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calculates.py
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import pandas as pd
import numpy
from models import *
from converts import *
import datetime
def clt_stock(infodate, wind_file):
print('>> Stock Summary:')
t1 = datetime.datetime.now()
for item in StockLedge.selectBy(infodate=infodate):
item.delete(item.id)
item_list = unique(StockRecord.selectBy(infodate=infodate), 'code')
if len(item_list) > 0:
print(' %s item(s) to calculate\n ...' % len(item_list))
# ledge = pd.DataFrame(
# columns=['infodate','code', 'name', 'date_before_suspend', 'project_num', 'project_num_20', 'holdings', 'holdings_to_total',
# 'mv', 'avg_turnover', 'days_to_settle'])
hist = pd.read_excel(wind_file)
if len(hist['date'].drop_duplicates()) != 1 or hist['date'][0].date().isoformat() != infodate:
print(' possible error on wind data file!')
return False
for row in range(len(hist)):
hist.loc[row, 'code'] = hist.loc[row, 'code'][:6]
for i in item_list:
try:
name = hist[hist['code'] == i]['name'].iloc[0]
price = hist[hist['code'] == i]['price'].iloc[0]
records = StockRecord.selectBy(infodate=infodate, code=i)
holdings = records.sum('holdings')
project_num = records.throughTo.project.count()
project_num_20 = records.filter(
AND(StockRecord.q.cost2nav > 0.2, StockRecord.q.code == i)).throughTo.project.distinct().count()
common_stock_outstanding = hist[hist['code'] == i]['totala'].iloc[0]
holdings_to_total = holdings * 100 / common_stock_outstanding
mv = price * holdings
last_trade_day = hist[hist['code'] == i]['last_date'].iloc[0].date().isoformat()
if last_trade_day != infodate:
date_before_suspend = last_trade_day
else:
date_before_suspend = None
avg_turnover = hist[hist['code'] == i]['tr_year'].iloc[0]
if str(avg_turnover) == 'nan':
avg_turnover = -1
days_to_settle = holdings * 100 / avg_turnover / common_stock_outstanding
new_ledge = {
'infodate': infodate,
'code': i,
'name': name,
'date_before_suspend': date_before_suspend,
'project_num': int(project_num),
'project_num_20': int(project_num_20),
'holdings': float(holdings),
'holdings_to_total': float(holdings_to_total),
'mv': float(mv),
'avg_turnover': float(avg_turnover),
'days_to_settle': float(days_to_settle)
}
StockLedge(**new_ledge)
# print(new_ledge)
# ledge = ledge.append(new_ledge, ignore_index=True)
except Exception as e:
print(' Error on %s <- %s' % (i, str(e)))
# print(ledge)
else:
print(' No records for %s!' % infodate)
print(' Time Consumed：%s' % (datetime.datetime.now() - t1))
print(' Done!')
def clt_project(infodate):
print('>> Project Summary:')
t1 = datetime.datetime.now()
for i in ProjectLedge.selectBy(infodate=infodate):
i.delete(i.id)
item_list = StockRecord.selectBy(infodate=infodate).throughTo.project
if item_list.count() > 0:
print(' %s item(s) to calculate\n ...' % item_list.count())
for i in item_list:
try:
nav_now = NavRecord.selectBy(project=i, infodate=infodate)[0].nav
avail_dates = sorted(unique(NavRecord.selectBy(project=i), 'infodate'))
last_date = avail_dates[avail_dates.index(infodate) - 1]
if last_date < infodate:
nav_last = NavRecord.selectBy(project=i, infodate=last_date)[0].nav
nav_pct = (nav_now - nav_last) * 100 / nav_last
else:
nav_last = None
nav_pct = None
new_pledge = {
'infodate': infodate,
'project': i,
'nid': i.nid,
'name': i.name,
'branch': i.branch,
'type': i.type,
'f_code': i.f_code,
'issue_date': i.issue_date,
'duration': i.duration,
'amount': i.amount,
'leverage_ratio': i.leverage_ratio,
'warning_line': i.warning_line,
'stop_line': i.stop_line,
'stock_num': len(unique(StockRecord.selectBy(project=i, infodate=infodate), 'code')),
'stock_num_sup': len(
unique(StockRecord.select(AND(StockRecord.q.project == i, StockRecord.q.status == '停牌')),
'code')),
'stock_num_st': len(
unique(StockRecord.select(AND(StockRecord.q.project == i, LIKE(StockRecord.q.name, '%S%T%'))),
'code')),
'nav_now': nav_now,
'nav_last': nav_last,
'nav_pct': nav_pct,
'nav2stop': nav_now - i.stop_line,
'nav2warn': nav_now - i.warning_line,
}
ProjectLedge(**new_pledge)
except Exception as e:
print(' Error on %s <- %s' % (i, str(e)))
else:
print(' No records for %s!' % infodate)
print(' Time Consumed：%s' % (datetime.datetime.now() - t1))
print(' Done!')
def clt_guarantor(infodate, wind_file):
print('>> Guarantor Summary:')
t1 = datetime.datetime.now()
for item in GuarantorLedge.selectBy(infodate=infodate):
item.delete(item.id)
item_list = StockRecord.selectBy(infodate=infodate).throughTo.project.throughTo.guarantor.distinct()
if item_list.count() > 0:
hist = pd.read_excel(wind_file)
if len(hist['date'].drop_duplicates()) != 1 or hist['date'][0].date().isoformat() != infodate:
print(' possible error on wind data file!')
return False
for row in range(len(hist)):
hist.loc[row, 'code'] = hist.loc[row, 'code'][:6]
vector_stock = hist[['code']]
print(' %s item(s) to calculate\n ...' % item_list.count())
for i in item_list:
try:
pjt_records = Guarantor.selectBy(id=i.id).throughTo.project
stk_records = StockRecord.select(
IN(StockRecord.q.project, Guarantor.selectBy(id=i.id).throughTo.project))
print(' %s:' % i)
stk_ldege = clt_stock_set(stk_records, infodate, wind_file).sort_values(by='mv', ascending=False)
vector_stock = vector_stock.merge(stk_ldege[['code', 'mv_pct']], how='left', on='code')
vector_stock.rename(columns={'mv_pct': str(i.id)}, inplace=True)
new_ledge = {
'infodate': infodate,
'name': i.name,
'nid': i.nid,
'branch_num': int(len(unique(pjt_records, 'branch'))),
'project_num': int(pjt_records.distinct().count()),
'project_num_stop': int(ProjectLedge.select(IN(ProjectLedge.q.project, pjt_records)).filter(
AND(ProjectLedge.q.nav2stop < 0, ProjectLedge.q.infodate == infodate)).distinct().count()),
'project_num_warn': int(ProjectLedge.select(IN(ProjectLedge.q.project, pjt_records)).filter(
AND(ProjectLedge.q.nav2warn < 0, ProjectLedge.q.infodate == infodate)).distinct().count()),
'amount_total': float(pjt_records.sum('amount')),
'amount_avg': float(pjt_records.avg('amount')),
'stock_num': int(len(unique(stk_records, 'code'))),
'stock_num_sup': int(len(unique(stk_records.filter(StockRecord.q.status == '停牌'), 'code'))),
'stock_num_st': int(len(unique(stk_records.filter(LIKE(StockRecord.q.name, '%S%T%')), 'code'))),
'tp1_code': stk_ldege['code'].iloc[0],
'tp1_name': stk_ldege['name'].iloc[0],
'tp1_mv': float(stk_ldege['mv'].iloc[0]),
'tp1_pct': float(stk_ldege['mv_pct'].iloc[0]),
'tp2_code': stk_ldege['code'].iloc[1],
'tp2_name': stk_ldege['name'].iloc[1],
'tp2_mv': float(stk_ldege['mv'].iloc[1]),
'tp2_pct': float(stk_ldege['mv_pct'].iloc[1]),
'tp3_code': stk_ldege['code'].iloc[2],
'tp3_name': stk_ldege['name'].iloc[2],
'tp3_mv': float(stk_ldege['mv'].iloc[2]),
'tp3_pct': float(stk_ldege['mv_pct'].iloc[2]),
'tp4_code': stk_ldege['code'].iloc[3],
'tp4_name': stk_ldege['name'].iloc[3],
'tp4_mv': float(stk_ldege['mv'].iloc[3]),
'tp4_pct': float(stk_ldege['mv_pct'].iloc[3]),
'tp5_code': stk_ldege['code'].iloc[4],
'tp5_name': stk_ldege['name'].iloc[4],
'tp5_mv': float(stk_ldege['mv'].iloc[4]),
'tp5_pct': float(stk_ldege['mv_pct'].iloc[4]),
}
# print(new_ledge)
GuarantorLedge(**new_ledge)
except Exception as e:
print(' Error on %s <- %s' % (i, str(e)))
# vector_stock =vector_stock.set_index('code')
# vector_stock=vector_stock.fillna(0)
# corr_matrix = pd.DataFrame(index=vector_stock.columns, columns=vector_stock.columns)
# for c in vector_stock.columns:
# for r in vector_stock.columns:
# corr_matrix.loc[r, c] = numpy.linalg.norm(vector_stock[c] - vector_stock[r])
# corr_matrix = corr_matrix.sort_index(axis=1).sort_index()
# return corr_matrix
else:
print(' No records for %s!' % infodate)
print(' Time Consumed：%s' % (datetime.datetime.now() - t1))
print(' Done!')
def clt_stock_set(queryset, infodate, wind_file):
t1 = datetime.datetime.now()
item_list = unique(queryset, 'code')
if len(item_list) > 0:
hist = pd.read_excel(wind_file)
if len(hist['date'].drop_duplicates()) != 1 or hist['date'][0].date().isoformat() != infodate:
print(' possible error on wind data file!')
return False
for row in range(len(hist)):
hist.loc[row, 'code'] = hist.loc[row, 'code'][:6]
print(' %s item(s) to calculate\n ...' % len(item_list))
ledge = pd.DataFrame(
columns=[
'infodate',
'code',
'name',
'date_before_suspend',
'project_num',
'project_num_20',
'holdings',
'holdings_to_total',
'mv',
'avg_turnover',
'days_to_settle'
]
)
for i in item_list:
try:
name = hist[hist['code'] == i]['name'].iloc[0]
price = hist[hist['code'] == i]['price'].iloc[0]
records = queryset.filter(StockRecord.q.code == i)
holdings = records.sum('holdings')
project_num = records.throughTo.project.count()
project_num_20 = records.filter(
AND(StockRecord.q.cost2nav > 0.2, StockRecord.q.code == i)).throughTo.project.distinct().count()
common_stock_outstanding = hist[hist['code'] == i]['totala'].iloc[0]
holdings_to_total = holdings * 100 / common_stock_outstanding
mv = price * holdings
last_trade_day = hist[hist['code'] == i]['last_date'].iloc[0].date().isoformat()
if last_trade_day != infodate:
date_before_suspend = last_trade_day
else:
date_before_suspend = None
avg_turnover = hist[hist['code'] == i]['tr_year'].iloc[0]
if str(avg_turnover) == 'nan':
avg_turnover = -1
days_to_settle = holdings * 100 / avg_turnover / common_stock_outstanding
new_pledge = {
'infodate': infodate,
'code': i,
'name': name,
'date_before_suspend': date_before_suspend,
'project_num': int(project_num),
'project_num_20': int(project_num_20),
'holdings': float(holdings),
'holdings_to_total': float(holdings_to_total),
'mv': float(mv),
'avg_turnover': float(avg_turnover),
'days_to_settle': float(days_to_settle)
}
# StockPledge(**new_pledge)
# print(new_pledge)
ledge = ledge.append(new_pledge, ignore_index=True)
except Exception as e:
print(' Error on %s <- %s' % (i, str(e)))
total_mv = ledge['mv'].sum()
ledge['mv_pct'] = ledge.apply(lambda x: x.mv * 100 / total_mv, axis=1)
else:
print(' No records for %s!' % infodate)
print(' Time Consumed：%s' % (datetime.datetime.now() - t1))
print(' Done!')
return ledge
def clt_branch(infodate):
print('>> Branch Summary:')
t1 = datetime.datetime.now()
for item in BranchLedge.selectBy(infodate=infodate):
item.delete(item.id)
item_list = unique(StockRecord.selectBy(infodate=infodate).throughTo.project, 'branch')
if len(item_list) > 0:
print(' %s item(s) to calculate\n ...' % len(item_list))
for i in item_list:
new_pledge = {
'infodate': infodate,
'name': i,
'amount_total': ProjectLedge.selectBy(branch=i, infodate=infodate).sum('amount'),
'amount_avg': ProjectLedge.selectBy(branch=i, infodate=infodate).avg('amount'),
'amount_max': ProjectLedge.selectBy(branch=i, infodate=infodate).max('amount'),
'project_num': ProjectLedge.selectBy(branch=i, infodate=infodate).distinct().count(),
'project_num_stop': ProjectLedge.selectBy(branch=i, infodate=infodate).filter(
ProjectLedge.q.nav2stop < 0).distinct().count(),
'project_num_warn': ProjectLedge.selectBy(branch=i, infodate=infodate).filter(
ProjectLedge.q.nav2warn < 0).distinct().count(),
'stock_num': len(unique(
StockRecord.select(IN(StockRecord.q.project, ProjectLedge.selectBy(branch=i).throughTo.project)),
'code')),
'stock_num_st': len(unique(StockRecord.select(
IN(StockRecord.q.project, ProjectLedge.selectBy(branch=i).throughTo.project)).filter(
StockRecord.q.name == '%S%T%'), 'code')),
'stock_num_suspend': len(unique(StockRecord.select(
IN(StockRecord.q.project, ProjectLedge.selectBy(branch=i).throughTo.project)).filter(
StockRecord.q.status == '停牌'), 'code')),
}
BranchLedge(**new_pledge)
print(' Time Consumed：%s' % (datetime.datetime.now() - t1))
print(' Done!')
def clt_all(infodate, wind_file):
clt_stock(infodate, wind_file)
clt_project(infodate)
clt_guarantor(infodate, wind_file)
clt_branch(infodate)