support funds data

Author: Marcnuth

README.md

@@ -117,19 +117,29 @@ from autoquant import Market
 Market.SZ
 Market.SH
 Market.HK
+Market.CN
 Market.US
 ```
 
 ## Index
 AutoQuant support the indexes in multiple markets now.
+
 Use StocksIndex Enum in codes:
 ```
 from autoquant import StocksIndex
 
 StocksIndex.ZZ500
 StocksIndex.HS300
 StocksIndex.SZ50
+```
+
+Use FundsIndex Enum in codes:
 
+```
+from autoquant import FundsIndex
+
+FundsIndex.CN_ALL
+FundsIndex.CN_ETF
 ```
 
 ## Metrics
@@ -167,6 +177,7 @@ output = MOM(close, timeperiod=5)
 
 - BaostockProvider
 - TushareProvider
+- EastmoneyProvider
 
 #### API
 ```
@@ -198,12 +209,15 @@ def yearly_income_sheets(self, market: Market, code: str, years: list, **kwargs)
 
 #### Provides List
 - BaostockProvider
+- EastmoneyProvider
 
 
 #### API
 
 ```
 def stocks_of_index(self, index: StocksIndex, **kwargs)
+
+def funds_of_index(self, index: FundsIndex, **kwargs)
 ```
 
 # Contribution Guide

autoquant/__init__.py

@@ -7,6 +7,7 @@ class Market(Enum):
     SZ = auto()
     HK = auto()
     US = auto()
+    CN = auto()  # 代指中国所有境内市场，沪/深/北
 
 
 class PriceAdjustment(Enum):
@@ -22,3 +23,11 @@ class StocksIndex(Enum):
     ZZ500 = auto()  # 中证500
     HS300 = auto()  # 沪深300
     SZ50 = auto()  # 上证50
+
+
+class FundsIndex(Enum):
+    '''基金'''
+
+    # A股
+    CN_ETF = auto()  # A股ETF指数基金
+    CN_ALL = auto()  # A股所有基金

autoquant/collector/__init__.py

@@ -4,7 +4,7 @@
 
 from autoquant.provider import Provider
 from autoquant.mixin.data import PriceMixin, StatementMixin, IndexMixin
-from autoquant import Market, StocksIndex
+from autoquant import Market, StocksIndex, FundsIndex
 
 from autoquant.provider.baostock import BaostockProvider
 from autoquant.provider.snowball import SnowballProvider
@@ -63,3 +63,6 @@ def yearly_income_sheets(self, market: Market, code: str, years: list, **kwargs)
 
     def stocks_of_index(self, index: StocksIndex, **kwargs):
         return self.__iter_providers(self.index_providers, self.stocks_of_index.__name__, index=index, **kwargs)
+
+    def funds_of_index(self, index: FundsIndex, **kwargs):
+        return self.__iter_providers(self.index_providers, self.funds_of_index.__name__, index=index, **kwargs)

autoquant/mixin/data.py

@@ -1,7 +1,7 @@
 from datetime import MAXYEAR, date
-from abc import abstractmethod
+from abc import abstractmethod, ABCMeta
 
-from autoquant import Market, StocksIndex
+from autoquant import Market, StocksIndex, FundsIndex
 
 
 class PriceMixin:
@@ -12,24 +12,28 @@ def daily_prices(self, market: Market, code: str, start: date, end: date, **kwar
         start: the start date
         end: then end date
         '''
-        pass
+        raise NotImplementedError
 
 
 class StatementMixin:
     @abstractmethod
     def quarter_statement(self, market: Market, code: str, quarter: date, **kwargs):
-        pass
+        raise NotImplementedError
 
     @abstractmethod
     def yearly_balance_sheet(self, market: Market, code: str,  years: list, **kwargs):
-        pass
+        raise NotImplementedError
 
     @abstractmethod
     def yearly_income_sheets(self, market: Market, code: str, years: list, **kwargs):
-        pass
+        raise NotImplementedError
 
 
 class IndexMixin:
     @abstractmethod
     def stocks_of_index(self, index: StocksIndex, **kwargs):
-        pass
+        raise NotImplementedError
+
+    @abstractmethod
+    def funds_of_index(self, index: FundsIndex, **kwargs):
+        raise NotImplementedError

autoquant/provider/eastmoney.py

@@ -0,0 +1,83 @@
+import re
+import arrow
+import pandas as pd
+from datetime import date
+import requests
+from bs4 import BeautifulSoup
+
+from . import Provider
+from autoquant.mixin.data import IndexMixin, PriceMixin
+from autoquant import Market, FundsIndex
+
+
+class EastmoneyProvider(PriceMixin, IndexMixin, Provider):
+    _UA = 'Mozilla/5.0 (Macintosh; Intel Mac OS X 10_15_7) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/92.0.4515.131 Safari/537.36'
+    _API_FUNDS_INDEX = "http://fund.eastmoney.com/js/fundcode_search.js"
+    _API_DAILY_PRICES = "http://fund.eastmoney.com/f10/F10DataApi.aspx?type=lsjz&code={}&page={}&sdate={}&edate={}&per={}"
+
+    def daily_prices(self, market: Market, code: str, start: date, end: date, **kwargs):
+        def __html(fund_code, start_date, end_date, page=1, per=20):
+            url = self._API_DAILY_PRICES.format(fund_code, page, start_date, end_date, per)
+            HTML = requests.get(url, headers={'User-Agent':  self._UA})
+            HTML.encoding = "utf-8"
+            page_cnt = re.findall(r'pages:(.*),', HTML.text)[0]
+            return HTML, int(page_cnt)
+
+        def __parse(HTML):
+            soup = BeautifulSoup(HTML.text, 'html.parser')
+            trs = soup.find_all("tr")
+            res = []
+            for tr in trs[1:]:
+                date = tr.find_all("td")[0].text  # 净值日期
+                unit_net = tr.find_all("td")[1].text  # 单位净值
+                acc_net = tr.find_all("td")[2].text  # 累计净值
+                fund_r = tr.find_all("td")[3].text  # 日增长率
+                buy_status = tr.find_all("td")[4].text  # 申购状态
+                sell_status = tr.find_all("td")[5].text  # 赎回状态
+                res.append([date, unit_net, acc_net, fund_r, buy_status, sell_status])
+            df = pd.DataFrame(res, columns=['净值日期', '单位净值', '累计净值', '日增长率', '申购状态', '赎回状态'])
+
+            return df
+
+        assert market == Market.CN, 'only Market.CN is supported in EastmoneyProvider::daily_prices'
+        html, pages = __html(code, start, end)
+        res_df = pd.DataFrame()
+        for page in range(pages):
+            html, _ = __html(code, start, end, page=page + 1)
+            df_ = __parse(html)
+            res_df = pd.concat([res_df, df_])
+
+        df = pd.DataFrame({
+            'market': market,
+            'code': code,
+            'datetime': res_df['净值日期'].astype('datetime64[ns]'),
+            'close': res_df['单位净值'].astype(float),
+            'close_acc': res_df['累计净值'].astype(float),
+            'pct_change': res_df['日增长率'].map(lambda x: x.strip('%')).astype(float),
+            'status_purchase': res_df['申购状态'].map(lambda x: 'OPEN' if '开放' in x else 'CLOSE'),
+            'status_redeem': res_df['赎回状态'].map(lambda x: 'OPEN' if '开放' in x else 'CLOSE')
+        })
+        df.index = df['datetime']
+        return df
+
+    def funds_of_index(self, index: FundsIndex, **kwargs):
+        '''
+            get all funds via api: http://fund.eastmoney.com/js/fundcode_search.js
+        '''
+        res = requests.get(self._API_FUNDS_INDEX, headers={'User-Agent':  self._UA})
+        res.encoding = "utf-8"
+        list_ = eval(re.findall(r'\[.*\]', res.text)[0])
+        df = pd.DataFrame(list_)
+        df.columns = ['code', 'logogram', 'name', 'type', 'name_spell']
+
+        all = pd.DataFrame({
+            'updated_at': arrow.now().format('YYYY-MM-DD'),
+            'market': Market.CN,
+            'code': df['code'],
+            'name': df['name'],
+        })
+
+        return {
+            FundsIndex.CN_ALL: lambda: all,
+            FundsIndex.CN_ETF: lambda: all[all['name'].str.contains('ETF')]
+        }[index]()