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dataDailyRetriever.py
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# pylint: disable=I0011,C0103,C0326,C0301, W0401,W0614
from cassandra.cluster import Cluster
from WindPy import *
import time
import datetime
import os
import math
import logWriter
def dailyRetrieve(startTime, endTime, logDir,
fields1 = ['trade_status','close', 'mfd_buyamt_d', 'mfd_sellamt_d'],
option1 = "unit=1;traderType=1;Period=D;Fill=Previous;PriceAdj=B", multi_mfd = True):
# cassandra connect
cluster = Cluster(['192.168.1.111'])
session = cluster.connect('factors') # factors: factors_month
# 启动Wind API
w.start()
# 获取可交易日
times = w.tdays(startTime, endTime, "Period=D").Times
timeList = []
for i in range(len(times)):
row = str(times[i])
row = row[:row.find(' ')]
timeList.append(row)
print(timeList)
print("--- Total days: ", len(timeList))
rows = session.execute('''SELECT stock, ipo_date FROM stock_info WHERE trade_status = '1' ALLOW FILTERING ''')
validStocks = {}
validStockCode = []
for row in rows:
#validStocks[row.stock] = row.ipo_date
validStockCode.append(row.stock)
validN = len(validStockCode)
print (time.strftime("%Y-%m-%d %H:%M:%S", time.localtime()) , " valid stocks' number: ", validN)
## 拉取机构/大户/散户买入卖出因子，分阶段拉取，拉完异步存DB
if multi_mfd == True:
# columns = fields1 + ['mfd_buyamt_d2', 'mfd_sellamt_d2','mfd_buyamt_d4', 'mfd_sellamt_d4']
columns = fields1 + ['mfd_buyamt_d1', 'mfd_sellamt_d1','mfd_buyamt_d4', 'mfd_sellamt_d4']
else:
columns = fields1
print(columns)
# 拉取交易状态便于之后数据过滤
hasTradeStatus = False
if len(fields1) >= 1 and fields1[0] == 'trade_status':
hasTradeStatus = True
dataList = [] #创建数组
cnt = 0 #当前拉取了多少支股票
index = 0 #上一次dump的位置，主要目的是通过此索引找到该股票代码
CHUNK_SIZE = 30 #每一次异步dump的股票个数
preparedStmt = session.prepare('''INSERT INTO factors_day(stock, factor, time, value) VALUES (?,?,?,?)''')
print (time.strftime("%Y-%m-%d %H:%M:%S", time.localtime()) , " ------ Starting to insert to DB")
## 遍历所有股票
sPos = index
while sPos < validN:
stock = validStockCode[sPos]
# 日数据中无需ROA，只拉取IPO之后的数据减少数据传输
# start = startTime if startTime > ipo_date.date() else ipo_date.date()
start = startTime
wsd = w.wsd(stock, fields1, start, endTime, option1)
if wsd.ErrorCode != 0:
print("--------------------- ERROR IN WIND ------------\r\n ErrorCode：", wsd.ErrorCode, " Stock: ",stock)
wsd_data = wsd.Data
if multi_mfd == True:
# 同一个变量，参数不一样，需要分成几次拉取
# fields2 = ['mfd_buyamt_d', 'mfd_sellamt_d']
# 只需要散户买入
fields2 = ['mfd_buyamt_d', 'mfd_sellamt_d']
option2 = "unit=1;traderType=1;Period=D;Fill=Previous;PriceAdj=B"
wsd_data = wsd_data + w.wsd(stock, fields2, start, endTime, option2).Data
option3 = "unit=1;traderType=4;Period=D;Fill=Previous;PriceAdj=B"
wsd_data = wsd_data + w.wsd(stock, fields2, start, endTime, option3).Data
dataList.append(wsd_data)
cnt += 1
sPos += 1
#阶段性异步导出 dump data asynchronously, 30 stocks / round
if cnt % CHUNK_SIZE == 0:
filename = logDir+"\\"+str(startTime)+"_"+str(endTime)+"_"+str(index)+".sql"
os.makedirs(os.path.dirname(filename), exist_ok=True)
with open(filename, "w") as file:
for s in range(index, cnt):
# try to catch Exception: 'CWSDService: corrupted response.'
try:
for i in range(len(columns)):
for j in range(len(dataList[s - index][i])):
#print (validStocks[s],columns[i],timeList[j],dataList[s - index][i][j])
try:
value = dataList[s - index][i][j]
if hasTradeStatus == True and i == 0:
# 交易 状态作为一个因子
if value is not None and value == "交易":
value = 1
else:
value = 0
elif value is not None:
value = float(value)
else:
value = float('nan')
except (ValueError, TypeError, KeyError) as e:
value = float('nan')
print ("--Log ValueError in ", validStockCode[s],"\t",columns[i],"\t",str(timeList[j]),"\t",str(value))
print (e)
print ("--------------------------------------------------------------------------")
except IndexError as e:
print ("--------------------------------------------------------------------------")
print("len s: %d, len i: %d, len j: %d ~ " %(cnt, len(columns),len(timeList)), (s-index,i,j))
print(e)
# session.execute(preparedStmt, (validStockCode[s],columns[i],timeList[j], value))
# 写入文件做log， 之后用程序异步执行插入
if value is None or math.isnan(value) is True :
value = 0
file.write("INSERT INTO factors_day(stock, factor, time, value) VALUES (\'"+validStockCode[s]+"\', \'"+columns[i]+"\',\'"+str(timeList[j])+"\',"+str(value)+" );\n")
except IndexError as e:
print ("--------------------------------------------------------------------------")
print("WIND RESPONSE CORRUPT, START OVER!!! ", e)
cnt = index
sPos = index
break
#记录上一次导出数据位置，清空buffer
index = cnt
dataList = []
print(time.strftime("%Y-%m-%d %H:%M:%S", time.localtime()) ,'------ Dump NO.%d end at stock %s \n' % (cnt, stock))
print ("---- Last chunk size: ", len(dataList))
print(time.strftime("%Y-%m-%d %H:%M:%S", time.localtime()) ,'---------------- Pulling finished!\n')
# 最后的剩余数据插入cassandra
filename = logDir+"\\"+str(startTime)+"_"+str(endTime)+"_"+str(index)+".sql"
os.makedirs(os.path.dirname(filename), exist_ok=True)
with open(filename, "w") as file:
for s in range(index, cnt):
for i in range(len(columns)):
for j in range(len(dataList[s - index][i])):
#print (validStocks[s],columns[i],timeList[j],dataList[s - index][i][j])
try:
value = dataList[s - index][i][j]
if hasTradeStatus == True and i == 0:
if value is not None and value == "交易":
value = 1
else:
value = 0
elif value is not None:
value = float(value)
else:
value = float('nan')
except (ValueError, TypeError, KeyError) as e:
value = float('nan')
print ("--Log ValueError in ", validStockCode[s],"\t",columns[i],"\t",str(timeList[j]),"\t",str(value))
print (e)
print ("--------------------------------------------------------------------------")
except IndexError as e:
print ("--------------------------------------------------------------------------")
print("len s: %d, len i: %d, len j: %d ~ " %(cnt, len(columns),len(timeList)), (s-index,i,j))
print(e)
# session.execute(preparedStmt, (validStockCode[s],columns[i],timeList[j], value))
if value is None or math.isnan(value) is True :
value = 0
file.write("INSERT INTO factors_day(stock, factor, time, value) VALUES (\'"+validStockCode[s]+"\', \'"+columns[i]+"\',\'"+str(timeList[j])+"\',"+str(value)+" );\n")
print(time.strftime("%Y-%m-%d %H:%M:%S", time.localtime()), '---------------- Persistion finished!\n')
############## Dump Log file to cassandra ###############
logWriter.persist(logDir, session)
#result testing
print("---------- Inserstion Testing: ")
rows = session.execute("select * from factors_day where stock='000852.SZ' and time > '2017-04-24' ALLOW FILTERING;")
for row in rows:
print(row.stock,row.factor,row.time,row.value)
# close connection with cassandra
cluster.shutdown()
# dailyRetrieve(datetime.date(2017,4,24), datetime.date(2017,4,24), multi_mfd = False)
# dailyRetrieve(datetime.date(2017,4,7), datetime.datetime.today(), fields1=['close'], multi_mfd = False)
# dailyRetrieve(datetime.date(2017,4,27), datetime.datetime.today().date(),"G:\\log\\daily_mfd_buyamt_d\\4-28", fields1 = ['trade_status','mfd_buyamt_d'],multi_mfd = False)
dailyRetrieve(datetime.date(2017,5,26), datetime.date(2017,5,31),"G:\\log\\daily_mfd_buy_sell_amt_17_5-31-3", fields1 = ['trade_status'],multi_mfd = True)