siat 2.14.1__py3-none-any.whl → 3.0.0__py3-none-any.whl

siat/security_price2.py

@@ -0,0 +1,616 @@
+# -*- coding: utf-8 -*-
+"""
+版权：王德宏，北京外国语大学国际商学院
+功能：
+1、获取证券价格，多种方法
+2、首先获取单一证券的价格，其后证券列表的价格
+3、支持股票、基金、债券、申万行业指数
+版本：0.1，2024-4-3，经过多方测试
+"""
+
+#==============================================================================
+#关闭所有警告
+import warnings; warnings.filterwarnings('ignore')
+from siat.common import *
+from siat.translate import *
+from siat.security_prices import *
+#==============================================================================
+import pandas as pd
+#==============================================================================
+SUFFIX_LIST_CN=['SS','SZ','BJ','SW','SH']
+SUFFIX_LIST_HK=['HK']
+#==============================================================================
+
+#==============================================================================
+#==============================================================================
+if __name__=='__main__':
+    ticker='AAPL' #股票
+    ticker='600519.SS' 
+    ticker='00700.HK'
+    ticker='OPN.PL'
+    
+    ticker='000001.SS' #指数
+    ticker='000300.SS'
+    
+    ticker='sh018003' #债券
+    ticker='sz149808'
+    ticker='sz159998' #基金
+    
+    ticker='801010.SW' #申万
+    
+    fromdate='2024-1-1'; todate='2024-4-6'
+    
+    ticker_type='auto'
+    ticker_type='bond'
+    
+    source='auto'
+    source='yahoo'
+    
+    adjust=''
+    fill=True
+    
+    price,found=get_price_1ticker(ticker=ticker,fromdate=fromdate,todate=todate, \
+                                  ticker_type=ticker_type,source=source, \
+                                      adjust=adjust,fill=fill)
+    
+def get_price_1ticker(ticker,fromdate,todate, \
+                      ticker_type='auto',source='auto', \
+                      adjust='',fill=False):
+    """
+    功能：抓取一只证券的价格序列，不处理列表，不处理投资组合
+    数据源优先度：1-source，2-ticker属地，3-ticker_type
+    adjust：""-未复权，qfq-前复权，hfq-后复权，qfq-factor：前复权因子和调整，hfq-factor: 后复权因子和调整
+    返回值：
+    df: None-未找到ticker，空df-找到ticker但规定时间段内无数据
+    found: 字符串，Found-找到且有数据，Empty-找到但规定时间段内无数据，None-未找到ticker。
+    简化使用者判断
+    fill：为现有数据开始结束日期之间的工作日填充=True
+    """ 
+    
+    #返回值初始状态，确保各种情况下都有返回值
+    df=None
+    found='None'
+    
+    #只处理字符串
+    if not isinstance(ticker,str):
+        print("  #Warning(get_price_1ticker):",ticker,"is not a single security code")
+        return df,found
+
+    #检查日期期间合理性
+    valid_period,fromdatepd,todatepd=check_period(fromdate,todate)
+    if not valid_period:
+        #print("  #Warning(get_price_1ticker): invalid date period from",fromdate,"to",todate)
+        return df,found
+        
+    #检查复权选项合理性
+    ak_fq_list=['','qfq','hfq','qfq-factor','hfq-factor']
+    if adjust not in ak_fq_list:
+        adjust=''
+    
+    #变换ticker为内部格式（yahoo格式）
+    ticker1=ticker1_cvt2yahoo(ticker)
+    _,prefix,suffix=split_prefix_suffix(ticker1)
+    
+    #预处理ticker_type
+    ticker_type=ticker_type_preprocess_1str(ticker,ticker_type)
+    
+    #数据源情形1：akshare
+    if source in ['auto','sina']:
+        #中国的证券
+        if suffix in SUFFIX_LIST_CN:
+            #含处理证券类型优先级
+            dft=get_price_ak_cn(ticker1,fromdate,todate,adjust=adjust,ticker_type=ticker_type)
+            found=df_have_data(dft)
+            
+        #香港的证券
+        if suffix in SUFFIX_LIST_HK and found not in ['Found','Empty']:
+            dft=get_price_ak_hk(ticker1,fromdate,todate,adjust=adjust)
+            found=df_have_data(dft)
+            
+        #是否美股
+        if found not in ['Found','Empty']:
+            adjust='qfq' if adjust != '' else ''
+            dft=get_price_ak_us(ticker1,fromdate,todate,adjust=adjust)
+            found=df_have_data(dft)
+            
+    #数据源情形2：stooq
+    if source in ['auto','stooq'] and found not in ['Found','Empty']:
+        dft=get_price_stooq(ticker1,fromdate,todate)
+        found=df_have_data(dft)
+    
+    #访问雅虎财经
+    if source in ['auto','yahoo'] and found not in ['Found','Empty']:
+        dft=None
+        if test_yahoo_finance():
+            #数据源情形3：yahoo, yfinance, 需要访问yahoo
+            dft=get_price_yf(ticker1,fromdate,todate)
+            found=df_have_data(dft) 
+        
+            #数据源情形4：yahoo, pandas_datareader，需要访问yahoo，近期似乎不工作！
+            if found not in ['Found','Empty']:
+                dft=get_prices_yahoo(ticker1,fromdate,todate)
+                found=df_have_data(dft) 
+        else:
+            if source in ['yahoo']:
+                print("  #Warning(get_price_1ticker): sorry, yahoo is currently inaccessible")
+            
+    #数据源情形5：FRED, 仅用于几个常用指数，备用
+    if source in ['auto'] and found not in ['Found','Empty']:
+        dft=get_index_fred(ticker1,fromdate,todate)
+        found=df_have_data(dft)         
+
+    #数据源情形6：pandas_datareader，其他数据源，暂不支持
+    """
+    Tiingo：获取股票，共同基金和信息和交易所交易基金的信息，可以免费注册获得API_KEY
+    IEX：获得投资交易信息，需要API_KEY
+    Alpha Vantage：美股信息，需要API_KEY
+    Econdb：提供超过90家官方统计机构提供的经济数据，免费
+    Enigma：交易数据，需要API
+    Quandl：股价和基金交易数据，需要API_KEY
+    FRED：来自FRED的金融研究数据，编码特殊，需要转换
+    Fama/French：来自Fama/French数据实验室的数据
+    World Bank：世行数据
+    OECD：经合组织数据
+    Eurostat：欧洲统计局数据
+    TSP Fund Data：TSP(Thrift Savings Plan) 基金数据
+    Nasdaq Trader Symbol Definitions：Nasdaq 股票代码定义文档 (包含公司名，上市状态等一些数据)
+    MOEX Data：莫斯科交易所数据
+    Bank of Canada：加拿大银行数据
+    """
+        
+    #整理字段
+    if found in ['Found','Empty']:
+        dft1_cols=['Open','High','Low','Close','Volume','Adj Close','source','ticker']
+        dft1=dft[dft1_cols]
+        
+        dft1['name']=ticker_name(ticker1,ticker_type=ticker_type)
+        dft1['Amount']=dft1.apply(lambda x: x['Close'] * x['Volume'],axis=1)
+    else:
+        dft1=dft
+        
+    if found == 'None':
+        print("  Sorry, tried all means,",ticker,'info not found or inaccessible')
+    if found == 'Empty':
+        print("  Pity, zero record available for",ticker,'from',fromdate,'to',todate)
+    
+    if found in ['Found'] and fill:
+        #需要产生连续工作日日期，以便对缺失值填充
+        dft1=df_fill_extend(dft1,colname='Close',extend_business_date=True)
+        dft1['Volume']=dft1.apply(lambda x: 0 if x['filled']==True else x['Volume'],axis=1)
+        dft1['Amount']=dft1.apply(lambda x: 0 if x['filled']==True else x['Amount'],axis=1)
+    
+    return dft1,found
+
+#==============================================================================
+if __name__=='__main__':
+    ticker=["430047.BJ","600519.SS","000858.SZ"] #全股票
+    ticker_type='auto'
+    ticker_type=['auto','stock']
+    
+    ticker=["sz169107","sh510050","sh010504","000858.SZ"] #LOF基金,ETF基金,国债，股票
+    ticker_type='bond'
+    
+    ticker=['801002.SW',"600519.SS","sh510050","sh010504"] #申万指数，股票,ETF基金,国债
+    ticker_type='bond'
+    
+    fromdate="2024-3-1"
+    todate="2024-4-1"
+    
+    adjust=''
+    adjust=['','qfq']
+    
+    source='auto'
+    fill=True
+    
+    prices,found=get_price_mticker(ticker,fromdate,todate,adjust,source,ticker_type,fill)
+
+def get_price_mticker(ticker,fromdate,todate, \
+                      adjust='',source='auto',ticker_type='auto',fill=False):
+    """
+    功能：多个证券(股票，指数，基金，债券)，不含投资组合(否则容易引起递归调用)
+    ticker_type：若为'auto'则基金优先于债券(代码重合时)，亦可为列表分别指定优先抓取类型。
+    'stock', 'fund', 'bond'，不足部分自动补充为最后项
+    其中，'auto'/'stock'/'fund'优先抓取指数、股票和基金；'bond'优先抓取债券；
+    
+    注意：adjust,source,ticker_type既可以指定单个值，也可以使用列表分别指定各个证券
+    不足部分由最后1个值补全
+    """
+    DEBUG=False
+    
+    df=None; found='None'
+    
+    #将证券代码列表化
+    if isinstance(ticker,list): ticker_list=ticker
+    else: ticker_list=[ticker]
+    ticker_num=len(ticker_list)
+    
+    #将adjust列表化：不足部分由列表中最后1个值补全
+    if isinstance(adjust,list): adjust_list=adjust
+    else: adjust_list=[adjust]
+    adjust_len=len(adjust_list)
+    
+    if ticker_num > adjust_len: 
+        adjust1=adjust_list[-1] #延续最后项
+        adjust_list=adjust_list + [adjust1]*(ticker_num - adjust_len)
+    
+    #将source列表化
+    if isinstance(source,list): source_list=source
+    else: source_list=[source]
+    source_len=len(source_list)
+    
+    if ticker_num > source_len: 
+        source1=source_list[-1] #延续最后项
+        source_list=source_list + [source1]*(ticker_num - source_len)   
+    
+    #预处理ticker_type
+    ticker_type_list=ticker_type_preprocess_mstr(ticker,ticker_type)
+
+    #单个普通证券的特殊处理，不产生MultiIndex，避免后续程序识别出错
+    if ticker_num == 1:
+        df,found=get_price_1ticker(ticker=ticker_list[0],fromdate=fromdate,todate=todate, \
+                             adjust=adjust_list[0],source=source_list[0], \
+                             ticker_type=ticker_type_list[0])
+
+    #多个普通证券
+    if ticker_num > 1:
+        for t in ticker_list:
+            pos=ticker_list.index(t)
+            at=adjust_list[pos]
+            st=source_list[pos]
+            tt=ticker_type_list[pos]
+            
+            #普通单个证券
+            dft,found=get_price_1ticker(t,fromdate,todate,adjust=at,source=st,ticker_type=tt)
+            if found=='Found':            
+                columns=create_tuple_for_columns(dft,t)
+                dft.columns=pd.MultiIndex.from_tuples(columns)
+            else: continue
+            
+            if df is None: df=dft
+            else: #合并
+                df=pd.merge(df,dft,how='outer',left_index=True,right_index=True)
+        
+    found=df_have_data(df)
+    
+    return df,found
+
+#==============================================================================
+if __name__=='__main__':
+    #股票组合
+    ticker={'Market':('China','000001.SS','白酒组合'),'600519.SS':0.4,'000858.SZ':0.6}
+    ticker_type='auto'
+    
+    #股债/股基组合
+    ticker={'Market':('China','000001.SS','股债组合'),'600519.SS':0.4,'sh010504':0.6}
+    ticker_type='bond' #股债组合
+    ticker_type='auto' #股基组合
+
+    #股债基组合：分别指定每个成份股的品种(股票，债券，基金)，份额自动换算
+    ticker={'Market':('China','000001.SS','股债基组合'),'600519.SS':50,'sh018003':150,'sh010504':300}
+    ticker_type=['stock','bond','fund']
+    
+    fromdate='2024-1-1'
+    todate='2024-4-1'
+    adjust=''
+    source='auto'
+    fill=True
+    
+    pf,found=get_price_1portfolio(ticker=ticker,fromdate=fromdate,todate=todate, \
+                            adjust=adjust,source=source,ticker_type=ticker_type, \
+                            fill=fill)
+
+def get_price_1portfolio(ticker,fromdate,todate, \
+                         adjust='',source='auto',ticker_type='bond',fill=True):  
+    """
+    功能：抓取1个投资组合的信息，不能处理单个证券或证券列表
+    注意：
+    投资组合采用字典格式，但各个成份股份额之和不一定为1
+    fill默认为True，否则由于成份股股价为nan时投资组合价格会受影响
+    """
+    
+    #返回值初始状态，确保各种情况下都有返回值
+    df=None
+    found='None'
+    
+    #只处理投资组合
+    if not isinstance(ticker,dict):
+        print("  #Warning(get_price_1portfolio): not in dict format for",ticker)
+        return df,found
+
+    #检查日期期间合理性
+    valid_period,fromdatepd,todatepd=check_period(fromdate,todate)
+    if not valid_period:
+        print("  #Warning(v): invalid date period from",fromdate,"to",todate)
+        return df,found
+    
+    #拆分投资组合为成份股列表和份额列表
+    _,_,tickerlist,sharelist=decompose_portfolio(ticker) 
+    
+    #处理份额列表，确保其和为1
+    share_sum=sum(sharelist)
+    sharelist1=[x / share_sum for x in sharelist]
+
+    #预处理ticker_type
+    ticker_type=ticker_type_preprocess_1portfolio(ticker,ticker_type)
+    
+    #抓取各个成份股的价格信息
+    prices,found=get_price_mticker(ticker=tickerlist, \
+                                   fromdate=fromdate,todate=todate, \
+                                   adjust=adjust,source=source, \
+                                   ticker_type=ticker_type,fill=fill)
+        
+    if found not in ['Found','Empty']:
+        return df,found
+    
+    #加权平均，矩阵乘法
+    df=pd.DataFrame() #为None时无法对其赋值
+    collist=['Open','High','Low','Close','Adj Close','Amount']
+    for c in collist:
+        dfc=prices[c]
+        df[c]=dfc.dot(sharelist1)
+        
+    df['Volume']=df.apply(lambda x: (x['Amount'] / x['Close']),axis=1)
+    df['ticker']=portfolio_name(ticker)
+    df['name']=df['ticker']
+    df['source']=source
+    df['component']=str(list(prices['name'].tail(1).values[0]))
+    df['portion']=str(sharelist1)
+
+    return df,found
+
+#==============================================================================
+if __name__=='__main__':
+    #股票组合
+    pf1={'Market':('China','000001.SS','白酒组合'),'600519.SS':0.4,'000858.SZ':0.6}
+    pf2={'Market':('China','000001.SS','股债组合'),'600519.SS':0.4,'sh010504':0.6}
+    pf3={'Market':('China','000001.SS','股债基组合'),'600519.SS':50,'sh018003':150,'sh010504':300}
+    
+    pflist=[pf1,pf2]
+    pflist=[pf1,pf2,pf3]
+    
+    ticker_type='bond'
+    ticker_type=['stock','bond','bond']
+    
+    fromdate='2024-1-1'
+    todate='2024-4-1'
+    adjust=''
+    source='auto'
+    fill=True
+    
+    pfs,found=get_price_mportfolio(ticker=pflist,fromdate=fromdate,todate=todate, \
+                             adjust=adjust,source=source, \
+                             ticker_type=ticker_type,fill=fill)
+
+
+def get_price_mportfolio(ticker,fromdate,todate, \
+                      adjust='',source='auto',ticker_type='bond',fill=True):
+    """
+    功能：多个投资组合(股票，指数，基金，债券)，不含非投资组合(否则容易引起递归调用)
+    ticker_type：可为单个、列表或列表中含有列表
+    
+    注意：adjust,source,ticker_type既可以指定单个值，也可以使用列表分别指定各个投资组合
+    不足部分由最后1个值补全
+    """
+    DEBUG=False
+    
+    df=None; found='None'
+    
+    #将投资组合列表化
+    if isinstance(ticker,list): ticker_list=ticker
+    elif isinstance(ticker,dict): ticker_list=[ticker]
+    else: return df,found
+    ticker_num=len(ticker_list)
+    
+    #将adjust列表化：不足部分由列表中最后1个值补全
+    if isinstance(adjust,list): adjust_list=adjust
+    else: adjust_list=[adjust]
+    adjust_len=len(adjust_list)
+    
+    if ticker_num > adjust_len: 
+        adjust1=adjust_list[-1] #延续最后项
+        adjust_list=adjust_list + [adjust1]*(ticker_num - adjust_len)
+    
+    #将source列表化和补全
+    if isinstance(source,list): source_list=source
+    else: source_list=[source]
+    source_len=len(source_list)
+    
+    if ticker_num > source_len: 
+        source1=source_list[-1] #延续最后项
+        source_list=source_list + [source1]*(ticker_num - source_len)   
+        
+    #预处理ticker_type
+    ticker_type_list=ticker_type_preprocess_mticker_mixed(ticker,ticker_type)
+
+    #单个投资组合的特殊处理，不产生MultiIndex，避免后续程序识别出错
+    if ticker_num == 1:
+        df,found=get_price_1portfolio(ticker=ticker_list[0],fromdate=fromdate,todate=todate, \
+                                adjust=adjust_list[0],source=source_list[0], \
+                                ticker_type=ticker_type_list[0],fill=fill)
+
+    #多个投资组合
+    if ticker_num > 1:
+        for t in ticker_list:
+            pos=ticker_list.index(t)
+            at=adjust_list[pos]
+            st=source_list[pos]
+            tt=ticker_type_list[pos]
+            
+            #单个投资组合
+            dft,found=get_price_1portfolio(ticker=t,fromdate=fromdate,todate=todate, \
+                                           adjust=at,source=st,ticker_type=tt,fill=fill)
+            if found=='Found': 
+                tn=ticker_name(t)
+                columns=create_tuple_for_columns(dft,tn)
+                dft.columns=pd.MultiIndex.from_tuples(columns)
+            else: continue
+            
+            if df is None: df=dft
+            else: #合并
+                df=pd.merge(df,dft,how='outer',left_index=True,right_index=True)
+        
+    found=df_have_data(df)
+    
+    return df,found
+
+#==============================================================================
+if __name__=='__main__':
+    #股票/债券/基金+投资组合
+    pf={'Market':('China','000001.SS','白酒组合'),'600519.SS':0.4,'000858.SZ':0.6}
+    ticker=[pf,'000002.SZ','002594.SZ','sh018003','sh010504']
+    ticker_type=[['auto','stock'],'auto','auto','bond'] #不足部分自动延续最后一个类型
+    
+    fromdate='2024-1-1'
+    todate='2024-4-1'
+    adjust=''
+    source='auto'
+    fill=True
+    
+    mix,found=get_price_mticker_mixed(ticker=ticker,fromdate=fromdate,todate=todate, \
+                             adjust=adjust,source=source,ticker_type=ticker_type,fill=fill)
+    
+def get_price_mticker_mixed(ticker,fromdate,todate, \
+                         adjust='',source='auto',ticker_type='auto',fill=False):  
+    """
+    功能：混合抓取证券列表的价格信息，列表中的元素可为多个股票、基金、债券或投资组合
+    注意：
+    可为列表中的各个元素分别指定证券类型ticker_type
+    若元素为投资组合可为其指定类型列表(即列表中的列表)
+    某个元素为债券时证券类型需要选择'bond'(即优先寻找债券)，余者指定为'auto'即可
+    
+    """
+    
+    #返回值初始状态，确保各种情况下都有返回值
+    df=None; found='None'
+    
+    #将ticker列表化
+    if isinstance(ticker,list): ticker_list=ticker
+    else: ticker_list=[ticker]
+    ticker_num=len(ticker_list)
+    
+    #将adjust列表化和补全：不足部分由列表中最后1个值补全
+    if isinstance(adjust,list): adjust_list=adjust
+    else: adjust_list=[adjust]
+    adjust_len=len(adjust_list)
+    
+    if ticker_num > adjust_len: 
+        adjust1=adjust_list[-1] #延续最后项
+        adjust_list=adjust_list + [adjust1]*(ticker_num - adjust_len)
+    
+    #将source列表化和补全
+    if isinstance(source,list): source_list=source
+    else: source_list=[source]
+    source_len=len(source_list)
+    
+    if ticker_num > source_len: 
+        source1=source_list[-1] #延续最后项
+        source_list=source_list + [source1]*(ticker_num - source_len)   
+        
+    #预处理ticker_type
+    ticker_type_list=ticker_type_preprocess_mticker_mixed(ticker,ticker_type)
+
+    #若列表中仅有1个元素，不需要产生MultiIndex
+    if ticker_num == 1:
+        #单个证券
+        if isinstance(ticker_list[0],str):
+            df,found=get_price_1ticker(ticker=ticker_list[0],fromdate=fromdate,todate=todate, \
+                                 ticker_type=ticker_type_list[0],source=source_list[0], \
+                                 adjust=adjust_list[0],fill=fill)
+        
+        #单个投资组合
+        if isinstance(ticker_list[0],dict):
+            df,found=get_price_1portfolio(ticker=ticker_list[0],fromdate=fromdate,todate=todate, \
+                                 ticker_type=ticker_type_list[0],source=source_list[0], \
+                                 adjust=adjust_list[0],fill=fill)
+                
+        return df,found
+        
+    #若ticker是列表************************************************************
+    if ticker_num > 1:
+        for t in ticker_list:
+            pos=ticker_list.index(t)
+            at=adjust_list[pos]
+            st=source_list[pos]
+            tt=ticker_type_list[pos]
+            
+            #单个普通证券
+            if isinstance(t,str):
+                dft,found=get_price_1ticker(ticker=t,fromdate=fromdate,todate=todate, \
+                                           adjust=at,source=st,ticker_type=tt,fill=fill)
+                tn=t
+                
+            #单个投资组合
+            if isinstance(t,dict):
+                dft,found=get_price_1portfolio(ticker=t,fromdate=fromdate,todate=todate, \
+                                           adjust=at,source=st,ticker_type=tt,fill=fill)
+                tn=ticker_name(t)
+                
+            if found=='Found': 
+                columns=create_tuple_for_columns(dft,tn)
+                dft.columns=pd.MultiIndex.from_tuples(columns)
+            else: continue
+            
+            if df is None: df=dft
+            else: #合并
+                df=pd.merge(df,dft,how='outer',left_index=True,right_index=True)
+        
+    found=df_have_data(df)
+    
+    return df,found
+
+#==============================================================================
+if __name__=='__main__':
+    #股票/债券/基金+投资组合
+    ticker={'Market':('China','000001.SS','白酒组合'),'600519.SS':0.4,'000858.SZ':0.6}
+    ticker='sh018003'
+    ticker_type='bond'
+    
+    fromdate='2024-1-1'
+    todate='2024-4-1'
+    adjust=''
+    source='auto'
+    fill=True
+    
+    mixed,found=get_price_1ticker_mixed(ticker=ticker,fromdate=fromdate,todate=todate, \
+                             adjust=adjust,source=source,ticker_type=ticker_type,fill=fill)
+    
+def get_price_1ticker_mixed(ticker,fromdate,todate, \
+                         adjust='',source='auto',ticker_type='auto',fill=False):  
+    """
+    功能：混合抓取证券列表的价格信息，列表中的元素需为单个股票、基金、债券或投资组合
+    方便仅需一只证券的调用
+    """
+    
+    #返回值初始状态，确保各种情况下都有返回值
+    df=None; found='None'
+    
+    #若ticker为列表则取其第1个元素
+    if isinstance(ticker,list): ticker=ticker[0]
+    
+    #若adjust为列表则取其第1个元素
+    if isinstance(adjust,list): adjust=adjust[0]
+    
+    #若source为列表则取其第1个元素
+    if isinstance(source,list): source=source[0]
+        
+    #若ticker_type为列表则取其第1个元素
+    if isinstance(ticker_type,list): ticker_type=ticker_type[0]
+
+    #单个证券
+    if isinstance(ticker,str):
+        df,found=get_price_1ticker(ticker=ticker,fromdate=fromdate,todate=todate, \
+                             ticker_type=ticker_type,source=source, \
+                             adjust=adjust,fill=fill)
+    
+    #单个投资组合
+    if isinstance(ticker,dict):
+        df,found=get_price_1portfolio(ticker=ticker,fromdate=fromdate,todate=todate, \
+                             ticker_type=ticker_type,source=source, \
+                             adjust=adjust,fill=fill)
+            
+    return df,found
+    
+    
+#==============================================================================
+#==============================================================================
+#==============================================================================