},
{
"cell_type": "code",
"execution_count": 43,
"id": "84eb237e-959c-419f-bce1-6779acda86d4",
"metadata": {},
"outputs": [],
"source": [
"def create_kurto_partition_table():\n",
" # createPartitionedTable(dbHandle, table, tableName, [partitionColumns], [compressMethods], [sortColumns], [keepDuplicates=ALL], [sortKeyMappingFunction])\n",
" code = \"\"\"\n",
" dropTable(daily_stock_ts, \"kurto_partitioned\");\n",
" kurto_partitioned = createPartitionedTable(\n",
" daily_stock_ts,\n",
" kurto, \n",
" \"kurto_partitioned\",\n",
" partitionColumns = 'code',\n",
" compressMethods = {'m_nDate' : 'delta'},\n",
" sortColumns = `code`m_nDate\n",
" );\n",
" \"\"\"\n",
" sess.run(code)\n",
" \n",
"create_kurto_partition_table()"
]
},
{
"cell_type": "code",
"execution_count": 40,
"id": "0d93b3d1-39b7-4e23-8abf-eda86dcd2a23",
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"execution_count": 40,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"sess.run(\"\"\"\n",
" kurto_partitioned.tableInsert(kurto);\n",
"\"\"\")"
]
},
{
"cell_type": "code",
"execution_count": 41,
"id": "eea5cb0b-8452-41a9-a0ad-7cf52c856c25",
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" count\n",
"0 154953"
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},
"execution_count": 41,
"metadata": {},
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],
"source": [
"sess.run(\"\"\"\n",
" select count(*) from kurto_partitioned;\n",
"\"\"\")"
]
},
{
"cell_type": "code",
"execution_count": 45,
"id": "9e7bc856-517b-4bf9-866d-4fe85b9705a3",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"{'partitionType': 5,\n",
" 'partitionColumnType': 17,\n",
" 'partitionColumnIndex': 0,\n",
" 'chunkPath': None,\n",
" 'colDefs': name typeString typeInt comment\n",
" 0 code SYMBOL 17 \n",
" 1 m_nDate DATE 6 \n",
" 2 kurto DOUBLE 16 ,\n",
" 'chunkGranularity': 'TABLE',\n",
" 'partitionTypeName': 'HASH',\n",
" 'keepDuplicates': 'ALL',\n",
" 'engineType': 'TSDB',\n",
" 'partitionColumnName': 'code',\n",
" 'partitionSchema': 50,\n",
" 'sortColumns': array(['code', 'm_nDate'], dtype=object),\n",
" 'partitionSites': None}"
]
},
"execution_count": 45,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"sess.run(\"\"\"\n",
" schema(loadTable(\"dfs://daily_stock_ts\", \"kurto_partitioned\"));\n",
"\"\"\")"
]
},
{
"cell_type": "code",
"execution_count": 46,
"id": "94ae00b5-ba42-48b9-b114-012cf306d871",
"metadata": {},
"outputs": [],
"source": [
"sess.run(\"m_table = table(kurto)\")"
]
},
{
"cell_type": "code",
"execution_count": 47,
"id": "e30134f9-5110-421d-8f71-1bef25e7ef17",
"metadata": {},
"outputs": [
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" <td>2022-07-08</td>\n",
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" </tr>\n",
" </tbody>\n",
"</table>\n",
"<p>154953 rows × 3 columns</p>\n",
"</div>"
],
"text/plain": [
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"0 000400.SZ 2013-01-04 -0.317991\n",
"1 000400.SZ 2013-01-07 0.790872\n",
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"... ... ... ...\n",
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"154949 688396.SH 2022-07-05 -15.426922\n",
"154950 688396.SH 2022-07-06 -15.389434\n",
"154951 688396.SH 2022-07-07 -15.411602\n",
"154952 688396.SH 2022-07-08 -15.401453\n",
"\n",
"[154953 rows x 3 columns]"
]
},
"execution_count": 47,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"sess.run(\"m_table\")"
]
},
{
"cell_type": "code",
"execution_count": 51,
"id": "947e3346-15f6-4fb5-b2d6-b97b013a3b36",
"metadata": {},
"outputs": [],
"source": [
"code = \"\"\"\n",
" // 保证创建新的分区表不会和已经存在表冲突\n",
" if (existsTable(\"{ddb_daily_path}\", \"{partition_tbl_name}\")) {{\n",
" dropTable({ddb_daily_dbname}, \"{partition_tbl_name}\");\n",
" }}\n",
"\n",
" {partition_tbl_name} = createPartitionedTable(\n",
" dbHandle = {ddb_daily_dbname},\n",
" table = {memory_tbl_name}, \n",
" \"{partition_tbl_name}\",\n",
" partitionColumns = 'code',\n",
" compressMethods = {{'m_nDate' : 'delta'}},\n",
" sortColumns = `code`m_nDate\n",
" );\n",
"\"\"\".format(\n",
" ddb_daily_path = \"A\",\n",
" ddb_daily_dbname = \"B\",\n",
" partition_tbl_name = \"C\",\n",
" memory_tbl_name = \"D\",\n",
")"
]
},
{
"cell_type": "code",
"execution_count": 53,
"id": "5d758c68-301a-47a7-9cd2-b7dd7edf1a55",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"('\\n'\n",
" ' // 保证创建新的分区表不会和已经存在表冲突\\n'\n",
" ' if (existsTable(\"A\", \"C\")) {\\n'\n",
" ' dropTable(B, \"C\");\\n'\n",
" ' }\\n'\n",
" '\\n'\n",
" ' C = createPartitionedTable(\\n'\n",
" ' dbHandle = B,\\n'\n",
" ' table = D, \\n'\n",
" ' \"C\",\\n'\n",
" \" partitionColumns = 'code',\\n\"\n",
" \" compressMethods = {'m_nDate' : 'delta'},\\n\"\n",
" ' sortColumns = `code`m_nDate\\n'\n",
" ' );\\n')\n"
]
}
],
"source": [
"from pprint import pprint\n",
"pprint(code)"
]
},
{
"cell_type": "code",
"execution_count": 56,
"id": "400424d9-9c58-4417-94e4-fe1569522b03",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"{'chunkGranularity': 'TABLE',\n",
" 'chunkPath': None,\n",
" 'colDefs': name typeString typeInt comment\n",
"0 code SYMBOL 17 \n",
"1 m_nDate DATE 6 \n",
"2 kurto DOUBLE 16 ,\n",
" 'engineType': 'TSDB',\n",
" 'keepDuplicates': 'ALL',\n",
" 'partitionColumnIndex': 0,\n",
" 'partitionColumnName': 'code',\n",
" 'partitionColumnType': 17,\n",
" 'partitionSchema': 50,\n",
" 'partitionSites': None,\n",
" 'partitionType': 5,\n",
" 'partitionTypeName': 'HASH',\n",
" 'sortColumns': array(['code', 'm_nDate'], dtype=object)}\n"
]
}
],
"source": [
"pprint(\n",
" sess.run(\"\"\"\n",
" schema(loadTable(\"dfs://daily_stock_ts\", \"hft_daily_factor\"));\n",
" \"\"\")\n",
")"
]
},
{
"cell_type": "code",
"execution_count": 62,
"id": "68e74de8-359c-4c47-a361-2c006896211c",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>count</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>309906</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" count\n",
"0 309906"
]
},
"execution_count": 62,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"sess.run(\"\"\"\n",
" select count(*) from loadTable(\"dfs://daily_stock_ts\", \"hft_daily_factor\");\n",
"\"\"\")"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "b1bd7605-c347-44f2-a90f-bc949cde0ef0",
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3 (ipykernel)",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.8.13"
}
},
"nbformat": 4,
"nbformat_minor": 5
}