小修小补

modules/task_fundPerformance.dos

@@ -8,386 +8,16 @@ use fundit::indicatorCalculator;
 use fundit::fundCalculator;
 use fundit::bfiMatcher;
 
-/*
- *   按照 XXX_performance 表结构准备数据记录
- * 
- * 
- */
-def generate_entity_performance(entity_info, indicators, isToMySQL, mutable entity_performance) {
-
-    t = null;
-
-    if(isToMySQL) {
-
-       if(indicators['PBI-3M'].isVoid() || indicators['PBI-3M'].size() == 0) return;
-
-        t = SELECT entity_id, end_date, price_date, nav AS cumulative_nav, ret AS ret_1m, ret AS ret_1m_a, trailing_ret AS ret_3m, trailing_ret_a AS ret_3m_a
-            FROM indicators['PBI-3M'] AS ind
-            INNER JOIN entity_info fi ON ind.entity_id = fi.entity_id
-            WHERE ind.end_date >= fi.price_date.month(); // 过滤掉不必更新的旧记录
-        
-        UPDATE t
-        SET ret_6m = trailing_ret, ret_6m_a = trailing_ret_a
-        FROM ej(t, indicators['PBI-6M'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET ret_1y = trailing_ret, ret_1y_a = trailing_ret_a
-        FROM ej(t, indicators['PBI-1Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET ret_2y = trailing_ret, ret_2y_a = trailing_ret_a
-        FROM ej(t, indicators['PBI-2Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET ret_3y = trailing_ret, ret_3y_a = trailing_ret_a
-        FROM ej(t, indicators['PBI-3Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET ret_4y = trailing_ret, ret_4y_a = trailing_ret_a
-        FROM ej(t, indicators['PBI-4Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET ret_5y = trailing_ret, ret_5y_a = trailing_ret_a
-        FROM ej(t, indicators['PBI-5Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET ret_10y = trailing_ret, ret_10y_a = trailing_ret_a
-        FROM ej(t, indicators['PBI-10Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET ret_ytd = trailing_ret, ret_ytd_a = trailing_ret_a
-        FROM ej(t, indicators['PBI-YTD'], ['entity_id', 'end_date']);
-        
-        // 取消了 ret_incep_a_all （没意义） 和 ret_incep_a_gips (ret_incep_a 与之相等）
-        UPDATE t
-        SET ret_incep = trailing_ret, ret_incep_a = trailing_ret_a
-        FROM ej(t, indicators['PBI-INCEP'], ['entity_id', 'end_date']);
-
-        INSERT INTO entity_performance SELECT * FROM t;
-
-    } else {
-        
-    }
-}
-
-/*
- *   按照 XXX_risk_stats 表结构准备数据记录
- * 
- * 
- */
-def generate_entity_risk_stats(entity_info, indicators, isToMySQL, mutable entity_risk_stats) {
-
-    t = null;
-
-   if(indicators['PBI-6M'].isVoid() || indicators['PBI-6M'].size() == 0) return;
-
-    if(isToMySQL) {
-
-        t = SELECT entity_id, end_date, std_dev_a AS stddev_6m, ds_dev_a AS downsidedev_6m, alpha_a AS alpha_6m, winrate AS winrate_6m, beta AS beta_6m,
-                                        skewness AS skewness_6m, kurtosis AS kurtosis_6m, wrst_month AS worstmonth_6m, drawdown AS maxdrawdown_6m // mfdb中的真实字段名是 6m_maxdrawdown
-            FROM indicators['PBI-6M'] AS ind
-            INNER JOIN entity_info fi ON ind.entity_id = fi.entity_id
-            WHERE ind.end_date >= fi.price_date.month(); // 过滤掉不必更新的旧记录
-        
-        UPDATE t
-        SET stddev_1y = std_dev_a, downsidedev_1y = ds_dev_a, alpha_1y = alpha_a, winrate_1y = winrate, beta_1y = beta,
-            skewness_1y = skewness, kurtosis_1y = kurtosis, worstmonth_1y = wrst_month, maxdrawdown_1y = drawdown
-        FROM ej(t, indicators['PBI-1Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET stddev_2y = std_dev_a, downsidedev_2y = ds_dev_a, alpha_2y = alpha_a, winrate_2y = winrate, beta_2y = beta,
-            skewness_2y = skewness, kurtosis_2y = kurtosis, worstmonth_2y = wrst_month, maxdrawdown_2y = drawdown
-        FROM ej(t, indicators['PBI-2Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET stddev_3y = std_dev_a, downsidedev_3y = ds_dev_a, alpha_3y = alpha_a, winrate_3y = winrate, beta_3y = beta,
-            skewness_3y = skewness, kurtosis_3y = kurtosis, worstmonth_3y = wrst_month, maxdrawdown_3y = drawdown
-        FROM ej(t, indicators['PBI-3Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET stddev_4y = std_dev_a, downsidedev_4y = ds_dev_a, alpha_4y = alpha_a, winrate_4y = winrate, beta_4y = beta,
-            skewness_4y = skewness, kurtosis_4y = kurtosis, worstmonth_4y = wrst_month, maxdrawdown_4y = drawdown
-        FROM ej(t, indicators['PBI-4Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET stddev_5y = std_dev_a, downsidedev_5y = ds_dev_a, alpha_5y = alpha_a, winrate_5y = winrate, beta_5y = beta,
-            skewness_5y = skewness, kurtosis_5y = kurtosis, worstmonth_5y = wrst_month, maxdrawdown_5y = drawdown
-        FROM ej(t, indicators['PBI-5Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET stddev_10y = std_dev_a, downsidedev_10y = ds_dev_a, alpha_10y = alpha_a, winrate_10y = winrate, beta_10y = beta,
-            skewness_10y = skewness, kurtosis_10y = kurtosis, worstmonth_10y = wrst_month, maxdrawdown_10y = drawdown
-        FROM ej(t, indicators['PBI-10Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET stddev_ytd = std_dev_a, downsidedev_ytd = ds_dev_a, alpha_ytd = alpha_a, winrate_ytd = winrate, beta_ytd = beta,
-            skewness_ytd = skewness, kurtosis_ytd = kurtosis, worstmonth_ytd = wrst_month, maxdrawdown_ytd = drawdown // mfdb中的真实字段名是 ytd_maxdrawdown
-        FROM ej(t, indicators['PBI-YTD'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET stddev_incep = std_dev_a, downsidedev_incep = ds_dev_a, alpha_incep = alpha_a, winrate_incep = winrate, beta_incep = beta,
-            skewness_incep = skewness, kurtosis_incep = kurtosis, worstmonth_incep = wrst_month, maxdrawdown_incep = drawdown
-        FROM ej(t, indicators['PBI-INCEP'], ['entity_id', 'end_date']);
-        
-        INSERT INTO entity_risk_stats SELECT * FROM t;
-
-    } else {
-        
-    }
-}
-
-/*
- *   按照 XXX_riskadjret_stats 表结构准备数据记录
- * 
- * 
- */
-def generate_entity_riskadjret_stats(entity_info, indicators, isToMySQL, mutable entity_riskadjret_stats) {
-
-    t = null;
-
-   if(indicators['PBI-6M'].isVoid() || indicators['PBI-6M'].size() == 0) return;
-
-    if(isToMySQL) {
-
-        t = SELECT entity_id, end_date,
-                   sharpe_a AS sharperatio_6m, sortino_a AS sortinoratio_6m, treynor AS treynorratio_6m, jensen_a AS jensen_6m,
-                   calmar AS calmarratio_6m, omega AS omegaratio_6m, kappa AS kapparatio_6m
-            FROM indicators['PBI-6M'] AS ind
-            INNER JOIN entity_info fi ON ind.entity_id = fi.entity_id
-            WHERE ind.end_date >= fi.price_date.month(); // 过滤掉不必更新的旧记录
-        
-        UPDATE t
-        SET sharperatio_1y = sharpe_a, sortinoratio_1y = sortino_a, treynorratio_1y = treynor, jensen_1y = jensen_a,
-            calmarratio_1y = calmar, omegaratio_1y = omega, kapparatio_1y = kappa
-        FROM ej(t, indicators['PBI-1Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET sharperatio_2y = sharpe_a, sortinoratio_2y = sortino_a, treynorratio_2y = treynor, jensen_2y = jensen_a,
-            calmarratio_2y = calmar, omegaratio_2y = omega, kapparatio_2y = kappa
-        FROM ej(t, indicators['PBI-2Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET sharperatio_3y = sharpe_a, sortinoratio_3y = sortino_a, treynorratio_3y = treynor, jensen_3y = jensen_a,
-            calmarratio_3y = calmar, omegaratio_3y = omega, kapparatio_3y = kappa
-        FROM ej(t, indicators['PBI-3Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET sharperatio_4y = sharpe_a, sortinoratio_4y = sortino_a, treynorratio_4y = treynor, jensen_4y = jensen_a,
-            calmarratio_4y = calmar, omegaratio_4y = omega, kapparatio_4y = kappa
-        FROM ej(t, indicators['PBI-4Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET sharperatio_5y = sharpe_a, sortinoratio_5y = sortino_a, treynorratio_5y = treynor, jensen_5y = jensen_a,
-            calmarratio_5y = calmar, omegaratio_5y = omega, kapparatio_5y = kappa
-        FROM ej(t, indicators['PBI-5Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET sharperatio_10y = sharpe_a, sortinoratio_10y = sortino_a, treynorratio_10y = treynor, jensen_10y = jensen_a,
-            calmarratio_10y = calmar, omegaratio_10y = omega, kapparatio_10y = kappa
-        FROM ej(t, indicators['PBI-10Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET sharperatio_ytd = sharpe_a, sortinoratio_ytd = sortino_a, treynorratio_ytd = treynor, jensen_ytd = jensen_a,
-            calmarratio_ytd = calmar, omegaratio_ytd = omega, kapparatio_ytd = kappa
-        FROM ej(t, indicators['PBI-YTD'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET sharperatio_incep = sharpe_a, sortinoratio_incep = sortino_a, treynorratio_incep = treynor, jensen_incep = jensen_a,
-            calmarratio_incep = calmar, omegaratio_incep = omega, kapparatio_incep = kappa
-        FROM ej(t, indicators['PBI-INCEP'], ['entity_id', 'end_date']);
-        
-        INSERT INTO entity_riskadjret_stats SELECT * FROM t;
-
-    } else {
-        
-    }
-}
-
-/*
- *   按照 XXX_indicator 表结构准备数据记录
- * 
- * 
- */
-def generate_entity_indicator(entity_info, indicators, isToMySQL, mutable entity_indicator) {
-
-    t = null;
-
-   if(indicators['PBI-6M'].isVoid() || indicators['PBI-6M'].size() == 0) return;
-
-    if(isToMySQL) {
-
-        t = SELECT entity_id, end_date, info_a AS info_ratio_6m, m2_a AS m2_6m, track_error_a AS tracking_error_6m
-            FROM indicators['PBI-6M'] AS ind
-            INNER JOIN entity_info fi ON ind.entity_id = fi.entity_id
-            WHERE ind.end_date >= fi.price_date.month(); // 过滤掉不必更新的旧记录
-      
-        UPDATE t
-        SET info_ratio_1y = info_a, m2_1y = m2_a, tracking_error_1y = track_error_a
-        FROM ej(t, indicators['PBI-1Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET info_ratio_2y = info_a, m2_2y = m2_a, tracking_error_2y = track_error_a, var_2y = var, cvar_2y = cvar
-        FROM ej(t, indicators['PBI-2Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET info_ratio_3y = info_a, m2_3y = m2_a, tracking_error_3y = track_error_a, var_3y = var, cvar_3y = cvar
-        FROM ej(t, indicators['PBI-3Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET info_ratio_4y = info_a, m2_4y = m2_a, tracking_error_4y = track_error_a, var_4y = var, cvar_4y = cvar
-        FROM ej(t, indicators['PBI-4Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET info_ratio_5y = info_a, m2_5y = m2_a, tracking_error_5y = track_error_a, var_5y = var, cvar_5y = cvar
-        FROM ej(t, indicators['PBI-5Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET info_ratio_10y = info_a, m2_10y = m2_a, tracking_error_10y = track_error_a, var_10y = var, cvar_10y = cvar
-        FROM ej(t, indicators['PBI-10Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET info_ratio_ytd = info_a, m2_ytd = m2_a, tracking_error_ytd = track_error_a
-        FROM ej(t, indicators['PBI-YTD'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET info_ratio_incep = info_a, m2_incep = m2_a, tracking_error_incep = track_error_a, var_incep = var, cvar_incep = cvar
-        FROM ej(t, indicators['PBI-INCEP'], ['entity_id', 'end_date']);
-        
-        INSERT INTO entity_indicator SELECT * FROM t;
-
-    } else {
-        
-    }
-}
-
-/*
- *   按照 XXX_style_stats 表结构准备数据记录
- * 
- * 
- */
-def generate_entity_style_stats(entity_info, indicators, isToMySQL, mutable entity_style_stats) {
-
-    t = null;
-
-   if(indicators['PBI-6M'].isVoid() || indicators['PBI-6M'].size() == 0) return;
-
-    if(isToMySQL) {
-
-        t = SELECT entity_id, end_date, upside_capture_ret AS upsidecapture_ret_6m, downside_capture_ret AS downsidecapture_ret_6m,
-                                        upside_capture_ratio AS upsidecapture_ratio_6m, downside_capture_ratio AS downsidecapture_ratio_6m
-            FROM indicators['PBI-6M'] AS ind
-            INNER JOIN entity_info fi ON ind.entity_id = fi.entity_id
-            WHERE ind.end_date >= fi.price_date.month(); // 过滤掉不必更新的旧记录
-        
-        UPDATE t
-        SET upsidecapture_ret_1y = upside_capture_ret, downsidecapture_ret_1y = downside_capture_ret,
-            upsidecapture_ratio_1y = upside_capture_ratio, downsidecapture_ratio_1y = downside_capture_ratio
-        FROM ej(t, indicators['PBI-1Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET upsidecapture_ret_2y = upside_capture_ret, downsidecapture_ret_2y = downside_capture_ret,
-            upsidecapture_ratio_2y = upside_capture_ratio, downsidecapture_ratio_2y = downside_capture_ratio
-        FROM ej(t, indicators['PBI-2Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET upsidecapture_ret_3y = upside_capture_ret, downsidecapture_ret_3y = downside_capture_ret,
-            upsidecapture_ratio_3y = upside_capture_ratio, downsidecapture_ratio_3y = downside_capture_ratio
-        FROM ej(t, indicators['PBI-3Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET upsidecapture_ret_4y = upside_capture_ret, downsidecapture_ret_4y = downside_capture_ret,
-            upsidecapture_ratio_4y = upside_capture_ratio, downsidecapture_ratio_4y = downside_capture_ratio
-        FROM ej(t, indicators['PBI-4Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET upsidecapture_ret_5y = upside_capture_ret, downsidecapture_ret_5y = downside_capture_ret,
-            upsidecapture_ratio_5y = upside_capture_ratio, downsidecapture_ratio_5y = downside_capture_ratio
-        FROM ej(t, indicators['PBI-5Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET upsidecapture_ret_10y = upside_capture_ret, downsidecapture_ret_10y = downside_capture_ret,
-            upsidecapture_ratio_10y = upside_capture_ratio, downsidecapture_ratio_10y = downside_capture_ratio
-        FROM ej(t, indicators['PBI-10Y'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET upsidecapture_ret_ytd = upside_capture_ret, downsidecapture_ret_ytd = downside_capture_ret,
-            upsidecapture_ratio_ytd = upside_capture_ratio, downsidecapture_ratio_ytd = downside_capture_ratio
-        FROM ej(t, indicators['PBI-YTD'], ['entity_id', 'end_date']);
-        
-        UPDATE t
-        SET upsidecapture_ret_incep = upside_capture_ret, downsidecapture_ret_incep = downside_capture_ret,
-            upsidecapture_ratio_incep = upside_capture_ratio, downsidecapture_ratio_incep = downside_capture_ratio
-        FROM ej(t, indicators['PBI-INCEP'], ['entity_id', 'end_date']);
-        
-        INSERT INTO entity_style_stats SELECT * FROM t;
-
-    } else {
-        
-    }
-}
-
-
-/*
- *   按照 XXX_performance_weekly 表结构准备数据记录
- * 
- * 
- */
-def generate_entity_performance_weekly(entity_info, ret_w, isToMySQL, mutable entity_performance_weekly) {
-
-    t = null;
-
-   if(ret_w.isVoid() || ret_w.size() == 0) return;
-
-    if(isToMySQL) {
-
-        t = SELECT entity_id, year_week, year_week.left(4)$INT AS end_year, year_week.right(2)$INT AS week_of_year, price_date,
-                   cumulative_nav, ret_1w
-            FROM ret_w r
-            INNER JOIN entity_info fi ON r.entity_id = fi.entity_id
-            WHERE r.price_date >= fi.price_date; // 过滤掉不必更新的旧记录
-        
-        INSERT INTO entity_performance_weekly SELECT * FROM t;
-
-    } else {
-        
-    }
-}
-
-/*
- *   按照 XXX_latest_performance 表结构准备数据记录
- * 
- * 
- */
-def generate_entity_latest_performance(entity_info, perf_latest, isToMySQL, mutable entity_latest_performance) {
-
-    t = null;
-
-   if(perf_latest.isVoid() || perf_latest.size() == 0) return;
-
-    if(isToMySQL) {
-
-        t = SELECT r.*
-            FROM perf_latest r
-            INNER JOIN entity_info fi ON r.entity_id = fi.entity_id
-            WHERE r.price_date >= fi.price_date; // 过滤掉不必更新的旧记录
-        
-        INSERT INTO entity_latest_performance SELECT * FROM t;
-
-    } else {
-        
-    }
-}
-
 
 /*
- *   定时任务：最新净值触发的业绩指标计算
+ *   [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
  * 
  *   NOTE: 与Java不同的是当月indicator计算每日触发，不必等到Month-end production
  */
-def calFundPerformance(entityType, date) {
+def calFundPerformanceTask(entityType, date) {
 
     rt = '';
 
@@ -516,7 +146,7 @@ def ms_calFundReturns() {
     very_old_date = 1990.01.01;
 
     // 取基金列表 (27s)
-    tb_cal_funds = ms_get_fund_list_by_nav_createtime(NULL, very_old_date);
+    tb_cal_funds = ms_get_fund_list_by_nav_updatetime(NULL, very_old_date);
 
     if(tb_cal_funds.isVoid() || tb_cal_funds.size() == 0 ) return;