v4.1.0

.gitattributes

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+# Auto detect text files and perform LF normalization
+* text=auto

.github/workflows/documentation-publish.yml

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+name: Deploy to Github Pages
+on:
+ pull_request:
+
+ paths: 
+ - "docs/**"
+ - "mkdocs.yml"
+ - "pure_ocean_breeze/**"
+ push:
+ paths: 
+ - "docs/**"
+ - "mkdocs.yml"
+ - "pure_ocean_breeze/**"
+
+jobs:
+ deploy:
+ runs-on: ubuntu-latest
+ steps:
+ - uses: actions/checkout@v2
+ - uses: actions/setup-python@v2
+ with:
+ python-version: 3.x
+ - uses: actions/cache@v2
+ with:
+ key: ${{ github.ref }}
+ path: .cache
+ - run: pip install mkdocstrings-python
+ - run: pip uninstall mkdocs -y
+ - run: pip install mkdocs-material-zhcorrect
+ - run: mkdocs build
+ - run: mkdocs gh-deploy --force
+
+

.github/workflows/python-publish.yml

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+# action的名称
+name: Upload Python Package
+
+on:
+ # 当setup.py分支有push时，触发action
+ pull_request:
+
+ paths:
+ - "pure_ocean_breeze/__init__.py"
+
+ push:
+
+ paths:
+ - "pure_ocean_breeze/__init__.py"
+
+jobs:
+ deploy:
+ runs-on: ubuntu-latest
+ steps:
+ - uses: actions/checkout@v3
+ - name: Set up Python
+ uses: actions/setup-python@v4
+ with:
+ python-version: '3.x'
+ - name: Install dependencies
+ run: |
+ python -m pip install --upgrade pip
+ pip install build
+ - name: Build package
+ run: python -m build
+ - name: Publish package
+ uses: pypa/gh-action-pypi-publish@27b31702a0e7fc50959f5ad993c78deac1bdfc29
+ with:
+ user: ${{secrets.PYPI_USERNAME}}
+ password: ${{secrets.PYPI_PASSWORD}}

.github/workflows/release.yml

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+
+
+# on:
+# create:
+# branches:
+# - master
+
+# # Sequence of patterns matched against refs/tags
+# tags:
+# - 'v*' # Push events to matching v*, i.e. v1.0, v20.15.10
+# # pull_request:
+# # branches:
+# # - master
+# # # Sequence of patterns matched against refs/tags
+# # tags:
+# # - 'v*' # Push events to matching v*, i.e. v1.0, v20.15.10
+# name: Create Release
+
+# jobs:
+# build:
+# name: Create Release
+# runs-on: ubuntu-latest
+# steps:
+# - name: Checkout code
+# uses: actions/checkout@v2
+# # - name: Get version
+# # id: get_version
+# # run: echo ::set-output name=VERSION::${tags/}
+# - name: Create Tag
+# id: create_tag
+# uses: jaywcjlove/create-tag-action@main
+# with:
+# test: '[R|r]elease[d]\s+[v|V]\d(\.\d+){0,2}'
+# - name: Create Release
+# uses: actions/create-release@v1
+# env:
+# GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}
+# with:
+# tag_name: v${{ steps.create_tag.outputs.version }}
+# release_name: v${{ steps.create_tag.outputs.version }}
+# body: 详见[更新日志](https://github.com/chen-001/pure_ocean_breeze/blob/master/更新日志/更新日志.md)
+# draft: false
+# prerelease: false
+
+
+name: Release
+
+on:
+ create:
+ tags:
+ - 'v*'
+
+jobs:
+ release:
+ name: Create Release
+ runs-on: ubuntu-latest
+ steps:
+
+ - name: Checkout code
+ uses: actions/checkout@v2
+ - name: Create Release
+ id: create_release
+ uses: actions/create-release@v1
+ env:
+ GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}
+ with:
+ tag_name: ${{ github.ref }}
+ release_name: ${{ github.ref }}
+ body: 详见[更新日志](https://github.com/chen-001/pure_ocean_breeze/blob/master/更新日志/更新日志.md)
+ draft: false
+ prerelease: false

.gitignore

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+site/
+factor/
+requirements.txt
+.obsidian

Github同步Pypi操作手册/Github同步Pypi操作手册.md

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+### Github同步Pypi操作手册
+---
+* #### 步骤一 ➡️ 创建workflow
+>1. 在**repository**主页找到**Actions**
+>![Acitons](Actions.jpg)
+>2. 在**Actions**中找到**Publish Python Package**
+>![Publish_python_package](Publish_python_package.jpg)
+>3. 点击**Configure**创建**workflow**
+>![workflow](workflow.jpg)
+>4. 此时自动在主分支下创建了`.github/workflows/python-publish.yml`文件
+>
+>👏**至此第一步结束啦👏**
+
+* #### 步骤二 ➡️ 设置自动更新动作
+>1. **解释**:`python-publish.yml`中的内容即更新动作
+>2. 复制如下模板，替换`python-publish.yml`中的内容
+>>```yml
+>># action的名称
+>>name: Upload Python Package
+>>
+>>on:
+>> # 当setup.py分支有push时，触发action
+>> push: 
+>> paths:
+>> - 'setup.py'
+>>
+>>jobs:
+>> deploy:
+>> runs-on: ubuntu-latest
+>> steps:
+>> - uses: actions/checkout@v3
+>> - name: Set up Python
+>> uses: actions/setup-python@v4
+>> with:
+>> python-version: '3.x'
+>> - name: Install dependencies
+>> run: |
+>> python -m pip install --upgrade pip
+>> pip install build
+>> - name: Build package
+>> run: python -m build
+>> - name: Publish package
+>> uses: pypa/gh-action-pypi-publish@27b31702a0e7fc50959f5ad993c78deac1bdfc29
+>> with:
+>> user: ${{secrets.PYPI_USERNAME}}
+>> password: ${{secrets.PYPI_PASSWORD}}
+>>```
+>3. 提交创建`python-publish.yml`文件
+>![start-commit](start_commit.jpg)
+>
+>👏**至此第二步结束啦👏**
+
+* #### 步骤三 ➡️ 设置Pypi账号密码
+>1. **解释**：为了不在`python-publish.yml`文件中暴露自己Pypi的账号密码，需要在Github的仓库密钥中设置自己的账号密码。对应在上述`python-publish.yml`文件中的
+>>```yml
+>>user: ${{secrets.PYPI_USERNAME}}
+>>password: ${{secrets.PYPI_PASSWORD}}
+>>```
+>2. 打开**repository**的**settings**（⚠️注意，并非个人账户的settings）
+>![settings](settings.jpg)
+>3. 选择左侧**Secrets**下的**Actions**，然后点击右上角的**New repository secret**
+>![secrets](secrets.jpg)
+>4. 添加新secret，pypi的账号，在Name中输入**PYPI_USERNAME**，在Value中输入自己Pypi账号
+>![add_username](add_username.jpg)
+>5. 再添加一个secret，pypi的密码，在Name中输入**PYPI_PASSWORD**，在Value中输入自己的Pypi密码
+>![secrets_again](secrets_again.jpg)
+>![add_password](add_password.jpg)
+>
+>👏**至此第三步结束啦👏**
+
+* #### 步骤四 ➡️ 上传`setup.py`文件
+>1. 上传`setup.py`文件
+>![setup_py](setup_py.jpg)
+>
+>👏**至此第四步结束啦👏**
+
+* #### 使用说明
+>1. 更新Pypi新版本：更新`setup.py`文件并push，会触发前面设置的Action，从而自动更新Pypi新版本
+>2. 其他文件的更新：只要不包含`setup.py`的更新，就不会触发更新Pypi版本的Action

LICENSE

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+MIT License
+
+Copyright (c) 2022 chenzongwei
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

README.md

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+# pure_ocean_breeze 
+#### **众人的因子框架**
+##### 我们的口号是：量价因子才是最牛的！
+***
+
+### 全新大版本📢
+* v4.0.0 — 2023.06.28
+> 因子框架4.0版本来啦！逐笔数据&任意秒级数据&全新的因子成果数据库来啦！
+
+* v3.0.0 — 2022.08.16
+
+>回测框架3.0版本来啦！ 模块拆分&说明文档来啦！[pure_ocean_breeze说明文档](https://chen-001.github.io/pure_ocean_breeze/)
+* v2.0.0 — 2022.07.12
+>回测框架2.0版本来啦！数据库&自动更新&最终因子库功能上线啦！
+
+### 安装&使用指南🎯
+1. 安装
+> 使用`pip install pure_ocean_breeze`命令进行安装
+2. 初始化
+>* 在初次安装框架时，请进行初始化，以将路径设置到自己的文件里
+>* 使用如下语句进行初始化
+>>```python
+>>import pure_ocean_breeze as p
+>>p.ini()
+>>```
+>* 然后根据提示进行操作即可
+>* 请注意路径不要写反斜杠\，而要写成/
+>* 经过初始化后，以后就可以直接使用，不论重启电脑或者版本升级，都不用再初始化
+>* 如果更换了数据库路径，请重新初始化
+3. 日常调用
+>* **导入框架** 
+>>```python
+>>import pure_ocean_breeze as p
+>>```
+>* **一键回测** 
+>>```python
+>>shen=p.pure_moonnight(fac)
+>>```
+>>`fac`为因子矩阵
+>* **因子合成运算** 其他用法详见[说明文档](https://chen-001.github.io/pure_ocean_breeze/)
+>* **其余内容敬请期待**
+
+#### 作者😉
+>* 量价选股因子黄金矿工💁‍♂️
+>* 挖因子兼新技术爱好者💁‍♂️
+>* 感谢每一个教我写代码和教我挖因子的人💐
+>* 欢迎交流技术优化&因子灵感&工作信息：<winterwinter999@163.com>
+
+#### 相关链接🔗
+>* [PyPi](https://pypi.org/project/pure-ocean-breeze/)
+>* [pure_ocean_breeze说明文档](https://chen-001.github.io/pure_ocean_breeze/)
+>* [Github同步到Pypi操作手册](https://github.com/chen-001/pure_ocean_breeze/blob/master/Github同步Pypi操作手册/Github同步Pypi操作手册.md)
+>* [更新日志](https://github.com/chen-001/pure_ocean_breeze/blob/master/更新日志/更新日志.md)
+

database/on_clickhouse/mysql_to_clickhouse.py

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+from pure_ocean_breeze.pure_ocean_breeze import *
+
+sql=sqlConfig('minute_data')
+chc=ClickHouseClient('minute_data')
+codes=sql.show_tables(full=False)
+
+fails=[]
+for code in tqdm.tqdm(codes):
+ try:
+ df=sql.get_data(code)
+ (np.around(df,2)*100).ffill().dropna().astype(int).assign(code=code).to_sql('minute_data',chc.engine,if_exists='append',index=False)
+ except Exception:
+ fails.append(code)
+ logger.warning(f'{code}失败了，请检查')
+logger.success('存储完啦')
+

database/on_clickhouse/ricequant_to_clickhouse.py

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+from pure_ocean_breeze.pure_ocean_breeze import *
+
+mipath='/Users/chenzongwei/pythoncode/数据库/Ricequant-minbar/equities'
+sql=sqlConfig('minute_data')
+chc=ClickHouseClient('minute_data')
+files=sorted(os.listdir(mipath))
+files=[mipath+'/'+i for i in files]
+fails=[]
+
+for path in tqdm.tqdm(files):
+ code,kind=convert_code(path)
+ df=read_h5_new(path)
+ df=df.rename(columns={'datetime':'date','volume':'amount','total_turnover':'money'})
+ df=df[['date','open','high','low','close','amount','money']].sort_values('date')
+ df.date=df.date.astype(str).str.slice(stop=8).astype(int)
+ df=df.groupby('date').apply(lambda x:x.assign(num=list(range(1,x.shape[0]+1))))
+ df=(np.around(df,2)*100).ffill().dropna().astype(int).assign(code=code)
+ try:
+ if kind=='stock':
+ df.to_sql('minute_data_stock',chc.engine,if_exists='append',index=False)
+ else:
+ df.to_sql('minute_data_index',chc.engine,if_exists='append',index=False)
+ except Exception:
+ fails.append(code)
+ logger.warning(f'{code}失败了，请检查')
+logger.success('存储完啦')
+
+# again=[i for i in files if fails[0][:6] in i][0]
+# again=[i for i in files if '300671' in i][0]
+#
+# code,kind=convert_code(again)
+# df=read_h5_new(again)
+# df=df.rename(columns={'datetime':'date','volume':'amount','total_turnover':'money'})
+# df=df[['date','open','high','low','close','amount','money']].sort_values('date')
+# df.date=df.date.astype(str).str.slice(stop=8).astype(int)
+# df=df.groupby('date').apply(lambda x:x.assign(num=list(range(1,x.shape[0]+1))))
+# df=(np.around(df,2)*100).ffill().dropna().astype(int).assign(code=code)
+# df.to_sql('minute_data_stock',chc.engine,if_exists='append',index=False)
+#
+# chc.get_data("select * from minute_data.minute_data_stock where code='300671.SZ'")