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Support csi100 data collection && Fix data collector

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This commit is contained in:
zhupr
2020-10-20 22:10:17 +08:00
committed by you-n-g
parent 59047df699
commit 5bca9d892a
3 changed files with 194 additions and 48 deletions
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143
scripts/data_collector/csi/collector.py
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@@ -2,6 +2,7 @@
# Licensed under the MIT License.
import re
import abc
import sys
import bisect
from io import BytesIO
@@ -18,14 +19,12 @@ sys.path.append(str(CUR_DIR.parent.parent))
from data_collector.utils import get_hs_calendar_list as get_calendar_list
NEW_COMPANIES_URL = "http://www.csindex.com.cn/uploads/file/autofile/cons/000300cons.xls"
NEW_COMPANIES_URL = "http://www.csindex.com.cn/uploads/file/autofile/cons/{index_code}cons.xls"
CSI300_CHANGES_URL = "http://www.csindex.com.cn/zh-CN/search/total?key=%E5%85%B3%E4%BA%8E%E8%B0%83%E6%95%B4%E6%B2%AA%E6%B7%B1300%E5%92%8C%E4%B8%AD%E8%AF%81%E9%A6%99%E6%B8%AF100%E7%AD%89%E6%8C%87%E6%95%B0%E6%A0%B7%E6%9C%AC%E8%82%A1%E7%9A%84%E5%85%AC%E5%91%8A"
CSI300_START_DATE = pd.Timestamp("2005-01-01")
INDEX_CHANGES_URL = "http://www.csindex.com.cn/zh-CN/search/total?key=%E5%85%B3%E4%BA%8E%E8%B0%83%E6%95%B4%E6%B2%AA%E6%B7%B1300%E5%92%8C%E4%B8%AD%E8%AF%81%E9%A6%99%E6%B8%AF100%E7%AD%89%E6%8C%87%E6%95%B0%E6%A0%B7%E6%9C%AC%E8%82%A1%E7%9A%84%E5%85%AC%E5%91%8A"
class CSI300:
class CSIIndex:
REMOVE = "remove"
ADD = "add"
@@ -45,6 +44,9 @@ class CSI300:
self.instruments_dir.mkdir(exist_ok=True, parents=True)
self._calendar_list = None
self.cache_dir = Path("~/.cache/csi").expanduser().resolve()
self.cache_dir.mkdir(exist_ok=True, parents=True)
@property
def calendar_list(self) -> list:
"""get history trading date
@@ -52,7 +54,41 @@ class CSI300:
Returns
-------
"""
return get_calendar_list(bench=True)
return get_calendar_list(bench_code=self.index_name.upper())
@property
def new_companies_url(self):
return NEW_COMPANIES_URL.format(index_code=self.index_code)
@property
def changes_url(self):
return INDEX_CHANGES_URL
@property
@abc.abstractmethod
def bench_start_date(self) -> pd.Timestamp:
raise NotImplementedError()
@property
@abc.abstractmethod
def index_code(self):
raise NotImplementedError()
@property
@abc.abstractmethod
def index_name(self):
raise NotImplementedError()
@property
@abc.abstractmethod
def html_table_index(self):
"""Which table of changes in html
CSI300: 0
CSI100: 1
:return:
"""
raise NotImplementedError()
def _get_trading_date_by_shift(self, trading_date: pd.Timestamp, shift=1):
"""get trading date by shift
@@ -119,14 +155,18 @@ class CSI300:
remove_date = self._get_trading_date_by_shift(add_date, shift=-1)
logger.info(f"get {add_date} changes")
try:
excel_url = re.findall('.*href="(.*?xls.*?)".*', _text)[0]
_io = BytesIO(requests.get(f"http://www.csindex.com.cn{excel_url}").content)
content = requests.get(f"http://www.csindex.com.cn{excel_url}").content
_io = BytesIO(content)
df_map = pd.read_excel(_io, sheet_name=None)
with self.cache_dir.joinpath(
f"{self.index_name.lower()}_changes_{add_date.strftime('%Y%m%d')}.{excel_url.split('.')[-1]}"
).open("wb") as fp:
fp.write(content)
tmp = []
for _s_name, _type, _date in [("调入", self.ADD, add_date), ("调出", self.REMOVE, remove_date)]:
_df = df_map[_s_name]
_df = _df.loc[_df["指数代码"] == "000300", ["证券代码"]]
_df = _df.loc[_df["指数代码"] == self.index_code, ["证券代码"]]
_df = _df.applymap(self.normalize_symbol)
_df.columns = ["symbol"]
_df["type"] = _type
@@ -135,9 +175,13 @@ class CSI300:
df = pd.concat(tmp)
except Exception:
df = None
_tmp_count = 0
for _df in pd.read_html(resp.content):
if _df.shape[-1] != 4:
continue
_tmp_count += 1
if self.html_table_index + 1 > _tmp_count:
continue
tmp = []
for _s, _type, _date in [
(_df.iloc[2:, 0], self.REMOVE, remove_date),
@@ -149,31 +193,42 @@ class CSI300:
_tmp_df["date"] = _date
tmp.append(_tmp_df)
df = pd.concat(tmp)
df.to_csv(
str(
self.cache_dir.joinpath(
f"{self.index_name.lower()}_changes_{add_date.strftime('%Y%m%d')}.csv"
).resolve()
)
)
break
return df
@staticmethod
def _get_change_notices_url() -> list:
def _get_change_notices_url(self) -> list:
"""get change notices url
Returns
-------
"""
resp = requests.get(CSI300_CHANGES_URL)
resp = requests.get(self.changes_url)
html = etree.HTML(resp.text)
return html.xpath("//*[@id='itemContainer']//li/a/@href")
def _get_new_companies(self):
logger.info("get new companies")
_io = BytesIO(requests.get(NEW_COMPANIES_URL).content)
context = requests.get(self.new_companies_url).content
with self.cache_dir.joinpath(
f"{self.index_name.lower()}_new_companies.{self.new_companies_url.split('.')[-1]}"
).open("wb") as fp:
fp.write(context)
_io = BytesIO(context)
df = pd.read_excel(_io)
df = df.iloc[:, [0, 4]]
df.columns = ["end_date", "symbol"]
df["symbol"] = df["symbol"].map(self.normalize_symbol)
df["end_date"] = pd.to_datetime(df["end_date"])
df["start_date"] = CSI300_START_DATE
df["start_date"] = self.bench_start_date
return df
def parse_instruments(self):
@@ -183,7 +238,7 @@ class CSI300:
-------
$ python collector.py parse_instruments --qlib_dir ~/.qlib/qlib_data/cn_data
"""
logger.info("start parse csi300 companies.....")
logger.info(f"start parse {self.index_name.lower()} companies.....")
instruments_columns = ["symbol", "start_date", "end_date"]
changers_df = self._get_changes()
new_df = self._get_new_companies()
@@ -196,15 +251,65 @@ class CSI300:
] = _row.date
else:
_tmp_df = pd.DataFrame(
[[_row.symbol, CSI300_START_DATE, _row.date]], columns=["symbol", "start_date", "end_date"]
[[_row.symbol, self.bench_start_date, _row.date]], columns=["symbol", "start_date", "end_date"]
)
new_df = new_df.append(_tmp_df, sort=False)
new_df.loc[:, instruments_columns].to_csv(
self.instruments_dir.joinpath("csi300.txt"), sep="\t", index=False, header=None
self.instruments_dir.joinpath(f"{self.index_name.lower()}.txt"), sep="\t", index=False, header=None
)
logger.info("parse csi300 companies finished.")
logger.info(f"parse {self.index_name.lower()} companies finished.")
class CSI300(CSIIndex):
@property
def index_code(self):
return "000300"
@property
def index_name(self):
return "csi300"
@property
def bench_start_date(self) -> pd.Timestamp:
return pd.Timestamp("2005-01-01")
@property
def html_table_index(self):
return 0
class CSI100(CSIIndex):
@property
def index_code(self):
return "000903"
@property
def index_name(self):
return "csi100"
@property
def bench_start_date(self) -> pd.Timestamp:
return pd.Timestamp("2006-05-29")
@property
def html_table_index(self):
return 1
def parse_instruments(qlib_dir: str):
"""
Parameters
----------
qlib_dir: str
qlib data dir, default "Path(__file__).parent/qlib_data"
"""
qlib_dir = Path(qlib_dir).expanduser().resolve()
qlib_dir.mkdir(exist_ok=True, parents=True)
CSI300(qlib_dir).parse_instruments()
CSI100(qlib_dir).parse_instruments()
if __name__ == "__main__":
fire.Fire(CSI300)
fire.Fire(parse_instruments)