MapReduce程序设计2

要求

1、数据集stock-daily，包含A股近4000只股票的今年以来的日数据；数据集stock-daily-30d仅包含最近30个交易日数据，根据自己计算机性能选择。

数据来源：https://www.joinquant.com/help/api/help?name=JQData

2、数据集stock-concept，包含A股近4000只股票所有的股票代码、名称和概念。

数据来源：万德金融终端

根据此stock-daily数据集计算每只股票的5日滚动收益为正的概率，滚动收益：某个投资标的（如：股票、基金、黄金、期货、债券、房子等）在任意时刻进入后持有固定时间，如：5日（一周）、22日（一月）、44日（两月）、66日（一季度）、123日（半年）、245日（一年）等。后获取的收益，是描述某个投资标的赚钱概率的数学模型，也可用来衡量股票、基金、债券等证券的业绩。

3、滚动收益率计算方法：

(1) 忽略N/A所在日的股票数据，思考：可使用插值算法填充异常N/A数据，但退市股票同样会造成N/A数据，需要识别那种数据是退市造成的，而哪种数据是异常形成的。

(2)第t日的5日滚动收益

Rt= (C t - C t-5 ) / Ct-5 ，Ct：第t日收盘价 Rt：第t日滚动收益

(3) 5日滚动正收益率

所有交易日的5日滚动收益为正（赚钱）的概率

* 所有计算忽略非交易日（节假日）

数据集

代码

配置pom文件和建包

<?xml version="1.0" encoding="UTF-8"?>
<project xmlns="http://maven.apache.org/POM/4.0.0"
         xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
         xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://maven.apache.org/xsd/maven-4.0.0.xsd">
    <modelVersion>4.0.0</modelVersion>
 
    <groupId>org.example</groupId>
    <artifactId>stock_daily</artifactId>
    <version>1.0-SNAPSHOT</version>
 
    <properties>
        <maven.compiler.source>8</maven.compiler.source>
        <maven.compiler.target>8</maven.compiler.target>
        <project.build.sourceEncoding>UTF-8</project.build.sourceEncoding>
    </properties>
    <dependencies>
        <!-- https://mvnrepository.com/artifact/org.apache.hadoop/hadoop-hdfs -->
        <dependency>
            <groupId>org.apache.hadoop</groupId>
            <artifactId>hadoop-hdfs</artifactId>
            <version>3.1.2</version>
            <scope>test</scope>
        </dependency>
        <!-- https://mvnrepository.com/artifact/org.apache.hadoop/hadoop-client -->
        <dependency>
            <groupId>org.apache.hadoop</groupId>
            <artifactId>hadoop-client</artifactId>
            <version>3.1.2</version>
        </dependency>
        <!-- https://mvnrepository.com/artifact/org.apache.hadoop/hadoop-common -->
        <dependency>
            <groupId>org.apache.hadoop</groupId>
            <artifactId>hadoop-common</artifactId>
            <version>3.1.2</version>
        </dependency>
        <dependency>
            <groupId>org.apache.commons</groupId>
            <artifactId>commons-configuration2</artifactId>
            <version>2.7</version>
        </dependency>
        <dependency>
            <groupId>org.slf4j</groupId>
            <artifactId>slf4j-api</artifactId>
            <version>1.7.30</version>
        </dependency>
        <dependency>
            <groupId>org.apache.hadoop</groupId>
            <artifactId>hadoop-common</artifactId>
            <version>3.1.2</version>
        </dependency>
    </dependencies>
</project>

MapReduce 任务类

创建类继承 Configured 类实现 Tool 接口

重写 run 方法，配置 mepreduce 的相关内容，指定 map ， reduce ， group 类。并启动 job 。

Map 类继承 mapper 类，指定输入和输出格式

基本代码逻辑为将输入的文件按行切割，然后按照元素位置取出对应的元素，将股票代码和时间封装到 CodeTimeTuple 类里面作为键，将收盘价作为值写入到 context 里面交给 reduce 类。这里日期转换用了 SipleDataFormat 类进行转换，设置格式为 yyyy-MM-dd HH ： mm ： ss 。

CodeTimeTuple 类

里面设置两个属性，一个是 time ，一个是 code 。这个类的读取和写入都要采用字节流的方式。在这里还要实现比较的方法以便实现后面的组排序，排序分为两次，一次是根据股票代码排序，如果股票代码相同再根据时间进行排序。

组排序类

将排序对象转化为 CodeTimeTuple 类调用排序方法

Reduce 类

将排完序的内容拉取过来，设置一个数组来存取每一天的收盘价（为后面计算滚动收益做准备），遍历容器，每只股票前四天的收盘价直接作为收益，后面的收盘价计算公式为Rt= (C t - C t-5 ) / Ct-5 ，Ct：第t日收盘价 Rt：第t日滚动收益。然后计算收益为正的概率。

完整代码

import org.apache.hadoop.conf.Configuration;
import org.apache.hadoop.conf.Configured;
import org.apache.hadoop.fs.Path;
import org.apache.hadoop.io.*;
import org.apache.hadoop.mapreduce.Job;
import org.apache.hadoop.mapreduce.Mapper;
import org.apache.hadoop.mapreduce.Reducer;
import org.apache.hadoop.mapreduce.lib.input.TextInputFormat;
import org.apache.hadoop.mapreduce.lib.output.TextOutputFormat;
import org.apache.hadoop.util.Tool;
import org.apache.hadoop.util.ToolRunner;
import java.io.IOException;
import java.text.ParseException;
import java.text.SimpleDateFormat;
import java.util.Date;

/**
 * Calculate the stock five days' roll yield.
 * */
public class RollYield extends Configured implements Tool {
    /**
     * The entrance of the program
     * @param args are used as the path parameter from the terminal.
     * */
    public static void main(String[] args) throws Exception {
        int res = ToolRunner.run(new RollYield(),args);
        System.exit(res);
    }//of main
    /**
     * Set the map class and reduce class and construct the job.
     * */
    @Override
    public int run(String[] args) throws Exception {
        //build Configuration class to manage the configuration file of the hadoop
        Configuration conf = new Configuration();

        //Construct the job
        System.out.println("-----------创建和配置Job-------------");
        Job job = Job.getInstance(conf,"RollYield");

        //indicate the class of the Job
        job.setJarByClass(RollYield.class);

        //indicate the class of the Map and Reduce
        job.setMapperClass(yieldMapper.class);
        job.setReducerClass(yieldReduce.class);
        //job.setCombinerClass(yieldReduce.class);

        //indicate the format of the input:Text type file
        job.setInputFormatClass(TextInputFormat.class);
        TextInputFormat.addInputPath(job, new Path(args[0]));

        //set the Grouping sort class which has the sort method.
        job.setGroupingComparatorClass(GroupSort.class);

        //indicate the format of the output:key is text,value is double.
        job.setOutputFormatClass(TextOutputFormat.class);
        job.setOutputKeyClass(Text.class);
        job.setOutputValueClass(FloatWritable.class);

        job.setMapOutputKeyClass(CodeTimeTuple.class);
        job.setMapOutputValueClass(FloatWritable.class);
        TextOutputFormat.setOutputPath(job,new Path(args[1]));

        //Execute the mapreduce
        boolean res = job.waitForCompletion(true);
        if(res){
            return 0;
        }//of if
        else{
            return -1;
        }//of else
    }//of run
    /**
     * The map class for converting the input data into key-value pair.
     */
    public static class yieldMapper extends Mapper<LongWritable,Text,CodeTimeTuple, FloatWritable> {
        /**
         * the map method is used for dispose the data and
         * */
        @Override
        public void map(LongWritable key,Text value,Context context) throws IOException, InterruptedException {
            String line = value.toString();
            //ignore the empty line and rows of invalid data.
            if(line.contains("N/A")){
                return;
            }//of if
            //split every line of the file into a string array.
            String[] fields =line.split("\t");
            try {
                if(fields.length>=13){
                    //according to the position to get the corresponding value
                    float closePrice = Float.parseFloat(fields[3]);
                    //put the code and the date into the timeTuple.
                    CodeTimeTuple timeTuple = new CodeTimeTuple();
                    timeTuple.setCode(new Text(fields[0]));
                    //convert the date into timestamp for the sort.
                    Date date = new SimpleDateFormat("yyyy-MM-dd HH:mm:ss").parse(fields[13]+" 00:00:00");
                    timeTuple.setTime(new LongWritable(date.getTime()));
                    context.write(timeTuple,new FloatWritable(closePrice));
                }//of if
            }//of try
            catch (ParseException e) {
                System.out.println(line);
                System.out.println(e.getMessage());
            }//of catch
        }//of map
    }//of class
    /**
     *
     */
    public static class GroupSort extends WritableComparator {
        /**
         * construct method
         * */
        protected GroupSort() {
            super(CodeTimeTuple.class, true);
        }
        /**
         * sort the two timeTuple
         * */
        @Override
        public int compare(WritableComparable a, WritableComparable b) {
            CodeTimeTuple key1 = (CodeTimeTuple)a;
            CodeTimeTuple key2 = (CodeTimeTuple)b;
            return key1.compareTo(key2);
        }//of compare
    }//of class GroupSort

    /**
     *
     * */
    public static class yieldReduce extends Reducer<CodeTimeTuple,FloatWritable,Text,FloatWritable>{
        /**
         *
         * */
        @Override
        public void reduce(CodeTimeTuple key,Iterable<FloatWritable> values,Context context) throws IOException, InterruptedException {
            //use the array to record the closePrice of everyday
            float[] PriceOfEveryday = new float[1000];
            int i = 0;
            //the days which has the positive yield.
            int positiveDays = 0;
            for (FloatWritable val:values){
                float currentPrice = val.get();
                PriceOfEveryday[i] = currentPrice;
                if(i<=4){
                    if(currentPrice>0){
                        positiveDays++;
                    }
                }//of if
                else{
                    if(currentPrice-PriceOfEveryday[i-5]>0){
                        positiveDays++;
                    }//of if
                }//of else
                i++;
            }//of for
            context.write(new Text(key.getCode()),new FloatWritable((float) positiveDays /(i+1)));
        }//of reduce
    }//of class yieldReduce
}//of class RollYield

import org.apache.hadoop.io.LongWritable;
import org.apache.hadoop.io.Text;
import org.apache.hadoop.io.WritableComparable;

import java.io.DataInput;
import java.io.DataOutput;
import java.io.IOException;

//自定义Tuple
public class CodeTimeTuple implements WritableComparable<CodeTimeTuple> {

    private LongWritable time = new LongWritable();
    private Text code = new Text();

    public LongWritable getTime() { return time; }

    public void setTime(LongWritable time) { this.time = time; }

    public Text getCode() { return code; }

    public void setCode(Text code) { this.code = code; }

    //写入数据至流
    //用于框架对数据的处理
    //注意读readFields和写write的顺序一致
    public void write(DataOutput dataOutput) throws IOException {
        code.write(dataOutput);
        time.write(dataOutput);
    }

    //从流中读取数据
    //将框架返回的数据提取出到对应属性中来
    //注意读readFields和写write的顺序一致
    public void readFields(DataInput dataInput) throws IOException {
        code.readFields(dataInput);
        time.readFields(dataInput);
    }

    //Key排序
    public int compareTo(CodeTimeTuple o) {
        //一次排序：股票代码排序（这里要与组排序逻辑相同）
        int cmp = this.getCode().compareTo(o.getCode());
        //如果股票代码相同，则按时间排序
        if(cmp != 0)
            return cmp;
        //二次排序：时间排序，结果乘以-1则降序排列，否则为升序排列
        return -this.getTime().compareTo(o.getTime());
    }
}

创建 jar 包和打包上传到 hadoop 上

启动 job

ps：

由于启用combine必须要求reduce的输出跟输入类型相对应，但是这里的reduce输出和输入类型不一样，所以要么重写一个combine类，要么直接不使用combine类，我选择的第二种，所以combine没有输入输出，但是会加重reduce的负担。原因是combine相当于一个小的reduce，所以也会有输入输出类型，且和指定的类有关，所以执行会报reduce输入不匹配的问题。

打印输出的内容在logs下面的userlog里面，也可以在集群的网页上面看，有对应的log文件。