yz
/
dataloader
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

update getting index line

Browse Source
main^2
yzlocal 2 years ago
parent 155851bc18
commit c79fb69145
4 changed files with 111 additions and 66 deletions
Show Stats Download Patch File Download Diff File

2
src/code_list_all_pkl.py
Unescape View File

@ -1,5 +1,5 @@
all_fm_init_curr=['sc', 'v', 'TS', 'MA', 'AP', 'jm', 'bc', 'bb', 'fu', 'IM', 'IF', 'a', 'lu', 'FG', 'cu', 'al', 'IH', 'RS', 'pg', 'CF', 'SF', 'ni', 'hc', 'UR', 'm', 'SR', 'j', 'PF', 'RM', 'T', 'c', 'JR', 'l', 'p', 'sp', 'CY', 'pb', 'TF', 'b', 'eg', 'rb', 'PK', 'sn', 'nr', 'pp', 'CJ', 'eb', 'SA', 'y', 'RI', 'lh', 'jd', 'OI', 'WH', 'ss', 'ru', 'zn', 'fb', 'rr', 'PM', 'au', 'TA', 'ZC', 'IC', 'bu', 'SM', 'wr', 'cs', 'LR', 'ag', 'i']
tsl_ind_codeinit_mapping={'ICInd': 'IC', 'IFInd': 'IF', 'IHInd': 'IH', 'IMInd': 'IM', 'TInd': 'T', 'TFInd': 'TF', 'TSInd': 'TS', 'QI000001': 'al', 'QI000002': 'au', 'QI000003': 'cu', 'QI000004': 'fu', 'QI000005': 'ru', 'QI000006': 'zn', 'QI000007': 'CF', 'QI000009': 'RO', 'QI000010': 'SR', 'QI000011': 'TA', 'QI000012': 'WS', 'QI000013': 'WT', 'QI000014': 'a', 'QI000015': 'b', 'QI000016': 'c', 'QI000017': 'l', 'QI000018': 'm', 'QI000019': 'p', 'QI000020': 'y', 'QI000021': 'ER', 'QI000022': 'wr', 'QI000023': 'rb', 'QI000024': 'v', 'QI000025': 'pb', 'QI000026': 'j', 'QI000027': 'ME', 'QI000028': 'ag', 'QI000029': 'FG', 'QI000030': 'RS', 'QI000031': 'RM', 'QI000032': 'jm', 'QI000033': 'bu', 'QI000034': 'i', 'QI000035': 'ZC', 'QI000036': 'fb', 'QI000037': 'bb', 'QI000038': 'JR', 'QI000039': 'jd', 'QI000040': 'hc', 'QI000041': 'pp', 'QI000042': 'LR', 'QI000043': 'SF', 'QI000044': 'SM', 'QI000045': 'cs', 'QI000046': 'ni', 'QI000047': 'sn', 'QI000048': 'CY', 'QI000049': 'AP', 'QI000050': 'sc', 'QI000051': 'sp', 'QI000052': 'eg', 'QI000053': 'CJ', 'QI000054': 'nr', 'QI000055': 'UR', 'QI000056': 'rr', 'QI000057': 'ss', 'QI000058': 'eb', 'QI000059': 'SA', 'QI000060': 'pg', 'QI000061': 'lu', 'QI000062': 'PF', 'QI000063': 'bc', 'QI000064': 'lh', 'QI000065': 'PK'}
code_init_case_mapping={'ap': 'AP',
'fg': 'FG',
'rm': 'RM',

124
src/data_loader.py
Unescape View File

@ -1,12 +1,13 @@
from code_list_all_pkl import code_list as code_list_pickel_from_file, all_fm_init_curr
from code_list_all_pkl import code_list as code_list_pickel_from_file, all_fm_init_curr,tsl_ind_codeinit_mapping
from TSLfm import TSLfm
from DDBfm import DDBfm
import pandas as pd
import numpy as np
from loguru import logger
from os.path import dirname, abspath, join
import sys
running_which_env = 'prd'
running_which_env = 'dev'
def run_add_1day_code_init_minKline(date, code_list):
@ -32,6 +33,12 @@ def run_add_1day_code_init_minKline(date, code_list):
f'Getting a df of {df.shape}: {"+".join(code_list)} on {date}')
ddb.append_hft_table(ddb.ddf_hft_mink_tbname, df)
def map_code_tsl_to_9999indcode(code_tsl):
if code_tsl in tsl_ind_codeinit_mapping:
return tsl_ind_codeinit_mapping[code_tsl]+'9999'
else:
logger.error(f'TSL code didnt find mapping for {code_tsl}')
return np.nan
def check_if_date_codelist_exists(typ, date, code_list):
code_list_filtered=[]
@ -47,7 +54,7 @@ def check_if_date_codelist_exists(typ, date, code_list):
if typ == 'tick':
tbName = ddb1.ddf_hft_tick_tbname
elif typ == 'mink':
elif typ in ['mink','indl']:
tbName = ddb1.ddf_hft_mink_tbname
code_list_filtered = ddb1.get_missing_code_date_in_tb(
@ -64,15 +71,26 @@ def check_if_date_codelist_exists(typ, date, code_list):
def run_pool_add_by_datelist_codeinit(typ, date_list, code_list, if_check=1):
df_list = []
if typ=='indl':
code_list_filtered = [] # real code in ddb
code_list_tsl_code=[]
for c in code_list:
code_list_filtered.append(map_code_tsl_to_9999indcode(c))
code_list_tsl_code.append(c)
else:
code_list_filtered= code_list
for date in date_list:
if if_check:
code_list_filtered = check_if_date_codelist_exists(
typ, date, code_list)
else:
code_list_filtered = code_list
typ, date, code_list_filtered)
with TSLfm() as tsl:
if typ == 'tick':
df = tsl.process_result_data_type(
@ -80,6 +98,15 @@ def run_pool_add_by_datelist_codeinit(typ, date_list, code_list, if_check=1):
elif typ == 'mink':
df = tsl.process_result_data_type(
tsl.get_mkt_min_k(date, date, code_list_filtered))
elif typ == 'indl':
df = tsl.process_result_data_type(
tsl.get_mkt_min_k(date, date, code_list_tsl_code))
if typ == 'indl' and not df.empty:
# df.rename(columns={'code':'code_tsl'},inplace=True)
df['code']=df['code'].apply(map_code_tsl_to_9999indcode)
df['code_init']=df['code'].apply(lambda x: x[:-4])
# df.drop('code_tsl',axis=1,inplace=True)
if not df.empty:
df_list.append(df)
if not df_list:
@ -91,7 +118,7 @@ def run_pool_add_by_datelist_codeinit(typ, date_list, code_list, if_check=1):
f'Getting a df of {df_all.shape}: {code_list[0][:-4]} on {"+".join(date_list)}')
if typ == 'tick':
ddb2.append_pool_hft_table(ddb2.ddf_hft_tick_tbname, df_all)
elif typ == 'mink':
elif typ in ['mink','indl']:
ddb2.append_pool_hft_table(ddb2.ddf_hft_mink_tbname, df_all)
ddb2.close_sess()
del ddb2
@ -149,32 +176,46 @@ def run():
def run_pool_dates_by_code_init_n_group(typ='mink', code_gp_amt=10, date_gp_amt=10, start_date='20220101', end_date='20221031', if_check=1, code_dict_by='init'):
logger.info("Running run_pool_dates_by_group")
code_list_pickel=code_list_pickel_from_file
code_list_pickel=sorted(list(set(code_list_pickel)))
all_code_dict_by_init = {}
for c in code_list_pickel:
if c[-4:] < start_date[2:6]:
continue
if c[:-4] in all_fm_init_curr: #todo code that's not in curr is not counted!!! len: s6
init = c[:-4]
if init in all_code_dict_by_init:
all_code_dict_by_init[init].append(c)
else:
all_code_dict_by_init[init] = [c]
else:
logger.warning("There's unrecognized code init!!!!")
if code_dict_by == 'init':
all_code_dict = all_code_dict_by_init
if code_dict_by == 'group':
all_code_dict_by_group_no = {}
for ind, code_init in enumerate(sorted(all_code_dict_by_init)):
group_no = ind % code_gp_amt
if group_no not in all_code_dict_by_group_no:
all_code_dict_by_group_no[group_no] = all_code_dict_by_init[code_init]
if typ in ['mink','tick']:
code_list_pickel=code_list_pickel_from_file
code_list_pickel=sorted(list(set(code_list_pickel)))
all_code_dict_by_init = {}
for c in code_list_pickel:
if c[-4:] < start_date[2:6]:
continue
if c[:-4] in all_fm_init_curr: #todo code that's not in curr is not counted!!! len: s6
init = c[:-4]
if init in all_code_dict_by_init:
all_code_dict_by_init[init].append(c)
else:
all_code_dict_by_init[init] = [c]
else:
all_code_dict_by_group_no[group_no] += all_code_dict_by_init[code_init]
all_code_dict = all_code_dict_by_group_no
logger.warning("There's unrecognized code init!!!!")
if code_dict_by == 'init':
all_code_dict = all_code_dict_by_init
if code_dict_by == 'group':
all_code_dict_by_group_no = {}
for ind, code_init in enumerate(sorted(all_code_dict_by_init)):
group_no = ind % code_gp_amt
if group_no not in all_code_dict_by_group_no:
all_code_dict_by_group_no[group_no] = all_code_dict_by_init[code_init]
else:
all_code_dict_by_group_no[group_no] += all_code_dict_by_init[code_init]
all_code_dict = all_code_dict_by_group_no
elif typ in ['indl']:
tsl_ind_code_list = []
real_code_init_list = []
all_code_dict={}
for c in sorted(tsl_ind_codeinit_mapping):
if tsl_ind_codeinit_mapping[c] in all_fm_init_curr:
tsl_ind_code_list.append(c)
real_code_init_list.append(tsl_ind_codeinit_mapping[c])
all_code_dict[tsl_ind_codeinit_mapping[c]]=[c]
else:
logger.warning(f"There's unrecognized code init: {tsl_ind_codeinit_mapping[c]}!!!!")
allDates = pd.date_range(start_date, end_date, freq='D')
dates_dict_by_day = {}
@ -199,16 +240,9 @@ def run_pool_dates_by_code_init_n_group(typ='mink', code_gp_amt=10, date_gp_amt=
code_list = all_code_dict[code_init]
logger.info(date_list)
logger.info(code_list)
if typ == 'mink':
# logger.info('Running mink')
run_pool_add_by_datelist_codeinit(
'mink', date_list, code_list, if_check)
run_pool_add_by_datelist_codeinit(
typ, date_list, code_list, if_check)
# run_pool_add_byday_code_init_minKline(date_list,code_list)
elif typ == 'tick':
logger.info('Running tick')
run_pool_add_by_datelist_codeinit(
'tick', date_list, code_list, if_check)
if __name__ == '__main__':
@ -231,12 +265,12 @@ if __name__ == '__main__':
split_code_into_howmany_groups_no = int(split_code_into_howmany_groups_no)
split_date_into_howmany_groups=int(split_date_into_howmany_groups)
else:
typ = 'tick'
st_d = '20211201'
en_d = '20211231'
typ = 'indl'
st_d = '20221101'
en_d = '20221101'
if_check = True
split_code_into_howmany_groups_no = 20
split_date_into_howmany_groups = 5
split_code_into_howmany_groups_no = 1 # how many in 1 gp
split_date_into_howmany_groups = 1
logger.add(ROOT_DIR+"/logs/{time:YYYYMMDD-HHmmss}"+f"_{running_which_env}_{typ}_{st_d}_{en_d}_{if_check}_{split_code_into_howmany_groups_no}_{split_date_into_howmany_groups}.log",

49
src/data_loader_zl.py
Unescape View File

@ -6,7 +6,7 @@ from loguru import logger
from os.path import dirname, abspath, join
import sys
running_which_env = 'prd'
running_which_env = 'dev'
def get_code_init_og_code(code):
@ -21,13 +21,13 @@ def process_zl_cl_data(df_zl, df_cl):
df_zl.rename(columns={0: 'code_dom'}, inplace=True)
df_zl['code_dom'] = df_zl['code_dom'].apply(get_code_init_og_code)
df_zl['code_init'] = df_zl['code_dom'].apply(lambda x: x[:-4])
# print(df_zl)
print(df_zl)
df_cl.dropna(inplace=True)
df_cl.rename(columns={0: 'code_cont'}, inplace=True)
df_cl['code_cont'] = df_cl['code_cont'].apply(get_code_init_og_code)
df_cl['code_init'] = df_cl['code_cont'].apply(lambda x: x[:-4])
# print(df_cl)
print(df_cl)
df_cl_new_list = []
for ci, cigp in df_cl.groupby("code_init"):
@ -44,6 +44,8 @@ def process_zl_cl_data(df_zl, df_cl):
for i, cont in enumerate(all_cont):
df_cont.loc[0, cont_ind_list[i]] = cont
df_cl_new_list.append(df_cont)
if not df_cl_new_list:
return pd.DataFrame()
df_cl_new = pd.concat(df_cl_new_list)
# print(df_cl_new)
return pd.merge(df_zl, df_cl_new, on='code_init')
@ -137,26 +139,35 @@ def run_pool_append_zl_table_in_db(start_date, end_date, if_check=True):
if __name__ == '__main__':
typ = 'dailydom'
st_d = '20220101'
en_d = '20221031'
if_check = False
import time
ROOT_DIR = abspath(join(dirname(abspath(__file__)), ".."))
logger.remove()
logger.add(sys.stderr, level="INFO")
logger.add(ROOT_DIR+"/logs/{time:YYYYMMDD-HHmmss}"+f"_{running_which_env}_{typ}_{st_d}_{en_d}_{if_check}.log",
rotation="10 MB", compression="zip", level="DEBUG")
logger.add(ROOT_DIR+"/logs/{time:YYYYMMDD-HHmmss}"+f"_{running_which_env}.log",
rotation="10 MB", compression="zip", level="INFO")
for i in range(0,21):
logger.warning(
f"Going to run *{typ}* from {st_d} to {en_d} with if_check dupliactes={if_check} in *{running_which_env}*, plz check if this info is correct.\n\n\n\n")
typ = 'dailydom'
# st_d = '20220101'
# en_d = '20221031'
st_d = str(2000+i)+'0101'
en_d = str(2000+i)+'1231'
if_check = False
import time
tic = time.perf_counter()
logger.warning(
f"Going to run *{typ}* from {st_d} to {en_d} with if_check dupliactes={if_check} in *{running_which_env}*, plz check if this info is correct.\n\n\n\n")
tic = time.perf_counter()
# run_create_zl_table_in_db()
run_pool_append_zl_table_in_db(
start_date=st_d, end_date=en_d, if_check=if_check)
# run_create_zl_table_in_db()
run_pool_append_zl_table_in_db(
start_date=st_d, end_date=en_d, if_check=if_check)
toc = time.perf_counter()
logger.info(f"Running used {toc - tic:0.4f} seconds")
toc = time.perf_counter()
logger.info(f"Running used {toc - tic:0.4f} seconds")
time.sleep(10)

2
test/test.dos
Unescape View File

@ -23,7 +23,7 @@ select count(*) from loadTable("dfs://hft_futuremarket_ts", "DailyFutureInfoPart
pt=loadTable("dfs://daily_stock_ts","daily_kline")
select top 400 * from pt where code_init=`T
select top 400 * from pt where code=`IC9999
schema(pt)
select count(*) from pt

Write Preview
Loading…
Cancel
Save