DolphinDB/modules/dataPuller.dos

module fundit::dataPuller
 
/*
 *  MySQL 连接，使用前应确保 loadPlugin("ODBC")已经被运行过
 *
 *  Create  20240711  使用ODBC连接MySQL数据库                                     Joey
 *  
 */
def connect_mysql() {

    // 阿里云的mysql被魔改过，当前DolphinDB无法支持MySQL插件，只能用ODBC
    // loadPlugin("ODBC")

    // conn = odbc::connect("Driver={MySQL ODBC 9.0 UNICODE Driver};Server=funditdb-dev.mysql.rds.aliyuncs.com;Database=mfdb;User=pf_user;Password=MzBlMDA0OG", "MySQL")

    // 使用Windows的ODBC数据源事先设置号的连接
    // conn = odbc::connect("Dsn=FunditDB-mfdb")
    conn = odbc::connect("Dsn=FunditDB-dev-mfdb")

//    t = odbc::query(conn, "SELECT * FROM pfdb.pf_portfolio_nav LIMIT 100")

    return conn
}

/*
 *  取本地数据库
 *
 *  get_local_database("fundit", "mfdb")
 */
def get_local_database(server_name, db_name) {

    db = database(directory="D:/Program Files/DolphinDB/server/database/" + server_name + "/" + db_name + "/")
    
    return db
}

/*
 * 读本地dolphindb数据表
 *
 * load_table_from_local("fundit", mfdb.fund_performance")
 */
def load_table_from_local(server_name, table_name) {

    db = get_local_database(server_name, table_name.split(".")[0])
    
    return loadTable(db, table_name.split(".")[1])

}

/*
 * 存数据表到mySQL或本地dolphindb，原数据会被替代！
 *
 * save_table(tb_fund_performance, "mfdb.fund_performance", false)
 */

def save_table(tb, table_name, isToMySQL) {


    if(isToMySQL == true) {
    
        tb.addColumn("creatorid" "createtime" "updaterid" "updatetime" "isvalid", [INT, DATETIME, INT, DATETIME, INT])
        
        UPDATE tb SET creatorid = 888888, createtime = now(), updaterid = null, updatetime = null, isvalid = 1
    
        conn = connect_mysql()
        
        odbc::execute(conn, "TRUNCATE TABLE " + table_name + "_dolphin")
        
        odbc::append(conn, tb, table_name + "_dolphin", false)
        
        conn.close()
    
    } else {
    
        db = get_local_database("fundit", table_name.split(".")[0])
    
        saveTable(db, tb, table_name.split(".")[1])
    }
    
}

/*
 *  取指数周收益
 *
 *  get_index_weekly_rets("'FA00000WKG','FA00000WKH','IN0000007G'", 1990.01.01, today())
 */
def get_index_weekly_rets(index_ids, start_date, end_date) {

    s_start_date = iif(start_date.isNull(), "", " AND price_date >= '" + start_date$STRING + "'")
    s_end_date = iif(end_date.isNull(), "", " AND price_date <= '" + end_date$STRING + "'")

    s_query = "SELECT factor_id AS index_id, year_week, price_date, factor_value AS cumulative_nav, ret_1w
               FROM pfdb.cm_factor_performance_weekly
               WHERE isvalid = 1
                 AND factor_id IN (" + index_ids + ")" +
                 s_start_date +
                 s_end_date + "
                 AND ret_1w IS NOT NULL
               UNION
               SELECT fund_id AS index_id, year_week, price_date, cumulative_nav, ret_1w
               FROM mfdb.fund_performance_weekly
               WHERE isvalid = 1
                 AND fund_id IN (" + index_ids + ")" +
                 s_start_date +
                 s_end_date + "
                 AND ret_1w IS NOT NULL
               ORDER BY year_week"

    conn = connect_mysql()

    t = odbc::query(conn, s_query)

    conn.close()

    return t
}


/*
 *  取基金周收益
 *
 *
 *  get_fund_weekly_rets("'MF00003TMH','MF00003UQM'", 1990.01.01, null, true)
 */
def get_fund_weekly_rets(fund_ids, start_date, end_date, isFromMySQL) {

    s_fund_id = iif(fund_ids.isNull(), "", " AND fund_id IN (" + fund_ids + ")")
    s_start_date = iif(start_date.isNull(), "", " AND price_date >= '" + start_date$STRING + "'")
    s_end_date = iif(end_date.isNull(), "", " AND price_date <= '" + end_date$STRING + "'")
    
    s_query = "SELECT fund_id, year_week, price_date, cumulative_nav, ret_1w
               FROM mfdb.fund_performance_weekly
               WHERE isvalid = 1 " + 
                 s_fund_id + 
                 s_start_date +
                 s_end_date + "
                 AND ret_1w IS NOT NULL
               ORDER BY fund_id, year_week"

    conn = connect_mysql()

    t = odbc::query(conn, s_query)

    conn.close()

    return t
}

/*
 *  取组合周收益
 *  TODO: 增加从本地取数据的功能
 *
 *
 *  get_portfolio_weekly_rets("166002,364640", 1990.01.01, today(), true)
 */
def get_portfolio_weekly_rets(portfolio_ids, start_date, end_date, isFromMySQL) {

    s_portfolio_id = iif(portfolio_ids.isNull(), "", " AND portfolio_id IN (" + portfolio_ids + ")")

    s_query = "SELECT portfolio_id, year_week, price_date, cumulative_nav, ret_1w
               FROM pfdb.pf_portfolio_performance_weekly
               WHERE isvalid = 1 " +
                 s_portfolio_id + "
                 AND ret_1w IS NOT NULL
                 AND price_date BETWEEN '" + start_date$STRING + "' AND '" + end_date$STRING + "'
               ORDER BY portfolio_id, year_week"

    conn = connect_mysql()

    t = odbc::query(conn, s_query)

    conn.close()

    return t
}

/*
 *  取公私募基金月收益
 *
 *  get_fund_monthly_ret("'MF00003PW1','MF00003PW1'", 1990.01.01, today(), true)
 */

def get_fund_monthly_ret(fund_ids, start_date, end_date, isFromMySQL) {

    yyyymm_start = start_date.temporalFormat("yyyy-MM")
    yyyymm_end = end_date.temporalFormat("yyyy-MM")

    if(isFromMySQL == true) {

        ret_table_name = "mfdb.fund_performance"
        
        s_query = "SELECT fund_id, end_date, ret_1m AS ret, cumulative_nav AS nav, ret_ytd_a, ret_incep_a
                   FROM " + ret_table_name + "
                   WHERE fund_id IN (" + fund_ids + ")
                      AND isvalid = 1
                      AND ret_1m IS NOT NULL
                      AND end_date BETWEEN '" + yyyymm_start + "' AND '" + yyyymm_end + "'
                   ORDER BY fund_id, end_date"
     
        conn = connect_mysql()
     
        t = odbc::query(conn, s_query)
     
        conn.close()

    } else {
        
        tb_local = load_table_from_local("fundit", "mfdb.fund_performance")

        s_col = (sqlCol("fund_id"), sqlCol("end_date"), sqlColAlias(<ret_1m>, "ret"), sqlColAlias(<cumulative_nav>, "nav"), sqlCol("ret_ytd_a"), sqlCol("ret_incep_a"))

        s_where = expr(<fund_id>, in, fund_ids.strReplace("'", "").split(","))
        
        t = sql(s_col, tb_local, s_where).eval()
    
    }

    return t
}

/*
 * 取无风险月度利率
 *
 * get_risk_free_rate("IN0000000M", 1990.01.01, today())
 */
def get_risk_free_rate(index_id, start_date, end_date) {
    
    return get_fund_monthly_ret(index_id, start_date, end_date, true)
}


/*
 * 取基金最新收益及净值
 *
 * get_fund_latest_nav_performance("'HF000004KN','HF00018WXG'")
 */
def get_fund_latest_nav_performance(fund_ids, isFromMySQL) {

    if(isFromMySQL == true) {
    
        s_query = "SELECT *
                   FROM mfdb.fund_latest_nav_performance
                   WHERE fund_id IN (" + fund_ids + ")
                     AND isvalid = 1
                     ORDER BY fund_id"

        conn = connect_mysql()
    
        t = odbc::query(conn, s_query)
    
        conn.close()

    } else {

        tb_local = load_table_from_local("fundit", "mfdb.fund_latest_nav_performance")

        s_col = sqlCol("*")

        s_where = expr(<fund_id>, in, fund_ids.strReplace("'", "").split(","))
        
        t = sql(s_col, tb_local, s_where).eval()

    }

    return t

}

/*
 * 取私募基金净值
 *
 * get_hedge_fund_nav_by_price_date("'HF000004KN','HF00018WXG'", 2024.05.01, true)
 */
def get_hedge_fund_nav_by_price_date(fund_ids, price_date, isFromMySQL) {

    if(isFromMySQL == true) {

        nav_table_name = "mfdb.nav"
    
        s_query = "SELECT fund_id, price_date, cumulative_nav
                   FROM " + nav_table_name + "
                   WHERE fund_id IN (" + fund_ids + ")
                     AND isvalid = 1
                     AND cumulative_nav > 0
                     AND price_date >= '" + price_date$STRING + "'
                   ORDER BY fund_id, price_date"
    
        conn = connect_mysql()
    
        t = odbc::query(conn, s_query)
    
        conn.close()
    } else {
    
        tb_local = load_table_from_local("fundit", "mfdb.nav")

        s_col = sqlCol("*")

        s_where = [expr(<fund_id>, in, fund_ids.strReplace("'", "").split(",")), <price_date >= price_date>]
        
        t = sql(s_col, tb_local, s_where).eval()
    
    }

    return t

}


/*
 * 取指数因子点位
 *
 * get_index_nav_by_price_date("'IN00000008','FA00000WKG'", 2024.06.01)
 */
def get_index_nav_by_price_date(index_ids, price_date) {

    s_query = "SELECT index_id, price_date, close AS cumulative_nav
               FROM mfdb.market_indexes
               WHERE index_id IN (" + index_ids + ")
                 AND isvalid = 1
                 AND close > 0
                 AND price_date >= '" + price_date + "'
               UNION
               SELECT index_id AS index_id, price_date, index_value AS cumulative_nav
               FROM mfdb.indexes_ty_index
               WHERE index_id IN (" + index_ids + ")
                 AND isvalid = 1
                 AND index_value > 0
                 AND price_date >= '" + price_date + "'
               UNION
               SELECT factor_id AS index_id, price_date, factor_value AS cumulative_nav
               FROM pfdb.cm_factor_value
               WHERE factor_id IN (" + index_ids + ")
                 AND isvalid = 1
                 AND factor_value > 0
                 AND price_date >= '" + price_date + "'
               ORDER BY price_date"

    conn = connect_mysql()

    t = odbc::query(conn, s_query)

    conn.close()

    return t

}


/*
 * 取有效基金基本信息
 *
 * get_fund_info("'HF000004KN','HF00018WXG'")
 */
def get_fund_info(fund_ids) {

    s_query = "SELECT fi.fund_id, fi.inception_date, fi.primary_benchmark_id AS benchmark_id, IFNULL(fi.initial_unit_value, 1) AS ini_value, fs.strategy, fs.substrategy
               FROM mfdb.fund_information fi
               INNER JOIN mfdb.fund_strategy fs ON fi.fund_id = fs.fund_id AND fs.isvalid = 1
               WHERE fi.fund_id IN (" + fund_ids + ")
               AND fi.isvalid = 1
               ORDER BY fi.fund_id"

    conn = connect_mysql()

    t = odbc::query(conn, s_query)

    conn.close()

    return t

}


/*
 * 取私募基金净值更新信息, 返回基金及其净值更新的最早净值日期
 *
 * get_fund_list_by_nav_updatetime(2024.07.19T10:00:00)
 */
def get_fund_list_by_nav_updatetime(updatetime) {

    s_query = "SELECT fi.fund_id, MIN(nav.price_date) AS price_date
               -- fi.inception_date, fi.primary_benchmark_id AS benchmark_id, IFNULL(fi.initial_unit_value, 1) AS ini_value, 
               FROM mfdb.fund_information fi
               INNER JOIN mfdb.nav ON fi.fund_id = nav.fund_id
               WHERE fi.isvalid = 1
                 AND nav.cumulative_nav > 0
                 AND nav.updatetime >= '" + updatetime + "'
               GROUP BY fi.fund_id
               ORDER BY fi.fund_id"

    conn = connect_mysql()

    t = odbc::query(conn, s_query)

    conn.close()

    return t

}


/*
 * 存私募基金净值到本地dolphindb
 *
 * save_hedge_fund_nav_to_local(tb_nav)
 */
def save_hedge_fund_nav_to_local(tb_nav) {

    save_table(tb_nav, "mfdb.nav", false)

}


/*
 * 存私募基金净值到本地dolphindb
 *
 * get_portfolio_holding_history("166002,364640")
 */
def get_portfolio_holding_history(portfolio_ids) {

    s_query = "SELECT portfolio_id, holding_date, fund_id, amount, fund_share, ROUND(amount/fund_share, 6) as nav
               FROM pfdb.pf_portfolio_fund_history
               WHERE portfolio_id IN (" + portfolio_ids + ")
                 AND isvalid = 1
               ORDER BY portfolio_id, holding_date"

    conn = connect_mysql()

    t = odbc::query(conn, s_query)

    conn.close()

    return t

}