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In [1]:



    


#coding=utf-8

from rqalpha.api import *
import traceback
from datetime import *
from sqlalchemy import create_engine
import pandas as pd
from rqalpha.utils.logger import user_log


def dependency():
    return []

def market(market=90):
    if market == 83:
        return 'XSHG'
    elif market == 90:
        return 'XSHE'
    else:
        return ""

def compute(startdt,enddt,context):
    '''
    PE
    :param startdt:
    :param enddt:
    :return:
    '''
    #context.config 对应配置的extra部分
    jydbConf = context.config.jydb
    _jyConnStr = "mysql+pymysql://%s:%s@%s:%s/%s"%(jydbConf.user,jydbConf.passwd,jydbConf.host,jydbConf.port,jydbConf.db)
    engine = create_engine(_jyConnStr)
    
    _category = [1, ]
    _sectors = [1, 2, 6]
    _sql = "SELECT p.TradingDay as date,p.TotalMV as value,a.SecuCode as code,a.SecuMarket" \
                   " FROM LC_DIndicesForValuation as p inner join secumain as a "\
                    "on a.innerCode=p.innerCode where a.SecuMarket in (83,90) " \
                   "and a.SecuCategory in (%s) and a.ListedSector in (%s) " \
                   "and a.ListedState!=9 and p.TradingDay between '%s' and '%s' order by p.TradingDay asc" % (
                        ",".join([str(i) for i in _category]), ",".join([str(i) for i in _sectors])
                        ,startdt.strftime('%Y-%m-%d'),
                       enddt.strftime('%Y-%m-%d'))
#     print(_sql)
    _res = pd.read_sql(sql=_sql,con = engine)
#     market = {90:"XSHE",83:"XSHG"}
    _res.code = _res.code + "." + _res.SecuMarket.apply(market)
    _res = _res.drop(['SecuMarket'],axis=1).set_index(['date','code']).unstack(level=-1)
    _res.columns = _res.columns.droplevel(level=0)
    return _res



    


















    






WARNING: better_exceptions will only inspect code from the command line
         when using: `python -m better_exceptions'. Otherwise, only code
         loaded from files will be inspected!

















In [8]:



    


# test
config= {"extra":{"jydb":{"host":"172.18.44.5","port":3306,"user":"liangh","passwd":"huaxun!@#db","db":"jydb"}}
         ,"factor_data_path":"../../factor_data","factor_data_init_date": "2017-01-01"}
from rqalpha.utils import RqAttrDict
conf = RqAttrDict(config)
from rqalpha.mod.rqalpha_mod_alphaStar_factors.factor_context import FactorContext
context = FactorContext(conf)
context.registerDepending(dependency())
res =  compute(datetime(2017,1,1),datetime(2017,2,1),context)
res



    


















    






SELECT p.TradingDay as date,p.TotalMV as value,a.SecuCode as code,a.SecuMarket FROM LC_DIndicesForValuation as p inner join secumain as a on a.innerCode=p.innerCode where a.SecuMarket in (83,90) and a.SecuCategory in (1) and a.ListedSector in (1,2,6) and a.ListedState!=9 and p.TradingDay between '2017-01-01' and '2017-02-01' order by p.TradingDay asc










    
Out[8]:











  
    

      code
      000001.XSHE
      000002.XSHE
      000004.XSHE
      000005.XSHE
      000006.XSHE
      000007.XSHE
      000008.XSHE
      000009.XSHE
      000010.XSHE
      000011.XSHE
      ...
      603986.XSHG
      603987.XSHG
      603988.XSHG
      603989.XSHG
      603990.XSHG
      603993.XSHG
      603996.XSHG
      603997.XSHG
      603998.XSHG
      603999.XSHG
    

    

      date
      
      
      
      
      
      
      
      
      
      
      
      
      
      
      
      
      
      
      
      
      
    

  
  
    

      2017-01-03
      1.572810e+11
      2.015826e+11
      3.732764e+09
      7.229807e+09
      1.305445e+10
      6.028196e+09
      2.623679e+10
      2.248215e+10
      6.386668e+09
      1.024517e+10
      ...
      1.779700e+10
      6.996348e+09
      5.692800e+09
      1.118400e+10
      4.418400e+09
      4.857649e+10
      6.081039e+09
      8.282400e+09
      7.763810e+09
      8.654400e+09
    

    

      2017-01-04
      1.572810e+11
      2.027495e+11
      3.753758e+09
      7.420343e+09
      1.322995e+10
      6.113653e+09
      2.637725e+10
      2.289052e+10
      6.419462e+09
      1.037198e+10
      ...
      1.779700e+10
      6.924850e+09
      6.262400e+09
      1.122000e+10
      4.433600e+09
      4.922418e+10
      6.186092e+09
      8.366400e+09
      7.776801e+09
      8.789760e+09
    

    

      2017-01-05
      1.574527e+11
      2.035274e+11
      3.731924e+09
      7.378002e+09
      1.325695e+10
      6.060531e+09
      2.643343e+10
      2.265410e+10
      6.403065e+09
      1.026630e+10
      ...
      1.779700e+10
      6.704045e+09
      6.215200e+09
      1.092600e+10
      4.461600e+09
      4.922418e+10
      6.273135e+09
      8.337000e+09
      7.681539e+09
      8.683200e+09
    

    

      2017-01-06
      1.567659e+11
      2.007074e+11
      3.691615e+09
      7.441514e+09
      1.351345e+10
      5.878068e+09
      2.663006e+10
      2.258962e+10
      6.321080e+09
      1.069957e+10
      ...
      1.779700e+10
      6.291877e+09
      6.059200e+09
      1.079100e+10
      4.242400e+09
      4.883556e+10
      6.261129e+09
      8.240400e+09
      7.607928e+09
      8.758080e+09
    

    

      2017-01-09
      1.571093e+11
      2.009019e+11
      3.611837e+09
      7.483855e+09
      1.343245e+10
      5.794921e+09
      2.677052e+10
      2.271858e+10
      6.378470e+09
      1.076298e+10
      ...
      1.779700e+10
      6.264539e+09
      6.464800e+09
      1.084500e+10
      4.232800e+09
      4.909464e+10
      6.270134e+09
      8.265600e+09
      7.664219e+09
      9.060480e+09
    

    

      2017-01-10
      1.571093e+11
      2.001240e+11
      3.631992e+09
      7.420343e+09
      1.317595e+10
      5.725631e+09
      2.660197e+10
      2.282604e+10
      6.321080e+09
      1.026102e+10
      ...
      1.779700e+10
      6.216172e+09
      6.477600e+09
      1.093500e+10
      4.252800e+09
      4.961279e+10
      6.222110e+09
      8.253000e+09
      7.690199e+09
      8.907840e+09
    

    

      2017-01-11
      1.569376e+11
      1.983736e+11
      3.564810e+09
      7.261563e+09
      1.306795e+10
      5.739489e+09
      2.629297e+10
      2.218124e+10
      6.075123e+09
      9.801335e+09
      ...
      1.779700e+10
      6.159394e+09
      6.530400e+09
      1.089300e+10
      4.198400e+09
      5.142631e+10
      6.039018e+09
      8.085000e+09
      8.131866e+09
      8.631360e+09
    

    

      2017-01-12
      1.571093e+11
      1.983736e+11
      3.531220e+09
      7.187465e+09
      1.255495e+10
      5.684058e+09
      2.629297e+10
      2.185884e+10
      5.960344e+09
      9.743214e+09
      ...
      1.779700e+10
      6.094204e+09
      6.737600e+09
      1.090200e+10
      4.202400e+09
      5.039001e+10
      5.999998e+09
      8.047200e+09
      7.924023e+09
      8.645760e+09
    

    

      2017-01-13
      1.572810e+11
      2.120847e+11
      3.443044e+09
      7.071026e+09
      1.192046e+10
      5.499285e+09
      2.587161e+10
      2.164390e+10
      5.788174e+09
      9.040477e+09
      ...
      1.779700e+10
      5.780872e+09
      6.503200e+09
      1.041000e+10
      3.970400e+09
      5.077862e+10
      6.123060e+09
      7.644000e+09
      7.846082e+09
      8.432640e+09
    

    

      2017-01-16
      1.569376e+11
      2.042081e+11
      3.212948e+09
      6.816977e+09
      1.140746e+10
      5.499285e+09
      2.457943e+10
      2.059072e+10
      5.583211e+09
      8.575508e+09
      ...
      1.779700e+10
      5.452820e+09
      6.420800e+09
      9.894000e+09
      3.755200e+09
      5.168539e+10
      6.252124e+09
      7.224000e+09
      7.066670e+09
      7.741440e+09
    

  



10 rows × 3088 columns



















In [10]:



    


# evaluateFileDemo
from rqalpha.mod.rqalpha_mod_alphaStar_factors import evaluate_file

config = {
  "base": {
    "start_date": "2010-01-01",
    "end_date": "2018-04-01",
  },
}

factor_file_path = "./market_value.ipynb"

evaluate_file(factor_file_path=factor_file_path,config=config,config_file = "../config_factor.yml")



    


















    






2010-01-04 INFO pe compute
2010-01-04 INFO SELECT p.TradingDay as date,p.TotalMV as value,a.SecuCode as code,a.SecuMarket FROM LC_DIndicesForValuation as p inner join secumain as a on a.innerCode=p.innerCode where a.SecuMarket in (83,90) and a.SecuCategory in (1) and a.ListedSector in (1,2,6) and a.ListedState!=9 and p.TradingDay between '2010-01-04' and '2018-03-30' order by p.TradingDay asc
[2018-04-20 13:24:20.313819] INFO: system_log: get factor value success










    






没有 000003.XSHE 相关数据
没有 000013.XSHE 相关数据
没有 000015.XSHE 相关数据
没有 000047.XSHE 相关数据
没有 000405.XSHE 相关数据
没有 000412.XSHE 相关数据
没有 000508.XSHE 相关数据
没有 000542.XSHE 相关数据
没有 000556.XSHE 相关数据
没有 000588.XSHE 相关数据
没有 000621.XSHE 相关数据
没有 000653.XSHE 相关数据
没有 000658.XSHE 相关数据
没有 000660.XSHE 相关数据
没有 000675.XSHE 相关数据
没有 000689.XSHE 相关数据
没有 000730.XSHE 相关数据
没有 002257.XSHE 相关数据
没有 002525.XSHE 相关数据
没有 002710.XSHE 相关数据
没有 002720.XSHE 相关数据
没有 300361.XSHE 相关数据
没有 300646.XSHE 相关数据
没有 300728.XSHE 相关数据
没有 300742.XSHE 相关数据
没有 300743.XSHE 相关数据
没有 600349.XSHG 相关数据
没有 600625.XSHG 相关数据
没有 600632.XSHG 相关数据
没有 600646.XSHG 相关数据
没有 600669.XSHG 相关数据
没有 600670.XSHG 相关数据
没有 600709.XSHG 相关数据
没有 600813.XSHG 相关数据
没有 600878.XSHG 相关数据
没有 601206.XSHG 相关数据
没有 603013.XSHG 相关数据
没有 603259.XSHG 相关数据
没有 603302.XSHG 相关数据
没有 603348.XSHG 相关数据
没有 603587.XSHG 相关数据
没有 603596.XSHG 相关数据
没有 603733.XSHG 相关数据










    






[2018-04-20 13:26:15.668745] INFO: system_log: 2010-01-04 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:15.834485] INFO: system_log: 2010-01-11 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:15.962666] INFO: system_log: 2010-01-18 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:16.091008] INFO: system_log: 2010-01-25 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:16.218651] INFO: system_log: 2010-02-01 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:16.345912] INFO: system_log: 2010-02-08 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:16.472824] INFO: system_log: 2010-02-22 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:16.599727] INFO: system_log: 2010-03-01 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:16.727150] INFO: system_log: 2010-03-08 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:16.854942] INFO: system_log: 2010-03-15 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:16.981651] INFO: system_log: 2010-03-22 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:17.109460] INFO: system_log: 2010-03-29 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:17.236170] INFO: system_log: 2010-04-06 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:17.363434] INFO: system_log: 2010-04-13 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:17.491205] INFO: system_log: 2010-04-20 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:17.617880] INFO: system_log: 2010-04-27 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:17.745041] INFO: system_log: 2010-05-05 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:17.871783] INFO: system_log: 2010-05-12 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:17.998574] INFO: system_log: 2010-05-19 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:18.125745] INFO: system_log: 2010-05-26 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:18.252413] INFO: system_log: 2010-06-02 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:18.379094] INFO: system_log: 2010-06-09 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:18.506048] INFO: system_log: 2010-06-21 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:18.632756] INFO: system_log: 2010-06-28 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:18.759699] INFO: system_log: 2010-07-05 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:18.886261] INFO: system_log: 2010-07-12 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:19.012678] INFO: system_log: 2010-07-19 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:19.139362] INFO: system_log: 2010-07-26 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:19.265762] INFO: system_log: 2010-08-02 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:19.392038] INFO: system_log: 2010-08-09 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:19.518350] INFO: system_log: 2010-08-16 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:19.645428] INFO: system_log: 2010-08-23 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:19.771975] INFO: system_log: 2010-08-30 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:19.897863] INFO: system_log: 2010-09-06 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:20.024289] INFO: system_log: 2010-09-13 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:20.150778] INFO: system_log: 2010-09-20 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:20.277580] INFO: system_log: 2010-09-30 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:20.403814] INFO: system_log: 2010-10-14 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:20.529688] INFO: system_log: 2010-10-21 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:20.655643] INFO: system_log: 2010-10-28 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:20.782717] INFO: system_log: 2010-11-04 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:20.909844] INFO: system_log: 2010-11-11 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:21.036882] INFO: system_log: 2010-11-18 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:21.163221] INFO: system_log: 2010-11-25 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:21.290184] INFO: system_log: 2010-12-02 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:21.415638] INFO: system_log: 2010-12-09 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:21.541870] INFO: system_log: 2010-12-16 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:21.667619] INFO: system_log: 2010-12-23 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:21.794288] INFO: system_log: 2010-12-30 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:21.920896] INFO: system_log: 2011-01-07 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:22.046981] INFO: system_log: 2011-01-14 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:22.173329] INFO: system_log: 2011-01-21 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:22.299273] INFO: system_log: 2011-01-28 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:22.425913] INFO: system_log: 2011-02-11 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:22.551763] INFO: system_log: 2011-02-18 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:22.676943] INFO: system_log: 2011-02-25 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:22.802771] INFO: system_log: 2011-03-04 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:22.928311] INFO: system_log: 2011-03-11 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:23.053381] INFO: system_log: 2011-03-18 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:23.177871] INFO: system_log: 2011-03-25 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:23.302930] INFO: system_log: 2011-04-01 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:23.427830] INFO: system_log: 2011-04-12 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:23.553224] INFO: system_log: 2011-04-19 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:23.678436] INFO: system_log: 2011-04-26 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:23.803061] INFO: system_log: 2011-05-04 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:23.927582] INFO: system_log: 2011-05-11 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:24.052724] INFO: system_log: 2011-05-18 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:24.178298] INFO: system_log: 2011-05-25 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:24.305660] INFO: system_log: 2011-06-01 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:24.431945] INFO: system_log: 2011-06-09 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:24.556912] INFO: system_log: 2011-06-16 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:24.682312] INFO: system_log: 2011-06-23 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:24.807363] INFO: system_log: 2011-06-30 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:24.932728] INFO: system_log: 2011-07-07 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:25.057577] INFO: system_log: 2011-07-14 00:00:00, factorValue len:3532, yieldData len:3579
[2018-04-20 13:26:25.182208] INFO: system_log: 2011-07-21 00:00:00, factorValue len:3532, yieldData len:3579
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Content source: xclxxl414/rqalpha

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