In [2]:

    

%matplotlib inline

import os
from PyFin.api import *
from alphamind.api import *


    

In [33]:

    

universe_name = 'zz1000'
formula = CSTopN(LAST('ROE'), 3, groups='sw1')
ref_date = '2019-02-14'


    

In [35]:

    

depends = formula.fields
engine = SqlEngine(os.environ['DB_URI'])
universe = Universe(universe_name)
codes = universe.query(engine, dates=[ref_date])


    

In [43]:

    

factors = engine.fetch_factor(ref_date, depends, codes.code.tolist()).dropna()
factors.index = [1] * len(factors)
factors = factors[['code'] + depends]


    

In [44]:

    

res = formula.transform(factors, name='factor', category_field='code')


    

In [45]:

    

res[res.factor == 1]


    

    
Out[45]:







  

    

      

      
factor
      
code
    
  
  

    

      
1
      
1.0
      
16
    
    

      
1
      
1.0
      
34
    
    

      
1
      
1.0
      
43
    
    

      
1
      
1.0
      
55
    
    

      
1
      
1.0
      
429
    
    

      
1
      
1.0
      
516
    
    

      
1
      
1.0
      
520
    
    

      
1
      
1.0
      
639
    
    

      
1
      
1.0
      
672
    
    

      
1
      
1.0
      
789
    
    

      
1
      
1.0
      
881
    
    

      
1
      
1.0
      
885
    
    

      
1
      
1.0
      
892
    
    

      
1
      
1.0
      
918
    
    

      
1
      
1.0
      
968
    
    

      
1
      
1.0
      
2016
    
    

      
1
      
1.0
      
2033
    
    

      
1
      
1.0
      
2035
    
    

      
1
      
1.0
      
2061
    
    

      
1
      
1.0
      
2071
    
    

      
1
      
1.0
      
2168
    
    

      
1
      
1.0
      
2182
    
    

      
1
      
1.0
      
2234
    
    

      
1
      
1.0
      
2327
    
    

      
1
      
1.0
      
2343
    
    

      
1
      
1.0
      
2396
    
    

      
1
      
1.0
      
2518
    
    

      
1
      
1.0
      
2597
    
    

      
1
      
1.0
      
2626
    
    

      
1
      
1.0
      
2677
    
    

      
...
      
...
      
...
    
    

      
1
      
1.0
      
600231
    
    

      
1
      
1.0
      
600382
    
    

      
1
      
1.0
      
600569
    
    

      
1
      
1.0
      
600581
    
    

      
1
      
1.0
      
600596
    
    

      
1
      
1.0
      
600677
    
    

      
1
      
1.0
      
600681
    
    

      
1
      
1.0
      
600740
    
    

      
1
      
1.0
      
600763
    
    

      
1
      
1.0
      
600803
    
    

      
1
      
1.0
      
600828
    
    

      
1
      
1.0
      
603043
    
    

      
1
      
1.0
      
603055
    
    

      
1
      
1.0
      
603113
    
    

      
1
      
1.0
      
603165
    
    

      
1
      
1.0
      
603180
    
    

      
1
      
1.0
      
603305
    
    

      
1
      
1.0
      
603323
    
    

      
1
      
1.0
      
603399
    
    

      
1
      
1.0
      
603517
    
    

      
1
      
1.0
      
603587
    
    

      
1
      
1.0
      
603595
    
    

      
1
      
1.0
      
603596
    
    

      
1
      
1.0
      
603609
    
    

      
1
      
1.0
      
603660
    
    

      
1
      
1.0
      
603666
    
    

      
1
      
1.0
      
603708
    
    

      
1
      
1.0
      
603730
    
    

      
1
      
1.0
      
603773
    
    

      
1
      
1.0
      
603848
    
  

82 rows × 2 columns

In [ ]: