支持基金经理/公司指标计算

modules/task_monthlyPerformance.dos

@@ -145,14 +145,13 @@ def CalRelativeRankingTask(entity_type, entity_ids, end_date, isFromMySQL=true)
  */
 def cal_and_save_mc_nav(entity_type, entity_date, is_save_local) {
 
-    tb_monthly_ret = table(1000:0, ['entity_id', 'curve_type', 'strategy', 'end_date', 'price_date', 'ret', 'nav'],
-    							   [SYMBOL, INT, INT, MONTH, DATE, DOUBLE, DOUBLE]);
+	rt = '';
 
 	if(entity_type == 'PL') s_entity_type = 'manager';
 	else if(entity_type == 'CO') s_entity_type = 'company';
-	else return tb_monthly_ret;
+	else return rt;
 
-	if(entity_date.isVoid() || entity_date.size() == 0) return tb_monthly_ret;
+	if(entity_date.isVoid() || entity_date.size() == 0) return rt;
 
     // 准备类似MySQL结构的数据表
     tb_entity_nav = create_mc_fitted_curve();
@@ -191,9 +190,6 @@ def cal_and_save_mc_nav(entity_type, entity_date, is_save_local) {
 	        	SELECT entity_id, curve_type, strategy, end_date, nav, incl_cal_cnt
 	            FROM ej(tb_nav, tmp, ['entity_id', 'curve_type', 'strategy', 'end_date']);
 
-			INSERT INTO tb_monthly_ret
-				SELECT entity_id, curve_type, strategy, end_date.temporalParse('yyyy-MM').month(), price_date, ret, nav
-				FROM ej(tmp, tb_nav, ['entity_id', 'curve_type', 'strategy', 'end_date']);
         }
 
         i += batch_size;
@@ -217,10 +213,11 @@ def cal_and_save_mc_nav(entity_type, entity_date, is_save_local) {
         } catch(ex) {
 
             //TODO: Log errors
+            rt += ex;
         }
     }
 
-    return tb_monthly_ret;
+    return rt;
 	
 }
 
@@ -236,60 +233,154 @@ def cal_and_save_mc_indicator(entity_type, entity_date, monthly_returns, is_save
 	if(!(entity_type IN ['PL', 'CO'])) return rt;
 	if(entity_date.isVoid() || entity_date.size() == 0) return rt;
 
-	indicators = cal_mc_monthly_indicators(entity_type, 'PBI', monthly_returns);
+	i = 0;
+	batch_size = 1000;
+	v_entity_id = entity_date.entity_id.distinct();
+	max_cnt = v_entity_id.size();
+
+	do {
+
+		t_monthly_ret = SELECT * FROM monthly_returns WHERE entity_id IN v_entity_id[i : min(i+batch_size, max_cnt)];
+
+		d_indicators = cal_mc_monthly_indicators(entity_type, 'PBI', t_monthly_ret);
+
+		if(d_indicators.isVoid()) break;
+
+		// cal_mc_monthly_indicators 返回个两重字典，分别对应 curve_type 和不同区间的数据表，将同样区间的数据表（但不同curve_type)合并
+		// curve_type: 1:私募，4：公募，7：公私募综合
+		trailing_num = d_indicators["7"].keys().size();
+		for(k in d_indicators["7"].keys()) {
+			d_indicators["7"][k].append!(d_indicators["1"][k]);
+			d_indicators["7"][k].append!(d_indicators["4"][k]);
+		}
+		indicators = d_indicators["7"];
+		d_indicators = null;
+
+	    // 按照 MySQL 建好各表
+	    tb_mc_performance = create_mc_performance();
+	    tb_mc_indicator = create_mc_indicator();
+	    tb_mc_risk_stats = create_mc_risk_stats();
+	    tb_mc_riskadjret_stats = create_mc_riskadjret_stats();
+	    tb_mc_style_stats = create_mc_style_stats();
+	
+		// 仿照MySQL的表结构准备好记录 （1s)
+		entity_info = SELECT entity_id, curve_type, strategy, price_date.temporalParse('yyyy-MM') AS price_date FROM entity_date;
+
+	    generate_entity_performance(entity_info, indicators, true, tb_mc_performance, ['curve_type', 'strategy']);
+        generate_entity_indicator(entity_info, indicators, true, tb_mc_indicator, ['curve_type', 'strategy']);
+        generate_entity_risk_stats(entity_info, indicators, true, tb_mc_risk_stats, ['curve_type', 'strategy']);
+        generate_entity_riskadjret_stats(entity_info, indicators, true, tb_mc_riskadjret_stats, ['curve_type', 'strategy']);
+        generate_entity_style_stats(entity_info, indicators, true, tb_mc_style_stats, ['curve_type', 'strategy']);
+
+	    if(! tb_mc_performance.isVoid() && tb_mc_performance.size() > 0) {
+	
+	        // save data to MySQL  (13s)
+	        try {
+	
+	            chg_columns_for_mysql(tb_mc_performance, iif(entity_type == 'PL', 'manager_id', 'company_id'));
+	            save_and_sync(tb_mc_performance, iif(entity_type == 'PL', 'raw_db.manager_performance', 'raw_db.company_performance'), );
+
+	            chg_columns_for_mysql(tb_mc_indicator, iif(entity_type == 'PL', 'manager_id', 'company_id'));
+	            save_and_sync(tb_mc_indicator, iif(entity_type == 'PL', 'raw_db.manager_indicator', 'raw_db.company_indicator'), );
+	
+	            chg_columns_for_mysql(tb_mc_risk_stats, iif(entity_type == 'PL', 'manager_id', 'company_id'));
+	            save_and_sync(tb_mc_risk_stats, iif(entity_type == 'PL', 'raw_db.manager_risk_stats', 'raw_db.company_risk_stats'), );
+	
+	            chg_columns_for_mysql(tb_mc_riskadjret_stats, iif(entity_type == 'PL', 'manager_id', 'company_id'));
+	            save_and_sync(tb_mc_riskadjret_stats, iif(entity_type == 'PL', 'raw_db.manager_riskadjret_stats', 'raw_db.company_riskadjret_stats'), );
+	
+	            chg_columns_for_mysql(tb_mc_style_stats, iif(entity_type == 'PL', 'manager_id', 'company_id'));
+	            save_and_sync(tb_mc_style_stats, iif(entity_type == 'PL', 'raw_db.manager_style_stats', 'raw_db.company_style_stats'), );
+	
+	  
+	            // 数据初始化时将指标存入本地
+	            if(is_save_local == true) {
+	            	save_table(tb_mc_performance, iif(entity_type == 'PL', 'mfdb.manager_performance', 'mfdb.company_performance'), false);
+	            	save_table(tb_mc_indicator, iif(entity_type == 'PL', 'mfdb.manager_indicator', 'mfdb.company_indicator'), false);
+	            	save_table(tb_mc_risk_stats, iif(entity_type == 'PL', 'mfdb.manager_risk_stats', 'mfdb.company_risk_stats'), false);
+	            	save_table(tb_mc_riskadjret_stats, iif(entity_type == 'PL', 'mfdb.manager_riskadjret_stats', 'mfdb.company_riskadjret_stats'), false);
+	            	save_table(tb_mc_style_stats, iif(entity_type == 'PL', 'mfdb.manager_style_stats', 'mfdb.company_style_stats'), false);
+	            }
+	
+	        } catch(ex) {
+	
+	            //TODO: Log errors
+	            rt += ex + '\n';
+	        }
+	    }
+
+    	i += batch_size;
+
+	} while (i < max_cnt);
+    
+    return rt;
 
 	
 }
 
 /*
- *  [定时任务]: 基金经理月净值计算
+ *  [定时任务]: 基金经理/公司月净值计算
  * 
  * 
  */
-def CalManagerNavTask(updatetime) {
+def CalMCNavTask(entity_type, updatetime) {
 //updatetime = 2024.11.05;
 
-	is_save_local = iif(updatetime <= get_ini_data_const()['updatetime'], true, false);
-
-	// 31 sec
-	entity_date = get_manager_list_by_fund_updatetime(updatetime);
-
-	entity_date.rename!('manager_id', 'entity_id');
+	if(!(entity_type IN ['PL', 'CO'])) return;
 
-	tb_monthly_ret = cal_and_save_mc_nav('PL', entity_date, is_save_local);
+	is_save_local = iif(updatetime <= get_ini_data_const()['updatetime'], true, false);
 
-	cal_and_save_mc_indicator('PL', entity_date, tb_monthly_ret, is_save_local);
+	// 31 sec  简化起见，不区分curve_type, strategy
+	if(entity_type == 'PL') {
+		entity_date = get_manager_list_by_fund_updatetime(updatetime);
+		entity_date.rename!('manager_id', 'entity_id');
+	}
+	else {
+		entity_date = get_company_list_by_fund_updatetime(updatetime);
+		entity_date.rename!('company_id', 'entity_id');
+	}
+	
+	// 15 sec
+	cal_and_save_mc_nav('PL', entity_date, is_save_local);
 
 	entity_date = null;
-	tb_monthly_ret = null;
-}
 
+}
 
 /*
- *  [定时任务]: 基金公司月净值计算
+ *   [定时任务]: 基金经理/公司月收益及指标计算
  * 
  * 
  */
-def CalCompanyNavTask(updatetime) {
-//updatetime = 2024.11.05;
+def CalMCIndicatorTask(entity_type, updatetime) {
+//	entity_type = 'PL';
+// updatetime = 2024.11.01
+	rt = '';
 
 	is_save_local = iif(updatetime <= get_ini_data_const()['updatetime'], true, false);
 
-	// 31 sec
-	entity_date = get_company_list_by_fund_updatetime(updatetime);
+	// 3 sec
+	entity_date = get_entity_list_by_nav_updatetime(entity_type, NULL, updatetime, true);
 
-	entity_date.rename!('company_id', 'entity_id');
+	// 取完整月收益  1+ min 
+	tb_monthly_ret = get_monthly_ret(entity_type, entity_date.entity_id, 1900.01.01, today(), true);
+	v_end_date = tb_monthly_ret.end_date.temporalParse('yyyy-MM');
+	tb_monthly_ret.replaceColumn!('end_date', v_end_date);
+	UPDATE tb_monthly_ret SET price_date = end_date.temporalFormat('yyyy-MM-dd').temporalParse('yyyy-MM-dd').businessMonthEnd() WHERE price_date IS NULL;
 
-	cal_and_save_mc_nav('CO', entity_date, is_save_local);
+	// 40+ min
+	cal_and_save_mc_indicator('PL', entity_date, tb_monthly_ret, is_save_local);
+
+	tb_monthly_ret = null;
 
-	entity_date = null;
 }
 
+
 /*
  * 
  *  [定时任务]: 基金经理的BFI MATCHING
  * 
- * 
+ *   it takes 9.5 hours
  */
 def MatchManagerBFITask(updatetime) {