多因子策略_基于成长因子的模型测试

最新推荐文章于 2023-01-09 15:23:08 发布

Mikowoo007

最新推荐文章于 2023-01-09 15:23:08 发布

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分类专栏： python金融量化

本文链接：https://blog.csdn.net/Mikowoo007/article/details/109921508

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因子的量化选择

基于IC值相关系数计算方法

多因子模型得打分法，指得是选用若干能够对股票未来时间段收益产生预测作用的因子，根据每个因子在对应位置的状况给出股票在该位置上的得分，然后按照一定的权重将各个因子的得分相加，从而得到该股票各个因子的最终得分。
$r_{12}=\frac{\sum_{k=1}^n(x_{1k}-\bar{x}_1)(x_{2k}-\bar{x}_2)}{\sqrt{\sum_{k=1}^{n}(x_{1k}-\bar{x}_1)^2(x_{2k}-\bar{x}_2)^2}}$
IC值为因子与对应的下期收益率之间的关系

	因子	下期收益率
股票a	6	0.02
股票b	1	0.004
股票c	2	0.005
股票d	7	0.007

import numpy as np

factor_A = [6,1,2,7]
return_profit = [0.02, 0.004, 0.005, 0.007]

corr = np.corrcoef(factor_A, return_profit)
print(corr)

[[1.       0.593641]
 [0.593641 1.      ]]

基于IC值回归法计算方法

回归法：用该期的股票收益率对上期的因子值做回归，并用该期的因子值预测下期股票的收益率，取下期预测的收益率和下期实际收益率的相关系数

计算回归系数

import statsmodels.api as sm
import numpy as np

factor_1 = [6,1,2,7]
return_profit = [0.02,0.004,0.005,0.007]

x_ = sm.add_constant(factor_1)
model = sm.OLS(return_profit, x_)
results = model.fit()
print(results.params)

[0.003  0.0015] # 第一个为noise值，第二个为 weight值

计算预期收益率

pre_return_profit = results.params[0] + np.asarray(factor_1) * results.params[1]

array([0.012 , 0.0045, 0.006 , 0.0135])

计算预期收益率与真实收益率的相关系数

corr = np.corrcoef(pre_return_profit, return_profit)

array([[1.      , 0.593641],
       [0.593641, 1.      ]])

基于IC值等权因子值得合成

对因子进行合成，生成一个新的数量因子

	因子A	因子B	因子C	下期收益率
股票a	6	2	1	0.02
股票b	1	4	5	0.004
股票c	2	8	6	0.005
股票d	7	9	2	0.007

import numpy as np

factor_A = [6, 1, 2, 7]
factor_B = [2, 4, 8, 9]
factor_C = [1, 5, 6, 2]
return_profit = [0.02,0.004,0.005,0.007]

corr = np.corrcoef(factor_A, return_profit)
print("factor_A: ", corr[0][1])

corr = np.corrcoef(factor_B, return_profit)
print("factor_B: ", corr[0][1])

corr = np.corrcoef(factor_C, return_profit)
print("factor_C: ", corr[0][1])

factor_A:  0.5936410014092834
factor_B:  -0.6510008283736514
factor_C:  -0.7906254420727481

将两个因子组成一个新的因子

factor_total = np.asarray(factor_A) + np.asarray(factor_C) * -1 

corr = np.corrcoef(return_profit, factor_total)
print(corr[0][1])

0.6985354731356994

基于成长因子的模型测试

msci_tools.py

from gm.api import *
import numpy as np
import pandas as pd
from sklearn import preprocessing

#这段代码是获取MSCI成分股，返回一个list
def read_MSCI():
    symbol_list = []
    f2 = open("../MSCI_tools/MSCI成分股.txt", "r")
    lines = f2.readlines()
    for line3 in lines:
        symbol_list.append(line3.strip())
    return symbol_list



#这段代码是获取返回的data数据中的对应因子的list
def get_data_value(data,factor):
    result = []
    for _ in data:
        result.append(_[factor])
    return result


def get_symbol_list(index,now):


    symbol_list = get_history_constituents(index=index, start_date=now)[0].get("constituents").keys()
    symbol_list_not_suspended = get_history_instruments(symbols=symbol_list, start_date=now, end_date=now)
    symbol_list = [item['symbol'] for item in symbol_list_not_suspended if not item['is_suspended']]

    _symbol_list = symbol_list
    symbol_list = []
    for _ in _symbol_list:
        symbol_list.append(_)
    return symbol_list


def from_df_get_df_score(df, weight, start, end=0):
    """
    归一化是在列的方向对行数据进行操作：比如调用sklearn.preprocessing里的MinMaxscaler；
    标准化是在行的方向对列数据进行操作：比如调用sklearn.preprocessing里的Normalizer；
    因为是对 每行 求和，这里建议对建立的矩阵使用MinMaxscaler

    """
    if end == 0:
        df_factor = df.iloc[:, start:]
    else:
        df_factor = df.iloc[:, start:end]
    df_factor = np.asmatrix(df_factor)
    # 先进行列归一化，然后在对每行进行标准化处理
    df_factor = preprocessing.MinMaxScaler().fit_transform(df_factor)
    df_factor = preprocessing.Normalizer().fit_transform(df_factor)
    _weight = []
    for _ in weight:
        _weight.append([_])
    weight_mat = np.asmatrix(_weight)  # 这里设置的beta值偏低，选择不太活跃的股
    res = np.dot(df_factor, weight_mat)
    df["score"] = (res)
    return df


def from_df_get_symbol_list_by_score(df,weight,start,end=0,ascending=True):
    """
    归一化是在列的方向对行数据进行操作：比如调用sklearn.preprocessing里的MinMaxscaler；
    标准化是在行的方向对列数据进行操作：比如调用sklearn.preprocessing里的Normalizer；
    因为是对 每行 求和，这里建议对建立的矩阵使用MinMaxscaler

    """
    if end == 0:
        df_factor = df.iloc[:, start:]
    else:
        df_factor = df.iloc[:, start:end]

    df_factor = np.asmatrix(df_factor)

    #先进行列归一化，然后在对每行进行标准化处理
    df_factor = preprocessing.MinMaxScaler().fit_transform(df_factor)
    df_factor = preprocessing.Normalizer().fit_transform(df_factor)

    _weight = []
    for _ in weight:
        _weight.append([_])

    weight_mat = np.asmatrix(_weight)

    res = np.dot(df_factor, weight_mat)

    df["score"] = (res)
    df.index = df.score
    df = df.sort_index(ascending=ascending)  #这里是将最后的趋势有小到大排列

    _symbol_list = df["symbol"].values
    symbol_list = []
    for _ in _symbol_list:
        symbol_list.append(_)

    return symbol_list

# coding=utf-8
from __future__ import print_function, absolute_import
from gm.api import *
import os
import msci_tools as tools 
import pandas as pd
import numpy as np
from sklearn import preprocessing

def growth_model(index,now):
    symbol_list = tools.get_symbol_list(index,now)

    last_day = get_previous_trading_date("SHSE",now)
    day_time = last_day
    #symbol_list = tools.read_MSCI()
    df = pd.DataFrame([])
    df["symbol"] = symbol_list
    df["EBITG"] = -999
    df["NPG"] = -999
    df["TAG"] = -999 #MPG取不到，用TAG代替
    df["GPG"] = -999
    df["OPG"] = -999
    df["OCG"] = -999
    #求出EBITG
    for number in range(len(symbol_list)):
        try:
            _df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="EBITMARGIN")

            now_EBITMARGIN = _df[0]["EBITMARGIN"]
            last_EBITMARGIN = _df[1]["EBITMARGIN"]
            EBITG =  ((now_EBITMARGIN-last_EBITMARGIN)/last_EBITMARGIN)

            df.iloc[number,1] = EBITG
        except:df.iloc[number,1] = -999

    #求NPG
    _df = get_fundamentals(table='deriv_finance_indicator', symbols=symbol_list, start_date=day_time,end_date=day_time, fields="NPGRT",df=True)
    if len(_df) == len(symbol_list):
        df["NPG"] = _df["NPGRT"]
    else:
        for number in range(len(symbol_list)):
            try:
                _df = get_fundamentals(table='deriv_finance_indicator', symbols=symbol_list[number], start_date=day_time,
                                   end_date=day_time, fields="NPGRT")
                _NPG = tools.get_data_value(_df,"NPGRT")

                df.iloc[number, 2] = _NPG[0]
            except:
                df.iloc[number, 2] = -999
    #求出TAG
    _df = get_fundamentals(table='deriv_finance_indicator', symbols=symbol_list, start_date=day_time,end_date=day_time, fields="TAGRT",df=True)
    if len(_df) == len(symbol_list):
        df["TAG"] = _df["TAGRT"]
    else:
        for number in range(len(symbol_list)):
            try:
                _df = get_fundamentals(table='deriv_finance_indicator', symbols=symbol_list[number], start_date=day_time,
                                   end_date=day_time, fields="TAGRT")
                _NPG = tools.get_data_value(_df,"TAGRT")

                df.iloc[number, 2] = _NPG[0]
            except:
                df.iloc[number, 2] = -999

    #求GPG
    for number in range(len(symbol_list)):
        try:
            _df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="OPGPMARGIN")

            now_EBITMARGIN = _df[0]["OPGPMARGIN"]
            last_EBITMARGIN = _df[1]["OPGPMARGIN"]
            EBITG =  ((now_EBITMARGIN-last_EBITMARGIN)/last_EBITMARGIN)

            df.iloc[number,4] = EBITG
        except:df.iloc[number,4] = -999

    #求OPG
    for number in range(len(symbol_list)):
        try:
            _df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="OPPRORT")

            now_EBITMARGIN = _df[0]["OPPRORT"]
            last_EBITMARGIN = _df[1]["OPPRORT"]
            EBITG =  ((now_EBITMARGIN-last_EBITMARGIN)/last_EBITMARGIN)
            df.iloc[number,5] = EBITG
        except:df.iloc[number,5] = -999
    #求OCG
    for number in range(len(symbol_list)):
        try:
            _df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="NCFPS")
            now_EBITMARGIN = _df[0]["NCFPS"]
            last_EBITMARGIN = _df[1]["NCFPS"]
            EBITG =  ((now_EBITMARGIN-last_EBITMARGIN)/last_EBITMARGIN)
            df.iloc[number,6] = EBITG
        except:df.iloc[number,6] = -999

    df = df.dropna()
    df_factor = df.iloc[:,1:]
    df_factor = np.asmatrix(df_factor)

    #先进行列归一化，然后在对每行进行标准化处理
    df_factor = preprocessing.MinMaxScaler().fit_transform(df_factor)
    weight = [[-1],[-1],[-1],[-1],[-1],[-1]]
    weight_mat = np.asmatrix(weight)
    res = np.dot(df_factor, weight_mat)
    df["score"] = (res)

    df = (df.sort_values(["score"]))
    print(df)
    symbol_list = []
    for _ in df["symbol"].values:
        symbol_list.append(_)

    return symbol_list


# 策略中必须有init方法
def init(context):
    schedule(schedule_func=algo, date_rule='1d', time_rule='09:31:00')
    context.index = "SHSE.000016"
    context.num = 5

def algo(context):
    now = context.now
    last_day = get_previous_trading_date("SHSE", now)

    order_close_all()

    """核心选股代码"""
    _symbol_list = growth_model(context.index, now)
    """核心选股代码"""
    symbol_list = []
    for symbol in _symbol_list:
        symbol_list.append(symbol)

    # 取前多少个标的
    target_list = symbol_list[:context.num]  # 无黑名单存在，卖掉以后又可以买回

    for symbol in target_list:
        order_target_percent(symbol=symbol, percent=1. / context.num, order_type=OrderType_Market, position_side=PositionSide_Long)

def on_backtest_finished(context, indicator):
    print(indicator)
    print("finish...............")
if __name__ == '__main__':
    run(strategy_id='xxxxxxxxxxxxxxxxxxxxxxxxxxxxxx',
        filename='main.py',
        mode=MODE_BACKTEST,
        token='xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx',
        backtest_start_time="2016-01-10 09:30:00",
        backtest_end_time='2018-06-10 15:00:00',
        backtest_initial_cash=10000000,
        backtest_adjust=ADJUST_PREV)

在这里插入图片描述

代码流畅解读

获取指数成分股历史数据

from gm.api import *
set_token("xxxxxxxxxxxxxxxxxxxxx")

index = "SHSE.000016"
now = "2016-01-11"
symbol_list = get_history_constituents(index=index, start_date=now)
print(symbol_list)

[{'trade_date': datetime.datetime(2016, 1, 29, 0, 0, tzinfo=tzfile('PRC')), 'constituents': {'SHSE.600111': 0.75, 'SHSE.601901': 0.8299999833106995, 'SHSE.600030': 3.4100000858306885, 'SHSE.600050': 1.0299999713897705, 'SHSE.601390': 1.3300000429153442, 'SHSE.601398': 2.640000104904175, 'SHSE.601166': 5.760000228881836, 'SHSE.600150': 0.46000000834465027, 'SHSE.601669': 0.7799999713897705, 'SHSE.600958': 0.5699999928474426, 'SHSE.600887': 2.4200000762939453, 'SHSE.601857': 1.0800000429153442, 'SHSE.601211': 0.7900000214576721, 'SHSE.600018': 0.44999998807907104, 'SHSE.601601': 2.190000057220459, 'SHSE.600109': 0.6100000143051147, 'SHSE.601668': 2.299999952316284, 'SHSE.601818': 1.7000000476837158, 'SHSE.600104': 1.840000033378601, 'SHSE.600010': 0.8600000143051147, 'SHSE.600028': 1.3799999952316284, 'SHSE.600585': 0.7900000214576721, 'SHSE.600837': 2.930000066757202, 'SHSE.600000': 4.710000038146973, 'SHSE.601169': 2.8299999237060547, 'SHSE.601088': 0.7900000214576721, 'SHSE.601985': 0.9900000095367432, 'SHSE.600016': 7.590000152587891, 'SHSE.600519': 3.009999990463257, 'SHSE.601336': 0.6899999976158142, 'SHSE.601186': 1.0399999618530273, 'SHSE.601766': 2.7200000286102295, 'SHSE.600795': 0.8500000238418579, 'SHSE.600893': 0.8299999833106995, 'SHSE.601328': 3.7699999809265137, 'SHSE.600637': 1.409999966621399, 'SHSE.601989': 1.7000000476837158, 'SHSE.601288': 3.4200000762939453, 'SHSE.601688': 1.4199999570846558, 'SHSE.601006': 1.2100000381469727, 'SHSE.601800': 0.49000000953674316, 'SHSE.601318': 9.770000457763672, 'SHSE.601998': 0.5099999904632568, 'SHSE.601628': 1.0199999809265137, 'SHSE.600036': 4.619999885559082, 'SHSE.600015': 1.5199999809265137, 'SHSE.600518': 1.2000000476837158, 'SHSE.600048': 1.6799999475479126, 'SHSE.600999': 1.2999999523162842, 'SHSE.601988': 2.0299999713897705}},'SHSE.601229': 1.1799999475479126, 'SHSE.600340': 0.9399999976158142, 'SHSE.600276': 3.700000047683716, 'SHSE.601800': 0.46000000834465027, 'SHSE.601318': 17.040000915527344, 'SHSE.601628': 0.8799999952316284, 'SHSE.600031': 1.4800000190734863, 'SHSE.600036': 6.739999771118164, 'SHSE.600309': 1.2300000190734863, 'SHSE.601888': 1.5800000429153442, 'SHSE.600029': 0.44999998807907104, 'SHSE.600048': 1.809999942779541, 'SHSE.601988': 1.399999976158142, 'SHSE.603259': 0.17000000178813934, 'SHSE.600030': 3.2699999809265137, 'SHSE.601111': 0.47999998927116394, 'SHSE.600050': 0.9900000095367432, 'SHSE.601138': 0.28999999165534973, 'SHSE.601390': 0.8500000238418579, 'SHSE.601398': 2.1700000762939453, 'SHSE.601166': 4.96999979019165, 'SHSE.601319': 0.17000000178813934, 'SHSE.600019': 1.0199999809265137, 'SHSE.600887': 3.4000000953674316, 'SHSE.600690': 1.100000023841858, 'SHSE.601857': 0.9399999976158142, 'SHSE.601211': 1.4600000381469727, 'SHSE.601601': 2.1700000762939453, 'SHSE.601668': 2.2100000381469727, 'SHSE.600703': 0.5, 'SHSE.600104': 1.559999942779541, 'SHSE.601818': 1.1200000047683716, 'SHSE.600028': 1.2599999904632568, 'SHSE.600585': 1.409999966621399, 'SHSE.600000': 2.490000009536743, 'SHSE.600837': 2.0, 'SHSE.601088': 1.1299999952316284, 'SHSE.603993': 0.46000000834465027}}, 

{'trade_date': datetime.datetime(2020, 10, 30, 0, 0, tzinfo=tzfile('PRC')), 'constituents': {'SHSE.601318': 13.010000228881836, 'SHSE.603160': 0.47999998927116394, 'SHSE.600000': 1.6799999475479126, 'SHSE.600196': 1.0099999904632568, 'SHSE.601138': 0.41999998688697815, 'SHSE.600276': 5.090000152587891, 'SHSE.601688': 1.850000023841858, 'SHSE.601628': 1.1799999475479126, 'SHSE.601088': 0.8500000238418579, 'SHSE.600028': 0.800000011920929, 'SHSE.601857': 0.6100000143051147, 'SHSE.601888': 3.0, 'SHSE.600519': 12.949999809265137, 'SHSE.601818': 0.9599999785423279, 'SHSE.601066': 0.3400000035762787, 'SHSE.601398': 2.6600000858306885, 'SHSE.600547': 0.6700000166893005, 'SHSE.601989': 0.5899999737739563, 'SHSE.601328': 1.9199999570846558, 'SHSE.601288': 1.399999976158142, 'SHSE.600104': 1.25, 'SHSE.601336': 0.8299999833106995, 'SHSE.601012': 3.0999999046325684, 'SHSE.600703': 0.7699999809265137, 'SHSE.601166': 3.4200000762939453, 'SHSE.603259': 1.7999999523162842, 'SHSE.601319': 0.2199999988079071, 'SHSE.600588': 1.0800000429153442, 'SHSE.601668': 1.649999976158142, 'SHSE.601658': 0.1899999976158142, 'SHSE.600309': 1.899999976158142, 'SHSE.600016': 1.7300000190734863, 'SHSE.600585': 1.8799999952316284, 'SHSE.600690': 1.4500000476837158, 'SHSE.600745': 0.5799999833106995, 'SHSE.601816': 0.25, 'SHSE.603993': 0.4300000071525574, 'SHSE.600887': 3.7200000286102295, 'SHSE.601211': 1.2799999713897705, 'SHSE.601988': 1.0299999713897705, 'SHSE.601601': 1.340000033378601, 'SHSE.600009': 0.9800000190734863, 'SHSE.601186': 0.5899999737739563, 'SHSE.600837': 2.0899999141693115, 'SHSE.600048': 1.7000000476837158, 'SHSE.600030': 3.759999990463257, 'SHSE.600031': 2.359999895095825, 'SHSE.601236': 0.10999999940395355, 'SHSE.600036': 6.340000152587891, 'SHSE.600050': 0.6800000071525574}}

symbol_list = get_history_constituents(index=index, start_date=now)[0].get("constituents").keys()
symbol_list

dict_keys(['SHSE.600795', 'SHSE.601288', 'SHSE.601989', 'SHSE.601186', 'SHSE.601688', 'SHSE.601766', 'SHSE.601006', 'SHSE.601328', 'SHSE.600893', 'SHSE.600637', 'SHSE.601800', 'SHSE.601318', 'SHSE.601998', 'SHSE.601628', 'SHSE.600036', 'SHSE.600999', 'SHSE.600015', 'SHSE.600111', 'SHSE.601901', 'SHSE.600030', 'SHSE.600518', 'SHSE.600048', 'SHSE.600050', 'SHSE.601390', 'SHSE.601988', 'SHSE.601398', 'SHSE.600887', 'SHSE.601857', 'SHSE.601211', 'SHSE.600018', 'SHSE.601668', 'SHSE.601166', 'SHSE.600150', 'SHSE.600104', 'SHSE.601669', 'SHSE.600958', 'SHSE.600010', 'SHSE.601601', 'SHSE.600109', 'SHSE.601818', 'SHSE.601169', 'SHSE.601088', 'SHSE.600028', 'SHSE.601985', 'SHSE.600585', 'SHSE.600837', 'SHSE.600000', 'SHSE.600016', 'SHSE.600519', 'SHSE.601336'])

交易标的历史信息数据

symbol_list_not_suspended = get_history_instruments(symbols=symbol_list, start_date=now, end_date=now)
pprint.pprint(symbol_list_not_suspended)

[{'symbol': 'SHSE.600000', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 17.489999771118164, 'upper_limit': 19.24, 'lower_limit': 15.74, 'adj_factor': 8.1856186501361, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600010', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 3.549999952316284, 'upper_limit': 3.91, 'lower_limit': 3.2, 'adj_factor': 5.9498093244834, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600015', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 10.829999923706055, 'upper_limit': 11.91, 'lower_limit': 9.75, 'adj_factor': 3.3184785878215, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600016', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 8.699999809265137, 'upper_limit': 9.57, 'lower_limit': 7.83, 'adj_factor': 19.3298282201282, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600018', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 5.829999923706055, 'upper_limit': 6.41, 'lower_limit': 5.25, 'adj_factor': 1.2638119476271, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600028', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 4.769999980926514, 'upper_limit': 5.25, 'lower_limit': 4.29, 'adj_factor': 2.4729014482433, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600030', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 16.829999923706055, 'upper_limit': 18.51, 'lower_limit': 15.15, 'adj_factor': 5.0094354994803, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600036', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 16.809999465942383, 'upper_limit': 18.49, 'lower_limit': 15.13, 'adj_factor': 4.3533661798053, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600048', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 9.489999771118164, 'upper_limit': 10.44, 'lower_limit': 8.54, 'adj_factor': 17.8182161581631, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600050', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 5.460000038146973, 'upper_limit': 6.01, 'lower_limit': 4.91, 'adj_factor': 1.5337947384257, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600104', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 19.510000228881836, 'upper_limit': 21.46, 'lower_limit': 17.56, 'adj_factor': 7.4022061390352, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600109', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 14.020000457763672, 'upper_limit': 15.42, 'lower_limit': 12.62, 'adj_factor': 8.4306938926756, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600111', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 12.899999618530273, 'upper_limit': 14.19, 'lower_limit': 11.61, 'adj_factor': 19.4466634379578, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600150', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 31.600000381469727, 'upper_limit': 34.76, 'lower_limit': 28.44, 'adj_factor': 3.2781078673277, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600518', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 14.640000343322754, 'upper_limit': 16.1, 'lower_limit': 13.18, 'adj_factor': 43.5175370923769, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600519', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 204.6300048828125, 'upper_limit': 225.09, 'lower_limit': 184.17, 'adj_factor': 7.0437697482282, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600585', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 16.110000610351562, 'upper_limit': 17.72, 'lower_limit': 14.5, 'adj_factor': 4.0218004541918, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600637', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 31.600000381469727, 'upper_limit': 34.76, 'lower_limit': 28.44, 'adj_factor': 3.5186924188407, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600795', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 3.569999933242798, 'upper_limit': 3.93, 'lower_limit': 3.21, 'adj_factor': 231.29941465739, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600837', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 13.510000228881836, 'upper_limit': 14.86, 'lower_limit': 12.16, 'adj_factor': 20.8395181771412, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600887', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 14.920000076293945, 'upper_limit': 16.41, 'lower_limit': 13.43, 'adj_factor': 76.6532450996154, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600893', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 38.43000030517578, 'upper_limit': 42.27, 'lower_limit': 34.59, 'adj_factor': 3.5526583415026, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600958', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 19.540000915527344, 'upper_limit': 21.49, 'lower_limit': 17.59, 'adj_factor': 1.009833617686, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.600999', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 18.510000228881836, 'upper_limit': 20.36, 'lower_limit': 16.66, 'adj_factor': 1.4603986779805, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601006', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 8.220000267028809, 'upper_limit': 9.04, 'lower_limit': 7.4, 'adj_factor': 1.4386573805349, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601088', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 15.619999885559082, 'upper_limit': 17.18, 'lower_limit': 14.06, 'adj_factor': 1.2960255506844, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601166', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 16.440000534057617, 'upper_limit': 18.08, 'lower_limit': 14.8, 'adj_factor': 3.5294826376043, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601169', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 10.239999771118164, 'upper_limit': 11.26, 'lower_limit': 9.22, 'adj_factor': 2.0471701619805, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601186', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 11.449999809265137, 'upper_limit': 12.6, 'lower_limit': 10.31, 'adj_factor': 1.1351432828151, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601211', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 21.040000915527344, 'upper_limit': 23.14, 'lower_limit': 18.94, 'adj_factor': 1.0049504950495, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601288', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 3.1600000858306885, 'upper_limit': 3.48, 'lower_limit': 2.84, 'adj_factor': 1.2860928165514, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601318', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 33.939998626708984, 'upper_limit': 37.33, 'lower_limit': 30.55, 'adj_factor': 2.2028310552555, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601328', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 6.03000020980835, 'upper_limit': 6.63, 'lower_limit': 5.43, 'adj_factor': 1.5223302928608, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601336', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 45.380001068115234, 'upper_limit': 49.92, 'lower_limit': 40.84, 'adj_factor': 1.0268004967766, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601390', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 9.300000190734863, 'upper_limit': 10.23, 'lower_limit': 8.37, 'adj_factor': 1.0967888497906, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601398', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 4.460000038146973, 'upper_limit': 4.91, 'lower_limit': 4.01, 'adj_factor': 1.481558848256, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601601', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 26.549999237060547, 'upper_limit': 29.21, 'lower_limit': 23.9, 'adj_factor': 1.1477863013836, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601628', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 25.440000534057617, 'upper_limit': 27.98, 'lower_limit': 22.9, 'adj_factor': 1.1428356749041, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601668', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 5.900000095367432, 'upper_limit': 6.49, 'lower_limit': 5.31, 'adj_factor': 1.160238484838, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601669', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 7.010000228881836, 'upper_limit': 7.71, 'lower_limit': 6.31, 'adj_factor': 1.1230000464661, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601688', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 16.479999542236328, 'upper_limit': 18.13, 'lower_limit': 14.83, 'adj_factor': 1.0812416980157, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601766', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 11.010000228881836, 'upper_limit': 12.11, 'lower_limit': 9.91, 'adj_factor': 1.1205745897563, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601800', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 11.489999771118164, 'upper_limit': 12.64, 'lower_limit': 10.34, 'adj_factor': 1.1553621128414, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601818', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 4.03000020980835, 'upper_limit': 4.43, 'lower_limit': 3.63, 'adj_factor': 1.2139966565942, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601857', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 7.989999771118164, 'upper_limit': 8.79, 'lower_limit': 7.19, 'adj_factor': 1.2599456640085, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601901', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 8.239999771118164, 'upper_limit': 9.06, 'lower_limit': 7.42, 'adj_factor': 1.019022046124, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601985', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 8.4399995803833, 'upper_limit': 9.28, 'lower_limit': 7.6, 'adj_factor': 1.0, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601988', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 3.799999952316284, 'upper_limit': 4.18, 'lower_limit': 3.42, 'adj_factor': 1.490734777881, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601989', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 8.569999694824219, 'upper_limit': 9.43, 'lower_limit': 7.71, 'adj_factor': 1.6786728874306, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}, {'symbol': 'SHSE.601998', 'sec_level': 1, 'multiplier': 1.0, 'margin_ratio': 1.0, 'pre_close': 6.53000020980835, 'upper_limit': 7.18, 'lower_limit': 5.88, 'adj_factor': 1.2704364624812, 'info': {'symbol': '', 'sec_type': 0, 'exchange': '', 'sec_id': '', 'sec_name': '', 'sec_abbr': '', 'sec_asset': '', 'price_tick': 0.0, 'trade_n': 0, 'board': 0, 'option_type': '', 'call_or_put': '', 'underlying_symbol': '', 'is_strike_price_adjusted': False, 'listed_date': None, 'delisted_date': None}, 'is_suspended': 0, 'settle_price': 0.0, 'position': 0, 'pre_settle': 0.0, 'strike_price': 0.0, 'trade_date': datetime.datetime(2016, 1, 11, 0, 0, tzinfo=tzfile('PRC'))}]

symbol_list = [item['symbol'] for item in symbol_list_not_suspended if not item['is_suspended']]
symbol_list

['SHSE.600000','SHSE.600010','SHSE.600015','SHSE.600016','SHSE.600018','SHSE.600028','SHSE.600030','SHSE.600036','SHSE.600048','SHSE.600050','SHSE.600104','SHSE.600109','SHSE.600111','SHSE.600150','SHSE.600518','SHSE.600519','SHSE.600585','SHSE.600637','SHSE.600795','SHSE.600837','SHSE.600887','SHSE.600893','SHSE.600958','SHSE.600999','SHSE.601006','SHSE.601088','SHSE.601166','SHSE.601169','SHSE.601186','SHSE.601211','SHSE.601288','SHSE.601318','SHSE.601328','SHSE.601336','SHSE.601390','SHSE.601398','SHSE.601601','SHSE.601628','SHSE.601668','SHSE.601669','SHSE.601688','SHSE.601766','SHSE.601800','SHSE.601818','SHSE.601857','SHSE.601901','SHSE.601985','SHSE.601988','SHSE.601989','SHSE.601998']

_symbol_list = symbol_list
symbol_list = []
for _ in _symbol_list:
    symbol_list.append(_)
    
symbol_list

['SHSE.600000',
 'SHSE.600010',
 'SHSE.600015',
 'SHSE.600016',
 'SHSE.600018',
 'SHSE.600028',
 'SHSE.600030',
 'SHSE.600036',
 'SHSE.600048',
 'SHSE.600050',
 'SHSE.600104',
 'SHSE.600109',
 'SHSE.600111',
 'SHSE.600150',
 'SHSE.600518',
 'SHSE.600519',
 'SHSE.600585',
 'SHSE.600637',
 'SHSE.600795',
 'SHSE.600837',
 'SHSE.600887',
 'SHSE.600893',
 'SHSE.600958',
 'SHSE.600999',
 'SHSE.601006',
 'SHSE.601088',
 'SHSE.601166',
 'SHSE.601169',
 'SHSE.601186',
 'SHSE.601211',
 'SHSE.601288',
 'SHSE.601318',
 'SHSE.601328',
 'SHSE.601336',
 'SHSE.601390',
 'SHSE.601398',
 'SHSE.601601',
 'SHSE.601628',
 'SHSE.601668',
 'SHSE.601669',
 'SHSE.601688',
 'SHSE.601766',
 'SHSE.601800',
 'SHSE.601818',
 'SHSE.601857',
 'SHSE.601901',
 'SHSE.601985',
 'SHSE.601988',
 'SHSE.601989',
 'SHSE.601998']

定义分析事项

df = pd.DataFrame([])
df["symbol"] = symbol_list
df["EBITG"] = -999
df["NPG"] = -999
df["TAG"] = -999 #MPG取不到，用TAG代替
df["GPG"] = -999
df["OPG"] = -999
df["OCG"] = -999

df

在这里插入图片描述

获取财务数据

print("now_time:  " + now)
last_day = get_previous_trading_date("SHSE",now)
day_time = last_day
print("last_time:  "+day_time)

now_time:  2016-01-11
last_time:  2016-01-08

计算EBIT

EBITMARGIN 息税折旧摊销前利润率

number = 0
_df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="EBITMARGIN")
_df

[{'symbol': 'SHSE.600000',
  'pub_date': datetime.datetime(2016, 4, 7, 0, 0, tzinfo=tzfile('PRC')),
  'end_date': datetime.datetime(2015, 12, 31, 0, 0, tzinfo=tzfile('PRC')),
  'EBITMARGIN': 0.0},
 {'symbol': 'SHSE.600000',
  'pub_date': datetime.datetime(2015, 10, 30, 0, 0, tzinfo=tzfile('PRC')),
  'end_date': datetime.datetime(2015, 9, 30, 0, 0, tzinfo=tzfile('PRC')),
  'EBITMARGIN': 0.0}]

try:
    _df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="EBITMARGIN")

    now_EBITMARGIN = _df[0]["EBITMARGIN"]
    last_EBITMARGIN = _df[1]["EBITMARGIN"]
    EBITG =  ((now_EBITMARGIN-last_EBITMARGIN)/last_EBITMARGIN)

    df.iloc[number,1] = EBITG  # pandas DataFrame 第0行第1列赋值
except:df.iloc[number,1] = -999

计算NPG

NPGRT 归属母公司净利润增长率

_df = get_fundamentals(table='deriv_finance_indicator', symbols=symbol_list, start_date=day_time,end_date=day_time, fields="NPGRT",df=True)

for col in _df.select_dtypes(['datetimetz']).columns:
    _df[col] = _df[col].dt.tz_convert(None)
    
_df.to_excel("NPGRT.xls")

在这里插入图片描述

计算TAG

TAGRT 营业总收入增长率

_df = get_fundamentals(table='deriv_finance_indicator', symbols=symbol_list, start_date=day_time,end_date=day_time, fields="TAGRT",df=True)

for col in _df.select_dtypes(['datetimetz']).columns:
    _df[col] = _df[col].dt.tz_convert(None)
    
_df.to_excel("TAGRT.xls")

在这里插入图片描述

计算GPG

OPGPMARGIN 营业毛利润

_df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="OPGPMARGIN")
_df

[{'symbol': 'SHSE.600000',
  'pub_date': datetime.datetime(2016, 4, 7, 0, 0, tzinfo=tzfile('PRC')),
  'end_date': datetime.datetime(2015, 12, 31, 0, 0, tzinfo=tzfile('PRC')),
  'OPGPMARGIN': 66067001344.0},
 {'symbol': 'SHSE.600000',
  'pub_date': datetime.datetime(2015, 10, 30, 0, 0, tzinfo=tzfile('PRC')),
  'end_date': datetime.datetime(2015, 9, 30, 0, 0, tzinfo=tzfile('PRC')),
  'OPGPMARGIN': 48361000960.0}]

for number in range(len(symbol_list)):
    try:
        _df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="OPGPMARGIN")

        now_EBITMARGIN = _df[0]["OPGPMARGIN"]
        last_EBITMARGIN = _df[1]["OPGPMARGIN"]
        EBITG =  ((now_EBITMARGIN-last_EBITMARGIN)/last_EBITMARGIN)

        df.iloc[number,4] = EBITG
    except:df.iloc[number,4] = -999

计算OPG

OPPRORT营业利润率

_df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="OPPRORT")
_df

[{'symbol': 'SHSE.601998',
  'pub_date': datetime.datetime(2016, 3, 24, 0, 0, tzinfo=tzfile('PRC')),
  'end_date': datetime.datetime(2015, 12, 31, 0, 0, tzinfo=tzfile('PRC')),
  'OPPRORT': 37.64590072631836},
 {'symbol': 'SHSE.601998',
  'pub_date': datetime.datetime(2015, 10, 28, 0, 0, tzinfo=tzfile('PRC')),
  'end_date': datetime.datetime(2015, 9, 30, 0, 0, tzinfo=tzfile('PRC')),
  'OPPRORT': 40.697792053222656}]

for number in range(len(symbol_list)):
    try:
        _df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="OPPRORT")

        now_EBITMARGIN = _df[0]["OPPRORT"]
        last_EBITMARGIN = _df[1]["OPPRORT"]
        EBITG =  ((now_EBITMARGIN-last_EBITMARGIN)/last_EBITMARGIN)
        df.iloc[number,5] = EBITG
    except:df.iloc[number,5] = -999

计算OCG

NCFPS 每股现金流量净额

_df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="NCFPS")
_df

[{'symbol': 'SHSE.601998',
  'pub_date': datetime.datetime(2016, 3, 24, 0, 0, tzinfo=tzfile('PRC')),
  'end_date': datetime.datetime(2015, 12, 31, 0, 0, tzinfo=tzfile('PRC')),
  'NCFPS': -0.04109499976038933},
 {'symbol': 'SHSE.601998',
  'pub_date': datetime.datetime(2015, 10, 28, 0, 0, tzinfo=tzfile('PRC')),
  'end_date': datetime.datetime(2015, 9, 30, 0, 0, tzinfo=tzfile('PRC')),
  'NCFPS': -0.1751980036497116}]

for number in range(len(symbol_list)):
    try:
        _df = get_fundamentals_n(table='deriv_finance_indicator', symbols=symbol_list[number],end_date=day_time, count=2,fields="NCFPS")
        now_EBITMARGIN = _df[0]["NCFPS"]
        last_EBITMARGIN = _df[1]["NCFPS"]
        EBITG =  ((now_EBITMARGIN-last_EBITMARGIN)/last_EBITMARGIN)
        df.iloc[number,6] = EBITG
    except:df.iloc[number,6] = -999

结果汇总

在这里插入图片描述

对多因子评分并排序

df = df.dropna()  #滤除所有包含NaN
df_factor = df.iloc[:,1:]  # 取第二列之后的数据用于计算
df_factor = np.asmatrix(df_factor) # 将每行元素转成矩阵

#先进行列归一化，然后在对每行进行标准化处理
df_factor = preprocessing.MinMaxScaler().fit_transform(df_factor)
# 不仅计算训练数据的均值和方差，还会基于计算出来的均值和方差来转换训练数据，从而把数据转换成标准的正太分布
weight = [[-1],[-1],[-1],[-1],[-1],[-1]]
weight_mat = np.asmatrix(weight)
res = np.dot(df_factor, weight_mat) # 矩阵相乘
df["score"] = (res)
df = (df.sort_values(["score"]))

在这里插入图片描述

Mikowoo007

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多因子策略_基于成长因子的模型测试

msci_tools.pyfrom gm.api import *import numpy as npimport pandas as pdfrom sklearn import preprocessing#这段代码是获取MSCI成分股，返回一个listdef read_MSCI(): symbol_list = [] f2 = open("../MSCI_tools/MSCI成分股.txt", "r") lines = f2.readlines() for l
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