add CSI500 data collector

scripts/data_collector/cn_index/README.md

@@ -1,4 +1,4 @@
-# CSI300/CSI100 History Companies Collection
+# CSI300/CSI100/CSI500 History Companies Collection
 
 ## Requirements
 
@@ -15,7 +15,7 @@ python collector.py --index_name CSI300 --qlib_dir ~/.qlib/qlib_data/cn_data --m
 # parse new companies
 python collector.py --index_name CSI300 --qlib_dir ~/.qlib/qlib_data/cn_data --method save_new_companies
 
-# index_name support: CSI300, CSI100
+# index_name support: CSI300, CSI100, CSI500
 # help
 python collector.py --help
 ```

scripts/data_collector/cn_index/collector.py

@@ -5,6 +5,7 @@ import re
 import abc
 import sys
 import importlib
+from tqdm import tqdm
 from io import BytesIO
 from typing import List, Iterable
 from pathlib import Path
@@ -12,6 +13,8 @@ from pathlib import Path
 import fire
 import requests
 import pandas as pd
+import baostock as bs
+from lxml import etree
 from loguru import logger
 
 CUR_DIR = Path(__file__).resolve().parent
@@ -44,6 +47,7 @@ def retry_request(url: str, method: str = "get", exclude_status: List = None):
 
 
 class CSIIndex(IndexBase):
+
     @property
     def calendar_list(self) -> List[pd.Timestamp]:
         """get history trading date
@@ -70,20 +74,20 @@ class CSIIndex(IndexBase):
     @abc.abstractmethod
     def bench_start_date(self) -> pd.Timestamp:
         """
-        Returns
-        -------
-            index start date
-        """
+		Returns
+		-------
+			index start date
+		"""
         raise NotImplementedError("rewrite bench_start_date")
 
     @property
     @abc.abstractmethod
     def index_code(self) -> str:
         """
-        Returns
-        -------
-            index code
-        """
+		Returns
+		-------
+			index code
+		"""
         raise NotImplementedError("rewrite index_code")
 
     @property
@@ -91,10 +95,10 @@ class CSIIndex(IndexBase):
     def html_table_index(self) -> int:
         """Which table of changes in html
 
-        CSI300: 0
-        CSI100: 1
-        :return:
-        """
+		CSI300: 0
+		CSI100: 1
+		:return:
+		"""
         raise NotImplementedError()
 
     def format_datetime(self, inst_df: pd.DataFrame) -> pd.DataFrame:
@@ -145,15 +149,15 @@ class CSIIndex(IndexBase):
     def normalize_symbol(symbol: str) -> str:
         """
 
-        Parameters
-        ----------
-        symbol: str
-            symbol
+		Parameters
+		----------
+		symbol: str
+			symbol
 
-        Returns
-        -------
-            symbol
-        """
+		Returns
+		-------
+			symbol
+		"""
         symbol = f"{int(symbol):06}"
         return f"SH{symbol}" if symbol.startswith("60") else f"SZ{symbol}"
 
@@ -210,10 +214,10 @@ class CSIIndex(IndexBase):
     def _read_change_from_url(self, url: str) -> pd.DataFrame:
         """read change from url
 
-        Parameters
-        ----------
-        url : str
-            change url
+		Parameters
+		----------
+		url : str
+			change url
 
         Returns
         -------
@@ -284,12 +288,12 @@ class CSIIndex(IndexBase):
     def get_new_companies(self) -> pd.DataFrame:
         """
 
-        Returns
-        -------
-            pd.DataFrame:
+		Returns
+		-------
+			pd.DataFrame:
 
-                symbol     start_date    end_date
-                SH600000   2000-01-01    2099-12-31
+				symbol     start_date    end_date
+				SH600000   2000-01-01    2099-12-31
 
             dtypes:
                 symbol: str
@@ -314,6 +318,7 @@ class CSIIndex(IndexBase):
 
 
 class CSI300(CSIIndex):
+
     @property
     def index_code(self):
         return "000300"
@@ -324,10 +329,11 @@ class CSI300(CSIIndex):
 
     @property
     def html_table_index(self):
-        return 1
+        return 0
 
 
 class CSI100(CSIIndex):
+
     @property
     def index_code(self):
         return "000903"
@@ -338,16 +344,54 @@ class CSI100(CSIIndex):
 
     @property
     def html_table_index(self):
-        return 2
+        return 1
+
+
+class CSI500(CSIIndex):
+
+    @property
+    def index_code(self):
+        return "000905"
+
+    @property
+    def bench_start_date(self) -> pd.Timestamp:
+        return pd.Timestamp("2007-01-15")
+
+    @property
+    def html_table_index(self):
+        return 0
+
+    def get_changes(self):
+        return self.get_changes_with_history_companies(self.get_history_companies())
+
+    def get_history_companies(self):
+        """
+		Data source：http://baostock.com/baostock/index.php/%E4%B8%AD%E8%AF%81500%E6%88%90%E5%88%86%E8%82%A1
+			Avoid a large number of parallel data acquisition,
+			such as 1000 times of concurrent data acquisition, because IP will be blocked
+		Returns
+		-------
+
+		"""
+        lg = bs.login()
+        today = pd.datetime.now()
+        date_range = pd.DataFrame(pd.date_range(start="2007-01-15", end=today, freq="7D"))[0].dt.date
+        ret_list = []
+        col = ["date", "symbol", "code_name"]
+        for date in tqdm(date_range, desc="Download CSI500"):
+            rs = bs.query_zz500_stocks(date=str(date))
+            zz500_stocks = []
+            while (rs.error_code == "0") & rs.next():
+                zz500_stocks.append(rs.get_row_data())
+            result = pd.DataFrame(zz500_stocks, columns=col)
+            result["symbol"] = result["symbol"].apply(lambda x: x.replace(".", "").upper())
+            ret_list.append(result[["date", "symbol"]])
+        bs.logout()
+        return pd.concat(ret_list, sort=False)
 
 
 def get_instruments(
-    qlib_dir: str,
-    index_name: str,
-    method: str = "parse_instruments",
-    freq: str = "day",
-    request_retry: int = 5,
-    retry_sleep: int = 3,
+    qlib_dir: str, index_name: str, method: str = "parse_instruments", request_retry: int = 5, retry_sleep: int = 3
 ):
     """
 
@@ -366,13 +410,13 @@ def get_instruments(
     retry_sleep: int
         request sleep, by default 3
 
-    Examples
-    -------
-        # parse instruments
-        $ python collector.py --index_name CSI300 --qlib_dir ~/.qlib/qlib_data/cn_data --method parse_instruments
+	Examples
+	-------
+		# parse instruments
+		$ python collector.py --index_name CSI300 --qlib_dir ~/.qlib/qlib_data/cn_data --method parse_instruments
 
-        # parse new companies
-        $ python collector.py --index_name CSI300 --qlib_dir ~/.qlib/qlib_data/cn_data --method save_new_companies
+		# parse new companies
+		$ python collector.py --index_name CSI300 --qlib_dir ~/.qlib/qlib_data/cn_data --method save_new_companies
 
     """
     _cur_module = importlib.import_module("data_collector.cn_index.collector")

scripts/data_collector/cn_index/requirements.txt

@@ -1,5 +1,8 @@
+baostock
+logure
 fire
 requests
 pandas
 lxml
 loguru
+tqdm