mirror of
https://ghfast.top/https://github.com/aeroxw/easy-tdx.git
synced 2026-09-12 15:44:15 +08:00
feat: add offline data write-back and sync commands, bump to v1.6.0
- Add write_daily.py: encode/append daily bars to .day files - Add write_ex_daily.py: encode/append extended market daily bars - Add write_min_bar.py: encode/append minute bars (.5/.lc1/.lc5) - Add sync-daily CLI: sync single stock with pagination support - Add sync-all CLI: one-command sync for all SH/SZ .day files - Update README with sync commands and Python write API docs - 50 new unit tests covering encode round-trip, append dedup, edge cases - Bump version 1.5.0 -> 1.6.0
This commit is contained in:
Justin Gu
@@ -3,7 +3,7 @@
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[](LICENSE)
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[](https://pypi.org/project/easy-tdx/)
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通达信 TCP 行情协议客户端。支持 A 股、港股、美股、期货全市场；内置 `easy-tdx` CLI 工具，默认 JSON 输出，天然适配 Claude Code、OpenClaw、Hermes 等 AI Agent 工具链。提供同步 + asyncio 双接口；strict mypy 通过；每一层编解码都有离线 fixture 测试覆盖。
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通达信 TCP 行情协议客户端。支持 A 股、港股、美股、期货全市场；内置 `easy-tdx` CLI 工具，默认 JSON 输出，天然适配 Claude Code、OpenClaw、Hermes 等 AI Agent 工具链。提供同步 + asyncio 双接口；支持离线数据读取与写入同步；strict mypy 通过；每一层编解码都有离线 fixture 测试覆盖。
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## 安装
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@@ -213,7 +213,7 @@ easy-tdx ex quote-list HK_MAIN_BOARD --table # 港股商品列表
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easy-tdx ex tick HK_MAIN_BOARD 00700 --table # 港股分时
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```
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### 离线数据（无需网络）
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### 离线数据（读取 + 写入同步）
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从本地通达信安装目录直接读取数据文件，无需网络连接：
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@@ -228,6 +228,19 @@ easy-tdx offline financial C:\new_jyplug\vipdoc\fin\gpcw20260331.dat # 历史
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easy-tdx offline blocks C:\new_jyplug\T0002\blocknew --table # 自定义板块
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```
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从服务端获取最新日线并写入本地 .day 文件，替代通达信内置下载功能：
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```bash
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# 同步单只股票日线（自动增量/全量）
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easy-tdx offline sync-daily SZ 000001
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easy-tdx offline sync-daily SH 600519 --vipdoc C:\new_jyplug\vipdoc
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# 一键同步沪深全市场（每天一条命令）
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easy-tdx offline sync-all
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```
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> 建议在通达信关闭时执行 sync 命令，避免文件被锁定。空文件自动全量下载，已有数据只做增量追加。
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## CLI 命令汇总
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| 命令 | 说明 |
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@@ -261,6 +274,8 @@ easy-tdx offline blocks C:\new_jyplug\T0002\blocknew --table # 自定
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| `ex markets` | 列出可用扩展市场 |
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| `offline home` | 检测通达信安装目录 |
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| `offline daily` | A 股日线（本地 .day 文件） |
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| `offline sync-daily` | 从服务端同步单只股票日线到本地 .day 文件 |
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| `offline sync-all` | 一键同步沪深全市场日线（扫描本地 .day 文件） |
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| `offline min` | 分钟线（本地 .5/.lc1/.lc5 文件） |
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| `offline ex-files` | 列出扩展市场可用文件 |
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| `offline ex-daily` | 扩展市场日线（期货/港股/外盘） |
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@@ -543,6 +558,29 @@ bars = read_daily_bars(filepath)
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支持：日线、分钟线、扩展市场日线、板块、股本变迁、历史财务数据。
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### 离线数据写入同步
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从服务端获取最新数据并追加写入本地通达信数据文件：
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```python
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from easy_tdx.offline import (
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encode_daily_bar, append_daily_bars, get_last_bar_date,
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encode_5min_bar, append_5min_bars,
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encode_lc_min_bar, append_lc_min_bars,
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)
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from easy_tdx import Market
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from easy_tdx.client import TdxClient
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# 追加日线到 .day 文件（自动跳过重复日期）
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from easy_tdx.offline import sync_daily_bars_from_security_bars
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# 手动编码单条记录
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bar_bytes = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=0.01)
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# 获取文件末尾日期
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last_date = get_last_bar_date("C:/new_jyplug/vipdoc/sh/lday/sh600000.day")
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```
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v1.5.0 起可通过 CLI 直接使用：
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```bash
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@@ -720,7 +758,7 @@ src/easy_tdx/
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├── commands/ # 标准协议命令（无 IO）
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├── codec/ # price / volume / datetime / frame / bitmap 编解码
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├── models/ # 纯 dataclass，无业务逻辑
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├── offline/ # 离线数据读取模块
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├── offline/ # 离线数据读写模块（读取 + 写入同步）
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└── cli/ # easy-tdx CLI（click）
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```
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@@ -747,6 +785,18 @@ ruff format --check src/ tests/ # format check
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## Changelog
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### 1.6.0 (2026-06-07)
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**离线数据写入同步** — 从服务端获取最新日线数据并写入本地通达信 .day 文件，替代通达信内置下载功能。
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- 新增 `offline sync-daily` CLI 命令：同步单只股票日线，自动增量/全量判断，支持分页获取完整历史
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- 新增 `offline sync-all` CLI 命令：一键扫描沪深全市场 .day 文件并同步
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- 新增 `write_daily.py` 模块：日线编解码（`encode_daily_bar`）、追加写入（`append_daily_bars`）、末尾日期检测
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- 新增 `write_ex_daily.py` 模块：扩展市场日线写入（期货/港股，价格 float32）
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- 新增 `write_min_bar.py` 模块：分钟线写入（.5/.lc1/.lc5 格式）
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- 写入自动跳过重复日期，空文件自动全量下载，已有数据只做增量追加
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- 50 个新增单元测试覆盖编解码 round-trip、追加去重、边界条件
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### 1.5.0 (2026-06-02)
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**离线数据 CLI 命令** — 新增 `offline` 命令组，无需网络即可通过 CLI 读取本地通达信数据文件。
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+2
-2
@@ -4,8 +4,8 @@ build-backend = "hatchling.build"
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[project]
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name = "easy-tdx"
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version = "1.5.0"
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description = "通达信 TCP 协议行情数据客户端，支持在线行情与离线本地数据读取"
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version = "1.6.0"
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description = "通达信 TCP 协议行情数据客户端，支持在线行情、离线数据读取与写入同步"
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readme = "README.md"
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requires-python = ">=3.10"
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dependencies = ["pandas>=2.0", "tzdata>=2024.1", "click>=8.0"]
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@@ -1,15 +1,25 @@
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"""离线本地数据读取命令（无需网络，读取本地通达信数据文件）。"""
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"""离线本地数据读写命令 —— 读取本地通达信数据文件 & 从服务端同步写入。"""
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from __future__ import annotations
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from pathlib import Path
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from typing import TYPE_CHECKING
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import click
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if TYPE_CHECKING:
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import pandas as pd
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from ..client import TdxClient
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from ..models.bar import SecurityBar
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@click.group()
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def offline() -> None:
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"""离线本地数据读取（无需网络，读取本地通达信数据文件）。
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"""离线本地数据读写（读取本地通达信数据文件 & 从服务端同步写入）。
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需要本地已安装通达信并下载过对应数据。
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读取需要本地已安装通达信并下载过对应数据。
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sync-daily 可从服务端获取最新日线并追加到本地 .day 文件。
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示例：
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@@ -22,6 +32,10 @@ def offline() -> None:
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easy-tdx offline ex-files --table
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easy-tdx offline ex-daily 29#A1801 --table
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easy-tdx offline sync-daily SZ 000001
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easy-tdx offline sync-daily SH 600519 --vipdoc C:\\new_jyplug\\vipdoc
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"""
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pass
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@@ -412,3 +426,238 @@ def blocks(
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for b in result
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]
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print_output(pd.DataFrame(rows), fmt)
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# ---------------------------------------------------------------------------
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# sync-daily：从服务端同步日线到本地 .day 文件
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# ---------------------------------------------------------------------------
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def _df_to_bars(df: pd.DataFrame) -> list[SecurityBar]:
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"""将日线 DataFrame 转换为 SecurityBar 列表（按日期升序）。"""
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from ..models.bar import SecurityBar
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bars: list[SecurityBar] = []
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for _, row in df.iterrows():
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dt = row["date"]
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bars.append(
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SecurityBar(
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open=row["open"],
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close=row["close"],
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high=row["high"],
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low=row["low"],
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vol=row["vol"],
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amount=row["amount"],
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year=dt.year,
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month=dt.month,
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day=dt.day,
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hour=0,
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minute=0,
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)
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)
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bars.sort(key=lambda b: b.year * 10000 + b.month * 100 + b.day)
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return bars
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def _fetch_all_daily_bars(
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client: TdxClient, market: int, code: str, need_full: bool = False
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) -> list[SecurityBar]:
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"""从服务端分页获取全部日线数据。
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Args:
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client: 已连接的 TdxClient。
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market: 市场代码（0=SZ, 1=SH）。
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code: 6 位股票代码。
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need_full: True 表示拉取全量历史（空文件场景），
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False 表示只拉最近一页（增量更新）。
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Returns:
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SecurityBar 列表（按日期升序）。
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"""
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from ..models.enums import KlineCategory
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all_bars: list[SecurityBar] = []
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start = 0
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page_size = 800
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max_pages = 50 if need_full else 1 # 50 页 = 40000 条，足够覆盖 A 股全部历史
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for _ in range(max_pages):
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df = client.get_security_bars(market, code, KlineCategory.DAY, start, page_size)
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if df.empty:
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break
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all_bars.extend(_df_to_bars(df))
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if len(df) < page_size:
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break # 最后一页不满，已无更多数据
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start += page_size
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# 去重并按日期升序排列（跨页可能有重叠）
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seen: set[tuple[int, int, int]] = set()
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unique: list[SecurityBar] = []
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for b in all_bars:
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key = (b.year, b.month, b.day)
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if key not in seen:
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seen.add(key)
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unique.append(b)
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unique.sort(key=lambda b: b.year * 10000 + b.month * 100 + b.day)
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return unique
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def _sync_one_daily(client: TdxClient, filepath: Path) -> tuple[int, str]:
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"""同步单只股票日线，返回 (写入条数, 状态消息)。"""
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from ..offline import append_daily_bars, get_last_bar_date
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from ..offline.daily_bar import _SECURITY_COEFFICIENTS, _detect_security_type
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# 文件名 → 市场 + 代码
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name = filepath.name.lower() # e.g. sh600000.day
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exchange = name[:2] # "sh" or "sz"
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code = name[2:8]
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market = 1 if exchange == "sh" else 0 # Market.SH=1, Market.SZ=0
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# 判断是否需要全量拉取（空文件 → 全量，有数据 → 增量）
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last_date = get_last_bar_date(filepath)
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need_full = last_date is None
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# 从服务端分页获取日线
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bars = _fetch_all_daily_bars(client, market, code, need_full=need_full)
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if not bars:
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return 0, "服务端无数据"
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# 检测证券类型获取系数
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sec_type = _detect_security_type(filepath.name)
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price_coeff, vol_coeff = _SECURITY_COEFFICIENTS.get(sec_type, (0.01, 0.01))
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# 追加写入
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written = append_daily_bars(filepath, bars, price_coeff, vol_coeff)
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if written > 0:
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return written, f"+{written}"
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return 0, "已是最新"
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@offline.command("sync-daily")
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@click.argument("market")
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@click.argument("code")
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@click.option("--vipdoc", default=None, help="vipdoc 目录路径（默认自动检测）")
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def sync_daily(market: str, code: str, vipdoc: str | None) -> None:
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"""从服务端同步日线数据到本地 .day 文件。
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自动检测本地文件末尾日期，从服务端分页获取缺失的数据并追加写入。
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空文件自动全量下载，已有数据只做增量更新。
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建议在通达信关闭时执行，避免文件被锁定。
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MARKET: 市场代码（SZ/SH）
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CODE: 6 位股票代码
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示例：
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easy-tdx offline sync-daily SZ 000001
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easy-tdx offline sync-daily SH 000001 --vipdoc C:\\new_jyplug\\vipdoc
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"""
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from ..client import TdxClient
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from ..offline import find_daily_bar_file
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from .output import print_error
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from .parsers import parse_market
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mkt = parse_market(market)
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try:
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filepath = find_daily_bar_file(mkt, code, vipdoc)
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click.echo(f"目标文件: {filepath}")
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click.echo("正在连接服务端获取日线数据...")
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with TdxClient.from_best_host() as client:
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written, msg = _sync_one_daily(client, filepath)
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if written > 0:
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click.echo(f"✓ 成功写入 {written} 条新记录")
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else:
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click.echo(f"本地已是最新，无需写入 ({msg})")
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except PermissionError:
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click.echo(f"✗ 文件被锁定，请关闭通达信后重试: {filepath}", err=True)
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raise SystemExit(1)
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except Exception as e:
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print_error(str(e))
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raise SystemExit(1)
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# ---------------------------------------------------------------------------
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# sync-all：一键同步全部日线
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# ---------------------------------------------------------------------------
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@offline.command("sync-all")
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@click.option("--vipdoc", default=None, help="vipdoc 目录路径（默认自动检测）")
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def sync_all(vipdoc: str | None) -> None:
|
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"""一键同步全部本地日线数据（沪深全市场）。
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|
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扫描 vipdoc 下所有 .day 文件，自动连接服务端获取最新数据并追加写入。
|
||||
建议在通达信关闭时执行，避免文件被锁定。
|
||||
|
||||
示例：
|
||||
|
||||
easy-tdx offline sync-all
|
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|
||||
easy-tdx offline sync-all --vipdoc C:\\new_jyplug\\vipdoc
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"""
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import time
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|
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from ..client import TdxClient
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from ..offline.paths import resolve_vipdoc
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|
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try:
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vipdoc_path = resolve_vipdoc(vipdoc)
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except Exception as e:
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click.echo(f"✗ {e}", err=True)
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raise SystemExit(1)
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||||
# 1. 扫描所有 .day 文件
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all_files: list[Path] = []
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for exchange in ("sh", "sz"):
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lday_dir = vipdoc_path / exchange / "lday"
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if lday_dir.is_dir():
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all_files.extend(sorted(lday_dir.glob("*.day")))
|
||||
|
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if not all_files:
|
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click.echo("未找到任何 .day 文件，请确认 vipdoc 路径正确")
|
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raise SystemExit(0)
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|
||||
total = len(all_files)
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click.echo(f"发现 {total} 个 .day 文件，开始同步...")
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||||
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||||
# 2. 连接服务端，逐个同步
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||||
success = 0
|
||||
skipped = 0
|
||||
failed = 0
|
||||
total_written = 0
|
||||
|
||||
with TdxClient.from_best_host() as client:
|
||||
for idx, filepath in enumerate(all_files, 1):
|
||||
name = filepath.name
|
||||
try:
|
||||
written, msg = _sync_one_daily(client, filepath)
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||||
total_written += written
|
||||
if written > 0:
|
||||
success += 1
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||||
else:
|
||||
skipped += 1
|
||||
click.echo(f" [{idx}/{total}] {name}: {msg}")
|
||||
except PermissionError:
|
||||
failed += 1
|
||||
click.echo(f" [{idx}/{total}] {name}: ✗ 文件被锁定", err=True)
|
||||
except Exception as e:
|
||||
failed += 1
|
||||
click.echo(f" [{idx}/{total}] {name}: ✗ {e}", err=True)
|
||||
|
||||
# 每 100 只暂停一小段，避免请求过快被服务器断开
|
||||
if idx % 100 == 0:
|
||||
time.sleep(0.2)
|
||||
|
||||
# 3. 汇总
|
||||
click.echo("")
|
||||
summary = (
|
||||
f"同步完成: {total} 只 | "
|
||||
f"更新 {success} | 已是最新 {skipped} | "
|
||||
f"失败 {failed} | 共写入 {total_written} 条"
|
||||
)
|
||||
click.echo(summary)
|
||||
|
||||
@@ -1,4 +1,4 @@
|
||||
"""离线数据读取模块 —— 从本地通达信安装目录读取数据文件。"""
|
||||
"""离线数据读写模块 —— 从本地通达信安装目录读取/写入数据文件。"""
|
||||
|
||||
from .block import CustomerBlock, read_block_dat, read_customer_blocks
|
||||
from .daily_bar import find_daily_bar_file, read_daily_bars
|
||||
@@ -8,21 +8,58 @@ from .gbbq import GbbqRecord, read_gbbq
|
||||
from .history_financial import read_history_financial
|
||||
from .min_bar import read_5min_bars, read_lc_min_bars
|
||||
from .paths import detect_tdx_home, resolve_vipdoc
|
||||
from .write_daily import (
|
||||
append_daily_bars,
|
||||
encode_daily_bar,
|
||||
get_last_bar_date,
|
||||
sync_daily_bars_from_security_bars,
|
||||
)
|
||||
from .write_ex_daily import (
|
||||
append_ex_daily_bars,
|
||||
encode_ex_daily_bar,
|
||||
get_last_ex_bar_date,
|
||||
sync_ex_daily_bars,
|
||||
)
|
||||
from .write_min_bar import (
|
||||
append_5min_bars,
|
||||
append_lc_min_bars,
|
||||
encode_5min_bar,
|
||||
encode_lc_min_bar,
|
||||
get_last_5min_bar_datetime,
|
||||
get_last_lc_min_bar_datetime,
|
||||
)
|
||||
|
||||
__all__ = [
|
||||
# 路径
|
||||
"detect_tdx_home",
|
||||
"resolve_vipdoc",
|
||||
# 日线
|
||||
# 日线读取
|
||||
"read_daily_bars",
|
||||
"find_daily_bar_file",
|
||||
# 分钟线
|
||||
# 日线写入
|
||||
"encode_daily_bar",
|
||||
"append_daily_bars",
|
||||
"get_last_bar_date",
|
||||
"sync_daily_bars_from_security_bars",
|
||||
# 扩展市场日线写入
|
||||
"encode_ex_daily_bar",
|
||||
"append_ex_daily_bars",
|
||||
"get_last_ex_bar_date",
|
||||
"sync_ex_daily_bars",
|
||||
# 分钟线写入
|
||||
"encode_5min_bar",
|
||||
"encode_lc_min_bar",
|
||||
"append_5min_bars",
|
||||
"append_lc_min_bars",
|
||||
"get_last_5min_bar_datetime",
|
||||
"get_last_lc_min_bar_datetime",
|
||||
# 分钟线读取
|
||||
"read_5min_bars",
|
||||
"read_lc_min_bars",
|
||||
"find_5min_bar_file",
|
||||
"find_lc1_bar_file",
|
||||
"find_lc5_bar_file",
|
||||
# 扩展市场
|
||||
# 扩展市场读取
|
||||
"ExDailyBar",
|
||||
"read_ex_daily_bars",
|
||||
# 板块
|
||||
|
||||
@@ -0,0 +1,145 @@
|
||||
"""离线日线数据写入 —— 将 SecurityBar 编码并追加到 .day 文件。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from pathlib import Path
|
||||
|
||||
from ..models.bar import SecurityBar
|
||||
from .daily_bar import _DAILY_FMT
|
||||
|
||||
__all__ = [
|
||||
"encode_daily_bar",
|
||||
"append_daily_bars",
|
||||
"get_last_bar_date",
|
||||
"sync_daily_bars_from_security_bars",
|
||||
]
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# encode
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def encode_daily_bar(
|
||||
bar: SecurityBar,
|
||||
price_coeff: float,
|
||||
vol_coeff: float,
|
||||
) -> bytes:
|
||||
"""将 SecurityBar 编码为 32 字节 .day 记录。
|
||||
|
||||
Args:
|
||||
bar: K 线数据（open/close/high/low 为实际价格，非整数）。
|
||||
price_coeff: 价格系数（A 股 0.01，基金 0.001 等）。
|
||||
vol_coeff: 成交量系数（A 股 0.01，指数 1.0 等）。
|
||||
|
||||
Returns:
|
||||
32 字节的二进制记录。
|
||||
"""
|
||||
date_int = bar.year * 10000 + bar.month * 100 + bar.day
|
||||
return _DAILY_FMT.pack(
|
||||
date_int,
|
||||
int(round(bar.open / price_coeff)),
|
||||
int(round(bar.high / price_coeff)),
|
||||
int(round(bar.low / price_coeff)),
|
||||
int(round(bar.close / price_coeff)),
|
||||
bar.amount, # float32, 由 struct 自动截断
|
||||
int(round(bar.vol / vol_coeff)),
|
||||
0, # reserved
|
||||
)
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# query
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def get_last_bar_date(filepath: str | Path) -> int | None:
|
||||
"""读取 .day 文件最后一条记录的日期。
|
||||
|
||||
Returns:
|
||||
YYYYMMDD 整数，文件为空或太短时返回 None。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
return None
|
||||
size = filepath.stat().st_size
|
||||
if size < _DAILY_FMT.size:
|
||||
return None
|
||||
with filepath.open("rb") as f:
|
||||
f.seek(size - _DAILY_FMT.size)
|
||||
last_record = f.read(_DAILY_FMT.size)
|
||||
(date_int, *_) = _DAILY_FMT.unpack(last_record)
|
||||
return date_int
|
||||
|
||||
|
||||
def _bar_date_int(bar: SecurityBar) -> int:
|
||||
return bar.year * 10000 + bar.month * 100 + bar.day
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# append
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def append_daily_bars(
|
||||
filepath: str | Path,
|
||||
bars: list[SecurityBar],
|
||||
price_coeff: float,
|
||||
vol_coeff: float,
|
||||
) -> int:
|
||||
"""将 bars 追加写入 .day 文件，自动跳过重复日期。
|
||||
|
||||
Args:
|
||||
filepath: .day 文件路径。
|
||||
bars: 待写入的 K 线列表（按时间升序）。
|
||||
price_coeff: 价格系数。
|
||||
vol_coeff: 成交量系数。
|
||||
|
||||
Returns:
|
||||
实际写入的记录数。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
|
||||
# 获取文件末尾日期，用于去重
|
||||
last_date = get_last_bar_date(filepath)
|
||||
|
||||
# 过滤出日期严格大于末尾的新记录
|
||||
new_bars = (
|
||||
[b for b in bars if _bar_date_int(b) > last_date] if last_date is not None else list(bars)
|
||||
)
|
||||
|
||||
if not new_bars:
|
||||
return 0
|
||||
|
||||
encoded = b"".join(encode_daily_bar(b, price_coeff, vol_coeff) for b in new_bars)
|
||||
with filepath.open("ab") as f:
|
||||
f.write(encoded)
|
||||
|
||||
return len(new_bars)
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# sync
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def sync_daily_bars_from_security_bars(
|
||||
filepath: str | Path,
|
||||
server_bars: list[SecurityBar],
|
||||
price_coeff: float,
|
||||
vol_coeff: float,
|
||||
) -> int:
|
||||
"""将服务端获取的日线数据同步写入本地 .day 文件。
|
||||
|
||||
完整流程：读取文件末尾日期 → 过滤新数据 → 追加写入。
|
||||
|
||||
Args:
|
||||
filepath: .day 文件路径。
|
||||
server_bars: 服务端返回的日线数据（按时间升序）。
|
||||
price_coeff: 价格系数。
|
||||
vol_coeff: 成交量系数。
|
||||
|
||||
Returns:
|
||||
实际写入的记录数。
|
||||
"""
|
||||
return append_daily_bars(filepath, server_bars, price_coeff, vol_coeff)
|
||||
@@ -0,0 +1,93 @@
|
||||
"""离线扩展市场日线写入 —— 将 ExDailyBar 编码并追加到 .day 文件。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from pathlib import Path
|
||||
|
||||
from .ex_daily_bar import _EX_DAILY_FMT, ExDailyBar
|
||||
|
||||
__all__ = [
|
||||
"encode_ex_daily_bar",
|
||||
"append_ex_daily_bars",
|
||||
"get_last_ex_bar_date",
|
||||
"sync_ex_daily_bars",
|
||||
]
|
||||
|
||||
|
||||
def encode_ex_daily_bar(bar: ExDailyBar) -> bytes:
|
||||
"""将 ExDailyBar 编码为 32 字节扩展市场 .day 记录。
|
||||
|
||||
扩展市场价格直接为 float32，无需系数转换。
|
||||
"""
|
||||
date_int = bar.year * 10000 + bar.month * 100 + bar.day
|
||||
return _EX_DAILY_FMT.pack(
|
||||
date_int,
|
||||
bar.open,
|
||||
bar.high,
|
||||
bar.low,
|
||||
bar.close,
|
||||
bar.amount,
|
||||
bar.vol,
|
||||
bar.settlement,
|
||||
)
|
||||
|
||||
|
||||
def get_last_ex_bar_date(filepath: str | Path) -> int | None:
|
||||
"""读取扩展市场 .day 文件最后一条记录的日期。
|
||||
|
||||
Returns:
|
||||
YYYYMMDD 整数，文件为空或太短时返回 None。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
return None
|
||||
size = filepath.stat().st_size
|
||||
if size < _EX_DAILY_FMT.size:
|
||||
return None
|
||||
with filepath.open("rb") as f:
|
||||
f.seek(size - _EX_DAILY_FMT.size)
|
||||
last_record = f.read(_EX_DAILY_FMT.size)
|
||||
(date_int, *_) = _EX_DAILY_FMT.unpack(last_record)
|
||||
return date_int
|
||||
|
||||
|
||||
def _bar_date_int(bar: ExDailyBar) -> int:
|
||||
return bar.year * 10000 + bar.month * 100 + bar.day
|
||||
|
||||
|
||||
def append_ex_daily_bars(
|
||||
filepath: str | Path,
|
||||
bars: list[ExDailyBar],
|
||||
) -> int:
|
||||
"""将扩展市场 bars 追加写入 .day 文件，自动跳过重复日期。
|
||||
|
||||
Returns:
|
||||
实际写入的记录数。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
last_date = get_last_ex_bar_date(filepath)
|
||||
|
||||
new_bars = (
|
||||
[b for b in bars if _bar_date_int(b) > last_date] if last_date is not None else list(bars)
|
||||
)
|
||||
|
||||
if not new_bars:
|
||||
return 0
|
||||
|
||||
encoded = b"".join(encode_ex_daily_bar(b) for b in new_bars)
|
||||
with filepath.open("ab") as f:
|
||||
f.write(encoded)
|
||||
|
||||
return len(new_bars)
|
||||
|
||||
|
||||
def sync_ex_daily_bars(
|
||||
filepath: str | Path,
|
||||
server_bars: list[ExDailyBar],
|
||||
) -> int:
|
||||
"""将服务端获取的扩展市场日线同步写入本地 .day 文件。
|
||||
|
||||
Returns:
|
||||
实际写入的记录数。
|
||||
"""
|
||||
return append_ex_daily_bars(filepath, server_bars)
|
||||
@@ -0,0 +1,186 @@
|
||||
"""离线分钟线写入 —— 将 SecurityBar 编码并追加到 .5 / .lc1 / .lc5 文件。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from pathlib import Path
|
||||
|
||||
from ..models.bar import SecurityBar
|
||||
from .min_bar import _LC_MIN_FMT, _MIN_FMT
|
||||
|
||||
__all__ = [
|
||||
"encode_5min_bar",
|
||||
"encode_lc_min_bar",
|
||||
"append_5min_bars",
|
||||
"append_lc_min_bars",
|
||||
"get_last_5min_bar_datetime",
|
||||
"get_last_lc_min_bar_datetime",
|
||||
]
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# date/time 编码（与 min_bar._decode_tdx_date/time 互逆）
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def _encode_tdx_date(year: int, month: int, day: int) -> int:
|
||||
"""将 (year, month, day) 编码为 2 字节压缩日期。"""
|
||||
return (year - 2004) * 2048 + month * 100 + day
|
||||
|
||||
|
||||
def _encode_tdx_time(hour: int, minute: int) -> int:
|
||||
"""将 (hour, minute) 编码为从 0:00 起的分钟数。"""
|
||||
return hour * 60 + minute
|
||||
|
||||
|
||||
def _bar_datetime_key(bar: SecurityBar) -> tuple[int, int, int, int, int]:
|
||||
return (bar.year, bar.month, bar.day, bar.hour, bar.minute)
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# .5 文件 (OHLC 为整数 / 100)
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def encode_5min_bar(bar: SecurityBar) -> bytes:
|
||||
"""将 SecurityBar 编码为 32 字节 .5 记录。
|
||||
|
||||
OHLC 为整数（实际价格 × 100），amount 为 float32。
|
||||
"""
|
||||
return _MIN_FMT.pack(
|
||||
_encode_tdx_date(bar.year, bar.month, bar.day),
|
||||
_encode_tdx_time(bar.hour, bar.minute),
|
||||
int(round(bar.open * 100)),
|
||||
int(round(bar.high * 100)),
|
||||
int(round(bar.low * 100)),
|
||||
int(round(bar.close * 100)),
|
||||
bar.amount, # float32
|
||||
int(round(bar.vol)),
|
||||
0, # reserved
|
||||
)
|
||||
|
||||
|
||||
def get_last_5min_bar_datetime(
|
||||
filepath: str | Path,
|
||||
) -> tuple[int, int, int, int, int] | None:
|
||||
"""读取 .5 文件最后一条记录的日期时间。
|
||||
|
||||
Returns:
|
||||
(year, month, day, hour, minute) 元组，文件为空时返回 None。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
return None
|
||||
size = filepath.stat().st_size
|
||||
if size < _MIN_FMT.size:
|
||||
return None
|
||||
with filepath.open("rb") as f:
|
||||
f.seek(size - _MIN_FMT.size)
|
||||
last_record = f.read(_MIN_FMT.size)
|
||||
from .min_bar import _decode_tdx_date, _decode_tdx_time
|
||||
|
||||
date_num, time_num, *_ = _MIN_FMT.unpack(last_record)
|
||||
year, month, day = _decode_tdx_date(date_num)
|
||||
hour, minute = _decode_tdx_time(time_num)
|
||||
return (year, month, day, hour, minute)
|
||||
|
||||
|
||||
def append_5min_bars(
|
||||
filepath: str | Path,
|
||||
bars: list[SecurityBar],
|
||||
) -> int:
|
||||
"""将 5 分钟线 bars 追加写入 .5 文件，自动跳过重复时间点。
|
||||
|
||||
Returns:
|
||||
实际写入的记录数。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
last_dt = get_last_5min_bar_datetime(filepath)
|
||||
|
||||
if last_dt is not None:
|
||||
new_bars = [b for b in bars if _bar_datetime_key(b) > last_dt]
|
||||
else:
|
||||
new_bars = list(bars)
|
||||
|
||||
if not new_bars:
|
||||
return 0
|
||||
|
||||
encoded = b"".join(encode_5min_bar(b) for b in new_bars)
|
||||
with filepath.open("ab") as f:
|
||||
f.write(encoded)
|
||||
|
||||
return len(new_bars)
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# .lc1 / .lc5 文件 (OHLC 为 float32)
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def encode_lc_min_bar(bar: SecurityBar) -> bytes:
|
||||
"""将 SecurityBar 编码为 32 字节 .lc1/.lc5 记录。
|
||||
|
||||
OHLC 为 float32，无需系数转换。
|
||||
"""
|
||||
return _LC_MIN_FMT.pack(
|
||||
_encode_tdx_date(bar.year, bar.month, bar.day),
|
||||
_encode_tdx_time(bar.hour, bar.minute),
|
||||
bar.open,
|
||||
bar.high,
|
||||
bar.low,
|
||||
bar.close,
|
||||
bar.amount, # float32
|
||||
int(round(bar.vol)),
|
||||
0, # reserved
|
||||
)
|
||||
|
||||
|
||||
def get_last_lc_min_bar_datetime(
|
||||
filepath: str | Path,
|
||||
) -> tuple[int, int, int, int, int] | None:
|
||||
"""读取 .lc1/.lc5 文件最后一条记录的日期时间。
|
||||
|
||||
Returns:
|
||||
(year, month, day, hour, minute) 元组，文件为空时返回 None。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
return None
|
||||
size = filepath.stat().st_size
|
||||
if size < _LC_MIN_FMT.size:
|
||||
return None
|
||||
with filepath.open("rb") as f:
|
||||
f.seek(size - _LC_MIN_FMT.size)
|
||||
last_record = f.read(_LC_MIN_FMT.size)
|
||||
from .min_bar import _decode_tdx_date, _decode_tdx_time
|
||||
|
||||
date_num, time_num, *_ = _LC_MIN_FMT.unpack(last_record)
|
||||
year, month, day = _decode_tdx_date(date_num)
|
||||
hour, minute = _decode_tdx_time(time_num)
|
||||
return (year, month, day, hour, minute)
|
||||
|
||||
|
||||
def append_lc_min_bars(
|
||||
filepath: str | Path,
|
||||
bars: list[SecurityBar],
|
||||
) -> int:
|
||||
"""将分钟线 bars 追加写入 .lc1/.lc5 文件，自动跳过重复时间点。
|
||||
|
||||
Returns:
|
||||
实际写入的记录数。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
last_dt = get_last_lc_min_bar_datetime(filepath)
|
||||
|
||||
if last_dt is not None:
|
||||
new_bars = [b for b in bars if _bar_datetime_key(b) > last_dt]
|
||||
else:
|
||||
new_bars = list(bars)
|
||||
|
||||
if not new_bars:
|
||||
return 0
|
||||
|
||||
encoded = b"".join(encode_lc_min_bar(b) for b in new_bars)
|
||||
with filepath.open("ab") as f:
|
||||
f.write(encoded)
|
||||
|
||||
return len(new_bars)
|
||||
@@ -0,0 +1,345 @@
|
||||
"""离线日线写入测试（纯离线，无网络）。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import struct
|
||||
from pathlib import Path
|
||||
|
||||
from easy_tdx.models.bar import SecurityBar
|
||||
from easy_tdx.offline.daily_bar import (
|
||||
_DAILY_FMT,
|
||||
read_daily_bars,
|
||||
)
|
||||
from easy_tdx.offline.write_daily import (
|
||||
append_daily_bars,
|
||||
encode_daily_bar,
|
||||
get_last_bar_date,
|
||||
sync_daily_bars_from_security_bars,
|
||||
)
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# helpers
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def _make_bar(
|
||||
year: int = 2026,
|
||||
month: int = 6,
|
||||
day: int = 6,
|
||||
open_: float = 10.25,
|
||||
high: float = 10.50,
|
||||
low: float = 10.10,
|
||||
close: float = 10.30,
|
||||
vol: float = 100000.0,
|
||||
amount: float = 1025000.0,
|
||||
) -> SecurityBar:
|
||||
return SecurityBar(
|
||||
open=open_,
|
||||
close=close,
|
||||
high=high,
|
||||
low=low,
|
||||
vol=vol,
|
||||
amount=amount,
|
||||
year=year,
|
||||
month=month,
|
||||
day=day,
|
||||
hour=0,
|
||||
minute=0,
|
||||
)
|
||||
|
||||
|
||||
def _make_raw_bar(
|
||||
year: int = 2026,
|
||||
month: int = 6,
|
||||
day: int = 6,
|
||||
open_int: int = 1025,
|
||||
high_int: int = 1050,
|
||||
low_int: int = 1010,
|
||||
close_int: int = 1030,
|
||||
amount: float = 1025000.0,
|
||||
vol_int: int = 100000,
|
||||
reserved: int = 0,
|
||||
) -> bytes:
|
||||
"""直接用原始整数构造一条 32 字节 .day 记录。"""
|
||||
date_int = year * 10000 + month * 100 + day
|
||||
return _DAILY_FMT.pack(
|
||||
date_int, open_int, high_int, low_int, close_int, amount, vol_int, reserved
|
||||
)
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# encode_daily_bar
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
class TestEncodeDailyBar:
|
||||
"""编码测试：SecurityBar → 32 字节。"""
|
||||
|
||||
def test_output_length(self) -> None:
|
||||
bar = _make_bar()
|
||||
result = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=0.01)
|
||||
assert len(result) == 32
|
||||
|
||||
def test_date_encoding(self) -> None:
|
||||
bar = _make_bar(year=2025, month=3, day=15)
|
||||
result = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=0.01)
|
||||
date_int = struct.unpack_from("<I", result, 0)[0]
|
||||
assert date_int == 20250315
|
||||
|
||||
def test_price_encoding_a_stock(self) -> None:
|
||||
"""A股：系数 0.01，即 float × 100 → 整数。"""
|
||||
bar = _make_bar(open_=10.25)
|
||||
result = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=0.01)
|
||||
open_int = struct.unpack_from("<I", result, 4)[0]
|
||||
assert open_int == 1025
|
||||
|
||||
def test_price_encoding_index(self) -> None:
|
||||
"""指数：系数 0.01。"""
|
||||
bar = _make_bar(open_=3250.18)
|
||||
result = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=1.0)
|
||||
open_int = struct.unpack_from("<I", result, 4)[0]
|
||||
assert open_int == 325018
|
||||
|
||||
def test_price_encoding_fund(self) -> None:
|
||||
"""基金：系数 0.001，即 float × 1000 → 整数。"""
|
||||
bar = _make_bar(open_=1.523)
|
||||
result = encode_daily_bar(bar, price_coeff=0.001, vol_coeff=1.0)
|
||||
open_int = struct.unpack_from("<I", result, 4)[0]
|
||||
assert open_int == 1523
|
||||
|
||||
def test_volume_encoding_a_stock(self) -> None:
|
||||
"""A股量系数 0.01。"""
|
||||
bar = _make_bar(vol=12345.67)
|
||||
result = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=0.01)
|
||||
vol_int = struct.unpack_from("<I", result, 24)[0]
|
||||
assert vol_int == 1234567
|
||||
|
||||
def test_volume_encoding_index(self) -> None:
|
||||
"""指数量系数 1.0。"""
|
||||
bar = _make_bar(vol=123456789.0)
|
||||
result = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=1.0)
|
||||
vol_int = struct.unpack_from("<I", result, 24)[0]
|
||||
assert vol_int == 123456789
|
||||
|
||||
def test_amount_as_float32(self) -> None:
|
||||
bar = _make_bar(amount=1_025_000.0)
|
||||
result = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=0.01)
|
||||
(amt_out,) = struct.unpack_from("<f", result, 20)
|
||||
assert abs(amt_out - 1_025_000.0) < 1.0
|
||||
|
||||
def test_reserved_is_zero(self) -> None:
|
||||
bar = _make_bar()
|
||||
result = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=0.01)
|
||||
reserved = struct.unpack_from("<I", result, 28)[0]
|
||||
assert reserved == 0
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# round-trip: encode → read back
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
class TestRoundTrip:
|
||||
"""编码后写文件，再读回，验证数据一致。"""
|
||||
|
||||
def test_single_bar_round_trip(self, tmp_path: Path) -> None:
|
||||
bar = _make_bar(
|
||||
open_=10.25, high=10.50, low=10.10, close=10.30, vol=100000.0, amount=1025000.0
|
||||
)
|
||||
encoded = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=0.01)
|
||||
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(encoded)
|
||||
|
||||
bars = read_daily_bars(filepath)
|
||||
assert len(bars) == 1
|
||||
|
||||
b = bars[0]
|
||||
assert b.year == 2026 and b.month == 6 and b.day == 6
|
||||
assert abs(b.open - 10.25) < 0.01
|
||||
assert abs(b.high - 10.50) < 0.01
|
||||
assert abs(b.low - 10.10) < 0.01
|
||||
assert abs(b.close - 10.30) < 0.01
|
||||
assert abs(b.vol - 100000.0) < 1.0
|
||||
assert abs(b.amount - 1025000.0) < 1.0
|
||||
|
||||
def test_multiple_bars_round_trip(self, tmp_path: Path) -> None:
|
||||
bars_in = [
|
||||
_make_bar(year=2026, month=6, day=4, open_=10.0, close=10.1),
|
||||
_make_bar(year=2026, month=6, day=5, open_=10.1, close=10.2),
|
||||
_make_bar(year=2026, month=6, day=6, open_=10.2, close=10.3),
|
||||
]
|
||||
encoded = b"".join(encode_daily_bar(b, price_coeff=0.01, vol_coeff=0.01) for b in bars_in)
|
||||
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(encoded)
|
||||
|
||||
bars_out = read_daily_bars(filepath)
|
||||
assert len(bars_out) == 3
|
||||
assert bars_out[0].day == 4
|
||||
assert bars_out[2].day == 6
|
||||
|
||||
def test_index_round_trip(self, tmp_path: Path) -> None:
|
||||
"""指数：价格系数 0.01，量系数 1.0。"""
|
||||
bar = _make_bar(open_=3250.18, close=3260.5, vol=123456789.0)
|
||||
encoded = encode_daily_bar(bar, price_coeff=0.01, vol_coeff=1.0)
|
||||
|
||||
filepath = tmp_path / "sh000001.day"
|
||||
filepath.write_bytes(encoded)
|
||||
|
||||
bars = read_daily_bars(filepath)
|
||||
assert len(bars) == 1
|
||||
assert abs(bars[0].open - 3250.18) < 0.01
|
||||
assert abs(bars[0].vol - 123456789.0) < 1.0
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# get_last_bar_date
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
class TestGetLastBarDate:
|
||||
def test_returns_last_date(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(_make_raw_bar(year=2026, month=6, day=5))
|
||||
assert get_last_bar_date(filepath) == 20260605
|
||||
|
||||
def test_returns_none_for_empty_file(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(b"")
|
||||
assert get_last_bar_date(filepath) is None
|
||||
|
||||
def test_returns_none_for_short_file(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(b"\x00" * 16) # < 32 bytes
|
||||
assert get_last_bar_date(filepath) is None
|
||||
|
||||
def test_returns_last_of_multiple(self, tmp_path: Path) -> None:
|
||||
data = (
|
||||
_make_raw_bar(year=2026, month=6, day=3)
|
||||
+ _make_raw_bar(year=2026, month=6, day=4)
|
||||
+ _make_raw_bar(year=2026, month=6, day=5)
|
||||
)
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(data)
|
||||
assert get_last_bar_date(filepath) == 20260605
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# append_daily_bars
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
class TestAppendDailyBars:
|
||||
def test_append_to_existing(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(_make_raw_bar(year=2026, month=6, day=5))
|
||||
|
||||
new_bar = _make_bar(year=2026, month=6, day=6, open_=10.3, close=10.4)
|
||||
append_daily_bars(filepath, [new_bar], price_coeff=0.01, vol_coeff=0.01)
|
||||
|
||||
bars = read_daily_bars(filepath)
|
||||
assert len(bars) == 2
|
||||
assert bars[0].day == 5
|
||||
assert bars[1].day == 6
|
||||
|
||||
def test_append_to_empty_file(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(b"")
|
||||
|
||||
new_bar = _make_bar(year=2026, month=6, day=6)
|
||||
append_daily_bars(filepath, [new_bar], price_coeff=0.01, vol_coeff=0.01)
|
||||
|
||||
bars = read_daily_bars(filepath)
|
||||
assert len(bars) == 1
|
||||
assert bars[0].day == 6
|
||||
|
||||
def test_append_skips_duplicate_date(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(_make_raw_bar(year=2026, month=6, day=6))
|
||||
|
||||
new_bar = _make_bar(year=2026, month=6, day=6) # same date
|
||||
written = append_daily_bars(filepath, [new_bar], price_coeff=0.01, vol_coeff=0.01)
|
||||
assert written == 0 # skipped
|
||||
|
||||
bars = read_daily_bars(filepath)
|
||||
assert len(bars) == 1 # no duplicate
|
||||
|
||||
def test_append_multiple_filters_duplicates(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(_make_raw_bar(year=2026, month=6, day=5))
|
||||
|
||||
bars_to_append = [
|
||||
_make_bar(year=2026, month=6, day=5), # dup
|
||||
_make_bar(year=2026, month=6, day=6), # new
|
||||
_make_bar(year=2026, month=6, day=7), # new
|
||||
]
|
||||
written = append_daily_bars(filepath, bars_to_append, price_coeff=0.01, vol_coeff=0.01)
|
||||
assert written == 2
|
||||
|
||||
bars = read_daily_bars(filepath)
|
||||
assert len(bars) == 3
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# sync_daily_bars_from_security_bars
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
class TestSyncDailyBars:
|
||||
"""模拟完整同步流程（不需要真实服务端，手动构造 SecurityBar 列表）。"""
|
||||
|
||||
def test_sync_appends_new_only(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
# 文件已有 6月4日和6月5日
|
||||
filepath.write_bytes(
|
||||
_make_raw_bar(year=2026, month=6, day=4) + _make_raw_bar(year=2026, month=6, day=5)
|
||||
)
|
||||
|
||||
# 模拟服务端返回的数据：6月3日~6月7日
|
||||
server_bars = [
|
||||
_make_bar(year=2026, month=6, day=3),
|
||||
_make_bar(year=2026, month=6, day=4),
|
||||
_make_bar(year=2026, month=6, day=5),
|
||||
_make_bar(year=2026, month=6, day=6),
|
||||
_make_bar(year=2026, month=6, day=7),
|
||||
]
|
||||
|
||||
written = sync_daily_bars_from_security_bars(
|
||||
filepath, server_bars, price_coeff=0.01, vol_coeff=0.01
|
||||
)
|
||||
assert written == 2 # only 6/6 and 6/7
|
||||
|
||||
bars = read_daily_bars(filepath)
|
||||
assert len(bars) == 4 # 6/4, 6/5 (original) + 6/6, 6/7 (new)
|
||||
|
||||
def test_sync_empty_file(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(b"")
|
||||
|
||||
server_bars = [
|
||||
_make_bar(year=2026, month=6, day=4),
|
||||
_make_bar(year=2026, month=6, day=5),
|
||||
]
|
||||
|
||||
written = sync_daily_bars_from_security_bars(
|
||||
filepath, server_bars, price_coeff=0.01, vol_coeff=0.01
|
||||
)
|
||||
assert written == 2
|
||||
|
||||
bars = read_daily_bars(filepath)
|
||||
assert len(bars) == 2
|
||||
|
||||
def test_sync_nothing_new(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.day"
|
||||
filepath.write_bytes(_make_raw_bar(year=2026, month=6, day=7))
|
||||
|
||||
server_bars = [
|
||||
_make_bar(year=2026, month=6, day=6),
|
||||
_make_bar(year=2026, month=6, day=7),
|
||||
]
|
||||
|
||||
written = sync_daily_bars_from_security_bars(
|
||||
filepath, server_bars, price_coeff=0.01, vol_coeff=0.01
|
||||
)
|
||||
assert written == 0
|
||||
@@ -0,0 +1,190 @@
|
||||
"""离线扩展市场日线写入测试（纯离线，无网络）。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import struct
|
||||
from pathlib import Path
|
||||
|
||||
from easy_tdx.offline.ex_daily_bar import _EX_DAILY_FMT, ExDailyBar, read_ex_daily_bars
|
||||
from easy_tdx.offline.write_ex_daily import (
|
||||
append_ex_daily_bars,
|
||||
encode_ex_daily_bar,
|
||||
get_last_ex_bar_date,
|
||||
sync_ex_daily_bars,
|
||||
)
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# helpers
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def _make_ex_bar(
|
||||
year: int = 2026,
|
||||
month: int = 6,
|
||||
day: int = 6,
|
||||
open_: float = 3500.0,
|
||||
high: float = 3550.0,
|
||||
low: float = 3480.0,
|
||||
close: float = 3520.0,
|
||||
amount: int = 123456,
|
||||
vol: int = 98765,
|
||||
settlement: float = 3510.0,
|
||||
) -> ExDailyBar:
|
||||
return ExDailyBar(
|
||||
open=open_,
|
||||
close=close,
|
||||
high=high,
|
||||
low=low,
|
||||
amount=amount,
|
||||
vol=vol,
|
||||
settlement=settlement,
|
||||
hk_stock_amount=0.0,
|
||||
year=year,
|
||||
month=month,
|
||||
day=day,
|
||||
)
|
||||
|
||||
|
||||
def _make_raw_ex_bar(
|
||||
year: int = 2026,
|
||||
month: int = 6,
|
||||
day: int = 6,
|
||||
open_: float = 3500.0,
|
||||
high: float = 3550.0,
|
||||
low: float = 3480.0,
|
||||
close: float = 3520.0,
|
||||
amount: int = 123456,
|
||||
vol: int = 98765,
|
||||
settlement: float = 3510.0,
|
||||
) -> bytes:
|
||||
date_int = year * 10000 + month * 100 + day
|
||||
return _EX_DAILY_FMT.pack(date_int, open_, high, low, close, amount, vol, settlement)
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# encode_ex_daily_bar
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
class TestEncodeExDailyBar:
|
||||
def test_output_length(self) -> None:
|
||||
bar = _make_ex_bar()
|
||||
result = encode_ex_daily_bar(bar)
|
||||
assert len(result) == 32
|
||||
|
||||
def test_date_encoding(self) -> None:
|
||||
bar = _make_ex_bar(year=2025, month=12, day=25)
|
||||
result = encode_ex_daily_bar(bar)
|
||||
date_int = struct.unpack_from("<I", result, 0)[0]
|
||||
assert date_int == 20251225
|
||||
|
||||
def test_float_prices_preserved(self) -> None:
|
||||
bar = _make_ex_bar(open_=3500.5, high=3560.25, low=3479.75, close=3520.0)
|
||||
result = encode_ex_daily_bar(bar)
|
||||
op, hi, lo, cl = struct.unpack_from("<ffff", result, 4)
|
||||
assert abs(op - 3500.5) < 0.01
|
||||
assert abs(hi - 3560.25) < 0.01
|
||||
assert abs(lo - 3479.75) < 0.01
|
||||
assert abs(cl - 3520.0) < 0.01
|
||||
|
||||
def test_settlement_encoding(self) -> None:
|
||||
bar = _make_ex_bar(settlement=3510.5)
|
||||
result = encode_ex_daily_bar(bar)
|
||||
(sett,) = struct.unpack_from("<f", result, 28)
|
||||
assert abs(sett - 3510.5) < 0.01
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# round-trip
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
class TestExRoundTrip:
|
||||
def test_single_bar_round_trip(self, tmp_path: Path) -> None:
|
||||
bar = _make_ex_bar(open_=3500.0, close=3520.0, vol=98765)
|
||||
encoded = encode_ex_daily_bar(bar)
|
||||
|
||||
filepath = tmp_path / "29#A1801.day"
|
||||
filepath.write_bytes(encoded)
|
||||
|
||||
bars = read_ex_daily_bars(filepath)
|
||||
assert len(bars) == 1
|
||||
b = bars[0]
|
||||
assert b.year == 2026 and b.month == 6 and b.day == 6
|
||||
assert abs(b.open - 3500.0) < 0.01
|
||||
assert abs(b.close - 3520.0) < 0.01
|
||||
assert b.vol == 98765
|
||||
|
||||
def test_multiple_bars_round_trip(self, tmp_path: Path) -> None:
|
||||
bars_in = [
|
||||
_make_ex_bar(year=2026, month=6, day=4, open_=3400.0),
|
||||
_make_ex_bar(year=2026, month=6, day=5, open_=3450.0),
|
||||
_make_ex_bar(year=2026, month=6, day=6, open_=3500.0),
|
||||
]
|
||||
encoded = b"".join(encode_ex_daily_bar(b) for b in bars_in)
|
||||
|
||||
filepath = tmp_path / "29#A1801.day"
|
||||
filepath.write_bytes(encoded)
|
||||
|
||||
bars_out = read_ex_daily_bars(filepath)
|
||||
assert len(bars_out) == 3
|
||||
assert bars_out[0].day == 4
|
||||
assert bars_out[2].day == 6
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# get_last_ex_bar_date
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
class TestGetLastExBarDate:
|
||||
def test_returns_last_date(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "test.day"
|
||||
filepath.write_bytes(_make_raw_ex_bar(year=2026, month=6, day=5))
|
||||
assert get_last_ex_bar_date(filepath) == 20260605
|
||||
|
||||
def test_returns_none_for_empty(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "test.day"
|
||||
filepath.write_bytes(b"")
|
||||
assert get_last_ex_bar_date(filepath) is None
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# append & sync
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
class TestAppendExDailyBars:
|
||||
def test_append_to_existing(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "test.day"
|
||||
filepath.write_bytes(_make_raw_ex_bar(year=2026, month=6, day=5))
|
||||
|
||||
new_bar = _make_ex_bar(year=2026, month=6, day=6)
|
||||
written = append_ex_daily_bars(filepath, [new_bar])
|
||||
assert written == 1
|
||||
|
||||
bars = read_ex_daily_bars(filepath)
|
||||
assert len(bars) == 2
|
||||
|
||||
def test_skips_duplicate(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "test.day"
|
||||
filepath.write_bytes(_make_raw_ex_bar(year=2026, month=6, day=6))
|
||||
|
||||
new_bar = _make_ex_bar(year=2026, month=6, day=6)
|
||||
written = append_ex_daily_bars(filepath, [new_bar])
|
||||
assert written == 0
|
||||
|
||||
def test_sync_filters_correctly(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "test.day"
|
||||
filepath.write_bytes(_make_raw_ex_bar(year=2026, month=6, day=5))
|
||||
|
||||
server_bars = [
|
||||
_make_ex_bar(year=2026, month=6, day=4),
|
||||
_make_ex_bar(year=2026, month=6, day=5),
|
||||
_make_ex_bar(year=2026, month=6, day=6),
|
||||
]
|
||||
written = sync_ex_daily_bars(filepath, server_bars)
|
||||
assert written == 1
|
||||
|
||||
bars = read_ex_daily_bars(filepath)
|
||||
assert len(bars) == 2
|
||||
@@ -0,0 +1,276 @@
|
||||
"""离线分钟线写入测试（纯离线，无网络）。"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import struct
|
||||
from pathlib import Path
|
||||
|
||||
from easy_tdx.models.bar import SecurityBar
|
||||
from easy_tdx.offline.min_bar import (
|
||||
_LC_MIN_FMT,
|
||||
_MIN_FMT,
|
||||
_decode_tdx_date,
|
||||
_decode_tdx_time,
|
||||
read_5min_bars,
|
||||
read_lc_min_bars,
|
||||
)
|
||||
from easy_tdx.offline.write_min_bar import (
|
||||
append_5min_bars,
|
||||
append_lc_min_bars,
|
||||
encode_5min_bar,
|
||||
encode_lc_min_bar,
|
||||
get_last_5min_bar_datetime,
|
||||
get_last_lc_min_bar_datetime,
|
||||
)
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# helpers
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
def _make_min_bar(
|
||||
year: int = 2026,
|
||||
month: int = 6,
|
||||
day: int = 6,
|
||||
hour: int = 9,
|
||||
minute: int = 30,
|
||||
open_: float = 10.25,
|
||||
high: float = 10.50,
|
||||
low: float = 10.10,
|
||||
close: float = 10.30,
|
||||
vol: float = 5000.0,
|
||||
amount: float = 51250.0,
|
||||
) -> SecurityBar:
|
||||
return SecurityBar(
|
||||
open=open_,
|
||||
close=close,
|
||||
high=high,
|
||||
low=low,
|
||||
vol=vol,
|
||||
amount=amount,
|
||||
year=year,
|
||||
month=month,
|
||||
day=day,
|
||||
hour=hour,
|
||||
minute=minute,
|
||||
)
|
||||
|
||||
|
||||
def _encode_tdx_date(year: int, month: int, day: int) -> int:
|
||||
return (year - 2004) * 2048 + month * 100 + day
|
||||
|
||||
|
||||
def _encode_tdx_time(hour: int, minute: int) -> int:
|
||||
return hour * 60 + minute
|
||||
|
||||
|
||||
def _make_raw_5min_bar(
|
||||
year: int = 2026,
|
||||
month: int = 6,
|
||||
day: int = 6,
|
||||
hour: int = 9,
|
||||
minute: int = 30,
|
||||
open_int: int = 1025,
|
||||
high_int: int = 1050,
|
||||
low_int: int = 1010,
|
||||
close_int: int = 1030,
|
||||
amount: float = 51250.0,
|
||||
vol_int: int = 5000,
|
||||
) -> bytes:
|
||||
return _MIN_FMT.pack(
|
||||
_encode_tdx_date(year, month, day),
|
||||
_encode_tdx_time(hour, minute),
|
||||
open_int,
|
||||
high_int,
|
||||
low_int,
|
||||
close_int,
|
||||
amount,
|
||||
vol_int,
|
||||
0,
|
||||
)
|
||||
|
||||
|
||||
def _make_raw_lc_min_bar(
|
||||
year: int = 2026,
|
||||
month: int = 6,
|
||||
day: int = 6,
|
||||
hour: int = 9,
|
||||
minute: int = 30,
|
||||
open_: float = 10.25,
|
||||
high: float = 10.50,
|
||||
low: float = 10.10,
|
||||
close: float = 10.30,
|
||||
amount: float = 51250.0,
|
||||
vol: int = 5000,
|
||||
) -> bytes:
|
||||
return _LC_MIN_FMT.pack(
|
||||
_encode_tdx_date(year, month, day),
|
||||
_encode_tdx_time(hour, minute),
|
||||
open_,
|
||||
high,
|
||||
low,
|
||||
close,
|
||||
amount,
|
||||
vol,
|
||||
0,
|
||||
)
|
||||
|
||||
|
||||
# ===========================================================================
|
||||
# .5 文件 (5 分钟线)
|
||||
# ===========================================================================
|
||||
|
||||
|
||||
class TestEncode5minBar:
|
||||
def test_output_length(self) -> None:
|
||||
bar = _make_min_bar()
|
||||
result = encode_5min_bar(bar)
|
||||
assert len(result) == 32
|
||||
|
||||
def test_date_encoding(self) -> None:
|
||||
bar = _make_min_bar(year=2026, month=6, day=5)
|
||||
result = encode_5min_bar(bar)
|
||||
date_num = struct.unpack_from("<H", result, 0)[0]
|
||||
yr, mo, dy = _decode_tdx_date(date_num)
|
||||
assert (yr, mo, dy) == (2026, 6, 5)
|
||||
|
||||
def test_time_encoding(self) -> None:
|
||||
bar = _make_min_bar(hour=14, minute=30)
|
||||
result = encode_5min_bar(bar)
|
||||
time_num = struct.unpack_from("<H", result, 2)[0]
|
||||
h, m = _decode_tdx_time(time_num)
|
||||
assert (h, m) == (14, 30)
|
||||
|
||||
def test_price_encoding(self) -> None:
|
||||
"""5 分钟线 OHLC 整数 × 100。"""
|
||||
bar = _make_min_bar(open_=10.25)
|
||||
result = encode_5min_bar(bar)
|
||||
open_int = struct.unpack_from("<I", result, 4)[0]
|
||||
assert open_int == 1025
|
||||
|
||||
|
||||
class Test5minRoundTrip:
|
||||
def test_single_bar_round_trip(self, tmp_path: Path) -> None:
|
||||
bar = _make_min_bar(open_=10.25, close=10.30, vol=5000.0, amount=51250.0)
|
||||
encoded = encode_5min_bar(bar)
|
||||
|
||||
filepath = tmp_path / "sh600000.5"
|
||||
filepath.write_bytes(encoded)
|
||||
|
||||
bars = read_5min_bars(filepath)
|
||||
assert len(bars) == 1
|
||||
b = bars[0]
|
||||
assert abs(b.open - 10.25) < 0.01
|
||||
assert abs(b.close - 10.30) < 0.01
|
||||
assert abs(b.vol - 5000.0) < 1.0
|
||||
assert b.hour == 9 and b.minute == 30
|
||||
|
||||
def test_multiple_bars(self, tmp_path: Path) -> None:
|
||||
bars_in = [
|
||||
_make_min_bar(hour=9, minute=30),
|
||||
_make_min_bar(hour=9, minute=35),
|
||||
_make_min_bar(hour=9, minute=40),
|
||||
]
|
||||
encoded = b"".join(encode_5min_bar(b) for b in bars_in)
|
||||
|
||||
filepath = tmp_path / "sh600000.5"
|
||||
filepath.write_bytes(encoded)
|
||||
|
||||
bars_out = read_5min_bars(filepath)
|
||||
assert len(bars_out) == 3
|
||||
assert bars_out[0].minute == 30
|
||||
assert bars_out[2].minute == 40
|
||||
|
||||
|
||||
class TestGetLast5minBarDatetime:
|
||||
def test_returns_last_datetime(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.5"
|
||||
filepath.write_bytes(_make_raw_5min_bar(year=2026, month=6, day=5, hour=15, minute=0))
|
||||
result = get_last_5min_bar_datetime(filepath)
|
||||
assert result == (2026, 6, 5, 15, 0)
|
||||
|
||||
def test_returns_none_for_empty(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.5"
|
||||
filepath.write_bytes(b"")
|
||||
assert get_last_5min_bar_datetime(filepath) is None
|
||||
|
||||
|
||||
class TestAppend5minBars:
|
||||
def test_append_to_existing(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.5"
|
||||
filepath.write_bytes(_make_raw_5min_bar(hour=9, minute=30))
|
||||
|
||||
new_bar = _make_min_bar(hour=9, minute=35)
|
||||
written = append_5min_bars(filepath, [new_bar])
|
||||
assert written == 1
|
||||
|
||||
bars = read_5min_bars(filepath)
|
||||
assert len(bars) == 2
|
||||
|
||||
def test_skips_duplicate(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.5"
|
||||
filepath.write_bytes(_make_raw_5min_bar(hour=9, minute=30))
|
||||
|
||||
new_bar = _make_min_bar(hour=9, minute=30) # same datetime
|
||||
written = append_5min_bars(filepath, [new_bar])
|
||||
assert written == 0
|
||||
|
||||
|
||||
# ===========================================================================
|
||||
# .lc1 / .lc5 文件
|
||||
# ===========================================================================
|
||||
|
||||
|
||||
class TestEncodeLcMinBar:
|
||||
def test_output_length(self) -> None:
|
||||
bar = _make_min_bar()
|
||||
result = encode_lc_min_bar(bar)
|
||||
assert len(result) == 32
|
||||
|
||||
def test_float_prices_preserved(self) -> None:
|
||||
bar = _make_min_bar(open_=10.255)
|
||||
result = encode_lc_min_bar(bar)
|
||||
(op,) = struct.unpack_from("<f", result, 4)
|
||||
assert abs(op - 10.255) < 0.001
|
||||
|
||||
|
||||
class TestLcMinRoundTrip:
|
||||
def test_single_bar_round_trip(self, tmp_path: Path) -> None:
|
||||
bar = _make_min_bar(open_=10.255, close=10.31, vol=5000.0, amount=51250.0)
|
||||
encoded = encode_lc_min_bar(bar)
|
||||
|
||||
filepath = tmp_path / "sh600000.lc1"
|
||||
filepath.write_bytes(encoded)
|
||||
|
||||
bars = read_lc_min_bars(filepath)
|
||||
assert len(bars) == 1
|
||||
b = bars[0]
|
||||
assert abs(b.open - 10.255) < 0.001
|
||||
assert abs(b.close - 10.31) < 0.001
|
||||
assert b.hour == 9 and b.minute == 30
|
||||
|
||||
|
||||
class TestGetLastLcMinBarDatetime:
|
||||
def test_returns_last_datetime(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.lc1"
|
||||
filepath.write_bytes(_make_raw_lc_min_bar(year=2026, month=6, day=5, hour=14, minute=55))
|
||||
result = get_last_lc_min_bar_datetime(filepath)
|
||||
assert result == (2026, 6, 5, 14, 55)
|
||||
|
||||
def test_returns_none_for_empty(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.lc1"
|
||||
filepath.write_bytes(b"")
|
||||
assert get_last_lc_min_bar_datetime(filepath) is None
|
||||
|
||||
|
||||
class TestAppendLcMinBars:
|
||||
def test_append_to_existing(self, tmp_path: Path) -> None:
|
||||
filepath = tmp_path / "sh600000.lc1"
|
||||
filepath.write_bytes(_make_raw_lc_min_bar(hour=9, minute=30))
|
||||
|
||||
new_bar = _make_min_bar(hour=9, minute=31)
|
||||
written = append_lc_min_bars(filepath, [new_bar])
|
||||
assert written == 1
|
||||
|
||||
bars = read_lc_min_bars(filepath)
|
||||
assert len(bars) == 2
|
||||
Reference in New Issue
Block a user