v4.0.6

pure_ocean_breeze/__init__.py

@@ -2,8 +2,8 @@
 一个量化多因子研究的框架，包含数据、回测、因子加工等方面的功能
 """
 
-__updated__ = "2023-07-04 16:16:50"
-__version__ = "4.0.5"
+__updated__ = "2023-07-13 08:36:22"
+__version__ = "4.0.6"
 __author__ = "chenzongwei"
 __author_email__ = "winterwinter999@163.com"
 __url__ = "https://github.com/chen-001/pure_ocean_breeze"

pure_ocean_breeze/data/tools.py

@@ -2,7 +2,7 @@
 针对一些不常见的文件格式，读取数据文件的一些工具函数，以及其他数据工具
 """
 
-__updated__ = "2023-07-07 10:32:50"
+__updated__ = "2023-07-10 12:46:10"
 
 import os
 import pandas as pd
@@ -537,6 +537,7 @@ def get_monthly_factor(
  old_date = old.index.max()
  if old_date == self.fac.date.max():
  logger.info(f"本地文件已经是最新的了，无需计算")
+ self.fac=old
  else:
  try:
  new_date = self.find_begin(

pure_ocean_breeze/data/write_data.py

@@ -1,4 +1,4 @@
-__updated__ = "2023-07-02 02:35:59"
+__updated__ = "2023-07-14 15:11:40"
 
 import time
 

pure_ocean_breeze/labor/process.py

@@ -1,4 +1,4 @@
-__updated__ = "2023-07-07 10:21:18"
+__updated__ = "2023-07-13 12:17:42"
 
 import warnings
 
@@ -3417,7 +3417,12 @@ def cal_one(date1, date2):
  max_workers=n_jobs
  ) as executor:
  factor_new_more = list(
- tqdm.auto.tqdm(executor.map(cal_one, cuts), total=len(cuts))
+ tqdm.auto.tqdm(
+ executor.map(
+ cal_one, cut_points[:-many_days], cut_points[many_days:]
+ ),
+ total=len(cut_points[many_days:]),
+ )
  )
  factor_new = factor_new + factor_new_more
  else:
@@ -3468,7 +3473,12 @@ def cal_two(date1, date2):
  max_workers=n_jobs
  ) as executor:
  factor_new_more = list(
- tqdm.auto.tqdm(executor.map(cal_two, cuts2), total=len(cuts2))
+ tqdm.auto.tqdm(
+ executor.map(
+ cal_two, pairs, dates
+ ),
+ total=len(pairs),
+ )
  )
  factor_new = factor_new + factor_new_more
  else:
@@ -5646,7 +5656,7 @@ def optimize_one_day(
  else:
  return None
 
- def optimize_many_days(self, startdate: int = 20130101):
+ def optimize_many_days(self, startdate: int = STATES['START']):
  dates = [i for i in self.facs.index if i >= pd.Timestamp(str(startdate))]
  for date in tqdm.auto.tqdm(dates):
  fac = self.facs[self.facs.index == date].T.dropna()
@@ -5692,7 +5702,7 @@ def make_contrast(self, weight, index, name) -> list[pd.DataFrame]:
  comments = comments_on_twins(rets[f"{name}增强组合超额净值"], abret.dropna())
  return comments, rets
 
- def run(self, startdate: int = 20130101) -> pd.DataFrame:
+ def run(self, startdate: int = STATES['START']) -> pd.DataFrame:
  """运行规划求解
 
  Parameters

pure_ocean_breeze/state/states.py

@@ -2,14 +2,14 @@
 一些默认的参数
 """
 
-__updated__ = "2022-11-04 14:41:09"
+__updated__ = "2023-07-13 12:18:16"
 
 STATES = {
  "NO_LOG": False,
  "NO_COMMENT": False,
  "NO_SAVE": True,
  "NO_PLOT": False,
- "START": 20130101,
+ "START": 20140101,
  "db_host": "127.0.0.1",
  "db_port": 3306,
  "db_user": "root",

setup.py

@@ -1,4 +1,4 @@
-__updated__ = "2023-07-03 01:28:50"
+__updated__ = "2023-07-14 15:12:11"
 
 from setuptools import setup
 import setuptools
@@ -15,7 +15,8 @@ def get_version(package):
  init_py = open(os.path.join(package, "__init__.py")).read()
  return re.search("__version__ = ['\"]([^'\"]+)['\"]", init_py).group(1)
 
-install_requires=[
+
+install_requires = [
  # "numpy",
  "pandas<=1.5.3",
  "scipy",
@@ -43,11 +44,16 @@ def get_version(package):
  "deprecation",
  "questdb",
  "mpire",
+ "py7zr",
+ "unrar",
+ "rarfile",
+ "zipfile",
+ "chardet",
 ]
-if sys.platform.startswith('win'):
- install_requires=install_requires+['psycopg2']
+if sys.platform.startswith("win"):
+ install_requires = install_requires + ["psycopg2"]
 else:
- install_requires=install_requires+['psycopg2-binary']
+ install_requires = install_requires + ["psycopg2-binary"]
 
 setup(
  name="pure_ocean_breeze",
@@ -65,5 +71,9 @@ def get_version(package):
  license="MIT",
  packages=setuptools.find_packages(),
  requires=[],
- extras_require={'windows':['psycopg2'],'macos':['psycopg2-binary'],'linux':['psycopg2-binary']}
+ extras_require={
+ "windows": ["psycopg2"],
+ "macos": ["psycopg2-binary"],
+ "linux": ["psycopg2-binary"],
+ },
 )

更新日志/version4.md

@@ -1,6 +1,15 @@
 ## 更新日志🗓 — v4
 
 
+* v4.0.6 — 2023.7.14
+
+> 1. 修复了pure_dawn读取已有因子值时`__call__`方法返回错误的问题
+> 2. 修复了pure_fall_frequent中关于计算因子值的bug
+> 3. 修复了optimize_many_days函数和pure_linprog的run方法不受STATES['START']影响的bug
+> 4. 随着时间的推移，将STATES['START']值修改为20140101
+> 5. 更新了依赖库
+
+
 * v4.0.5 — 2023.7.7
 
 > 1. 修复了pure_fall_nature中缺少fields参数和参数传递的bug
@@ -49,7 +58,7 @@
 >
 >  ```python
 > import pure_ocean_breeze as p
-> 
+>  
 > p.ini()
 > ```
 > 2. 初始化函数与`Homeplace`参数新增了存储逐笔数据的路径