6_格式转换

1. 读取本地数据
2. 修改索引与列名

from jaqs.data import DataView
import os
import numpy as np
import warnings
import pandas as pd
from datetime import datetime
warnings.filterwarnings("ignore")

dataview_folder = './JAQS_Data/hs300'
dv = DataView()
dv.load_dataview(dataview_folder)

Dataview loaded successfully.

from datetime import timedelta
def change_columns_index(signal):
    # 改名称
    new_names = {}
    for c in signal.columns:
        if c.endswith('SZ'):
            new_names[c] = c.replace('SZ', 'XSHE')
        elif c.endswith('SH'):
            new_names[c] = c.replace('SH', 'XSHG')
    signal = signal.rename_axis(new_names, axis=1)
    # 改时间索引
    signal.index = pd.Index(map(lambda x: datetime.strptime(str(x),"%Y%m%d") , signal.index))
    # 加15个小时
    signal.index = pd.Index(map(lambda x: x+timedelta(hours=15) , signal.index))
    return signal

factor = change_columns_index(dv.get_ts('roe_pb_Q5'))

print(factor.tail())

symbol               000001.XSHE  000002.XSHE  000008.XSHE  000009.XSHE  \
2017-12-25 15:00:00          1.0          NaN          NaN          NaN   
2017-12-26 15:00:00          1.0          NaN          NaN          NaN   
2017-12-27 15:00:00          1.0          NaN          NaN          NaN   
2017-12-28 15:00:00          1.0          NaN          NaN          NaN   
2017-12-29 15:00:00          1.0          NaN          NaN          NaN   

symbol               000027.XSHE  000039.XSHE  000046.XSHE  000060.XSHE  \
2017-12-25 15:00:00          NaN          NaN          NaN          NaN   
2017-12-26 15:00:00          NaN          NaN          NaN          NaN   
2017-12-27 15:00:00          NaN          NaN          NaN          NaN   
2017-12-28 15:00:00          NaN          NaN          NaN          NaN   
2017-12-29 15:00:00          NaN          NaN          NaN          NaN   

symbol               000061.XSHE  000063.XSHE     ...       601992.XSHG  \
2017-12-25 15:00:00          NaN          NaN     ...               NaN   
2017-12-26 15:00:00          NaN          NaN     ...               NaN   
2017-12-27 15:00:00          NaN          NaN     ...               NaN   
2017-12-28 15:00:00          NaN          NaN     ...               NaN   
2017-12-29 15:00:00          NaN          NaN     ...               NaN   

symbol               601997.XSHG  601998.XSHG  603000.XSHG  603160.XSHG  \
2017-12-25 15:00:00          1.0          1.0          NaN          NaN   
2017-12-26 15:00:00          1.0          1.0          NaN          NaN   
2017-12-27 15:00:00          1.0          1.0          NaN          NaN   
2017-12-28 15:00:00          1.0          1.0          NaN          NaN   
2017-12-29 15:00:00          1.0          1.0          NaN          NaN   

symbol               603799.XSHG  603833.XSHG  603858.XSHG  603885.XSHG  \
2017-12-25 15:00:00          NaN          NaN          NaN          NaN   
2017-12-26 15:00:00          NaN          NaN          NaN          NaN   
2017-12-27 15:00:00          NaN          NaN          NaN          NaN   
2017-12-28 15:00:00          NaN          NaN          NaN          NaN   
2017-12-29 15:00:00          NaN          NaN          NaN          NaN   

symbol               603993.XSHG  
2017-12-25 15:00:00          NaN  
2017-12-26 15:00:00          NaN  
2017-12-27 15:00:00          NaN  
2017-12-28 15:00:00          NaN  
2017-12-29 15:00:00          NaN  

[5 rows x 376 columns]