myapp.py

#encoding:utf-8
import os
from flask import (Flask, render_template, request, jsonify)
from flask.ext.sqlalchemy import SQLAlchemy
import datetime

basedir = os.path.abspath(os.path.dirname(__file__))

app = Flask(__name__)
app.config['SQLALCHEMY_DATABASE_URI'] = 'sqlite:///' + os.path.join(basedir, 'data.sqlite')
app.config['SQLALCHEMY_COMMIT_ON_TEARDOWN'] = True
app.secret_key = 'SHH!'

db = SQLAlchemy(app)

#策略
class Strategy(db.Model):
    __tablename__ = 'strategies'
    id = db.Column(db.Integer, primary_key=True)
    name = db.Column(db.String(64), unique=True, index=True) #策略名称
    status = db.Column(db.String(64)) #策略状态
    start = db.Column(db.Date) #策略开始时间
    end = db.Column(db.Date) #策略结束时间
    surveys = db.relationship('Survey', backref='strategy', lazy='dynamic')
    positions = db.relationship('Position', backref='strategy', lazy='dynamic')
    transfers = db.relationship('Position', backref='strategy_', lazy='dynamic')

    def __repr__(self):
        return '<Strategy %r>' % self.name

#每日概况
class Survey(db.Model):
    __tablename__ = 'surveys'
    id = db.Column(db.Integer, primary_key=True)
    date = db.Column(db.Date, index=True) #日期
    daily = db.Column(db.Float) #当日收益
    annualized_return = db.Column(db.Float) #策略年化收益率
    benchmark_return = db.Column(db.Float) #基准当日涨幅
    B_A_return = db.Column(db.Float) #基准年化涨幅
    profit = db.Column(db.Float) #累计收益
    sharp = db.Column(db.Float) #夏普比率
    marketValue = db.Column(db.Float) #持仓市值
    enable = db.Column(db.Float) #可用金额
    pullback = db.Column(db.Float) #回撤
    alpha = db.Column(db.Float) #阿尔法
    beta = db.Column(db.Float) #贝塔
    information = db.Column(db.Float) #信息比率
    fluctuation = db.Column(db.Float) #收益波动率
    strategy_id = db.Column(db.Integer, db.ForeignKey('strategies.id')) #所属策略ID
    positions = db.relationship('Position', backref='date', lazy='dynamic')
    transfers = db.relationship('Transfer', backref='date_', lazy='dynamic')

    def __repr__(self):
        return '<Survey %r>' % self.date

#当日持仓
class Position(db.Model):
    __tablename__ = 'positions'
    id = db.Column(db.Integer, primary_key=True)
    ticker = db.Column(db.String(64), index=True) #证券代码
    name = db.Column(db.String(64)) #证券名称
    amount = db.Column(db.Integer) #持仓数量
    cost = db.Column(db.Float) #持仓成本
    price = db.Column(db.Float) #市价
    value = db.Column(db.Float) #市值
    increase = db.Column(db.Float) #当日涨幅
    weight = db.Column(db.Float) #权重
    strategy_id = db.Column(db.Integer, db.ForeignKey('strategies.id')) #所属策略ID
    date_id = db.Column(db.Integer, db.ForeignKey('surveys.id')) #所属日期ID

    def __repr__(self):
        return '<Position %r>' % self.ticker

#当日调仓
class Transfer(db.Model):
    __tablename__ = 'transfers'
    id = db.Column(db.Integer, primary_key=True)
    ticker = db.Column(db.String(64), index=True) #证券代码
    name = db.Column(db.String(64)) #证券名称
    direction = db.Column(db.String(64)) #买／卖
    orderAmount = db.Column(db.Integer) #下单数量
    dealAmount = db.Column(db.Integer) #成交数量
    orderTime = db.Column(db.Time) #下单时间
    dealTime = db.Column(db.Time) #成交时间
    cost = db.Column(db.Float) #成交均价
    status = db.Column(db.String(64)) #状态
    strategy_id = db.Column(db.Integer, db.ForeignKey('strategies.id')) #所属策略ID
    date_id = db.Column(db.Integer, db.ForeignKey('surveys.id')) #所属日期ID

    def __repr__(self):
        return '<Transfer %r>' % self.ticker

#基准
class Benchmark(db.Model):
    __tablename__ = 'benchmarks'
    id = db.Column(db.Integer, primary_key=True)
    date = db.Column(db.Date, unique=True, index=True) #日期
    index = db.Column(db.Float) #上证指数

    def __repr__(self):
        return '<Benchmark %r>' % self.date


#app.debug = True

@app.route('/')
def index():
    strategies_ = Strategy.query.all()
    strategies = list(range(len(strategies_)))
    
    for i in range(len(strategies_)):
        start = '_'
        end = '_'
        if strategies_[i].start == None:
            start = start
        else:
            start = strategies_[i].start.strftime('%Y-%m-%d')
    
        if strategies_[i].end == None:
            end = end
        else:
            end = strategies_[i].end.strftime('%Y-%m-%d')

        id = strategies_[i].id
        
        survey = Survey.query.filter_by(strategy_id=id).all()[-1]
        
        daily = survey.daily
        if daily == None:
            daily = '--'
        profit = survey.profit
        if profit == None:
            profit = '--'
        strategies[i] = {'name':strategies_[i].name,'status':strategies_[i].status,'daily':daily,'profit':profit,'start':start,'end':end}

    return render_template('index.html', strategies = strategies)


@app.route('/strategy/<name>')
def strategy(name):
    today = datetime.date.today().strftime('%Y-%m-%d')
    
    strategy_ = Strategy.query.filter_by(name=name).first()

    if strategy_ == None:
        return '<h1>没有这个策略</h1>'
    else:
        sttg_id = strategy_.id

        survey_ = Survey.query.filter_by(strategy_id=sttg_id).all()
        dt_id = survey_[-1].id
        survey = None
        
        if survey_ != None:
            survey = {'date':list(range(len(survey_))),'daily':list(range(len(survey_))),'profit':list(range(len(survey_))),'sharp':list(range(len(survey_))),'marketValue':list(range(len(survey_))),'enable':list(range(len(survey_))),'benchmark':list(range(len(survey_))),'pullback':list(range(len(survey_))),'alpha':list(range(len(survey_))),'beta':list(range(len(survey_))),'information':list(range(len(survey_))),'fluctuation':list(range(len(survey_)))}
        
            for i in range(len(survey_)):
                survey['date'][i] = int(survey_[i].date.strftime('%s')+'000')
                if survey_[i].daily != None:
                    survey['daily'][i] = round(survey_[i].daily,2)
                else:
                    survey['daily'][i] = survey_[i].daily
                if survey_[i].profit != None:
                    survey['profit'][i] = round(survey_[i].profit,2)
                else:
                    survey['profit'][i] = survey_[i].profit
                if survey_[i].sharp != None:
                    survey['sharp'][i] = round(survey_[i].sharp,2)
                else:
                    survey['sharp'][i] = survey_[i].sharp
                if survey_[i].marketValue != None:
                    survey['marketValue'][i] = round(survey_[i].marketValue,2)
                else:
                    survey['marketValue'][i] = survey_[i].marketValue
                if survey_[i].enable != None:
                    survey['enable'][i] = round(survey_[i].enable,2)
                else:
                    survey['enable'][i] = survey_[i].enable
                index = Benchmark.query.filter_by(date=survey_[i].date).first()
                if index == None:
                    survey['benchmark'][i] = None
                else:
                    survey['benchmark'][i] = index.index
                if survey_[i].pullback != None:
                    survey['pullback'][i] = round(survey_[i].pullback,2)
                else:
                    survey['pullback'][i] = survey_[i].pullback
                if survey_[i].alpha != None:
                    survey['alpha'][i] = round(survey_[i].alpha,2)
                else:
                    survey['alpha'][i] = survey_[i].alpha
                if survey_[i].beta != None:
                    survey['beta'][i] = round(survey_[i].beta,2)
                else:
                    survey['beta'][i] = survey_[i].beta
                if survey_[i].information != None:
                    survey['information'][i] = round(survey_[i].information,2)
                else:
                    survey['information'][i] = survey_[i].information
                if survey_[i].fluctuation != None:
                    survey['fluctuation'][i] = round(survey_[i].fluctuation,2)
                else:
                    survey['fluctuation'][i] = survey_[i].fluctuation

        transfer_ = Transfer.query.filter_by(strategy_id=sttg_id,date_id=dt_id).all()
        transfer = None

        if transfer_ != None:
            transfer = list(range(len(transfer_)))
        
            for i in range(len(transfer_)):
                deal_amount = '--'
                deal_time = '--'
                cost = '--'
                if transfer_[i].dealAmount != None:
                    deal_amount = transfer_[i].dealAmount

                if transfer_[i].dealTime != None:
                    deal_time = transfer_[i].dealTime.strftime('%H:%M:%S')
            
                if transfer_[i].cost != None:
                        cost = transfer_[i].cost
            
                transfer[i] = {'ticker':transfer_[i].ticker,'name':transfer_[i].name,'direction':transfer_[i].direction,'orderAmount':transfer_[i].orderAmount,'dealAmount':deal_amount,'orderTime':transfer_[i].orderTime.strftime('%H:%M:%S'),'dealTime':deal_time,'cost':cost,'status':transfer_[i].status}

        positions_ = Position.query.filter_by(strategy_id=sttg_id,date_id=dt_id).all()
        positions = None
        
        if positions_ != None:
            positions = list(range(len(positions_)))

            for i in range(len(positions_)):
                positions[i] = {'ticker':positions_[i].ticker,'name':positions_[i].name,'amount':positions_[i].amount,'cost':positions_[i].cost,'price':positions_[i].price,'value':positions_[i].value,'increase':positions_[i].increase,'weight':positions_[i].weight}

        return render_template('strategy.html',name = name,survey = survey,positions = positions,transfer = transfer,today = today,strategyID = sttg_id)


@app.route('/positions', methods = ['POST'])
def positions_ajax_request():
    date = request.form['date']
    strategyID = int(request.form['strategyID'])
    formatDate = datetime.date(int(date[0:4]),int(date[5:7]),int(date[8:10]))
    dateID = Survey.query.filter_by(strategy_id=strategyID,date=formatDate).first()
    if dateID != None:
        pt_ = Position.query.filter_by(strategy_id=strategyID, date_id=dateID.id).all()
        if pt_ == None or len(pt_) == 0:
            return jsonify({'name':"该日没数据"})
        else:
            pt = list(range(len(pt_)))
            
            for i in range(len(pt_)):
                pt[i] = {'ticker':pt_[i].ticker, 'name':pt_[i].name, 'amount':pt_[i].amount, 'cost':pt_[i].cost, 'price':pt_[i].price, 'value':pt_[i].value, 'increase':pt_[i].increase, 'weight':pt_[i].weight}
            
            return jsonify(results=pt)
    else:
        return jsonify({'name':"该日没数据"})



@app.route('/transfers', methods = ['POST'])
def transfers_ajax_request():
    date = request.form['date']
    strategyID = int(request.form['strategyID'])
    formatDate = datetime.date(int(date[0:4]),int(date[5:7]),int(date[8:10]))
    dateID = Survey.query.filter_by(strategy_id=strategyID,date=formatDate).first()
    if dateID != None:
        ts_ = Transfer.query.filter_by(strategy_id=strategyID, date_id=dateID.id).all()
        if ts_ == None or len(ts_) == 0:
            return jsonify({'name':"该日没数据"})
        else:
            ts = list(range(len(ts_)))
            
            for i in range(len(ts_)):
                deal_amount = '--'
                deal_time = '--'
                cost = '--'
                if ts_[i].dealAmount != None:
                    deal_amount = ts_[i].dealAmount
                
                if ts_[i].dealTime != None:
                    deal_time = ts_[i].dealTime.strftime('%H:%M:%S')
                
                if ts_[i].cost != None:
                    cost = ts_[i].cost
                
                ts[i] = {'ticker':ts_[i].ticker, 'name':ts_[i].name, 'direction':ts_[i].direction, 'orderAmount':ts_[i].orderAmount, 'dealAmount':deal_amount, 'orderTime':ts_[i].orderTime.strftime('%H:%M:%S'), 'dealTime':deal_time, 'cost':cost, 'status':ts_[i].status}
            
            return jsonify(results=ts)
    else:
        return jsonify({'name':"该日没数据"})