mirror of
https://github.com/microsoft/qlib.git
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276 lines
9.6 KiB
Python
276 lines
9.6 KiB
Python
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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import abc
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from functools import partial
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import sys
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import importlib
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from pathlib import Path
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from concurrent.futures import ThreadPoolExecutor
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from typing import List
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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 tqdm import tqdm
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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 deco_retry, get_calendar_list, get_trading_date_by_shift
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from data_collector.utils import get_instruments
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WIKI_URL = "https://en.wikipedia.org/wiki"
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WIKI_INDEX_NAME_MAP = {
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"NASDAQ100": "NASDAQ-100",
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"SP500": "List_of_S%26P_500_companies",
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"SP400": "List_of_S%26P_400_companies",
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"DJIA": "Dow_Jones_Industrial_Average",
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}
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class WIKIIndex(IndexBase):
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# NOTE: The US stock code contains "PRN", and the directory cannot be created on Windows system, use the "_" prefix
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# https://superuser.com/questions/613313/why-cant-we-make-con-prn-null-folder-in-windows
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INST_PREFIX = ""
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def __init__(
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self,
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index_name: str,
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qlib_dir: [str, Path] = None,
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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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super(WIKIIndex, self).__init__(
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index_name=index_name, qlib_dir=qlib_dir, freq=freq, request_retry=request_retry, retry_sleep=retry_sleep
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)
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self._target_url = f"{WIKI_URL}/{WIKI_INDEX_NAME_MAP[self.index_name.upper()]}"
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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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@abc.abstractmethod
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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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raise NotImplementedError("rewrite get_changes")
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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.END_DATE_FIELD] = inst_df[self.END_DATE_FIELD].apply(
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lambda x: (pd.Timestamp(x) + pd.Timedelta(hours=23, minutes=59)).strftime("%Y-%m-%d %H:%M:%S")
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)
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return inst_df
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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_list = getattr(self, "_calendar_list", None)
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if _calendar_list is None:
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_calendar_list = list(filter(lambda x: x >= self.bench_start_date, get_calendar_list("US_ALL")))
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setattr(self, "_calendar_list", _calendar_list)
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return _calendar_list
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def _request_new_companies(self) -> requests.Response:
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resp = requests.get(self._target_url)
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if resp.status_code != 200:
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raise ValueError(f"request error: {self._target_url}")
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return resp
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def set_default_date_range(self, df: pd.DataFrame) -> pd.DataFrame:
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_df = df.copy()
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_df[self.SYMBOL_FIELD_NAME] = _df[self.SYMBOL_FIELD_NAME].str.strip()
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_df[self.START_DATE_FIELD] = self.bench_start_date
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_df[self.END_DATE_FIELD] = self.DEFAULT_END_DATE
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return _df.loc[:, self.INSTRUMENTS_COLUMNS]
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def get_new_companies(self):
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logger.info(f"get new companies {self.index_name} ......")
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_data = deco_retry(retry=self._request_retry, retry_sleep=self._retry_sleep)(self._request_new_companies)()
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df_list = pd.read_html(_data.text)
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for _df in df_list:
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_df = self.filter_df(_df)
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if (_df is not None) and (not _df.empty):
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_df.columns = [self.SYMBOL_FIELD_NAME]
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_df = self.set_default_date_range(_df)
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logger.info(f"end of get new companies {self.index_name} ......")
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return _df
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def filter_df(self, df: pd.DataFrame) -> pd.DataFrame:
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raise NotImplementedError("rewrite filter_df")
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class NASDAQ100Index(WIKIIndex):
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HISTORY_COMPANIES_URL = (
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"https://indexes.nasdaqomx.com/Index/WeightingData?id=NDX&tradeDate={trade_date}T00%3A00%3A00.000&timeOfDay=SOD"
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)
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MAX_WORKERS = 16
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def filter_df(self, df: pd.DataFrame) -> pd.DataFrame:
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if len(df) >= 100 and "Ticker" in df.columns:
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return df.loc[:, ["Ticker"]].copy()
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@property
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def bench_start_date(self) -> pd.Timestamp:
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return pd.Timestamp("2003-01-02")
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@deco_retry
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def _request_history_companies(self, trade_date: pd.Timestamp, use_cache: bool = True) -> pd.DataFrame:
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trade_date = trade_date.strftime("%Y-%m-%d")
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cache_path = self.cache_dir.joinpath(f"{trade_date}_history_companies.pkl")
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if cache_path.exists() and use_cache:
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df = pd.read_pickle(cache_path)
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else:
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url = self.HISTORY_COMPANIES_URL.format(trade_date=trade_date)
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resp = requests.post(url)
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if resp.status_code != 200:
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raise ValueError(f"request error: {url}")
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df = pd.DataFrame(resp.json()["aaData"])
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df[self.DATE_FIELD_NAME] = trade_date
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df.rename(columns={"Name": "name", "Symbol": self.SYMBOL_FIELD_NAME}, inplace=True)
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if not df.empty:
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df.to_pickle(cache_path)
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return df
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def get_history_companies(self):
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logger.info(f"start get history companies......")
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all_history = []
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error_list = []
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with tqdm(total=len(self.calendar_list)) as p_bar:
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with ThreadPoolExecutor(max_workers=self.MAX_WORKERS) as executor:
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for _trading_date, _df in zip(
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self.calendar_list, executor.map(self._request_history_companies, self.calendar_list)
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):
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if _df.empty:
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error_list.append(_trading_date)
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else:
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all_history.append(_df)
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p_bar.update()
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if error_list:
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logger.warning(f"get error: {error_list}")
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logger.info(f"total {len(self.calendar_list)}, error {len(error_list)}")
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logger.info(f"end of get history companies.")
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return pd.concat(all_history, sort=False)
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def get_changes(self):
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return self.get_changes_with_history_companies(self.get_history_companies())
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class DJIAIndex(WIKIIndex):
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@property
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def bench_start_date(self) -> pd.Timestamp:
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return pd.Timestamp("2000-01-01")
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def get_changes(self) -> pd.DataFrame:
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pass
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def filter_df(self, df: pd.DataFrame) -> pd.DataFrame:
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if "Symbol" in df.columns:
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_df = df.loc[:, ["Symbol"]].copy()
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_df["Symbol"] = _df["Symbol"].apply(lambda x: x.split(":")[-1])
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return _df
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def parse_instruments(self):
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logger.warning(f"No suitable data source has been found!")
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class SP500Index(WIKIIndex):
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WIKISP500_CHANGES_URL = "https://en.wikipedia.org/wiki/List_of_S%26P_500_companies"
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@property
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def bench_start_date(self) -> pd.Timestamp:
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return pd.Timestamp("1999-01-01")
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def get_changes(self) -> pd.DataFrame:
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logger.info(f"get sp500 history changes......")
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# NOTE: may update the index of the table
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changes_df = pd.read_html(self.WIKISP500_CHANGES_URL)[-1]
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changes_df = changes_df.iloc[:, [0, 1, 3]]
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changes_df.columns = [self.DATE_FIELD_NAME, self.ADD, self.REMOVE]
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changes_df[self.DATE_FIELD_NAME] = pd.to_datetime(changes_df[self.DATE_FIELD_NAME])
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_result = []
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for _type in [self.ADD, self.REMOVE]:
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_df = changes_df.copy()
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_df[self.CHANGE_TYPE_FIELD] = _type
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_df[self.SYMBOL_FIELD_NAME] = _df[_type]
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_df.dropna(subset=[self.SYMBOL_FIELD_NAME], inplace=True)
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if _type == self.ADD:
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_df[self.DATE_FIELD_NAME] = _df[self.DATE_FIELD_NAME].apply(
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lambda x: get_trading_date_by_shift(self.calendar_list, x, 0)
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)
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else:
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_df[self.DATE_FIELD_NAME] = _df[self.DATE_FIELD_NAME].apply(
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lambda x: get_trading_date_by_shift(self.calendar_list, x, -1)
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)
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_result.append(_df[[self.DATE_FIELD_NAME, self.CHANGE_TYPE_FIELD, self.SYMBOL_FIELD_NAME]])
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logger.info(f"end of get sp500 history changes.")
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return pd.concat(_result, sort=False)
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def filter_df(self, df: pd.DataFrame) -> pd.DataFrame:
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if "Symbol" in df.columns:
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return df.loc[:, ["Symbol"]].copy()
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class SP400Index(WIKIIndex):
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@property
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def bench_start_date(self) -> pd.Timestamp:
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return pd.Timestamp("2000-01-01")
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def get_changes(self) -> pd.DataFrame:
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pass
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def filter_df(self, df: pd.DataFrame) -> pd.DataFrame:
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if "Ticker symbol" in df.columns:
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return df.loc[:, ["Ticker symbol"]].copy()
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def parse_instruments(self):
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logger.warning(f"No suitable data source has been found!")
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if __name__ == "__main__":
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fire.Fire(partial(get_instruments, market_index="us_index"))
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