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fix-csi500

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This commit is contained in:
Linlang Lv (iSoftStone)
2022-03-09 23:03:28 +08:00
parent 40dd84857c
commit 837067b9e1
1 changed files with 81 additions and 8 deletions
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89
scripts/data_collector/cn_index/collector.py
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@@ -345,7 +345,7 @@ class CSI100(CSIIndex):
class CSI500(CSIIndex):
@property
def index_code(self):
def index_code(self) -> str:
return "000905"
@property
@@ -353,22 +353,41 @@ class CSI500(CSIIndex):
return pd.Timestamp("2007-01-15")
@property
def html_table_index(self):
def html_table_index(self) -> int:
return 0
def get_changes(self):
def get_changes(self) -> pd.DataFrame:
"""get companies changes
Return
--------
pd.DataFrame:
symbol date type
SH600000 2019-11-11 add
SH600000 2020-11-10 remove
dtypes:
symbol: str
date: pd.Timestamp
type: str, value from ["add", "remove"]
"""
return self.get_changes_with_history_companies(self.get_history_companies())
def get_history_companies(self):
def get_history_companies(self) -> pd.DataFrame:
"""
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
-------
pd.DataFrame:
symbol date type
SH600000 2019-11-11 add
SH600000 2020-11-10 remove
dtypes:
symbol: str
date: pd.Timestamp
type: str, value from ["add", "remove"]
"""
lg = bs.login()
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 = []
@@ -380,10 +399,64 @@ class CSI500(CSIIndex):
zz500_stocks.append(rs.get_row_data())
result = pd.DataFrame(zz500_stocks, columns=col)
result["symbol"] = result["symbol"].apply(lambda x: x.replace(".", "").upper())
result = self.get_data_from_baostock(date)
ret_list.append(result[["date", "symbol"]])
bs.logout()
return pd.concat(ret_list, sort=False)
def get_data_from_baostock(self, date) -> pd.DataFrame:
"""
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
-------
pd.DataFrame:
date symbol code_name
SH600039 2007-01-15 四川路桥
SH600051 2020-01-15 宁波联合
dtypes:
date: pd.Timestamp
symbol: str
code_name: str
"""
col = ["date", "symbol", "code_name"]
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())
return result
def get_new_companies(self) -> pd.DataFrame:
"""
Returns
-------
pd.DataFrame:
symbol start_date end_date
SH600000 2000-01-01 2099-12-31
dtypes:
symbol: str
start_date: pd.Timestamp
end_date: pd.Timestamp
"""
logger.info("get new companies......")
today = datetime.date.today()
bs.login()
result = self.get_data_from_baostock(today)
bs.logout()
df = result[["date", "symbol"]]
df.columns = [self.END_DATE_FIELD, self.SYMBOL_FIELD_NAME]
df[self.END_DATE_FIELD] = pd.to_datetime(df[self.END_DATE_FIELD].astype(str))
df[self.START_DATE_FIELD] = self.bench_start_date
logger.info("end of get new companies.")
return df
def get_instruments(
qlib_dir: str,