上传文件至 'modules'

modules/task_fundPerformance.dos

@@ -7,89 +7,11 @@ use fundit::indicatorCalculator
 
 
 /*
- *  通用收益计算
- * 
- * 
- */
-def calEntityReturns(entityType, freq, entities) {
-
-    ret = null;
-
-    if(freq == 'm') { ret = fundit::returnCalculator::cal_entity_monthly_returns(entityType, entities); }
-
-    return ret;
-
-}
-
-
-
-/*
- *   通用指标计算
- * 
- * 
- * 
- *   @return <DICT TABLE>: ['PBI-INCEP', 'PBI-YTD', 'PBI-6M', 'PBI-1Y', 'PBI-2Y', 'PBI-3Y', 'PBI-4Y', 'PBI-5Y', 'PBI-10Y', 'MS-3Y', 'MS-5Y', 'MS-10Y']
- * 
- */
-def calIndicators(entityType, monthlyReturns) {
-
-    if(find(['FD', 'PF'], entityType) < 0) return null;
-
-    if(monthlyReturns.isVoid() || monthlyReturns.size() < 1) return null;
-
-    oldest_date = EXEC price_date.min() FROM monthlyReturns;
-
-    v_entity_ids = (SELECT DISTINCT entity_id FROM monthlyReturns).entity_id;
-    
-    entity_info = get_entity_info(entityType, v_entity_ids);
-    
-    if(entity_info.isVoid() || entity_info.size() == 0) { return null };
-    
-    if(monthlyReturns.isVoid() || monthlyReturns.size() == 0) { return null; }
-
-    end_day = today();
-
-    // 取基金和基准的对照表
-    primary_benchmark = SELECT entity_id, end_date, iif(benchmark_id.isNull(), 'IN00000008', benchmark_id) AS benchmark_id 
-                        FROM get_entity_primary_benchmark(entityType, v_entity_ids, oldest_date.month().temporalFormat('yyyy-MM'), end_day.month().temporalFormat('yyyy-MM')) ;
-
-    // 取所有出现的基准月收益
-    bmk_ret = get_benchmark_return(primary_benchmark, end_day);
-
-    if(bmk_ret.isVoid() || bmk_ret.size() == 0) { return null; }
-
-    risk_free_rate = SELECT fund_id, temporalParse(end_date, 'yyyy-MM') AS end_date, ret FROM get_risk_free_rate(oldest_date, end_day);
-
-    if(risk_free_rate.isVoid() || risk_free_rate.size() == 0) { return null; }
-
-    // 标准的指标
-    t0 = cal_trailing_indicators(entity_info, primary_benchmark, end_day, monthlyReturns, bmk_ret, risk_free_rate);
-
-    // PBI stands for "Primary Benchmark Index"
-    v_table_name = ['PBI-INCEP', 'PBI-YTD', 'PBI-6M', 'PBI-1Y', 'PBI-2Y', 'PBI-3Y', 'PBI-4Y', 'PBI-5Y', 'PBI-10Y'];
-
-    // BFI指标
-
-    return dict(v_table_name, t0);
-	
-}
-
-/*
- *   基金指标计算
- * 
- * 
- */
-def calFundIndicators(rets) {
-
-	t = calIndicators('FD', rets);
-
-	return t;
-}
-
-
-/*
  *   定时任务：最新净值触发的业绩指标计算
  * 
+ *   @param entityType <STRING>: 'MF', 'HF'...
+ *   @param date <DATETIME>: 净值更新时间
+ * 
  *   TODO: 目前收益表在MySQL中，所以需要将计算的最新收益与MySQL中的历史数据合并
  */
 def calFundPerformance(entityType, date) {
@@ -98,8 +20,8 @@ def calFundPerformance(entityType, date) {
 
     if(find(['HF', 'MF'], entityType) < 0) return null;
 
-    // 取有最新净值变动的私募基金列表
-    tb_cal_funds = get_fund_list_by_nav_updatetime('MF', NULL, date);
+    // 取有最新净值变动的基金列表
+    tb_cal_funds = get_entity_list_by_nav_updatetime(entityType, NULL, date, true);
 
     // 分批跑
     i = 0;
@@ -107,42 +29,23 @@ def calFundPerformance(entityType, date) {
     do {
 
         funds = tb_cal_funds[i:batch_size]
-        funds.rename!('fund_id', 'entity_id');
 
         // 计算月收益
-        rets = calEntityReturns(entityType, 'm', funds);
+        rets = mix_monthly_returns(entityType, funds);
 
-        // 最新更新的收益存入数据库
-
-        // 取完整历史收益用于指标计算
-        all_rets = get_fund_monthly_ret(funds.entity_id, very_old_date, today().month(), true);
-        all_rets.rename!('fund_id', 'entity_id');
-
-        // 将MySQL中的 YYYY-MM 格式改为 YYYY.MM
-        end_dates = EXEC end_date.temporalParse('yyyy-MM') FROM all_rets;
-        all_rets.replaceColumn!('end_date', end_dates);
-
-        // 用新计算的收益覆盖旧的
-        UPDATE all_rets
-            SET all_rets.ret = rets.ret, all_rets.nav = rets.cumulative_nav
-        FROM ej(all_rets, rets, ['entity_id', 'end_date']);
-
-        // 用新计算的收益补充旧的， ret_ytd_a, ret_incep_a 没有用
-        INSERT INTO all_rets 
-            SELECT entity_id, end_date, price_date, ret, cumulative_nav, null AS ret_ytd_a, null AS ret_incep_a
-            FROM rets
-            WHERE NOT EXISTS ( SELECT * FROM all_rets WHERE entity_id = rets.entity_id AND end_date = rets.end_date);
+        // TODO: 最新更新的收益存入数据库
 
         // 计算月度指标
-        indicators = calFundIndicators(all_rets);
+        rets.rename!('cumulative_nav', 'nav');
+        indicators = cal_monthly_indicators(entityType, 'PBI', rets);
 
-        //INSERT INTO tb_indicators SELECT * FROM indicators;
+        // TODO: 最新更新的指标存入数据库
 
         i += batch_size;
 
     } while (i < batch_size);
 //    } while (i <= tb_cal_funds.size());
-
-    return indicators;
+    
+    return;
 	
 }