siat 3.2.5__py3-none-any.whl → 3.2.15__py3-none-any.whl

siat/__init__.py

@@ -28,15 +28,12 @@ try:
     latest_list=latest_version.split('.')
     
     newest=True
-    if current_list[0] < latest_list[0]:
-        newest=False
-    elif current_list[1] < latest_list[1]:
-        newest=False
-    elif current_list[2] < latest_list[2]:
-        newest=False  
-    else:
-        pass
+    for i in range(3):
+        #print(i)
+        if int(current_list[i]) < int(latest_list[i]):
+            newest=False
     
+    """
     if not newest:
         print("The latest version of siat is",latest_version,'\n')
         print("*** If you expect to upgrade siat in Anaconda Prompt, use the instruction below:")
@@ -52,6 +49,15 @@ try:
     
         print("If you have done any of the above, restart the Python (eg. restarting the kernel)")
         print("Provided you still need additional help, please contact wdehong2000@163.com")
+    """
+    if not newest:
+        #print("The latest version of siat is",latest_version,'\n')
+        print("Now there is a newer version of siat",latest_version,'\n')
+        print("*** How to upgrade siat?")
+        print("Upgrade directly from official source? use command: upgrade_siat()")
+        print("Upgrade from Tsinghua? use command: upgrade_siat(alternative='tsinghua')")
+        print("Upgrade from Alibaba? use command: upgrade_siat(alternative='alibaba')")
+    
 except:
     pass
     

siat/assets_liquidity.py

@@ -111,7 +111,7 @@ def roll_spread_portfolio(portfolio,start,end,printout=True):
             '-'+str(sp.index[-1].day)            
         print("\n===== 投资组合的流动性风险 =====")
         
-        _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+        _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
@@ -192,7 +192,7 @@ def amihud_illiquidity_portfolio(portfolio,start,end,printout=True):
             '-'+str(sp.index[-1].day)            
         print("\n===== 投资组合的流动性风险 =====")
         
-        _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+        _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
@@ -338,7 +338,7 @@ def ps_liquidity_portfolio(portfolio,start,end,printout=True):
             '-'+str(sp.index[-1].day)            
         print("\n===== 投资组合的流动性风险 =====")
         
-        _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+        _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
@@ -423,7 +423,7 @@ def plot_liquidity_monthly(portfolio,start,end,liquidity_type):
     ylabeltxt=ectranslate(liquidity_type)
     titletxt="证券流动性风险的月度指标"
     
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     if len(tickerlist)==1:
         product=str(ticker_name(tickerlist,'bond'))
     else:
@@ -521,7 +521,7 @@ def plot_liquidity_annual(portfolio,start,end,liquidity_type):
     ylabeltxt=ectranslate(liquidity_type)
     titletxt="证券流动性风险的年度指标"
 
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     if len(tickerlist)==1:
         product=str(ticker_name(tickerlist,'bond'))
     else:
@@ -565,7 +565,7 @@ def draw_liquidity(liqs):
     ylabeltxt=ectranslate(liqs['Type'][0])
     titletxt="证券流动性风险的滚动趋势"
     
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     if len(tickerlist)==1:
         product=str(ticker_name(tickerlist))
     else:
@@ -721,12 +721,12 @@ def compare_liquidity_rolling(portfolio1,portfolio2,start,end,liquidity_type,win
     ylabeltxt=ectranslate(liquidity_type)
     titletxt="证券流动性风险走势比较"
     
-    _,_,tickerlist1,sharelist1=decompose_portfolio(portfolio1)
+    _,_,tickerlist1,sharelist1,ticker_type1=decompose_portfolio(portfolio1)
     if len(tickerlist1)==1:
         product1=str(ticker_name(tickerlist1,'bond'))
     else:
         product1=str(ticker_name(tickerlist1,'bond'))+'，持仓'+str(sharelist1)    
-    _,_,tickerlist2,sharelist2=decompose_portfolio(portfolio2)
+    _,_,tickerlist2,sharelist2,ticker_type2=decompose_portfolio(portfolio2)
     if len(tickerlist2)==1:
         product2=str(ticker_name(tickerlist2,'bond'))
     else:

siat/capm_beta2.py

@@ -119,7 +119,7 @@ def regression_capm(ticker,start2,end, \
         mktidx=get_market_index_code(ticker)
     """
     if isinstance(ticker,dict):
-        _,mktidx,pftickerlist,_=decompose_portfolio(ticker)
+        _,mktidx,pftickerlist,_,ticker_type=decompose_portfolio(ticker)
         if 'auto' in mktidx.lower():
             mktidx=get_market_index_code(pftickerlist[0])
     else:

siat/common.py

@@ -432,6 +432,15 @@ if __name__ =="__main__":
     portfolio={'Market':('US','^GSPC'),'EDU':0.4,'TAL':0.3,'TEDU':0.2}
     
     portfolio={'Market':('China','000001.SS','股债基组合'),'600519.SS':50,'sh010504':150,'sh010504':300}
+    
+    Market={'Market':('China','000300.SS','股债基组合')}
+    Stocks={'600519.SS':0.4,#股票：贵州茅台
+            'sh010504':[0.3,'bond'],#05国债⑷
+            '010504':('fund',0.2),#招商稳兴混合C基金
+            }
+    portfolio=dict(Market,**Stocks)
+    
+    decompose_portfolio(portfolio)
 
 def decompose_portfolio(portfolio):
     """
@@ -439,6 +448,9 @@ def decompose_portfolio(portfolio):
     投资组合的结构：{'Market':('US','^GSPC'),'AAPL':0.5,'MSFT':0.3,'IBM':0.2}
     输入：投资组合
     输出：市场，市场指数，股票代码列表和份额列表
+    
+    注意：字典中相同的键会被合并为一个
+    新功能：分辨股票、债券和基金
     """
     #从字典中提取信息
     keylist=list(portfolio.keys()) #注意：字典中相同的键会被合并为一个
@@ -452,13 +464,49 @@ def decompose_portfolio(portfolio):
         plist=plist+[value]
     stocklist=slist[1:]    
     portionlist=plist[1:]
+    
+    #识别证券类别
+    stype_list=['auto','stock','bond','fund']
+    ticker_type=[]
+    new_portionlist=[]
+    for p in portionlist:
+        if isinstance(p,int) or isinstance(p,float):
+            ticker_type=ticker_type+['auto']
+            new_portionlist=new_portionlist+[p]
+        elif isinstance(p,list) or isinstance(p,tuple):
+            ptype=False; pportion=False
+            p0=p[0]; p1=p[1]
+            
+            if isinstance(p0,int) or isinstance(p0,float):
+                pportion=True
+                new_portionlist=new_portionlist+[p0]
+            elif isinstance(p0,str):
+                ptype=True
+                if p0 not in stype_list:
+                    p0='auto'
+                ticker_type=ticker_type+[p0]
+            
+            if isinstance(p1,int) or isinstance(p1,float):
+                pportion=True
+                new_portionlist=new_portionlist+[p1]
+            elif isinstance(p1,str):
+                ptype=True
+                if p1 not in stype_list:
+                    p1='auto'
+                ticker_type=ticker_type+[p1]         
+            
+            #未能确定
+            if ptype==False: 
+                ticker_type=ticker_type+['auto']
+            if pportion==False:
+                new_portionlist=new_portionlist+[0]
+        
 
-    return scope,mktidx,stocklist,portionlist    
+    return scope,mktidx,stocklist,new_portionlist,ticker_type
 
 if __name__=='__main__':
     portfolio1={'Market':('US','^GSPC'),'EDU':0.4,'TAL':0.3,'TEDU':0.2}
-    scope,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio1)
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio1)
+    decompose_portfolio(portfolio1)
 
 def portfolio_name(portfolio):
     """
@@ -497,7 +545,7 @@ def isinstance_portfolio(portfolio):
     result=True
     
     try:
-        scope,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)
+        scope,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     except:
         result=False
         
@@ -634,7 +682,7 @@ def sample_selection(df,start,end):
     
 if __name__=='__main__':
     portfolio={'Market':('US','^GSPC'),'AAPL':1.0}
-    market,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)
+    market,mktidx,tickerlist,sharelist,_=decompose_portfolio(portfolio)
     start='2020-1-1'; end='2020-3-31'
     pfdf=get_portfolio_prices(tickerlist,sharelist,start,end)
     start2='2020-1-10'; end2='2020-3-18'
@@ -3560,7 +3608,7 @@ def ticker_type_preprocess_1portfolio(ticker,ticker_type='auto'):
     功能：根据ticker情况(单个投资组合)处理ticker_type，使之与ticker对应    
     """    
     if isinstance(ticker,dict):
-        _,_,tickerlist,_=decompose_portfolio(ticker)
+        _,_,tickerlist,_,ticker_type=decompose_portfolio(ticker)
         if len(tickerlist)==1:
             ticker_type9=ticker_type_preprocess_1str(tickerlist[0],ticker_type)
         else:
@@ -3718,7 +3766,7 @@ if __name__=='__main__':
 
 def upgrade_siat(module_list=['siat','akshare','pandas','pandas_datareader', \
                  'yfinance','yahooquery','urllib3','tabulate','twine','mplfinance','openpyxl'], \
-                 pipcmd="pip install --upgrade"):
+                 pipcmd="pip install --upgrade",alternative=""):
     """
     功能：一次性升级siat及其相关插件
     
@@ -3727,7 +3775,8 @@ def upgrade_siat(module_list=['siat','akshare','pandas','pandas_datareader', \
     或python -m pip install --upgrade pip
     如果上述方法不适用，您可能需要重新安装Python，并确保在安装过程中选中了“Add Python to PATH”
     """
-    print("  Try upgrading siat and related modules, please wait ... ...")
+    print("Upgrading siat and related modules, please wait ... ...")
+    
     #获取系统目录
     import sys
     syspath=sys.path
@@ -3757,34 +3806,56 @@ def upgrade_siat(module_list=['siat','akshare','pandas','pandas_datareader', \
     #生成pip命令字符串前半段，仅缺插件名
     cmdstr=sp+sep_flag+'Scripts'+sep_flag+pipcmd+' '
     
+    #检查是否使用镜像源
+    if alternative == "":
+        alter_source=''
+    elif alternative == "tsinghua":
+        alter_source="-i https://pypi.tuna.tsinghua.edu.cn/simple/"
+    elif alternative in ["alibaba","ali","aliyun"]:
+        alter_source="-i https://mirrors.aliyun.com/pypi/simple/"
+    elif alternative == "bfsu":
+        alter_source="-i https://mirrors.bfsu.edu.cn/pypi/"
+    elif alternative == "baidu":
+        alter_source="-i https://mirror.baidu.com/pypi/simple/"        
+    elif alternative == "tencent":
+        alter_source="-i https://mirrors.cloud.tencent.com/pypi/simple/"  
+    else:
+        alter_source="-i https://mirrors.aliyun.com/pypi/simple/"
+        
     #逐个升级插件
     import subprocess
     fail_list=[]
-    for m in module_list:
+    
+    """
+    tqdm进度条：
+    100%|██████████| 9/11 [02:18<02:30, 12.59s/it]
+    9/11：一共11项，正在进行第9项
+    02:18<02:30：已经花费时间02:18，预计花费时间02:30
+    12.59s/it：平均每项花费时间12.59秒
+    """
+    from tqdm import tqdm
+    for m in tqdm(module_list):
         #print("Upgrading",m,"... ...",end='')
-        print_progress_percent2(m,module_list,steps=5,leading_blanks=2)
+        #print_progress_percent2(m,module_list,steps=5,leading_blanks=2)
         
-        cmdstr1=cmdstr+m
+        if alternative == "":
+            cmdstr1=cmdstr+m
+        else:
+            cmdstr1=cmdstr+m+' '+alter_source
         #print(cmdstr1)
+        
         #proc=subprocess.run(cmdstr1.split(' '),stdout=subprocess.PIPE)
         proc=subprocess.run(cmdstr1.split(' '))
         rcode=proc.returncode
         if rcode !=0: fail_list=fail_list+[m]
-        
-        """
-        if rcode==0: result='done✓'
-        else: result='FAILed❌, try again manually'
-        print(result)
-        """
     
     if len(fail_list) == 0:
-        print("  All specified modules are successfully upgraded!")
+        print("All specified modules are successfully upgraded!")
     else:
-        print("  All specified modules are successfully upgraded except",end='')
+        print("All specified modules are successfully upgraded except",end='')
         print_list(fail_list,leading_blanks=1)
         
     return
-#==============================================================================
 
 def df_index_timezone_remove(df):
     """
@@ -3824,6 +3895,31 @@ def is_weekend(adate):
 
 
 #==============================================================================
+if __name__=='__main__':
+    alist=['EMA40','EMA5','EMA','EMA20']
+    alist=['EMA20','EMA5']
+    sort_list_by_len(alist)
+    
+def sort_list_by_len(alist,reverse=False):
+    """
+    功能：基于字符串列表中元素的长度和大小排序
+    """
+    import pandas as pd
+    adf=pd.DataFrame(columns=('item','len'))
+    for a in alist:
+        row=pd.Series({'item':a,'len':len(a)})
+        try:
+            adf=v.append(row,ignore_index=True)
+        except:
+            adf=adf._append(row,ignore_index=True)
+    if not reverse:    
+        adf.sort_values(by=['len','item'],ascending=True,inplace=True)
+    else:
+        adf.sort_values(by=['len','item'],ascending=False,inplace=True)
+    
+    alist_sorted=list(adf['item'])
+    
+    return alist_sorted
 #==============================================================================
 #==============================================================================
 #==============================================================================

siat/esg.py

@@ -297,7 +297,7 @@ def portfolio_esg(portfolio):
     企业最新的可持续性发展数据，数据框    
     """
     #解构投资组合
-    _,_,stocklist,_=decompose_portfolio(portfolio)
+    _,_,stocklist,_,ticker_type=decompose_portfolio(portfolio)
     
     #抓取数据
     try:
@@ -439,7 +439,7 @@ def portfolio_esg2(portfolio):
     企业最新的可持续性发展数据，数据框    
     """
     #解构投资组合
-    _,_,stocklist,_=decompose_portfolio(portfolio)
+    _,_,stocklist,_,ticker_type=decompose_portfolio(portfolio)
     
     #抓取数据
     try:

siat/holding_risk.py

@@ -87,7 +87,7 @@ def get_portfolio_prices0(portfolio,fromdate,todate):
     """
     
     #解构投资组合
-    _,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     
     #检查股票列表个数与份额列表个数是否一致
     if len(tickerlist) != len(sharelist):
@@ -562,7 +562,7 @@ def get_VaR_portfolio(portfolio,today,future_days=1,alpha=0.99, \
     
     #输出VaR金额和比率
     print("\n===== 投资组合的在险价值VaR =====")
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     print("成分股列表  :",tickerlist)
     print("成分股的配置:",sharelist)
     print("当前日期    :",today)
@@ -686,7 +686,7 @@ def get_ES_portfolio(portfolio,today,future_days=1,alpha=0.99, \
     
     #输出ES金额和比率
     print("\n===== 投资组合的预期不足ES =====")
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     print("成分股列表  :",tickerlist)
     print("成分股配置  :",sharelist)
     print("当前日期    :",today)
@@ -770,7 +770,7 @@ def portfolio_ret_Normality_SW(portfolio,fromdate,todate, \
     
     if not printout: return W,p_value,S,K
     
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     print("*** Shapiro-Wilk Normality Test ***")
     print("    Stock(s):",tickerlist)
     print("    Holding proportion:",sharelist)    
@@ -812,7 +812,7 @@ def portfolio_rets_curve(portfolio,fromdate,todate):
     num=len(prices)
     rets=prices['Ret']
     W,p_value,S,K=ret_Normality_SW(rets)
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     #计算收益率的均值和标准差
     mu=rets.mean()
     sigma=rets.std()

siat/markowitz.py

@@ -250,7 +250,7 @@ def portfolio_cumret(portfolio,thedate,pastyears=1, \
     """
     print("\n  Searching for portfolio info, which may take time ...")
     # 解构投资组合
-    scope,_,tickerlist,sharelist0=decompose_portfolio(portfolio)
+    scope,_,tickerlist,sharelist0,ticker_type=decompose_portfolio(portfolio)
     pname=portfolio_name(portfolio)
 
     #如果持仓份额总数不为1，则将其转换为总份额为1
@@ -934,7 +934,7 @@ def portfolio_es(pf_info,simulation=50000):
     """
     [[portfolio,thedate,stock_return,_,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    _,_,tickerlist,_=decompose_portfolio(portfolio)
+    _,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return.index[0]; hstart=str(hstart0.date())
@@ -1050,7 +1050,7 @@ def portfolio_es_sharpe(pf_info,simulation=1000,rate_period='1Y',rate_type='trea
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,_,tickerlist,_=decompose_portfolio(portfolio)
+    scope,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
@@ -1137,7 +1137,7 @@ def portfolio_es_sortino(pf_info,simulation=1000,rate_period='1Y',rate_type='tre
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,_,tickerlist,_=decompose_portfolio(portfolio)
+    scope,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
@@ -1230,7 +1230,7 @@ def portfolio_es_alpha(pf_info,simulation=1000,rate_period='1Y',rate_type='treas
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
+    scope,mktidx,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
@@ -1338,7 +1338,7 @@ def portfolio_es_treynor(pf_info,simulation=1000,rate_period='1Y',rate_type='tre
     
     [[portfolio,_,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
+    scope,mktidx,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
@@ -1754,7 +1754,7 @@ def portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk,
     """    
     #解析传入的数据
     [[[portfolio,thedate,stock_return,_,_],[StockReturns,_,_,_]],RandomPortfolios]=es_info
-    _,_,tickerlist,_=decompose_portfolio(portfolio)
+    _,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     numstocks=len(tickerlist)  
     pname=portfolio_name(portfolio)
     
@@ -1887,7 +1887,7 @@ def portfolio_optimize_strategy(pf_info,ratio='sharpe',simulation=50000,RF=False
     portfolio_expectation(hi_name,pf_info,hiret_weights)
     
     if MSR_return:
-        scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
+        scope,mktidx,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
         hwdf=pd.DataFrame(hiret_weights)
         hwdft=hwdf.T
         hwdft.columns=tickerlist
@@ -2289,7 +2289,7 @@ def describe_portfolio(portfolio):
     输出：市场，市场指数，股票代码列表和份额列表
     """
     
-    scope,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)
+    scope,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     pname=portfolio_name(portfolio)
     
     print("*** 投资组合信息:",pname)
@@ -2321,7 +2321,7 @@ def portfolio_drop(portfolio,last=0,droplist=[],new_name=''):
     """
     功能：删除最后几个成分股
     """
-    scope,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)  
+    scope,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)  
     pname=portfolio_name(portfolio)
     
     if not (last ==0):