JAQS数据的类

写类的顺序
1. 初始化与参数设置
2. self传递
3. 方法汇总在类里
4. 写执行类里方法的方法

from jaqs.data.dataapi import DataApi
from jaqs.data import DataView
from _datetime import datetime
from datetime import timedelta
import pandas as pd
import numpy as np
import alphalens as al
import warnings
warnings.filterwarnings("ignore")
class get_group():
    def __init__(self, index, start, end):
        self.api = DataApi(addr='tcp://data.tushare.org:8910')
        self.api.login("13662241013",
          "eyJhbGciOiJIUzI1NiJ9.eyJjcmVhdGVfdGltZSI6IjE1MTc2NDQzMzg5MTIiLCJpc3MiOiJhdXRoMCIsImlkIjoiMTM2NjIyNDEwMTMifQ.sVIzI5VLqq8fbZCW6yZZW0ClaCkcZpFqpiK944AHEow"
                        )
        self.index = index
        self.start = start
        self.end = end
        self.classify = None
    def get_classify(self):
        df_index, msg_index = self.api.query(
                        view="lb.indexCons",
                        fields="",
                        filter="index_code={}&start_date={}&end_date={}".format(self.index, self.start, self.end),
                        data_format='pandas')
        df_classify, msg_classfy = self.api.query(
                        view="lb.secIndustry",
                        fields="",
                        filter="industry_src=SW&symbol=%s" % ",".join(df_index.symbol),
                        data_format='pandas')
        columns = ["in_date", "industry1_code", "out_date", "symbol"]
        classify = df_classify[columns]
        classify_dict = {'480000': 'Bank', '430000': 'Real_Estate', '460000': 'Leisure_Service', 
                         '640000': 'Mechanical_Equipment', '240000': 'Nonferrous_Metals', 
                         '510000': 'Synthesis', '410000': 'Public_Utility', '450000': 'Commercial_Trade', 
                         '730000': 'Communication', '330000': 'Household_Appliances', '720000': 'Media', 
                         '630000': 'Electrical_Equipment', '270000': 'Electronic_Engineering', 
                         '490000': 'Non_Bank_Finance', '370000': 'Medical_Biology', '710000': 'Computer', 
                         '280000': 'Car', '340000': 'Food_Beverage', '220000': 'Chemical_Engineering', 
                         '210000': 'Digging', '230000': 'Steel', '650000': 'Military', 
                         '110000': 'Agriculture_Fishing', '420000': 'Transportation', 
                         '620000': 'Architectural_Ornament', '350000': 'Textile_Garment', 
                         '610000': 'Building_Materials', '360000': 'Light_Manufacturing'}
        classify.industry1_code = classify.industry1_code.replace(classify_dict)
        self.classify = classify
        return classify
    def get_datetime(self):
        trade_date, msg_date = self.api.query(
                        view="jz.secTradeCal",
                        fields="trade_date,istradeday",
                        filter="start_date={}&end_date={}".format(self.start, self.end),
                        data_format='pandas')
        trade_date = trade_date["trade_date"][trade_date.istradeday == "T"]
        date_index = pd.Index(map(lambda x: datetime.strptime(str(x),"%Y%m%d") , trade_date))
        return date_index
    def convert(self, time):
        return datetime.strptime(time, "%Y%m%d")
    def classify_df(self, classify, index_date):
        try:
            out_date = self.convert(classify.out_date)
        except:
            idx = index_date
        else:
            idx = index_date[index_date<out_date]
        finally:
            return classify.symbol, pd.Series(classify.industry1_code, idx)
    def process_group(self):
        self.get_classify()
        date_index = self.get_datetime()
        group_name = pd.DataFrame(dict(self.classify_df(row, date_index) for name, row in self.classify.iterrows()))
        group_name.columns.name="symbol"
        group_name.index.name="trade_date"
        group = group_name.rename_axis(lambda s: s.year*10000+s.month*100+s.day)
        return group

group = get_group('000001.SH', 20170101, 20171229).process_group()

print(group.tail(5))

symbol     600000.SH       600004.SH 600005.SH 600006.SH    600007.SH  \
trade_date                                                              
20171225        Bank  Transportation     Steel       Car  Real_Estate   
20171226        Bank  Transportation     Steel       Car  Real_Estate   
20171227        Bank  Transportation     Steel       Car  Real_Estate   
20171228        Bank  Transportation     Steel       Car  Real_Estate   
20171229        Bank  Transportation     Steel       Car  Real_Estate   

symbol           600008.SH       600009.SH 600010.SH       600011.SH  \
trade_date                                                             
20171225    Public_Utility  Transportation     Steel  Public_Utility   
20171226    Public_Utility  Transportation     Steel  Public_Utility   
20171227    Public_Utility  Transportation     Steel  Public_Utility   
20171228    Public_Utility  Transportation     Steel  Public_Utility   
20171229    Public_Utility  Transportation     Steel  Public_Utility   

symbol           600012.SH    ...           603987.SH             603988.SH  \
trade_date                    ...                                             
20171225    Transportation    ...     Medical_Biology  Electrical_Equipment   
20171226    Transportation    ...     Medical_Biology  Electrical_Equipment   
20171227    Transportation    ...     Medical_Biology  Electrical_Equipment   
20171228    Transportation    ...     Medical_Biology  Electrical_Equipment   
20171229    Transportation    ...     Medical_Biology  Electrical_Equipment   

symbol                   603989.SH 603990.SH             603991.SH  \
trade_date                                                           
20171225    Electronic_Engineering  Computer  Chemical_Engineering   
20171226    Electronic_Engineering  Computer  Chemical_Engineering   
20171227    Electronic_Engineering  Computer  Chemical_Engineering   
20171228    Electronic_Engineering  Computer  Chemical_Engineering   
20171229    Electronic_Engineering  Computer  Chemical_Engineering   

symbol              603993.SH             603996.SH 603997.SH  \
trade_date                                                      
20171225    Nonferrous_Metals  Household_Appliances       Car   
20171226    Nonferrous_Metals  Household_Appliances       Car   
20171227    Nonferrous_Metals  Household_Appliances       Car   
20171228    Nonferrous_Metals  Household_Appliances       Car   
20171229    Nonferrous_Metals  Household_Appliances       Car   

symbol            603998.SH 603999.SH  
trade_date                             
20171225    Medical_Biology     Media  
20171226    Medical_Biology     Media  
20171227    Medical_Biology     Media  
20171228    Medical_Biology     Media  
20171229    Medical_Biology     Media  

[5 rows x 1386 columns]