量化研究---印度lof套利分析，提供源代码

以前我写过量化lof溢价率系统 小果量化系统----lof基金套利系统完成，提供实时数据api,源代码

网页 http://120.78.132.143:8023/

套利网页 http://120.78.132.143:8023/lof_fund_data_analysis_app

套利到账赚了几块钱，印度的溢价率比较稳定，我们点击历史溢价率

历史溢价率，搜索输入印度

历史的溢价率

我们分析一下

from trader_tool.lof_fund_data import lof_fund_dataimport pandas as pdimport matplotlib.pyplot as pltimport quantstats as qsfrom trader_tool.index_data import index_datafrom trader_tool import jsl_datafrom trader_tool.jsl_bond_data import jsl_bond_dataimport matplotlib.pyplot as pltimport seaborn as snsimport statsmodels.api as sm# 支持中文plt.rcParams['font.sans-serif'] = ['SimHei']  # 用来正常显示中文标签plt.rcParams['axes.unicode_minus'] = False  # 用来正常显示负号data=lof_fund_data()

获取历史溢价率数据

#获取印度基金的历史溢价率df=data.get_hist_yly_data(stock='164824')df=df.sort_values(by='时间')df

每日溢价率分布​​​​​​​

#每日溢价率分布df['时间']=pd.to_datetime(df['时间'])df['溢价率']=pd.to_numeric(df['溢价率'])plt.bar(x='时间',height='溢价率',data=df)plt.show()

溢价率在下降，平均溢价率7

#平均溢价率

df['溢价率'].mean()

#加入手续费是1.2，套利获取,没有暂停df['获利']=df['溢价率']-1.2df['获利']#累计获取df['获利'].sum()

套利获利

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#收益分析hist=data.fund_lof_hist_em(symbol='164824')hist

印度的溢价率稳定，印度分析

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hist.index=pd.to_datetime(hist['日期'])qs.reports.full(returns=hist['收盘'].pct_change())

源代码全部上次了知识星球可以直接用

加入备加群，可以进入我的量化策略研究群

lof套利数据api​​​​​​​

import pandas as pdimport jsonimport requestsimport osclass xg_financial_database:    '''    小果金融数据库    '''    def __init__(self,url='http://120.78.132.143',port=8023,password='123456'):        '''        小果金融数据库        url服务器网页        port端口        password授权码        '''        self.url=url        self.port=port        self.password=password        self.path=os.path.dirname(os.path.abspath(__file__))    def get_user_info(self):        '''        获取用户信息        '''        url='{}:{}/_dash-update-component'.format(self.url,self.port)        headers={'Content-Type':'application/json'}        data={            "output":"finace_data_table_1.data@c28c1f466316fd80f79b58b2e7baab2f",            "outputs":{"id":"finace_data_table_1","property":"data@c28c1f466316fd80f79b58b2e7baab2f"},            "inputs":[{"id":"finace_data_password","property":"value","value":"{}".format(self.password)},            {"id":"finace_data_data_type","property":"value","value":"代码"},            {"id":"finace_data_text","property":"value","value":"from trader_tool.stock_data import stock_data\nstock_data=stock_data()\ndf=stock_data.get_stock_hist_data_em(stock='600031',start_date='20210101',end_date='20600101',data_type='D',count=8000)\ndf.to_csv(r'{}\\数据\\{}数据.csv')\n                \n                "},            {"id":"finace_data_run","property":"value","value":"运行"},            {"id":"finace_data_down_data","property":"value","value":"不下载数据"}],            "changedPropIds":["finace_data_run.value"]}        res=requests.post(url=url,data=json.dumps(data),headers=headers)        text=res.json()        df=pd.DataFrame(text['response']['finace_data_table_1']['data'])        return df    def get_user_def_data(self,func=''):        '''        自定义数据获取        调用数据库        '''        text=self.params_func(text=func)        func=text        info=self.get_user_info()        print(info)        url='{}:{}/_dash-update-component'.format(self.url,self.port)        headers={'Content-Type':'application/json'}        data={"output":"finace_data_table.data@c28c1f466316fd80f79b58b2e7baab2f",            "outputs":{"id":"finace_data_table","property":"data@c28c1f466316fd80f79b58b2e7baab2f"},            "inputs":[{"id":"finace_data_password","property":"value","value":"{}".format(self.password)},            {"id":"finace_data_data_type","property":"value","value":"代码"},            {"id":"finace_data_text","property":"value","value":"{}".format(func)},            {"id":"finace_data_run","property":"value","value":"运行"},            {"id":"finace_data_down_data","property":"value","value":"不下载数据"}],            "changedPropIds":["finace_data_run.value"]}        res=requests.post(url=url,data=json.dumps(data),headers=headers)        text=res.json()        df=pd.DataFrame(text['response']['finace_data_table']['data'])        return info, df    def params_func(self,text=''):        '''        解析函数        '''        data_list=[]        f=text.split('\n')        for i in f:            text=i.strip().lstrip()            data_list.append(text)        func='\n'.join(data_list)        return func    def get_all_etf_data(self):        '''        获取全部的etf数据        '''        func="""        from trader_tool.dfcf_etf_data import dfcf_etf_data        data=dfcf_etf_data()        df=data.get_all_etf_data()        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_bond_etf_data(self):        '''        获取债券的etf数据        '''        func="""        from trader_tool.dfcf_etf_data import dfcf_etf_data        data=dfcf_etf_data()        df=data.get_bond_etf_data()        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_sz_sh_etf(self):        '''        获取A股ETF数据        '''        func="""        from trader_tool.dfcf_etf_data import dfcf_etf_data        data=dfcf_etf_data()        df=data.get_sz_sh_etf()        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_wp_etf_data(self):        '''        获取外盘ETF数据        '''        func="""        from trader_tool.dfcf_etf_data import dfcf_etf_data        data=dfcf_etf_data()        df=data.get_wp_etf_data()        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_sp_etf_data(self):        '''        获取商品ETF数据        '''        func="""        from trader_tool.dfcf_etf_data import dfcf_etf_data        data=dfcf_etf_data()        df=data.get_sp_etf_data()        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_hot_spot_investment(self):        '''        获取ETF热点投资数据        '''        func="""        from trader_tool.dfcf_etf_data import dfcf_etf_data        data=dfcf_etf_data()        df=data.get_hot_spot_investment()        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_hot_spot_investment(self):        '''        获取ETF热点投资数据        '''        func="""        from trader_tool.dfcf_etf_data import dfcf_etf_data        data=dfcf_etf_data()        df=data.get_hot_spot_investment()        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_limit_up_pool(self,date='20240126'):        '''        获取涨停板数据        '''        func="""        from trader_tool.ths_limitup_data import ths_limitup_data        data=ths_limitup_data()        df=data.read_func_data(func="self.get_limit_up_pool(date={})")        print(df)        """.format(date)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_limit_up(self,date=''):        '''        冲刺涨停        '''        func="""        from trader_tool.ths_limitup_data import ths_limitup_data        data=ths_limitup_data()        df=data.read_func_data(func="self.get_limit_up(date={})")        print(df)        """.format(date)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_continuous_limit_pool(self,date='20230925'):        '''        连扳        '''        func="""        from trader_tool.ths_limitup_data import ths_limitup_data        data=ths_limitup_data()        df=data.read_func_data(func="self.get_continuous_limit_pool(date={})")        print(df)        """.format(date)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_open_limit_pool(self,date='20230925'):        '''        炸板池        '''        func="""        from trader_tool.ths_limitup_data import ths_limitup_data        data=ths_limitup_data()        df=data.read_func_data(func="self.get_open_limit_pool(date={})")        print(df)        """.format(date)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_lower_limit_pool(self,date='20230101'):        '''        跌停        '''        func="""        from trader_tool.ths_limitup_data import ths_limitup_data        data=ths_limitup_data()        df=data.read_func_data(func="self.get_lower_limit_pool(date={})")        print(df)        """.format(date)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_block_top_pool(self,date='20230101'):        '''        最强风口        '''        func="""        from trader_tool.ths_limitup_data import ths_limitup_data        data=ths_limitup_data()        df=data.read_func_data(func="self.get_block_top_pool(date={})")        print(df)        """.format(date)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_analysis_block_top_pool(self,date='20240101'):        '''        解析最强风口        '''        func="""        from trader_tool.ths_limitup_data import ths_limitup_data        data=ths_limitup_data()        df=data.read_func_data(func="self.get_analysis_block_top_pool(date={})")        print(df)        """.format(date)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_stock_continuous_limit_up(self,date='20240101'):        '''        连扳天梯        '''        func="""        from trader_tool.ths_limitup_data import ths_limitup_data        data=ths_limitup_data()        df=data.read_func_data(func="self.get_stock_continuous_limit_up(date={})")        print(df)        """.format(date)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_hot_stock_rank(self):        func="""        from trader_tool.ths_rq import ths_rq        models=ths_rq()        df=models.get_hot_stock_rank()        print(df)        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_stock_concept_rot_rank(self):        func="""        from trader_tool.ths_rq import ths_rq        models=ths_rq()        df=models.get_stock_concept_rot_rank()        print(df)        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_stock_industry_rot_rank(self):        func="""        from trader_tool.ths_rq import ths_rq        models=ths_rq()        df=models.get_stock_industry_rot_rank()        print(df)        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_etf_hot_rank(self):        func="""        from trader_tool.ths_rq import ths_rq        models=ths_rq()        df=models.get_etf_hot_rank()        print(df)        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_cov_bond_rot_rank(self):        func="""        from trader_tool.ths_rq import ths_rq        models=ths_rq()        df=models.get_cov_bond_rot_rank()        print(df)        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_HK_stock_rot_rank(self):        func="""        from trader_tool.ths_rq import ths_rq        models=ths_rq()        df=models.get_HK_stock_rot_rank()        print(df)        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_US_stock_rot_rank(self):        func="""        from trader_tool.ths_rq import ths_rq        models=ths_rq()        df=models.get_US_stock_rot_rank()        print(df)        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_futurn_hot_rank(self):        func="""        from trader_tool.ths_rq import ths_rq        models=ths_rq()        df=models.get_futurn_hot_rank()        print(df)        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def fund_lof_spot_em(self):        '''        LOF 实时行情        '''        func="""        from trader_tool.lof_fund_data import lof_fund_data        models=lof_fund_data()        df=models.fund_lof_spot_em()        print(df)        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def fund_lof_hist_em(self,        symbol: str = "166009",        period: str = "daily",        start_date: str = "19700101",        end_date: str = "20500101",        adjust: str = "",):        '''        获取lof历史数据        '''        func="""        from trader_tool.lof_fund_data import lof_fund_data        models=lof_fund_data()        df=models.fund_lof_hist_em(symbol='{}',        period='{}',        start_date='{}',        end_date='{}',        adjust='{}')        print(df)        """.format(symbol,period,start_date,end_date,adjust)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def fund_lof_hist_min_em(self,        symbol: str = "166009",        start_date: str = "1979-09-01 09:32:00",        end_date: str = "2222-01-01 09:32:00",        period: str = "5",        adjust: str = ""):        '''        lof分时行情        '''        func="""        from trader_tool.lof_fund_data import lof_fund_data        models=lof_fund_data()        df=models.fund_lof_hist_min_em(symbol='{}',        period='{}',        start_date='{}',        end_date='{}',        adjust='{}')        print(df)        """.format(symbol,period,start_date,end_date,adjust)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_lof_fund_info_data(self,stock='501225'):        '''        获取ETF基本信息        '''        func="""        from trader_tool.lof_fund_data import lof_fund_data        models=lof_fund_data()        df=models.get_lof_fund_info_data(stock='{}')        """.format(stock)+"""        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,df    def get_all_lof_fund_info_data(self):        '''        获取全部lof基金数据        '''        func="""        from trader_tool.lof_fund_data import lof_fund_data        models=lof_fund_data()        df=models.get_all_lof_fund_info_data()        print(df)        df.to_csv(r'{}\数据\{}数据.csv')        """        info,df=self.get_user_def_data(func=func)        return info,dfif __name__=='__main__':    data=xg_financial_database(password='123456')    df=data.get_lof_fund_info_data(stock='501025')    print(df)