Support csi100 data collection && Fix data collector

scripts/data_collector/csi/collector.py

@@ -2,6 +2,7 @@
 # Licensed under the MIT License.
 
 import re
+import abc
 import sys
 import bisect
 from io import BytesIO
@@ -18,14 +19,12 @@
 from data_collector.utils import get_hs_calendar_list as get_calendar_list
 
 
-NEW_COMPANIES_URL = "http://www.csindex.com.cn/uploads/file/autofile/cons/000300cons.xls"
+NEW_COMPANIES_URL = "http://www.csindex.com.cn/uploads/file/autofile/cons/{index_code}cons.xls"
 
-CSI300_CHANGES_URL = "http://www.csindex.com.cn/zh-CN/search/total?key=%E5%85%B3%E4%BA%8E%E8%B0%83%E6%95%B4%E6%B2%AA%E6%B7%B1300%E5%92%8C%E4%B8%AD%E8%AF%81%E9%A6%99%E6%B8%AF100%E7%AD%89%E6%8C%87%E6%95%B0%E6%A0%B7%E6%9C%AC%E8%82%A1%E7%9A%84%E5%85%AC%E5%91%8A"
+INDEX_CHANGES_URL = "http://www.csindex.com.cn/zh-CN/search/total?key=%E5%85%B3%E4%BA%8E%E8%B0%83%E6%95%B4%E6%B2%AA%E6%B7%B1300%E5%92%8C%E4%B8%AD%E8%AF%81%E9%A6%99%E6%B8%AF100%E7%AD%89%E6%8C%87%E6%95%B0%E6%A0%B7%E6%9C%AC%E8%82%A1%E7%9A%84%E5%85%AC%E5%91%8A"
 
-CSI300_START_DATE = pd.Timestamp("2005-01-01")
 
-
-class CSI300:
+class CSIIndex:
 
     REMOVE = "remove"
     ADD = "add"
@@ -45,14 +44,51 @@ def __init__(self, qlib_dir=None):
         self.instruments_dir.mkdir(exist_ok=True, parents=True)
         self._calendar_list = None
 
+        self.cache_dir = Path("~/.cache/csi").expanduser().resolve()
+        self.cache_dir.mkdir(exist_ok=True, parents=True)
+
     @property
     def calendar_list(self) -> list:
         """get history trading date
 
         Returns
         -------
         """
-        return get_calendar_list(bench=True)
+        return get_calendar_list(bench_code=self.index_name.upper())
+
+    @property
+    def new_companies_url(self):
+        return NEW_COMPANIES_URL.format(index_code=self.index_code)
+
+    @property
+    def changes_url(self):
+        return INDEX_CHANGES_URL
+
+    @property
+    @abc.abstractmethod
+    def bench_start_date(self) -> pd.Timestamp:
+        raise NotImplementedError()
+
+    @property
+    @abc.abstractmethod
+    def index_code(self):
+        raise NotImplementedError()
+
+    @property
+    @abc.abstractmethod
+    def index_name(self):
+        raise NotImplementedError()
+
+    @property
+    @abc.abstractmethod
+    def html_table_index(self):
+        """Which table of changes in html
+
+        CSI300: 0
+        CSI100: 1
+        :return:
+        """
+        raise NotImplementedError()
 
     def _get_trading_date_by_shift(self, trading_date: pd.Timestamp, shift=1):
         """get trading date by shift
@@ -119,14 +155,18 @@ def _read_change_from_url(self, url: str) -> pd.DataFrame:
         remove_date = self._get_trading_date_by_shift(add_date, shift=-1)
         logger.info(f"get {add_date} changes")
         try:
-
             excel_url = re.findall('.*href="(.*?xls.*?)".*', _text)[0]
-            _io = BytesIO(requests.get(f"http://www.csindex.com.cn{excel_url}").content)
+            content = requests.get(f"http://www.csindex.com.cn{excel_url}").content
+            _io = BytesIO(content)
             df_map = pd.read_excel(_io, sheet_name=None)
+            with self.cache_dir.joinpath(
+                f"{self.index_name.lower()}_changes_{add_date.strftime('%Y%m%d')}.{excel_url.split('.')[-1]}"
+            ).open("wb") as fp:
+                fp.write(content)
             tmp = []
             for _s_name, _type, _date in [("调入", self.ADD, add_date), ("调出", self.REMOVE, remove_date)]:
                 _df = df_map[_s_name]
-                _df = _df.loc[_df["指数代码"] == "000300", ["证券代码"]]
+                _df = _df.loc[_df["指数代码"] == self.index_code, ["证券代码"]]
                 _df = _df.applymap(self.normalize_symbol)
                 _df.columns = ["symbol"]
                 _df["type"] = _type
@@ -135,9 +175,13 @@ def _read_change_from_url(self, url: str) -> pd.DataFrame:
             df = pd.concat(tmp)
         except Exception:
             df = None
+            _tmp_count = 0
             for _df in pd.read_html(resp.content):
                 if _df.shape[-1] != 4:
                     continue
+                _tmp_count += 1
+                if self.html_table_index + 1 > _tmp_count:
+                    continue
                 tmp = []
                 for _s, _type, _date in [
                     (_df.iloc[2:, 0], self.REMOVE, remove_date),
@@ -149,31 +193,42 @@ def _read_change_from_url(self, url: str) -> pd.DataFrame:
                     _tmp_df["date"] = _date
                     tmp.append(_tmp_df)
                 df = pd.concat(tmp)
+                df.to_csv(
+                    str(
+                        self.cache_dir.joinpath(
+                            f"{self.index_name.lower()}_changes_{add_date.strftime('%Y%m%d')}.csv"
+                        ).resolve()
+                    )
+                )
                 break
         return df
 
-    @staticmethod
-    def _get_change_notices_url() -> list:
+    def _get_change_notices_url(self) -> list:
         """get change notices url
 
         Returns
         -------
 
         """
-        resp = requests.get(CSI300_CHANGES_URL)
+        resp = requests.get(self.changes_url)
         html = etree.HTML(resp.text)
         return html.xpath("//*[@id='itemContainer']//li/a/@href")
 
     def _get_new_companies(self):
 
         logger.info("get new companies")
-        _io = BytesIO(requests.get(NEW_COMPANIES_URL).content)
+        context = requests.get(self.new_companies_url).content
+        with self.cache_dir.joinpath(
+            f"{self.index_name.lower()}_new_companies.{self.new_companies_url.split('.')[-1]}"
+        ).open("wb") as fp:
+            fp.write(context)
+        _io = BytesIO(context)
         df = pd.read_excel(_io)
         df = df.iloc[:, [0, 4]]
         df.columns = ["end_date", "symbol"]
         df["symbol"] = df["symbol"].map(self.normalize_symbol)
         df["end_date"] = pd.to_datetime(df["end_date"])
-        df["start_date"] = CSI300_START_DATE
+        df["start_date"] = self.bench_start_date
         return df
 
     def parse_instruments(self):
@@ -183,7 +238,7 @@ def parse_instruments(self):
         -------
             $ python collector.py parse_instruments --qlib_dir ~/.qlib/qlib_data/cn_data
         """
-        logger.info("start parse csi300 companies.....")
+        logger.info(f"start parse {self.index_name.lower()} companies.....")
         instruments_columns = ["symbol", "start_date", "end_date"]
         changers_df = self._get_changes()
         new_df = self._get_new_companies()
@@ -196,15 +251,65 @@ def parse_instruments(self):
                 ] = _row.date
             else:
                 _tmp_df = pd.DataFrame(
-                    [[_row.symbol, CSI300_START_DATE, _row.date]], columns=["symbol", "start_date", "end_date"]
+                    [[_row.symbol, self.bench_start_date, _row.date]], columns=["symbol", "start_date", "end_date"]
                 )
                 new_df = new_df.append(_tmp_df, sort=False)
 
         new_df.loc[:, instruments_columns].to_csv(
-            self.instruments_dir.joinpath("csi300.txt"), sep="\t", index=False, header=None
+            self.instruments_dir.joinpath(f"{self.index_name.lower()}.txt"), sep="\t", index=False, header=None
         )
-        logger.info("parse csi300 companies finished.")
+        logger.info(f"parse {self.index_name.lower()} companies finished.")
+
+
+class CSI300(CSIIndex):
+    @property
+    def index_code(self):
+        return "000300"
+
+    @property
+    def index_name(self):
+        return "csi300"
+
+    @property
+    def bench_start_date(self) -> pd.Timestamp:
+        return pd.Timestamp("2005-01-01")
+
+    @property
+    def html_table_index(self):
+        return 0
+
+
+class CSI100(CSIIndex):
+    @property
+    def index_code(self):
+        return "000903"
+
+    @property
+    def index_name(self):
+        return "csi100"
+
+    @property
+    def bench_start_date(self) -> pd.Timestamp:
+        return pd.Timestamp("2006-05-29")
+
+    @property
+    def html_table_index(self):
+        return 1
+
+
+def parse_instruments(qlib_dir: str):
+    """
+
+    Parameters
+    ----------
+    qlib_dir: str
+        qlib data dir, default "Path(__file__).parent/qlib_data"
+    """
+    qlib_dir = Path(qlib_dir).expanduser().resolve()
+    qlib_dir.mkdir(exist_ok=True, parents=True)
+    CSI300(qlib_dir).parse_instruments()
+    CSI100(qlib_dir).parse_instruments()
 
 
 if __name__ == "__main__":
-    fire.Fire(CSI300)
+    fire.Fire(parse_instruments)

scripts/data_collector/utils.py

@@ -2,7 +2,10 @@
 #  Licensed under the MIT License.
 
 import re
+import time
+import pickle
 import requests
+from pathlib import Path
 
 import pandas as pd
 from lxml import etree
@@ -11,39 +14,46 @@
 CSI300_BENCH_URL = "http://push2his.eastmoney.com/api/qt/stock/kline/get?secid=1.000300&fields1=f1%2Cf2%2Cf3%2Cf4%2Cf5&fields2=f51%2Cf52%2Cf53%2Cf54%2Cf55%2Cf56%2Cf57%2Cf58&klt=101&fqt=0&beg=19900101&end=20220101"
 SH600000_BENCH_URL = "http://push2his.eastmoney.com/api/qt/stock/kline/get?secid=1.600000&fields1=f1%2Cf2%2Cf3%2Cf4%2Cf5&fields2=f51%2Cf52%2Cf53%2Cf54%2Cf55%2Cf56%2Cf57%2Cf58&klt=101&fqt=0&beg=19900101&end=20220101"
 
+CALENDAR_URL_BASE = "http://push2his.eastmoney.com/api/qt/stock/kline/get?secid=1.{bench_code}&fields1=f1%2Cf2%2Cf3%2Cf4%2Cf5&fields2=f51%2Cf52%2Cf53%2Cf54%2Cf55%2Cf56%2Cf57%2Cf58&klt=101&fqt=0&beg=19900101&end=20220101"
+
+CALENDAR_BENCH_URL_MAP = {
+    "CSI300": CALENDAR_URL_BASE.format(bench_code="000300"),
+    "CSI100": CALENDAR_URL_BASE.format(bench_code="000903"),
+    # NOTE: Use the time series of SH600000 as the sequence of all stocks
+    "ALL": CALENDAR_URL_BASE.format(bench_code="600000"),
+}
+
 _BENCH_CALENDAR_LIST = None
 _ALL_CALENDAR_LIST = None
 _HS_SYMBOLS = None
+_CALENDAR_MAP = {}
+
+# NOTE: Until 2020-10-20 20:00:00
+MINIMUM_SYMBOLS_NUM = 3900
 
 
-def get_hs_calendar_list(bench=False) -> list:
+def get_hs_calendar_list(bench_code="CSI300") -> list:
     """get SH/SZ history calendar list
 
     Parameters
     ----------
-    bench: bool
-        whether to get the bench calendar list, by default False
+    bench_code: str
+        value from ["CSI300", "CSI500", "ALL"]
 
     Returns
     -------
         history calendar list
     """
-    global _ALL_CALENDAR_LIST
-    global _BENCH_CALENDAR_LIST
 
     def _get_calendar(url):
         _value_list = requests.get(url).json()["data"]["klines"]
         return sorted(map(lambda x: pd.Timestamp(x.split(",")[0]), _value_list))
 
-    # TODO: get calendar from MSN
-    if bench:
-        if _BENCH_CALENDAR_LIST is None:
-            _BENCH_CALENDAR_LIST = _get_calendar(CSI300_BENCH_URL)
-        return _BENCH_CALENDAR_LIST
-
-    if _ALL_CALENDAR_LIST is None:
-        _ALL_CALENDAR_LIST = _get_calendar(SH600000_BENCH_URL)
-    return _ALL_CALENDAR_LIST
+    calendar = _CALENDAR_MAP.get(bench_code, None)
+    if calendar is None:
+        calendar = _get_calendar(CALENDAR_BENCH_URL_MAP[bench_code])
+        _CALENDAR_MAP[bench_code] = calendar
+    return calendar
 
 
 def get_hs_stock_symbols() -> list:
@@ -54,7 +64,8 @@ def get_hs_stock_symbols() -> list:
         stock symbols
     """
     global _HS_SYMBOLS
-    if _HS_SYMBOLS is None:
+
+    def _get_symbol():
         _res = set()
         for _k, _v in (("ha", "ss"), ("sa", "sz"), ("gem", "sz")):
             resp = requests.get(SYMBOLS_URL.format(s_type=_k))
@@ -64,7 +75,27 @@ def get_hs_stock_symbols() -> list:
                     etree.HTML(resp.text).xpath("//div[@class='result']/ul//li/a/text()"),
                 )
             )
-        _HS_SYMBOLS = sorted(list(_res))
+        return _res
+
+    if _HS_SYMBOLS is None:
+        symbols = set()
+        _retry = 60
+        # It may take multiple times to get the complete
+        while len(symbols) < MINIMUM_SYMBOLS_NUM:
+            symbols |= _get_symbol()
+            time.sleep(3)
+
+        symbol_cache_path = Path("~/.cache/hs_symbols_cache.pkl").expanduser().resolve()
+        symbol_cache_path.parent.mkdir(parents=True, exist_ok=True)
+        if symbol_cache_path.exists():
+            with symbol_cache_path.open("rb") as fp:
+                cache_symbols = pickle.load(fp)
+                symbols |= cache_symbols
+        with symbol_cache_path.open("wb") as fp:
+            pickle.dump(symbols, fp)
+
+        _HS_SYMBOLS = sorted(list(symbols))
+
     return _HS_SYMBOLS
 
 
@@ -104,3 +135,7 @@ def symbol_prefix_to_sufix(symbol: str, capital: bool = True) -> str:
     """
     res = f"{symbol[:-2]}.{symbol[-2:]}"
     return res.upper() if capital else res.lower()
+
+
+if __name__ == '__main__':
+    assert len(get_hs_stock_symbols()) >= MINIMUM_SYMBOLS_NUM