In [6]:
#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.PE 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
In [7]:
# test
config= {"extra":{"jydb":{"host":"172.18.44.5","port":3306,"user":"liangh","passwd":"huaxun!@#db","db":"jydb"}}}
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.head(10)
Out[7]:
In [15]:
from numpy import log
res.head(10).applymap(log)
Out[15]:
In [2]:
# evaluateFileDemo
from rqalpha.mod.rqalpha_mod_alphaStar_factors import evaluate_file
config = {
"base": {
"start_date": "2018-01-01",
"end_date": "2018-04-01",
},
}
factor_file_path = "./pe.ipynb"
evaluate_file(factor_file_path=factor_file_path,config=config,config_file = "../config_factor.yml")
In [ ]:
%load_ext rqalpha.mod.rqalpha_mod_alphaStar_factors
%evaluate -s 20170101 -e 20170131 -f ./testFactor.ipynb -rt r --config ../config_factor.yml