Fooltrader
quant framework for stock
Install / Use
npx skills add foolcage/fooltraderInstalls into whichever agent you are using.
README
该项目已停止更新,请移步新项目https://github.com/zvtvz/zvt
如果有人想继续该项目，只需要知道其核心点即可：
构建标准的数据schema,然后实现各种connector导入 你熟悉的系统 进行分析
Read this in other languages: English.
fooltrader:trade as a fool
"要在市场上生存，就必须远离聪明，因为，你的聪明在市场面前一钱不值"------缠中说禅
fooltrader是一个利用大数据技术设计的量化分析交易系统,包括数据的抓取,清洗,结构化,计算,展示,回测和交易.
它的目标是提供一个统一的框架来对全市场(股票,期货,债券,外汇,数字货币,宏观经济等)进行研究,回测,预测,交易.
它的适用对象包括:量化交易员,财经类专业师生,对经济数据感兴趣的人,程序员,喜欢自由而有探索精神的人
1. 能做什么
1.1 自定义分析逻辑和视图
输入你感兴趣的个股,查看其净利润跟股价的关系.
聚合展示你关心的视图
1.2 免费数据源和精心分类的统一api
api输出结果具体字段含义请参考数据协议.
A股数据
In [1]:import fooltrader as ft
In [2]:ft.get_kdata('000778')
#试一试
#ft.get_kdata('300027',start_date='20170630',end_date='20170715')
#ft.get_kdata('300027',start_date='20170630',end_date='20170715')
timestamp code name low open close high volume turnover securityId ... mCap factor hfqClose hfqOpen hfqHigh hfqLow qfqClose qfqOpen qfqHigh qfqLow
timestamp ...
1997-06-06 1997-06-06 000778 新兴铸管 18.00 18.10 19.68 20.70 45335789 8.904533e+08 stock_sz_000778 ... 1.416960e+09 1.000 19.68000 18.10000 20.70000 18.00000 1.497375 1.377159 1.574983 1.369550
1997-06-09 1997-06-09 000778 新兴铸管 18.00 20.00 18.51 20.44 11333248 2.148290e+08 stock_sz_000778 ... 1.332720e+09 1.000 18.51000 20.00000 20.44000 18.00000 1.408354 1.521723 1.555200 1.369550
1997-06-10 1997-06-10 000778 新兴铸管 16.66 18.50 16.75 18.60 6641283 1.155679e+08 stock_sz_000778 ... 1.206000e+09 1.000 16.75000 18.50000 18.60000 16.66000 1.274443 1.407593 1.415202 1.267595
1997-06-11 1997-06-11 000778 新兴铸管 15.90 16.60 17.35 17.40 5560642 9.365633e+07 stock_sz_000778 ... 1.249200e+09 1.000 17.35000 16.60000 17.40000 15.90000 1.320094 1.263030 1.323899 1.209769
1997-06-12 1997-06-12 000778 新兴铸管 16.80 17.68 16.80 17.70 3022235 5.142033e+07 stock_sz_000778 ... 1.209600e+09 1.000 16.80000 17.68000 17.70000 16.80000 1.278247 1.345203 1.346724 1.278247
期货数据
In [3]:ft.get_kdata('rb1601')
timestamp code name low open close high volume turnover securityId preClose change changePct openInterest settlement preSettlement change1 changePct1
timestamp
2015-01-16 20150116 rb1601 螺纹钢rb 2533.0 2545.0 2550.0 2568.0 96.0 244.468 future_shfe_rb1601 2518.0 32.0 0.012708 66.0 2546.0 2518.0 28.0 0.011120
2015-01-19 20150119 rb1601 螺纹钢rb 2515.0 2534.0 2541.0 2558.0 486.0 1231.174 future_shfe_rb1601 2550.0 -5.0 -0.001961 212.0 2533.0 2546.0 -13.0 -0.005106
2015-01-20 20150120 rb1601 螺纹钢rb 2521.0 2554.0 2529.0 2554.0 134.0 339.290 future_shfe_rb1601 2541.0 -4.0 -0.001574 286.0 2532.0 2533.0 -1.0 -0.000395
2015-01-21 20150121 rb1601 螺纹钢rb 2516.0 2520.0 2516.0 2540.0 294.0 743.266 future_shfe_rb1601 2529.0 -16.0 -0.006327 410.0 2528.0 2532.0 -4.0 -0.001580
2015-01-22 20150122 rb1601 螺纹钢rb 2515.0 2519.0 2521.0 2530.0 310.0 782.114 future_shfe_rb1601 2516.0 -7.0 -0.002782 576.0 2522.0 2528.0 -6.0 -0.002373
数字货币
In [4]: ft.get_kdata('BTC-USD',exchange='kraken')
timestamp code name low open close high volume securityId preClose change changePct
timestamp
2016-07-08 2016-07-08 BTC-USD BTC/USD 634.0 640.4 671.4 671.4 1651.592635 cryptocurrency_kraken_BTC-USD NaN NaN NaN
2016-07-09 2016-07-09 BTC-USD BTC/USD 622.0 671.9 652.0 671.9 1908.295953 cryptocurrency_kraken_BTC-USD 671.4 -19.4 -0.029755
2016-07-10 2016-07-10 BTC-USD BTC/USD 642.4 652.0 650.0 655.6 429.290787 cryptocurrency_kraken_BTC-USD 652.0 -2.0 -0.003077
2016-07-11 2016-07-11 BTC-USD BTC/USD 645.3 652.5 650.7 663.3 814.157258 cryptocurrency_kraken_BTC-USD 650.0 0.7 0.001076
2016-07-12 2016-07-12 BTC-USD BTC/USD 647.1 650.7 666.0 675.9 923.800268 cryptocurrency_kraken_BTC-USD 650.7 15.3 0.022973
tick
In [5]: for item in ft.get_ticks('000338'):
...: print(item)
基本面数据
In [5]: ft.get_income_statement_items('300027',report_period='2017-06-30')
#试一试
#ft.get_balance_sheet_items('300027',,report_event_date='2017-01-01')
#ft.get_cash_flow_statement_items('300027')
Out[2]:
{'EPS': 0.15,
'ManagingCosts': 257005115.85,
'accumulatedOtherComprehensiveIncome': 471486112.3,
'assetsDevaluation': -21647912.31,
'attributableToMinorityShareholders': 90255906.93,
'attributableToOwnersOfParentCompany': 381230205.37,
'businessTaxesAndSurcharges': 80033207.21,
'code': '300027',
'dilutedEPS': 0.15,
'disposalLossOnNonCurrentLiability': 281050.25,
'exchangeGains': 0.0,
'financingExpenses': 132202866.43,
'id': 'stock_sz_300027_20170630',
'incomeFromChangesInFairValue': 0.0,
'incomeTaxExpense': 111864455.56,
'investmentIncome': 541478955.17,
'investmentIncomeFromRelatedEnterpriseAndJointlyOperating': '45035770.67',
'minorityInterestIncome': 91203287.92,
'netProfit': 521516997.38,
'netProfitAttributedToParentCompanyOwner': 430313709.46,
'nonOperatingExpenditure': 13775609.35,
'nonOperatingIncome': 27864700.17,
'operatingCosts': 679308123.4,
'operatingProfit': 619292362.12,
'operatingRevenue': 1465863805.45,
'operatingTotalCosts': 1388050398.5,
'otherComprehensiveIncome': -50030885.08,
'reportDate': '2017-06-30',
'reportEventDate': '2017-08-29',
'securityId': 'stock_sz_300027',
'sellingExpenses': 261148997.92,
'totalProfits': 633381452.94}
财务报表的勾稽关系验证
# 营业利润=营业收入-营业成本-营业税金及附加-销售费用-管理费用-财务费用-资产减值损失+公允价值变动收益（损失的话用减）+投资收益
def check_operating_profit(security_item):
income_statement_list = get_income_statement_items(security_item=security_item)
for income_statement in income_statement_list:
operatingProfit = income_statement["operatingRevenue"] \
- income_statement["operatingCosts"] \
- income_statement["businessTaxesAndSurcharges"] \
- income_statement["sellingExpenses"] \
- income_statement["ManagingCosts"] \
- income_statement["financingExpenses"] \
- income_statement["assetsDevaluation"] \
+ income_statement["incomeFromChangesInFairValue"] \
+ income_statement["investmentIncome"]
diff = operatingProfit - income_statement["operatingProfit"]
if abs(diff) >= 1:
print("{} operating profit calculating not pass,calculating result:{},report result:{}".format(
income_statement['id'], operatingProfit, income_statement["operatingProfit"]))
else:
print("{} operating profit calculating pass".format(income_statement['id']))
可以用该工具迅速检查财务报表的质量,同时也可以让你对财务报表有更深入的认识.更多例子
In [3]: from fooltrader.datamanager import finance_check
In [4]: finance_check.check_operating_profit('300027')
stock_sz_300027_20061231 operating profit calculating pass
...
stock_sz_300027_20170630 operating profit calculating pass
stock_sz_300027_20170930 operating profit calculating pass
我的博客介绍fooltrader投资之财务指标
事件(消息)数据
In [12]: ft.get_finance_forecast_event('000002')
timestamp reportPeriod securityId type description preEPS changeStart change id
timestamp
2004-04-02 2004-04-02 2004-03-31 stock_sz_000002 预增 预计公司2004年第1季度净利润较去年同期增长幅度超过150%。 NaN NaN 1.50 stock_sz_000002_2004-04-02
2004-07-05 2004-07-05 2004-06-30 stock_sz_000002 预增 预计公司2004年上半年度净利润较去年同期增长幅度将超过50%。 NaN NaN 0.50 stock_sz_000002_2004-07-05
2005-01-12 2005-01-12 2004-12-31 stock_sz_000002 预增 预计本公司2004年全年净利润较去年增长50%－65%之间。 NaN NaN 0.65 stock_sz_000002_2005-01-12
2005-04-06 2005-04-06 2005-03-31 stock_sz_000002 预增 预计本公司2005年1季度净利润较上年同期增长100%－150％。 NaN NaN 1.50 stock_sz_000002_2005-04-06
2005-04-25 2005-04-25 2005-06-30 stock_sz_000002 预增 预计本公司2005年上半年净利润较去年同期增长150—200%。 NaN NaN 2.00 stock_sz_000002_2005-04-25
2005-08-01 2005-08-01 2005-09-30 stock_sz_000002 预增 预计2005年1～9月份可实现净利润将较去年同期增长110～130%。 NaN NaN 1.30 stock_sz_000002_2005-08-01
2006-01-06 2006-01-06 2005-12-31 stock_sz_000002
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