mirror of
https://github.com/microsoft/qlib.git
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387 lines
13 KiB
Python
387 lines
13 KiB
Python
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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import re
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import abc
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import sys
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import importlib
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from io import BytesIO
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from typing import List, Iterable
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from pathlib import Path
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import fire
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import requests
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import pandas as pd
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from loguru import logger
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CUR_DIR = Path(__file__).resolve().parent
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sys.path.append(str(CUR_DIR.parent.parent))
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from data_collector.index import IndexBase
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from data_collector.utils import get_calendar_list, get_trading_date_by_shift, deco_retry
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NEW_COMPANIES_URL = "https://csi-web-dev.oss-cn-shanghai-finance-1-pub.aliyuncs.com/static/html/csindex/public/uploads/file/autofile/cons/{index_code}cons.xls"
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INDEX_CHANGES_URL = "https://www.csindex.com.cn/csindex-home/search/search-content?lang=cn&searchInput=%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&pageNum={page_num}&pageSize={page_size}&sortField=date&dateRange=all&contentType=announcement"
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REQ_HEADERS = {
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"User-Agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/91.0.4472.101 Safari/537.36 Edg/91.0.864.48"
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}
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@deco_retry
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def retry_request(url: str, method: str = "get", exclude_status: List = None):
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if exclude_status is None:
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exclude_status = []
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method_func = getattr(requests, method)
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_resp = method_func(url, headers=REQ_HEADERS)
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_status = _resp.status_code
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if _status not in exclude_status and _status != 200:
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raise ValueError(f"response status: {_status}, url={url}")
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return _resp
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class CSIIndex(IndexBase):
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@property
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def calendar_list(self) -> List[pd.Timestamp]:
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"""get history trading date
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Returns
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-------
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calendar list
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"""
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_calendar = getattr(self, "_calendar_list", None)
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if not _calendar:
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_calendar = get_calendar_list(bench_code=self.index_name.upper())
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setattr(self, "_calendar_list", _calendar)
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return _calendar
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@property
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def new_companies_url(self) -> str:
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return NEW_COMPANIES_URL.format(index_code=self.index_code)
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@property
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def changes_url(self) -> str:
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return INDEX_CHANGES_URL
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@property
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@abc.abstractmethod
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def bench_start_date(self) -> pd.Timestamp:
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"""
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Returns
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-------
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index start date
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"""
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raise NotImplementedError("rewrite bench_start_date")
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@property
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@abc.abstractmethod
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def index_code(self) -> str:
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"""
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Returns
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-------
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index code
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"""
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raise NotImplementedError("rewrite index_code")
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@property
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@abc.abstractmethod
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def html_table_index(self) -> int:
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"""Which table of changes in html
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CSI300: 0
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CSI100: 1
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:return:
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"""
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raise NotImplementedError()
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def format_datetime(self, inst_df: pd.DataFrame) -> pd.DataFrame:
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"""formatting the datetime in an instrument
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Parameters
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----------
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inst_df: pd.DataFrame
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inst_df.columns = [self.SYMBOL_FIELD_NAME, self.START_DATE_FIELD, self.END_DATE_FIELD]
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Returns
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-------
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"""
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if self.freq != "day":
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inst_df[self.START_DATE_FIELD] = inst_df[self.START_DATE_FIELD].apply(
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lambda x: (pd.Timestamp(x) + pd.Timedelta(hours=9, minutes=30)).strftime("%Y-%m-%d %H:%M:%S")
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)
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inst_df[self.END_DATE_FIELD] = inst_df[self.END_DATE_FIELD].apply(
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lambda x: (pd.Timestamp(x) + pd.Timedelta(hours=15, minutes=0)).strftime("%Y-%m-%d %H:%M:%S")
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)
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return inst_df
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def get_changes(self) -> pd.DataFrame:
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"""get companies changes
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Returns
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-------
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pd.DataFrame:
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symbol date type
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SH600000 2019-11-11 add
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SH600000 2020-11-10 remove
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dtypes:
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symbol: str
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date: pd.Timestamp
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type: str, value from ["add", "remove"]
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"""
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logger.info("get companies changes......")
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res = []
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for _url in self._get_change_notices_url():
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_df = self._read_change_from_url(_url)
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if not _df.empty:
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res.append(_df)
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logger.info("get companies changes finish")
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return pd.concat(res, sort=False)
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@staticmethod
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def normalize_symbol(symbol: str) -> str:
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"""
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Parameters
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----------
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symbol: str
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symbol
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Returns
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-------
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symbol
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"""
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symbol = f"{int(symbol):06}"
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return f"SH{symbol}" if symbol.startswith("60") else f"SZ{symbol}"
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def _parse_excel(self, excel_url: str, add_date: pd.Timestamp, remove_date: pd.Timestamp) -> pd.DataFrame:
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content = retry_request(excel_url, exclude_status=[404]).content
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_io = BytesIO(content)
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df_map = pd.read_excel(_io, sheet_name=None)
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with self.cache_dir.joinpath(
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f"{self.index_name.lower()}_changes_{add_date.strftime('%Y%m%d')}.{excel_url.split('.')[-1]}"
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).open("wb") as fp:
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fp.write(content)
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tmp = []
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for _s_name, _type, _date in [("调入", self.ADD, add_date), ("调出", self.REMOVE, remove_date)]:
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_df = df_map[_s_name]
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_df = _df.loc[_df["指数代码"] == self.index_code, ["证券代码"]]
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_df = _df.applymap(self.normalize_symbol)
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_df.columns = [self.SYMBOL_FIELD_NAME]
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_df["type"] = _type
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_df[self.DATE_FIELD_NAME] = _date
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tmp.append(_df)
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df = pd.concat(tmp)
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return df
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def _parse_table(self, content: str, add_date: pd.DataFrame, remove_date: pd.DataFrame) -> pd.DataFrame:
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df = pd.DataFrame()
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_tmp_count = 0
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for _df in pd.read_html(content):
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if _df.shape[-1] != 4:
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continue
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_tmp_count += 1
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if self.html_table_index + 1 > _tmp_count:
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continue
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tmp = []
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for _s, _type, _date in [
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(_df.iloc[2:, 0], self.REMOVE, remove_date),
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(_df.iloc[2:, 2], self.ADD, add_date),
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]:
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_tmp_df = pd.DataFrame()
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_tmp_df[self.SYMBOL_FIELD_NAME] = _s.map(self.normalize_symbol)
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_tmp_df["type"] = _type
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_tmp_df[self.DATE_FIELD_NAME] = _date
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tmp.append(_tmp_df)
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df = pd.concat(tmp)
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df.to_csv(
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str(
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self.cache_dir.joinpath(
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f"{self.index_name.lower()}_changes_{add_date.strftime('%Y%m%d')}.csv"
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).resolve()
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)
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)
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break
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return df
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def _read_change_from_url(self, url: str) -> pd.DataFrame:
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"""read change from url
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Parameters
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----------
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url : str
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change url
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Returns
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-------
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pd.DataFrame:
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symbol date type
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SH600000 2019-11-11 add
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SH600000 2020-11-10 remove
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dtypes:
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symbol: str
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date: pd.Timestamp
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type: str, value from ["add", "remove"]
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"""
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resp = retry_request(url).json()["data"]
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title = resp["title"]
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if not title.startswith("关于"):
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return pd.DataFrame()
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if "沪深300" not in title:
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return pd.DataFrame()
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logger.info(f"load index data from https://www.csindex.com.cn/#/about/newsDetail?id={url.split('id=')[-1]}")
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_text = resp["content"]
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date_list = re.findall(r"(\d{4}).*?年.*?(\d+).*?月.*?(\d+).*?日", _text)
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if len(date_list) >= 2:
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add_date = pd.Timestamp("-".join(date_list[0]))
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else:
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_date = pd.Timestamp("-".join(re.findall(r"(\d{4}).*?年.*?(\d+).*?月", _text)[0]))
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add_date = get_trading_date_by_shift(self.calendar_list, _date, shift=0)
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if "盘后" in _text or "市后" in _text:
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add_date = get_trading_date_by_shift(self.calendar_list, add_date, shift=1)
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remove_date = get_trading_date_by_shift(self.calendar_list, add_date, shift=-1)
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excel_url = None
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if resp.get("enclosureList", []):
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excel_url = resp["enclosureList"][0]["fileUrl"]
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else:
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excel_url_list = re.findall('.*href="(.*?xls.*?)".*', _text)
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if excel_url_list:
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excel_url = excel_url_list[0]
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if not excel_url.startswith("http"):
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excel_url = excel_url if excel_url.startswith("/") else "/" + excel_url
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excel_url = f"http://www.csindex.com.cn{excel_url}"
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if excel_url:
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logger.info(f"get {add_date} changes from excel, title={title}, excel_url={excel_url}")
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try:
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df = self._parse_excel(excel_url, add_date, remove_date)
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except ValueError:
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logger.warning(f"error downloading file: {excel_url}, will parse the table from the content")
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df = self._parse_table(_text, add_date, remove_date)
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else:
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logger.info(f"get {add_date} changes from url content, title={title}")
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df = self._parse_table(_text, add_date, remove_date)
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return df
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def _get_change_notices_url(self) -> Iterable[str]:
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"""get change notices url
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Returns
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-------
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[url1, url2]
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"""
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page_num = 1
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page_size = 5
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data = retry_request(self.changes_url.format(page_size=page_size, page_num=page_num)).json()
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data = retry_request(self.changes_url.format(page_size=data["total"], page_num=page_num)).json()
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for item in data["data"]:
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yield f"https://www.csindex.com.cn/csindex-home/announcement/queryAnnouncementById?id={item['id']}"
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def get_new_companies(self) -> pd.DataFrame:
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"""
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Returns
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-------
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pd.DataFrame:
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symbol start_date end_date
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SH600000 2000-01-01 2099-12-31
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dtypes:
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symbol: str
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start_date: pd.Timestamp
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end_date: pd.Timestamp
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"""
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logger.info("get new companies......")
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context = retry_request(self.new_companies_url).content
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with self.cache_dir.joinpath(
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f"{self.index_name.lower()}_new_companies.{self.new_companies_url.split('.')[-1]}"
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).open("wb") as fp:
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fp.write(context)
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_io = BytesIO(context)
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df = pd.read_excel(_io)
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df = df.iloc[:, [0, 4]]
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df.columns = [self.END_DATE_FIELD, self.SYMBOL_FIELD_NAME]
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df[self.SYMBOL_FIELD_NAME] = df[self.SYMBOL_FIELD_NAME].map(self.normalize_symbol)
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df[self.END_DATE_FIELD] = pd.to_datetime(df[self.END_DATE_FIELD].astype(str))
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df[self.START_DATE_FIELD] = self.bench_start_date
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logger.info("end of get new companies.")
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return df
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class CSI300(CSIIndex):
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@property
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def index_code(self):
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return "000300"
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@property
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def bench_start_date(self) -> pd.Timestamp:
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return pd.Timestamp("2005-01-01")
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@property
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def html_table_index(self):
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return 1
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class CSI100(CSIIndex):
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@property
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def index_code(self):
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return "000903"
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@property
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def bench_start_date(self) -> pd.Timestamp:
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return pd.Timestamp("2006-05-29")
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@property
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def html_table_index(self):
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return 2
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def get_instruments(
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qlib_dir: str,
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index_name: str,
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method: str = "parse_instruments",
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freq: str = "day",
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request_retry: int = 5,
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retry_sleep: int = 3,
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):
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"""
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Parameters
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----------
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qlib_dir: str
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qlib data dir, default "Path(__file__).parent/qlib_data"
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index_name: str
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index name, value from ["csi100", "csi300"]
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method: str
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method, value from ["parse_instruments", "save_new_companies"]
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freq: str
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freq, value from ["day", "1min"]
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request_retry: int
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request retry, by default 5
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retry_sleep: int
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request sleep, by default 3
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Examples
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-------
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# parse instruments
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$ python collector.py --index_name CSI300 --qlib_dir ~/.qlib/qlib_data/cn_data --method parse_instruments
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# parse new companies
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$ python collector.py --index_name CSI300 --qlib_dir ~/.qlib/qlib_data/cn_data --method save_new_companies
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"""
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_cur_module = importlib.import_module("data_collector.cn_index.collector")
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obj = getattr(_cur_module, f"{index_name.upper()}")(
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qlib_dir=qlib_dir, index_name=index_name, freq=freq, request_retry=request_retry, retry_sleep=retry_sleep
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)
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getattr(obj, method)()
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if __name__ == "__main__":
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fire.Fire(get_instruments)
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