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‎Dockerfile

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FROM python:3.8.5
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RUN apt-get update
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RUN apt-get install --assume-yes apt-utils
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RUN apt-get install -y alien
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COPY . /root
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RUN /bin/bash -c "source /etc/profile"
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ENV TZ=Asia/Shanghai
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RUN ln -snf /usr/share/zoneinfo/$TZ /etc/localtime && echo $TZ > /etc/timezone
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RUN apt-get update
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ENV DEBIAN_FRONTEND noninteractive
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RUN apt-get install -y vim locales
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RUN localedef -i en_US -c -f UTF-8 -A /usr/share/locale/locale.alias en_US.UTF-8
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ENV LANG=en_US.UTF-8
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WORKDIR /usr/orca/app
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COPY pip.conf /etc
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COPY requirements.txt .
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RUN pip install --upgrade pip
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ENV DOCKER_SCAN_SUGGEST=false
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RUN pip install -r requirements.txt

‎config.py

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class ConfData:
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config = {'zhijunfund': {'host': '10.56.36.145', 'port': 3306, 'user': 'zhijunfund', 'passwd': 'zsfdcd82sf2dmd6a', 'database': 'zhijunfund'},
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'funddata': {'host': 'localdev.zhijuninvest.com', 'port': 3306, 'user': 'devuser', 'passwd':'hcy6YJF123', 'database': 'funddata'},
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'zdj': ('zdj', 'xtKFE8k3ctqbYDOz', '10.55.57.53:1521/fundrate'),
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'jydb': ('jydb', 'xtKFE8k3ctqbYDOz', '10.55.57.53:1521/fundrate'),
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'edw': {'host': '10.52.40.222', 'port': 21050, 'username': 'fundrating', 'password': '6B2O02sP1OhYoLlX12OR',
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'database': 'edw', 'auth': 'LDAP'},
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'database': 'edw', 'auth': 'LDAP'},
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'bizdm': {'host': '10.52.40.222', 'port': 21050, 'username': 'fundrating', 'password': '6B2O02sP1OhYoLlX12OR',
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'database': 'bizdm', 'auth': 'LDAP'}}
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'database': 'bizdm', 'auth': 'LDAP'},
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'simuwang': {'host': '120.24.90.158', 'port': 3306, 'user': 'data_user_zheshangzq', 'passwd': 'zszq@2022', 'database': 'rz_hfdb_core'}}
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@classmethod
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def get_conn(cls, schema):
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if schema == 'zhijunfund':
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conn = pymysql.connect(**(cls.config['zhijunfund']))
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elif schema == 'oracle':
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conn = cx.connect(*(cls.config['oracle']))
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elif schema == 'simuwang':
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conn = pymysql.connect(**(cls.config['simuwang']))
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elif schema == 'funddata':
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conn = pymysql.connect(**(cls.config['funddata']))
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elif schema == 'zdj':
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conn = cx.connect(*(cls.config['zdj']))
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elif schema == 'bizdm':
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conn = hive.Connection(**(cls.config['bizdm']))
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elif schema == 'edw':

‎const.py

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@@ -24,13 +24,35 @@ class NameConst:
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hold_mv_name = 'holding_mv'
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count_name = 'count'
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codes_nm = ['fund', 'code']
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fund_date_nm = ['fund', 'date']
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realized_nm = ['gx', 'rn', 'dx', 'hg', 'pg', 'qz', 'pt']
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realize_nm = ['pt_realize', 'hg_realize', 'dx_realize', 'qz_realize', 'pg_realize']
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hold_nm = ['holding', 'duration']
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turn_nm = ['buy_turn', 'sell_turn', 'turnover']
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style_name = 'style'
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style_type_name = 'style_type'
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weight_name = 'weight'
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ret_name = 'ret'
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va_name = 'va'
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nv_name = 'nv'
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cum_nv_name = 'cum_nv'
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complex_nv_name = 'complex_nv'
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label_name = 'label'
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mul_name = 'mul'
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today = pd.to_datetime('today').normalize()
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date_dict = {'since_found': '1970-01-01',
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'five_years': (today - pd.DateOffset(years=5)).strftime('%Y-%m-%d'),
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'three_years': (today - pd.DateOffset(years=3)).strftime('%Y-%m-%d'),
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'two_years': (today - pd.DateOffset(years=2)).strftime('%Y-%m-%d'),
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'one_year': (today - pd.DateOffset(years=1)).strftime('%Y-%m-%d'),
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'year_start': str(today.year - 1) + '-12-31'}
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date_label = list(date_dict.keys())
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nc = NameConst()
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style_type = {'asset': 'asset', 'ind': 'stock', 'bond': 'bond', 'future': 'future', 'ms': 'stock'}
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columns = [x for x in NameConst.__dict__.keys() if x.find('name') >= 0]
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columns_string = ['fund', 'code', 'flag', 'hold_type']
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columns_double1 = ['date', 'time', 'price', 'volume', 'close', 'preclose', 'type', 'count']

‎create_sql/fund_label.sql

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create table fund_port_interval_style(
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id bigint(20) NOT NULL AUTO_INCREMENT comment 'ID',
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fund int(11) NOT NULL comment '内部编码',
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end_date datetime NOT NULL comment '交易日/持仓公布日',
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code varchar(20) NOT NULL comment '资产代码',
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style_type varchar(20) NOT NULL comment '风格类型',
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style varchar(20) NOT NULL comment '风格名称',
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weight decimal(18, 6) NOT NULL comment '风格权重',
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update_time timestamp NOT NULL comment '更新时间' DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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jsid bigint(20) NOT NULL,
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UNIQUE KEY jsid_ (jsid),
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UNIQUE KEY fund_code_date_type_name (fund, end_date, code, style_type, style),
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KEY fund_ (fund),
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KEY fund_code (fund, code),
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KEY fund_code_type (fund, code, style_type),
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PRIMARY KEY (id)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8;
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INSERT INTO `zhijunfund_analysis`.`t_sys_seq`(`name`, `value`, `begin`, `step`, `version`, `update_time`, `remark`) VALUES ('fund_style_allocation', 1, 1, 1000, 0, now(), NULL);
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create table client_port_interval_style(
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id bigint(20) NOT NULL AUTO_INCREMENT comment 'ID',
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client_id int(11) NOT NULL comment '内部编码',
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end_date datetime NOT NULL comment '交易日/持仓公布日',
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code varchar(20) NOT NULL comment '资产代码',
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style_type varchar(20) NOT NULL comment '风格类型',
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style varchar(20) NOT NULL comment '风格名称',
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weight decimal(18, 6) NOT NULL comment '风格权重',
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update_time timestamp NOT NULL comment '更新时间' DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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jsid bigint(20) NOT NULL,
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UNIQUE KEY jsid_ (jsid),
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UNIQUE KEY fund_code_date_type_name (client_id, end_date, code, style_type, style),
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KEY fund_ (client_id),
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KEY fund_code (client_id, code),
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KEY fund_code_type (client_id, code, style_type),
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PRIMARY KEY (id)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8;
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INSERT INTO `zhijunfund_analysis`.`t_sys_seq`(`name`, `value`, `begin`, `step`, `version`, `update_time`, `remark`) VALUES ('fund_style_allocation', 1, 1, 1000, 0, now(), NULL);

‎create_sql/fund_style_allocation.sql

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create table fund_style_allocation(
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id bigint(20) NOT NULL AUTO_INCREMENT comment 'ID',
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fund int(11) NOT NULL comment '内部编码',
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end_date datetime NOT NULL comment '交易日/持仓公布日',
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style_type varchar(20) NOT NULL comment '风格类型',
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style varchar(20) NOT NULL comment '风格名称',
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weight decimal(18, 6) NOT NULL comment '风格权重',
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va decimal(18, 6) NOT NULL comment '风格归因',
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update_time timestamp NOT NULL comment '更新时间' DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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jsid bigint(20) NOT NULL,
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UNIQUE KEY jsid_ (jsid),
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UNIQUE KEY code_date_type_name (fund, end_date, style_type, style),
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KEY code_ (fund),
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KEY code_date (fund, end_date),
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KEY code_date_type (fund, end_date, style_type),
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PRIMARY KEY (id)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8;
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INSERT INTO `zhijunfund_analysis`.`t_sys_seq`(`name`, `value`, `begin`, `step`, `version`, `update_time`, `remark`) VALUES ('fund_style_allocation', 1, 1, 1000, 0, now(), NULL);
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create table client_style_allocation(
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id bigint(20) NOT NULL AUTO_INCREMENT comment 'ID',
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client_id int(11) NOT NULL comment '内部编码',
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end_date datetime NOT NULL comment '交易日/持仓公布日',
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style_type varchar(20) NOT NULL comment '风格类型',
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style varchar(20) NOT NULL comment '风格名称',
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weight decimal(18, 6) NOT NULL comment '风格权重',
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va decimal(18, 6) NOT NULL comment '风格归因',
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update_time timestamp NOT NULL comment '更新时间' DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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jsid bigint(20) NOT NULL,
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UNIQUE KEY jsid_ (jsid),
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UNIQUE KEY code_date_type_name (client_id, end_date, style_type, style),
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KEY code_ (client_id),
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KEY code_date (client_id, end_date),
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KEY code_date_type (client_id, end_date, style_type),
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PRIMARY KEY (id)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8;
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INSERT INTO `zhijunfund_analysis`.`t_sys_seq`(`name`, `value`, `begin`, `step`, `version`, `update_time`, `remark`) VALUES ('client_style_allocation', 1, 1, 1000, 0, now(), NULL);

‎create_sql/fund_style_port_interval.sql

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create table fund_style_port_interval(
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id bigint(20) NOT NULL AUTO_INCREMENT comment 'ID',
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fund int(11) NOT NULL comment '内部编码',
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end_date datetime NOT NULL comment '交易日/持仓公布日',
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code varchar(20) NOT NULL comment '资产代码',
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style_type varchar(20) NOT NULL comment '风格类型',
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style varchar(20) NOT NULL comment '风格名称',
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weight decimal(18, 6) NOT NULL comment '风格权重',
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update_time timestamp NOT NULL comment '更新时间' DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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jsid bigint(20) NOT NULL,
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UNIQUE KEY jsid_ (jsid),
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UNIQUE KEY code_date_type_name (fund, end_date, style_type, style),
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KEY code_ (fund),
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KEY code_date (fund, end_date),
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KEY code_date_type (fund, end_date, style_type),
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PRIMARY KEY (id)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8;
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INSERT INTO `zhijunfund_analysis`.`t_sys_seq`(`name`, `value`, `begin`, `step`, `version`, `update_time`, `remark`) VALUES ('fund_style_port_interval', 1, 1, 1000, 0, now(), NULL);
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create table client_style_port_interval(
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id bigint(20) NOT NULL AUTO_INCREMENT comment 'ID',
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client_id int(11) NOT NULL comment '内部编码',
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end_date datetime NOT NULL comment '交易日/持仓公布日',
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code varchar(20) NOT NULL comment '资产代码',
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style_type varchar(20) NOT NULL comment '风格类型',
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style varchar(20) NOT NULL comment '风格名称',
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weight decimal(18, 6) NOT NULL comment '风格权重',
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update_time timestamp NOT NULL comment '更新时间' DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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jsid bigint(20) NOT NULL,
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UNIQUE KEY jsid_ (jsid),
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UNIQUE KEY code_date_type_name (client_id, end_date, style_type, style),
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KEY code_ (client_id),
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KEY code_date (client_id, end_date),
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KEY code_date_type (client_id, end_date, style_type),
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PRIMARY KEY (id)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8;
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INSERT INTO `zhijunfund_analysis`.`t_sys_seq`(`name`, `value`, `begin`, `step`, `version`, `update_time`, `remark`) VALUES ('client_style_port_interval', 1, 1, 1000, 0, now(), NULL);

‎create_sql/fund_style_ts.sql

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create table fund_style_ts(
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id bigint(20) NOT NULL AUTO_INCREMENT comment 'ID',
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fund int(11) NOT NULL comment '内部编码',
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end_date datetime NOT NULL comment '交易日/持仓公布日',
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style_type varchar(20) NOT NULL comment '风格类型',
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style varchar(20) NOT NULL comment '风格名称',
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weight decimal(18, 6) NOT NULL comment '风格权重',
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update_time timestamp NOT NULL comment '更新时间' DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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jsid bigint(20) NOT NULL,
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UNIQUE KEY jsid_ (jsid),
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UNIQUE KEY code_date_type_name (fund, end_date, style_type, style),
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KEY code_ (fund),
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KEY code_date (fund, end_date),
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KEY code_date_type (fund, end_date, style_type),
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PRIMARY KEY (id)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8;
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INSERT INTO `zhijunfund_analysis`.`t_sys_seq`(`name`, `value`, `begin`, `step`, `version`, `update_time`, `remark`) VALUES ('fund_style_ts', 1, 1, 1000, 0, now(), NULL);
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create table client_style_ts(
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id bigint(20) NOT NULL AUTO_INCREMENT comment 'ID',
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client_id int(11) NOT NULL comment '内部编码',
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end_date datetime NOT NULL comment '交易日/持仓公布日',
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style_type varchar(20) NOT NULL comment '风格类型',
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style varchar(20) NOT NULL comment '风格名称',
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weight decimal(18, 6) NOT NULL comment '风格权重',
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update_time timestamp NOT NULL comment '更新时间' DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
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jsid bigint(20) NOT NULL,
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UNIQUE KEY jsid_ (jsid),
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UNIQUE KEY code_date_type_name (client_id, end_date, style_type, style),
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KEY code_ (client_id),
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KEY code_date (client_id, end_date),
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KEY code_date_type (client_id, end_date, style_type),
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PRIMARY KEY (id)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8;
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INSERT INTO `zhijunfund_analysis`.`t_sys_seq`(`name`, `value`, `begin`, `step`, `version`, `update_time`, `remark`) VALUES ('client_style_ts', 1, 1, 1000, 0, now(), NULL);

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