initial import: etf strategy project

scripts/expand_etf_universe.py

@@ -0,0 +1,148 @@
+from __future__ import annotations
+
+import argparse
+import json
+import math
+from collections import defaultdict
+from datetime import date, timedelta
+from pathlib import Path
+
+import pandas as pd
+
+from qfr.data.tushare_client import load_tushare_config, pro_api
+
+
+def median_amount(cfg, ts_code: str, start: str, end: str) -> float:
+    api = pro_api(cfg)
+    df = api.fund_daily(ts_code=ts_code, start_date=start, end_date=end, fields="trade_date,amount")
+    if df is None or df.empty or "amount" not in df.columns:
+        return 0.0
+    amt = pd.to_numeric(df["amount"], errors="coerce").dropna()
+    if amt.empty:
+        return 0.0
+    return float(amt.median())
+
+
+def classify_by_keyword(kw: str) -> str:
+    # very rough tagging for universe constraints / reporting
+    equity_kws = {
+        "半导体",
+        "芯片",
+        "通信",
+        "5G",
+        "通信设备",
+        "军工",
+        "机器人",
+        "工业母机",
+        "智能制造",
+        "消费电子",
+        "AI",
+        "算力",
+        "软件",
+        "创新药",
+        "医药",
+        "新能源",
+        "光伏",
+        "锂电",
+        "电池",
+        "新材料",
+        "稀土",
+    }
+    commodity_kws = {"黄金", "白银", "有色", "稀土", "矿业", "原油", "油", "煤", "化工", "豆粕", "农业"}
+    rates_kws = {"国债", "政金债", "债", "短债", "中债"}
+
+    if kw in rates_kws:
+        return "rates_cn"
+    if kw in commodity_kws:
+        return "commodity_cn"
+    if kw in equity_kws:
+        return "equity_cn_sector"
+    return "equity_cn_sector"
+
+
+def main() -> None:
+    ap = argparse.ArgumentParser()
+    ap.add_argument("--config", default="configs/etf_universe.json")
+    ap.add_argument("--out", default=None)
+    ap.add_argument("--per_keyword", type=int, default=2)
+    ap.add_argument("--min_median_amount", type=float, default=0.0)
+    ap.add_argument(
+        "--keywords",
+        default=(
+            "半导体,芯片,通信,5G,通信设备,军工,机器人,工业母机,智能制造,消费电子,AI,算力,软件,创新药,医药,新能源,光伏,锂电,电池,"
+            "矿业,有色,稀土,新材料,黄金,白银,原油,煤,化工,豆粕,农业,国债,政金债"
+        ),
+    )
+    args = ap.parse_args()
+
+    cfg = load_tushare_config()
+    api = pro_api(cfg)
+
+    conf_path = Path(args.config)
+    conf = json.loads(conf_path.read_text(encoding="utf-8"))
+
+    assets = conf.get("assets", [])
+    have = {a["ts_code"] for a in assets}
+
+    kw_list = [k.strip() for k in str(args.keywords).split(",") if k.strip()]
+
+    fb = api.fund_basic(market="E", status="L", fields="ts_code,name")
+    if fb is None or fb.empty:
+        raise RuntimeError("fund_basic returned empty")
+
+    fb = fb.dropna(subset=["ts_code", "name"]).copy()
+
+    end = date.today().strftime("%Y%m%d")
+    start = (date.today() - timedelta(days=180)).strftime("%Y%m%d")
+
+    buckets: dict[str, list[tuple[str, str]]] = defaultdict(list)
+    for _, r in fb.iterrows():
+        ts_code = str(r["ts_code"]).strip()
+        name = str(r["name"]).strip()
+        for kw in kw_list:
+            if kw in name:
+                buckets[kw].append((ts_code, name))
+                break
+
+    chosen: list[tuple[str, str, str, float, str]] = []
+
+    for kw in kw_list:
+        cands = buckets.get(kw, [])
+        if not cands:
+            continue
+
+        scored: list[tuple[float, str, str]] = []
+        for ts_code, name in cands:
+            if ts_code in have:
+                continue
+            try:
+                m = median_amount(cfg, ts_code, start, end)
+            except Exception:
+                m = 0.0
+            if not math.isfinite(m) or m <= 0:
+                continue
+            if m < float(args.min_median_amount):
+                continue
+            scored.append((m, ts_code, name))
+
+        scored.sort(reverse=True)
+        for m, ts_code, name in scored[: int(args.per_keyword)]:
+            cls = classify_by_keyword(kw)
+            chosen.append((kw, ts_code, name, m, cls))
+
+    for kw, ts_code, name, m, cls in chosen:
+        assets.append({"ts_code": ts_code, "asset_class": cls, "name": name})
+        have.add(ts_code)
+
+    conf["assets"] = assets
+
+    out_path = Path(args.out) if args.out else conf_path
+    out_path.write_text(json.dumps(conf, ensure_ascii=True, indent=2) + "\n", encoding="utf-8")
+
+    print(f"added {len(chosen)} ETFs")
+    for kw, ts_code, name, m, cls in chosen[:80]:
+        print(f"{kw}\t{ts_code}\t{m:.0f}\t{cls}\t{name}")
+
+
+if __name__ == "__main__":
+    main()