滬深股票的復權計算（復權因子的應用）--代碼實現

對復權因子的介紹可參考
通過計算復權因子求得當日前一天收盤價，並存儲在MongoDB數據庫中
代碼實現

def fill_au_factor_pre_close(begin_date,end_date):
    """
    為daily數據集填充
    1、復權因子au_factor，復權因子計算方式：au_factor= hfq_close/close
    2、pre_close = close(-1) * au_factor(-1)/au_factor
    :param begin_date:開始日期
    :param end_date:結束日期
    """
    all_codes = get_all_codes()

    for code in all_codes:
        hfq_daily_cursor = DB_CONN['daily_hfq'].find(
            {'code':code,'date':{'$gte':begin_date,'$lte':end_date},'index':False},
            sort=[('date',ASCENDING)],
            projection={'date':True,'close':True}
        )
    date_hfq_close_dict = dict([(x['date'],x['close']) for x in hfq_daily_cursor])

    daily_cursor = DB_CONN['daily'].find(
        {'code':code,'date':{'$gte':begin_date,'$lte':end_date},'index':False},
        sort=[('date',ASCENDING)],
        projection={'date':True,'close':True}
    )

    last_close = -1
    last_au_factor = -1
    
    update_requests = []
    for daily in daily_cursor:
        date = daily['date']
        try:
            close = daily['close']
            doc = dict()

            #復權因子 = 當日后復權價格/當日的實際價格
            au_factor = round(date_hfq_close_dict['date']/close,2)
            doc['au_factor'] = au_factor
            #當日前收價=前一日實際收盤價 * 前一日復權因子/當日復權因子
            if last_au_factor != -1 and last_close != -1:
                pre_close = last_close * last_au_factor / au_factor
                doc['pre_close'] = round(pre_close,2)
            last_close = close
            last_au_factor = au_factor
            
            update_requests.append(
                UpdateOne(
                    {'code':code,'date':date,'index':False},
                    {'$set':doc}
                )
            )
        except:
            print('計算復權因子時發生錯誤，股票代碼：%s，日期：%s' %(code,date),flush=True)
            #恢復成初始值，防止出錯
            last_close = -1
            last_au_factor = -1
        if len(update_requests)>0:
            update_result = DB_CONN['daily'].bulk_write(update_requests,ordered=False)
            print('填充復權因子和前收，股票：%s ，更新：%4d條'%(code,update_result.modified_count),flush=False)