支持组合指标计算

modules/task_portfolioPerformance.dos

@@ -3,60 +3,95 @@ module fundit::task_portfolioPerformance
 use fundit::dataPuller;
 use fundit::dataSaver;
 use fundit::navCalculator;
+use fundit::returnCalculator;
+use fundit::indicatorCalculator;
 
 
 /*
- *   多个组合计算全历史净值
+ *   计算组合历史净值（不存数据库）
+ *   
+ *   @param portfolio_ids <STRING|VECTOR>: 组合IDS，为空时跑全集（但不建议，因为可能会很吃内存）
+ *   @param updatetime <DATETIME>: 持仓证券净值更新时间，忽略时跑全历史
+ *   
+ *   @return <TABLE>: portfolio_id, price_date, ret, nav
  * 
  *   Example：calPortfolioNAV([143109, 145041]);
+ *            calPortfolioNAV([143109, 145041], 2024.10.28);
  */
-def calPortfolioNAV(portfolio_ids) {
+def calPortfolioNAV(portfolio_ids, updatetime=1900.01.01) {
+// portfolio_ids=[143109, 145041];
+// updatetime=1900.01.01;
+    port_info = get_portfolio_list_by_fund_nav_updatetime(portfolio_ids, updatetime, true);
+    
+    tb_nav = cal_portfolio_nav(port_info);
 
-    very_old_date = '1900-01-01';
+	return tb_nav;
+}
 
-    port_info = get_portfolio_list_by_fund_nav_updatetime(portfolio_ids, very_old_date, true);
-    
-    tb_ret = fundit::navCalculator::cal_portfolio_nav(port_info);
+/*
+ *   计算组合历史收益和指标（不存数据库）
+ *   
+ *   @param navs <TABLE>: NEED COLUMNS portfolio_id, price_date, ret, nav
+ *   
+ *   @return <DICTIONARY>: 
+ * 
+ *   Example：calPortfolioPerformance(calPortfolioNAV([143109, 145041]));
+ */
+def calPortfolioPerformance(navs) {
+
+    if(navs.isVoid() || navs.size() == 0) return;
+
+    tb_navs = navs;
+    tb_navs.rename!(['portfolio_id'], ['entity_id']);
+
+    port_ids = EXEC DISTINCT entity_id from tb_navs;
+
+    port_info = get_entity_info('PF', port_ids);
 
-	
+    // 这个函数会根据情况加入成立日当月的初始净值，比直接用navs表中可能带的ret更方便
+    tb_navs.rename!('nav', 'cumulative_nav');
+    tb_month_ret = cal_monthly_returns_by_nav(port_info, tb_navs);
+
+    tb_month_ret.rename!('cumulative_nav', 'nav');
+	indicators = cal_monthly_indicators('PF', 'PBI', tb_month_ret);
+
+	return indicators;
 }
 
+
 /*
- *   [定时任务]批量计算组合净值
+ *   计算组合净值并存入数据库
  * 
  * 
- *   Example: calPortfolioPerformance(2024.10.28);
  */
-def calPortfolioPerformance(date) {
+def cal_and_save_portfolio_nav(cal_portfolio_info) {
 
     rt = '';
-    // 2.5 min
-    tb_cal_ports = get_portfolio_list_by_fund_nav_updatetime(NULL, date, true);
 
-    if(tb_cal_ports.isVoid() || tb_cal_ports.size() == 0) return;
+    // 准备类似MySQL结构的数据表
+    tb_portfolio_nav = create_entity_nav();
 
     // 分批跑
     i = 0;
     batch_size = 1000;
-    tb_portfolio_nav = fundit::dataSaver::create_entity_nav();
 
-    all_portfolio_id = EXEC DISTINCT portfolio_id FROM tb_cal_ports;
+    all_portfolio_id = EXEC DISTINCT portfolio_id FROM cal_portfolio_info;
 
-    do {
+    do { // 先把净值算出来存入数据库，落袋为安
 
-        portfolio_info = SELECT * FROM tb_cal_ports
+        portfolio_info = SELECT * FROM cal_portfolio_info
                          WHERE portfolio_id IN all_portfolio_id[i : min(all_portfolio_id.size(), i+batch_size)];
 
         if(portfolio_info.isVoid() || portfolio_info.size() == 0) break;
 
         // 30 sec
-        tb_ret = fundit::navCalculator::cal_portfolio_nav(portfolio_info);
+        tb_ret = cal_portfolio_nav(portfolio_info);
 
         INSERT INTO tb_portfolio_nav SELECT portfolio_id$STRING, price_date, nav FROM tb_ret;
 
         i += batch_size;
 
-    } while (i <= tb_cal_ports.size());
+    } while (i <= cal_portfolio_info.size());
 
 
     if(! tb_portfolio_nav.isVoid() && tb_portfolio_nav.size() > 0) {
@@ -73,5 +108,144 @@ def calPortfolioPerformance(date) {
             rt = ex;
         }
     }
+
+    return rt;
 }
 
+/*
+ *  计算组合标准指标并存入数据库
+ * 
+ * 
+ */
+def cal_and_save_portfolio_indicators(cal_portfolio_info) {
+
+    rt = '';
+
+    // 准备类似MySQL结构的数据表
+    tb_portfolio_performance = create_entity_performance(true);
+
+    tb_portfolio_indicator = create_entity_indicator(true);
+    tb_portfolio_risk_stats = create_entity_risk_stats(true);
+    tb_portfolio_riskadjret_stats = create_entity_riskadjret_stats(true);
+    tb_portfolio_style_stats = create_entity_style_stats(true);
+
+    tb_portfolio_performance_weekly = create_entity_performance_weekly(true);
+    tb_portfolio_latest_performance = create_entity_latest_performance(true);
+
+
+    // 分批跑
+    i = 0;
+    batch_size = 1000;
+
+    all_portfolio_id = EXEC DISTINCT portfolio_id FROM cal_portfolio_info;
+
+    do { 
+
+        cal_port = SELECT * FROM cal_portfolio_info
+                   WHERE portfolio_id IN all_portfolio_id[i : min(all_portfolio_id.size(), i+batch_size)];
+
+        if(cal_port.isVoid() || cal_port.size() == 0) break;
+
+        // 取数据库月度净值及前值 5 sec
+        s_json = (SELECT portfolio_id, 1900.01.01 AS price_date FROM cal_port GROUP BY portfolio_id).rename!('portfolio_id', 'sec_id').toStdJson();
+        tb_monthly_nav = get_nav_for_return_calculation('PF', 'm', s_json);
+
+        // 把 portfolio id 字段从字符串换回整型，不然后面Join table的时候会出错
+        v_portfolio_id = tb_monthly_nav.sec_id$INT;
+        tb_monthly_nav.replaceColumn!('sec_id', v_portfolio_id);
+        tb_monthly_nav.dropColumns!('nav').rename!(['sec_id', 'cumulative_nav'], ['portfolio_id', 'nav']);
+
+        // 计算各标准指标
+        indicators = calPortfolioPerformance(tb_monthly_nav);
+
+        // 仿照MySQL的表结构准备好记录 （1s)
+        port_info = (SELECT portfolio_id, start_cal_date.min() AS price_date FROM cal_port GROUP BY portfolio_id).rename!('portfolio_id', 'entity_id');
+        
+        generate_entity_performance(port_info, indicators, true, tb_portfolio_performance);
+        generate_entity_indicator(port_info, indicators, true, tb_portfolio_indicator);
+        generate_entity_risk_stats(port_info, indicators, true, tb_portfolio_risk_stats);
+        generate_entity_riskadjret_stats(port_info, indicators, true, tb_portfolio_riskadjret_stats);
+        generate_entity_style_stats(port_info, indicators, true, tb_portfolio_style_stats);
+
+
+
+        // 计算周收益 (49s)
+        port_info = SELECT * FROM ej(port_info, get_entity_info('PF', all_portfolio_id[i : min(all_portfolio_id.size(), i+batch_size)]), 'entity_id')
+        rets_w = cal_weekly_returns('PF', port_info);
+
+        if(! rets_w.isVoid() && rets_w.size() > 0) {
+            // 把 portfolio id 字段从字符串换回整型，不然后面Join table的时候会出错
+            v_portfolio_id = rets_w.entity_id$INT;
+            rets_w.replaceColumn!('entity_id', v_portfolio_id);
+            
+            generate_entity_performance_weekly(port_info, rets_w, true, tb_portfolio_performance_weekly);
+        }
+
+        // 计算最新收益 (23s)
+        perf_latest = cal_latest_performance('PF', port_info, true);
+
+        if(! perf_latest.isVoid() && perf_latest.size() > 0) {
+            generate_entity_latest_performance(port_info, perf_latest, true, tb_portfolio_latest_performance);
+        }
+
+        i += batch_size;
+
+    } while (i <= cal_portfolio_info.size());
+
+
+    if(! tb_portfolio_performance.isVoid() && tb_portfolio_performance.size() > 0) {
+
+        // save data to MySQL  
+        try {
+
+            chg_columns_for_mysql(tb_portfolio_performance, 'portfolio_id');
+            save_and_sync(tb_portfolio_performance, 'raw_db.pf_portfolio_performance', 'raw_db.pf_portfolio_performance');
+
+            chg_columns_for_mysql(tb_portfolio_indicator, 'portfolio_id');
+            save_and_sync(tb_portfolio_indicator, 'raw_db.pf_portfolio_indicator', 'raw_db.pf_portfolio_indicator');
+
+            chg_columns_for_mysql(tb_portfolio_risk_stats, 'portfolio_id');
+            save_and_sync(tb_portfolio_risk_stats, 'raw_db.pf_portfolio_risk_stats', 'raw_db.pf_portfolio_risk_stats');
+
+            chg_columns_for_mysql(tb_portfolio_riskadjret_stats, 'portfolio_id');
+            save_and_sync(tb_portfolio_riskadjret_stats, 'raw_db.pf_portfolio_riskadjret_stats', 'raw_db.pf_portfolio_riskadjret_stats');
+
+            chg_columns_for_mysql(tb_portfolio_style_stats, 'portfolio_id');
+            save_and_sync(tb_portfolio_style_stats, 'raw_db.pf_portfolio_style_stats', 'raw_db.pf_portfolio_style_stats');
+
+            save_and_sync(tb_portfolio_performance_weekly, 'raw_db.pf_portfolio_performance_weekly', 'raw_db.pf_portfolio_performance_weekly');
+
+            save_and_sync(tb_portfolio_latest_performance, 'raw_db.pf_portfolio_latest_performance', 'raw_db.pf_portfolio_latest_nav_performance');
+
+        } catch(ex) {
+
+            //TODO: Log errors
+            rt = ex;
+        }
+    }
+
+    return rt;
+
+}
+
+
+/*
+ *   [定时任务]批量计算组合净值、收益及指标
+ *   
+ *   @param updatetime <DATETIME>: 持仓证券净值更新时间，忽略时跑全历史
+ * 
+ * 
+ *   Example: CalPortfolioPerformanceTask(2024.10.28);
+ */
+def CalPortfolioPerformanceTask(updatetime=1900.01.01) {
+
+    rt = '';
+    // 3 min
+    tb_cal_ports = get_portfolio_list_by_fund_nav_updatetime(NULL, updatetime, true);
+
+    if(tb_cal_ports.isVoid() || tb_cal_ports.size() == 0) return;
+    // 26 min
+    rt = cal_and_save_portfolio_nav(tb_cal_ports);
+    // 9 min
+    rt = rt + '; ' + cal_and_save_portfolio_indicators(tb_cal_ports);
+}