akshare 1.15.9__py3-none-any.whl → 1.15.10__py3-none-any.whl

akshare/__init__.py

@@ -2919,9 +2919,10 @@ amac_manager_cancelled_info # 中国证券投资基金业协会-信息公示-诚
 1.15.7 fix: fix index_hist_sw interface
 1.15.8 fix: fix fund_individual_basic_info_xq interface
 1.15.9 fix: fix index_analysis_weekly_sw interface
+1.15.10 add: add volatility_yz_rv indicator
 """
 
-__version__ = "1.15.9"
+__version__ = "1.15.10"
 __author__ = "AKFamily"
 
 import sys
@@ -2943,6 +2944,11 @@ if sys.version_info < (3, 9):
 
 del sys
 
+"""
+已实现波动率
+"""
+from akshare.cal.rv import volatility_yz_rv, rv_from_futures_zh_minute_sina, rv_from_stock_zh_a_hist_min_em
+
 """
 QDII
 """

akshare/cal/rv.py

@@ -0,0 +1,168 @@
+"""
+Yang-Zhang-s-Realized-Volatility-Automated-Estimation-in-Python
+https://github.com/hugogobato/Yang-Zhang-s-Realized-Volatility-Automated-Estimation-in-Python
+"""
+
+import warnings
+
+import numpy as np
+import pandas as pd
+
+
+def rv_from_stock_zh_a_hist_min_em(
+    symbol="000001",
+    start_date="2021-10-20 09:30:00",
+    end_date="2024-11-01 15:00:00",
+    period="1",
+    adjust="hfq",
+) -> pd.DataFrame:
+    """
+    从东方财富网获取股票的分钟级历史行情数据,并进行数据清洗和格式化为计算 yz 已实现波动率所需的数据格式
+    https://quote.eastmoney.com/concept/sh603777.html?from=classic
+    :param symbol: 股票代码,如"000001"
+    :type symbol: str
+    :param start_date: 开始日期时间,格式"YYYY-MM-DD HH:MM:SS"
+    :type start_date: str
+    :param end_date: 结束日期时间,格式"YYYY-MM-DD HH:MM:SS"
+    :type end_date: str
+    :param period: 时间周期,可选{'1','5','15','30','60'}分钟
+    :type period: str
+    :param adjust: 复权方式,可选{'','qfq'(前复权),'hfq'(后复权)}
+    :type adjust: str
+    :return: 整理后的分钟行情数据,包含Date(索引),Open,High,Low,Close列
+    :rtype: pandas.DataFrame
+    """
+    from akshare.stock_feature.stock_hist_em import stock_zh_a_hist_min_em
+
+    temp_df = stock_zh_a_hist_min_em(
+        symbol=symbol,
+        start_date=start_date,
+        end_date=end_date,
+        period=period,
+        adjust=adjust,
+    )
+    temp_df.rename(
+        columns={
+            "时间": "Date",
+            "开盘": "Open",
+            "最高": "High",
+            "最低": "Low",
+            "收盘": "Close",
+        },
+        inplace=True,
+    )
+    temp_df = temp_df[temp_df["Open"] != 0]
+    temp_df["Date"] = pd.to_datetime(temp_df["Date"])
+    temp_df.set_index(keys="Date", inplace=True)
+    return temp_df
+
+
+def rv_from_futures_zh_minute_sina(
+    symbol: str = "IF2008", period: str = "5"
+) -> pd.DataFrame:
+    """
+    从新浪财经获取期货的分钟级历史行情数据,并进行数据清洗和格式化
+    https://vip.stock.finance.sina.com.cn/quotes_service/view/qihuohangqing.html#titlePos_3
+    :param symbol: 期货合约代码,如"IF2008"代表沪深300期货2020年8月合约
+    :type symbol: str
+    :param period: 时间周期,可选{'1','5','15','30','60'}分钟
+    :type period: str
+    :return: 整理后的分钟行情数据,包含Date(索引),Open,High,Low,Close列
+    :rtype: pandas.DataFrame
+    """
+    from akshare.futures.futures_zh_sina import futures_zh_minute_sina
+
+    temp_df = futures_zh_minute_sina(symbol=symbol, period=period)
+    temp_df.rename(
+        columns={
+            "datetime": "Date",
+            "open": "Open",
+            "high": "High",
+            "low": "Low",
+            "close": "Close",
+        },
+        inplace=True,
+    )
+    temp_df["Date"] = pd.to_datetime(temp_df["Date"])
+    temp_df.set_index(keys="Date", inplace=True)
+    return temp_df
+
+
+def volatility_yz_rv(data: pd.DataFrame) -> pd.DataFrame:
+    """
+    波动率-已实现波动率-Yang-Zhang 已实现波动率(Yang-Zhang Realized Volatility)
+    https://github.com/hugogobato/Yang-Zhang-s-Realized-Volatility-Automated-Estimation-in-Python
+    基于以下公式计算:
+    RV^2 = Vo + k*Vc + (1-k)*Vrs
+    其中:
+    - Vo: 隔夜波动率, Vo = 1/(n-1)*sum(Oi-Obar)^2
+        Oi为标准化开盘价, Obar为标准化开盘价均值
+    - Vc: 收盘波动率, Vc = 1/(n-1)*sum(ci-Cbar)^2
+        ci为标准化收盘价, Cbar为标准化收盘价均值
+    - k: 权重系数, k = 0.34/(1.34+(n+1)/(n-1))
+        n为样本数量
+    - Vrs: Rogers-Satchell波动率代理, Vrs = ui(ui-ci)+di(di-ci)
+        ui = ln(Hi/Oi), ci = ln(Ci/Oi), di = ln(Li/Oi), oi = ln(Oi/Ci-1)
+        Hi/Li/Ci/Oi分别为最高价/最低价/收盘价/开盘价
+
+    :param data: 包含 OHLC(开高低收) 价格的 pandas.DataFrame
+    :type data: pandas.DataFrame
+    :return: 包含 Yang-Zhang 实现波动率的 pandas.DataFrame
+    :rtype: pandas.DataFrame
+
+    要求输入数据包含以下列:
+    - Open: 开盘价
+    - High: 最高价
+    - Low: 最低价
+    - Close: 收盘价
+    # yang_zhang_rv formula is give as:
+    # RV^2 = Vo + k*Vc + (1-k)*Vrs
+    # where Vo = 1/(n-1)*sum(Oi-Obar)^2
+    # with oi = normalized opening price at time t and Obar = mean of normalized opening prices
+    # Vc = = 1/(n-1)*sum(ci-Cbar)^2
+    # with ci = normalized close price at time t and Cbar = mean of normalized close prices
+    # k = 0.34/(1.34+(n+1)/(n-1))
+    # with n = total number of days or time periods considered
+    # Vrs (Rogers & Satchell RV proxy) = ui(ui-ci)+di(di-ci)
+    # with ui = ln(Hi/Oi), ci = ln(Ci/Oi), di=(Li/Oi), oi = ln(Oi/Ci-1)
+    # where Hi = high price at time t and Li = low price at time t
+    """ ""
+    warnings.filterwarnings("ignore")
+
+    data["ui"] = np.log(np.divide(data["High"][1:], data["Open"][1:]))
+    data["ci"] = np.log(np.divide(data["Close"][1:], data["Open"][1:]))
+    data["di"] = np.log(np.divide(data["Low"][1:], data["Open"][1:]))
+    data["oi"] = np.log(np.divide(data["Open"][1:], data["Close"][: len(data) - 1]))
+    data = data[1:]
+    data["RS"] = data["ui"] * (data["ui"] - data["ci"]) + data["di"] * (
+        data["di"] - data["ci"]
+    )
+    rs_var = data["RS"].groupby(pd.Grouper(freq="1D")).mean().dropna()
+    vc_and_vo = data[["oi", "ci"]].groupby(pd.Grouper(freq="1D")).var().dropna()
+    n = int(len(data) / len(rs_var))
+    k = 0.34 / (1.34 + (n + 1) / (n - 1))
+    yang_zhang_rv = np.sqrt((1 - k) * rs_var + vc_and_vo["oi"] + vc_and_vo["ci"] * k)
+    yang_zhang_rv_df = pd.DataFrame(yang_zhang_rv)
+    yang_zhang_rv_df.rename(columns={0: "yz_rv"}, inplace=True)
+    yang_zhang_rv_df.reset_index(inplace=True)
+    yang_zhang_rv_df.columns = ["date", "rv"]
+    yang_zhang_rv_df["date"] = pd.to_datetime(
+        yang_zhang_rv_df["date"], errors="coerce"
+    ).dt.date
+    return yang_zhang_rv_df
+
+
+if __name__ == "__main__":
+    futures_df = rv_from_futures_zh_minute_sina(symbol="IF2008", period="1")
+    volatility_yz_rv_df = volatility_yz_rv(data=futures_df)
+    print(volatility_yz_rv_df)
+
+    stock_df = rv_from_stock_zh_a_hist_min_em(
+        symbol="000001",
+        start_date="2021-10-20 09:30:00",
+        end_date="2024-11-01 15:00:00",
+        period="5",
+        adjust="",
+    )
+    volatility_yz_rv_df = volatility_yz_rv(data=stock_df)
+    print(volatility_yz_rv_df)

akshare/index/index_research_sw.py

@@ -562,6 +562,6 @@ if __name__ == "__main__":
     print(index_analysis_weekly_sw_df)
 
     index_analysis_monthly_sw_df = index_analysis_monthly_sw(
-        symbol="市场表征", date="20240329"
+        symbol="市场表征", date="20240930"
     )
     print(index_analysis_monthly_sw_df)

{akshare-1.15.9.dist-info → akshare-1.15.10.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: akshare
-Version: 1.15.9
+Version: 1.15.10
 Summary: AKShare is an elegant and simple financial data interface library for Python, built for human beings!
 Home-page: https://github.com/akfamily/akshare
 Author: AKFamily

{akshare-1.15.9.dist-info → akshare-1.15.10.dist-info}/RECORD

@@ -1,4 +1,4 @@
-akshare/__init__.py,sha256=jqNKxIz9aIT8THYeuEIf_pKnAE4SMsJPUyE4l63dHFw,182868
+akshare/__init__.py,sha256=rAi5HeRNqAMHlNWS4JKfQBEgsAct8UTiy-fymCe4q6U,183049
 akshare/datasets.py,sha256=-qdwaQjgBlftX84uM74KJqCYJYkQ50PV416_neA4uls,995
 akshare/exceptions.py,sha256=WEJjIhSmJ_xXNW6grwV4nufE_cfmmyuhmueVGiN1VAg,878
 akshare/request.py,sha256=HtFFf9MhfEibR-ETWe-1Tts6ELU4VKSqA-ghaXjegQM,4252
@@ -34,6 +34,8 @@ akshare/bond/bond_summary.py,sha256=ECwCRcs5YMIro4I1Yayf6SZ8nz1Hr97RhmKT6aGaQDg,
 akshare/bond/bond_zh_cov.py,sha256=yL77itRK0rFCeQP_M524lW1740D5Q1IZW6eLvjXf2H4,23750
 akshare/bond/bond_zh_sina.py,sha256=msj7upgqaCTzC_MxzhUm7hVKtzHeWRUjlcjvZn2zlbw,4654
 akshare/bond/cons.py,sha256=SGqjMqRYwJlEb8UczxdcrtcD7I2SAVULXARGEedEQfE,1792
+akshare/cal/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+akshare/cal/rv.py,sha256=Pv0ymH_RlwLsVqmKJvrJHxIr5CvgUt7jN-kzYneRKok,6402
 akshare/cost/__init__.py,sha256=x1R9hH6E0M7C86XhHFzbPiipUWz9IknuhVZrk4gZus4,82
 akshare/cost/cost_living.py,sha256=_yoGEW4jBfpjhgMxCXvMtBbrCx2PEuOngV3laEoEOvk,2078
 akshare/crypto/__init__.py,sha256=lbmNMPPLGkW9AgGL4ZnCwoQvPjOFPDNUz6P3arSkNI0,83
@@ -165,7 +167,7 @@ akshare/index/index_kq_fz.py,sha256=Y-cbxWLpRyGcFcMSDxZZQXdAuD85IuQH5xC2rhtGbRc,
 akshare/index/index_kq_ss.py,sha256=m4hAMNnzHk8JNAnKjkYYVeyG4zUC5zR5i0-u-OxmaGU,3333
 akshare/index/index_option_qvix.py,sha256=sCx0iiIetkp5ELE9sDwesVFgJNfa_1tAEWVCJI-I2u4,3270
 akshare/index/index_research_fund_sw.py,sha256=kVYjBl3vZg6CyYBCrxZiSv8taHMnqmG7PQ-LVmMNd3I,4603
-akshare/index/index_research_sw.py,sha256=EbyrxSxHclqXK5-IW5YbkZd7J5s-gBtrfayymvrlQw8,21758
+akshare/index/index_research_sw.py,sha256=Mm1YtiP-PXhDysJwmFidX3RZSZZ92AyXpjl_tVrjdwA,21758
 akshare/index/index_spot.py,sha256=HrXt2QC9i1pYEh7wyJPKjtexctzSIUyMjEzk5BQq_K8,1696
 akshare/index/index_stock_hk.py,sha256=nPFzRrjyiUpRK-OSDsdi5AFCKHNKqOVji6WJcQxOvNo,9781
 akshare/index/index_stock_us_sina.py,sha256=IxOk4G49oasv7EfEQenL9-GLuelyUus6c4JPyRlaOzY,1551
@@ -381,8 +383,8 @@ akshare/utils/token_process.py,sha256=K4rGXjh_tgugbRcyOK2h2x0jP3PT65IIK7nxhUKhOe
 akshare/utils/tqdm.py,sha256=MuPNwcswkOGjwWQOMWXi9ZvQ_RmW4obCWRj2i7HM7FE,847
 tests/__init__.py,sha256=gNzhlO0UPjFq6Ieb38kaVIODXv4cTDByrdohAZnDYt4,82
 tests/test_func.py,sha256=j1MGYbZI2if2j_LY1S4FLsf4qfq4NwVqD5wmRlv5Log,832
-akshare-1.15.9.dist-info/LICENSE,sha256=mmSZCPgfHiVw34LXuFArd-SUgQtBJ_QsIlh-kWlDHfs,1073
-akshare-1.15.9.dist-info/METADATA,sha256=7Zw_hSu3RGidWw9Aq7_hjkxjGwYMYu-6iw-DKXJ8Ubw,14151
-akshare-1.15.9.dist-info/WHEEL,sha256=OVMc5UfuAQiSplgO0_WdW7vXVGAt9Hdd6qtN4HotdyA,91
-akshare-1.15.9.dist-info/top_level.txt,sha256=jsf9ZzZPmHaISTVumQPsAw7vv7Yv-PdEVW70SMEelQQ,14
-akshare-1.15.9.dist-info/RECORD,,
+akshare-1.15.10.dist-info/LICENSE,sha256=mmSZCPgfHiVw34LXuFArd-SUgQtBJ_QsIlh-kWlDHfs,1073
+akshare-1.15.10.dist-info/METADATA,sha256=-D0v5_oUh59S9CYLr8sKeLpkjHjOlO3GRSW2Kz5TZPY,14152
+akshare-1.15.10.dist-info/WHEEL,sha256=P9jw-gEje8ByB7_hXoICnHtVCrEwMQh-630tKvQWehc,91
+akshare-1.15.10.dist-info/top_level.txt,sha256=jsf9ZzZPmHaISTVumQPsAw7vv7Yv-PdEVW70SMEelQQ,14
+akshare-1.15.10.dist-info/RECORD,,

{akshare-1.15.9.dist-info → akshare-1.15.10.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: setuptools (75.2.0)
+Generator: setuptools (75.3.0)
 Root-Is-Purelib: true
 Tag: py3-none-any