mirror of
https://ghfast.top/https://github.com/aeroxw/easy_tdx_max.git
synced 2026-09-12 16:54:20 +08:00
Add live fallbacks for history fund flow and price limits
This commit is contained in:
M
+240
-99
@@ -1,11 +1,13 @@
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"""高层行情 API：TdxClient（同步）和 AsyncTdxClient（asyncio）。"""
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import asyncio
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from collections.abc import Awaitable, Callable
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from types import TracebackType
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from typing import TypeVar
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from .codec.block import parse_block_dat
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from .codec.industry import parse_tdxhy_cfg
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from .codec.price_rules import compute_price_limits, get_no_limit_window_days
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from .commands.base import BaseCommand
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from .commands.block_info import GetBlockInfoCmd, GetBlockInfoMetaCmd
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from .commands.company_info import GetCompanyInfoCategoryCmd, GetCompanyInfoContentCmd
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@@ -34,6 +36,83 @@ _DEFAULT_PORT = 7709
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_T = TypeVar("_T")
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def _record_signature(
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record: TransactionRecord,
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) -> tuple[int, int, float, int, int, int]:
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return (
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record.hour,
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record.minute,
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record.price,
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record.vol,
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record.buyorsell,
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record.unknown_last,
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)
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def _page_signature(
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records: list[TransactionRecord],
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) -> tuple[tuple[int, int, float, int, int, int], tuple[int, int, float, int, int, int]]:
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return (_record_signature(records[0]), _record_signature(records[-1]))
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def _classify_fund_flow(records: list[TransactionRecord]) -> FundFlow:
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stats = {
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"super_in": 0.0,
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"large_in": 0.0,
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"medium_in": 0.0,
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"small_in": 0.0,
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"super_out": 0.0,
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"large_out": 0.0,
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"medium_out": 0.0,
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"small_out": 0.0,
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}
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for record in records:
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amount = record.price * record.vol * 100.0
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direction = (
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"in" if record.buyorsell == 0 else "out" if record.buyorsell == 1 else None
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)
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if not direction:
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continue
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if amount >= 1_000_000:
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stats[f"super_{direction}"] += amount
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elif amount >= 200_000:
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stats[f"large_{direction}"] += amount
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elif amount >= 40_000:
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stats[f"medium_{direction}"] += amount
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else:
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stats[f"small_{direction}"] += amount
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return FundFlow(**stats)
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def _date_from_bar(bar: SecurityBar) -> int:
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return bar.year * 10000 + bar.month * 100 + bar.day
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def _historical_fund_flow_from_records(
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date: int, records: list[TransactionRecord]
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) -> HistoricalFundFlow:
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flow = _classify_fund_flow(records)
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year = date // 10000
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month = (date // 100) % 100
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day = date % 100
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return HistoricalFundFlow(
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year=year,
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month=month,
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day=day,
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super_in=flow.super_in,
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super_out=flow.super_out,
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large_in=flow.large_in,
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large_out=flow.large_out,
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medium_in=flow.medium_in,
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medium_out=flow.medium_out,
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small_in=flow.small_in,
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small_out=flow.small_out,
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)
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# ============================================================
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# 同步客户端
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# ============================================================
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@@ -195,6 +274,32 @@ class TdxClient:
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"""批量获取实时五档行情（最多80只/次）。"""
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return self._execute(GetSecurityQuotesCmd(stocks))
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def get_price_limits(
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self, market: Market, code: str, name: str, pre_close: float
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) -> tuple[float | None, float | None]:
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"""按当前交易状态计算涨跌停价。
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对上市初期不设涨跌幅限制的标的，会先用日 K 线条数估算已上市交易天数。
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"""
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listed_days: int | None = None
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no_limit_window_days = get_no_limit_window_days(market, code, name)
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if no_limit_window_days > 0:
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try:
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bars = self.get_security_bars(
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market, code, KlineCategory.DAY, 0, no_limit_window_days + 1
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)
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listed_days = len(bars)
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except Exception:
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listed_days = None
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return compute_price_limits(
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market,
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code,
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name,
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pre_close,
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listed_days=listed_days,
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)
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# ------------------------------------------------------------------ #
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# K 线
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# ------------------------------------------------------------------ #
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@@ -340,81 +445,84 @@ class TdxClient:
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total_volume=q.vol,
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)
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def get_fund_flow(self, market: Market, code: str) -> FundFlow:
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"""获取个股当日资金流向分布（基于 L1 逐笔数据统计）。"""
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# 1. 分页拉取当日分笔并去重
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def _collect_transaction_records(
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self,
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fetch_page: Callable[[int, int], list[TransactionRecord]],
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page_size: int,
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max_start: int = 10000,
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) -> list[TransactionRecord]:
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all_recs: list[TransactionRecord] = []
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seen_sig = set()
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seen_page_sigs = set()
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seen_sig: set[tuple[int, int, float, int, int, int]] = set()
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seen_page_sigs: set[
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tuple[
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tuple[int, int, float, int, int, int],
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tuple[int, int, float, int, int, int],
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]
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] = set()
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start = 0
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while start < 10000:
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recs = self.get_transaction_data(market, code, start, 2000)
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while start < max_start:
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recs = fetch_page(start, page_size)
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if not recs:
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break
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# 页签名判断：首尾记录组合
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page_sig = (
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(
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recs[0].hour, recs[0].minute, recs[0].price,
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recs[0].vol, recs[0].buyorsell, recs[0].unknown_last
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),
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(
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recs[-1].hour, recs[-1].minute, recs[-1].price,
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recs[-1].vol, recs[-1].buyorsell, recs[-1].unknown_last
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),
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)
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page_sig = _page_signature(recs)
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if page_sig in seen_page_sigs:
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break
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seen_page_sigs.add(page_sig)
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new_count = 0
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for r in recs:
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sig = (r.hour, r.minute, r.price, r.vol, r.buyorsell, r.unknown_last)
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for record in recs:
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sig = _record_signature(record)
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if sig not in seen_sig:
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seen_sig.add(sig)
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all_recs.append(r)
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all_recs.append(record)
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new_count += 1
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if new_count == 0:
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break
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start += len(recs)
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if len(recs) < 100:
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break
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# 2. 统计逻辑
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# A 股标准：超大(>100w), 大单(20w-100w), 中单(4w-20w), 小单(<4w)
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stats = {
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"super_in": 0.0, "large_in": 0.0, "medium_in": 0.0, "small_in": 0.0,
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"super_out": 0.0, "large_out": 0.0, "medium_out": 0.0, "small_out": 0.0,
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}
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for r in all_recs:
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amount = r.price * r.vol * 100.0 # A股 1手=100股
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direction = "in" if r.buyorsell == 0 else "out" if r.buyorsell == 1 else None
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if not direction:
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continue
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if amount >= 1000000:
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stats[f"super_{direction}"] += amount
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elif amount >= 200000:
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stats[f"large_{direction}"] += amount
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elif amount >= 40000:
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stats[f"medium_{direction}"] += amount
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else:
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stats[f"small_{direction}"] += amount
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return FundFlow(**stats)
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return all_recs
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def get_fund_flow(self, market: Market, code: str) -> FundFlow:
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"""获取个股当日资金流向分布（基于 L1 逐笔数据统计）。"""
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records = self._collect_transaction_records(
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lambda start, page_size: self.get_transaction_data(market, code, start, page_size),
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2000,
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)
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return _classify_fund_flow(records)
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def get_history_fund_flow(
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self, market: Market, code: str, start: int, count: int
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) -> list[HistoricalFundFlow]:
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"""获取个股历史日线资金流向序列（Category 22）。
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"""获取个股历史日线资金流向序列。
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[EXPERIMENTAL] 当前多台公开主机对该请求仍可能返回空列表。
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优先走 Category 22 直连接口；若服务器返回空列表，则自动回退为
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“日 K 线取日期 + 历史逐笔成交重算资金流”的兼容实现。
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"""
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return self._execute(GetHistoryFundFlowCmd(market, code, start, count))
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try:
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direct = self._execute(GetHistoryFundFlowCmd(market, code, start, count))
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except Exception:
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direct = []
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if direct:
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return direct
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bars = self.get_security_bars(market, code, KlineCategory.DAY, start, count)
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results: list[HistoricalFundFlow] = []
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for bar in bars:
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date = _date_from_bar(bar)
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records = self._collect_transaction_records(
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lambda page_start, page_size: self.get_history_transaction_data(
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market, code, date, page_start, page_size
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),
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800,
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)
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results.append(_historical_fund_flow_from_records(date, records))
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return results
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# ============================================================
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@@ -588,6 +696,29 @@ class AsyncTdxClient:
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) -> list[SecurityQuote]:
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return await self._execute(GetSecurityQuotesCmd(stocks))
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async def get_price_limits(
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self, market: Market, code: str, name: str, pre_close: float
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) -> tuple[float | None, float | None]:
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"""按当前交易状态计算涨跌停价。"""
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listed_days: int | None = None
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no_limit_window_days = get_no_limit_window_days(market, code, name)
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if no_limit_window_days > 0:
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try:
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bars = await self.get_security_bars(
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market, code, KlineCategory.DAY, 0, no_limit_window_days + 1
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)
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listed_days = len(bars)
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except Exception:
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listed_days = None
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return compute_price_limits(
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market,
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code,
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name,
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pre_close,
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listed_days=listed_days,
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)
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async def get_security_bars(
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self,
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market: Market,
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@@ -703,73 +834,83 @@ class AsyncTdxClient:
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total_volume=q.vol,
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)
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async def get_fund_flow(self, market: Market, code: str) -> FundFlow:
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"""获取个股当日资金流向分布（基于 L1 逐笔数据统计）。"""
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# 1. 分页拉取当日分笔并去重
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async def _collect_transaction_records(
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self,
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fetch_page: Callable[[int, int], Awaitable[list[TransactionRecord]]],
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page_size: int,
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max_start: int = 10000,
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) -> list[TransactionRecord]:
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all_recs: list[TransactionRecord] = []
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seen_sig = set()
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seen_page_sigs = set()
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seen_sig: set[tuple[int, int, float, int, int, int]] = set()
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seen_page_sigs: set[
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tuple[
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tuple[int, int, float, int, int, int],
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tuple[int, int, float, int, int, int],
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]
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] = set()
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start = 0
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while start < 10000:
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recs = await self.get_transaction_data(market, code, start, 2000)
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while start < max_start:
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recs = await fetch_page(start, page_size)
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if not recs:
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break
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# 页签名判断：首尾记录组合
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page_sig = (
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(
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recs[0].hour, recs[0].minute, recs[0].price,
|
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recs[0].vol, recs[0].buyorsell, recs[0].unknown_last
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),
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(
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recs[-1].hour, recs[-1].minute, recs[-1].price,
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recs[-1].vol, recs[-1].buyorsell, recs[-1].unknown_last
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),
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)
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page_sig = _page_signature(recs)
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if page_sig in seen_page_sigs:
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break
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seen_page_sigs.add(page_sig)
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new_count = 0
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for r in recs:
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sig = (r.hour, r.minute, r.price, r.vol, r.buyorsell, r.unknown_last)
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for record in recs:
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sig = _record_signature(record)
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if sig not in seen_sig:
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seen_sig.add(sig)
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all_recs.append(r)
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all_recs.append(record)
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new_count += 1
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if new_count == 0:
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break
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start += len(recs)
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if len(recs) < 100:
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break
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stats = {
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"super_in": 0.0, "large_in": 0.0, "medium_in": 0.0, "small_in": 0.0,
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"super_out": 0.0, "large_out": 0.0, "medium_out": 0.0, "small_out": 0.0,
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}
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for r in all_recs:
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amount = r.price * r.vol * 100.0
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direction = "in" if r.buyorsell == 0 else "out" if r.buyorsell == 1 else None
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if not direction:
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continue
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if amount >= 1000000:
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stats[f"super_{direction}"] += amount
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elif amount >= 200000:
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stats[f"large_{direction}"] += amount
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elif amount >= 40000:
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stats[f"medium_{direction}"] += amount
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else:
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stats[f"small_{direction}"] += amount
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return FundFlow(**stats)
|
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|
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return all_recs
|
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|
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async def get_fund_flow(self, market: Market, code: str) -> FundFlow:
|
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"""获取个股当日资金流向分布（基于 L1 逐笔数据统计）。"""
|
||||
records = await self._collect_transaction_records(
|
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lambda start, page_size: self.get_transaction_data(
|
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market, code, start, page_size
|
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),
|
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2000,
|
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)
|
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return _classify_fund_flow(records)
|
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|
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async def get_history_fund_flow(
|
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self, market: Market, code: str, start: int, count: int
|
||||
) -> list[HistoricalFundFlow]:
|
||||
"""获取个股历史日线资金流向序列（Category 22）。
|
||||
"""获取个股历史日线资金流向序列。
|
||||
|
||||
[EXPERIMENTAL] 当前多台公开主机对该请求仍可能返回空列表。
|
||||
优先走 Category 22 直连接口；若服务器返回空列表，则自动回退为
|
||||
“日 K 线取日期 + 历史逐笔成交重算资金流”的兼容实现。
|
||||
"""
|
||||
return await self._execute(GetHistoryFundFlowCmd(market, code, start, count))
|
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try:
|
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direct = await self._execute(GetHistoryFundFlowCmd(market, code, start, count))
|
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except Exception:
|
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direct = []
|
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if direct:
|
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return direct
|
||||
|
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bars = await self.get_security_bars(market, code, KlineCategory.DAY, start, count)
|
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results: list[HistoricalFundFlow] = []
|
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for bar in bars:
|
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date = _date_from_bar(bar)
|
||||
records = await self._collect_transaction_records(
|
||||
lambda page_start, page_size: self.get_history_transaction_data(
|
||||
market, code, date, page_start, page_size
|
||||
),
|
||||
800,
|
||||
)
|
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results.append(_historical_fund_flow_from_records(date, records))
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return results
|
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|
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@@ -4,12 +4,46 @@ from ..models.enums import Market
|
||||
from ..models.finance import FinanceInfo
|
||||
|
||||
|
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def get_no_limit_window_days(market: Market, code: str, name: str) -> int:
|
||||
"""返回上市初期不设涨跌幅限制的交易日窗口。
|
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|
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返回值:
|
||||
0: 默认按常规涨跌幅限制处理
|
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1: 北交所上市首日不设涨跌幅限制
|
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5: 沪深主板/创业板/科创板上市前 5 个交易日不设涨跌幅限制
|
||||
"""
|
||||
if _is_index_like(market, code, name):
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return 0
|
||||
|
||||
if code.startswith(("43", "83", "87", "92")):
|
||||
return 1
|
||||
|
||||
if market == Market.SH and code.startswith(("60", "68")):
|
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return 5
|
||||
if market == Market.SZ and code.startswith(("00", "30")):
|
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return 5
|
||||
|
||||
return 0
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||||
|
||||
|
||||
def _is_index_like(market: Market, code: str, name: str) -> bool:
|
||||
"""判断是否为指数/板块类代码。"""
|
||||
if market == Market.SH and code.startswith(
|
||||
("000", "880", "881", "882", "883", "884", "885", "999")
|
||||
):
|
||||
return True
|
||||
if market == Market.SZ and code.startswith(("395", "399")):
|
||||
return True
|
||||
return "指数" in name or "板块" in name
|
||||
|
||||
|
||||
def compute_price_limits(
|
||||
market: Market,
|
||||
code: str,
|
||||
name: str,
|
||||
pre_close: float,
|
||||
finance_info: FinanceInfo | None = None,
|
||||
listed_days: int | None = None,
|
||||
) -> tuple[float | None, float | None]:
|
||||
"""根据板块规则计算涨跌停价。
|
||||
|
||||
@@ -17,6 +51,11 @@ def compute_price_limits(
|
||||
(limit_up, limit_down)
|
||||
|
||||
无涨跌幅限制或当前规则无法可靠判断时返回 ``(None, None)``。
|
||||
|
||||
Args:
|
||||
listed_days:
|
||||
已上市交易天数（按交易日计，首日=1）。
|
||||
若提供该值，函数会按上市初期无涨跌幅限制规则优先返回 ``(None, None)``。
|
||||
"""
|
||||
if pre_close <= 0:
|
||||
return None, None
|
||||
@@ -24,18 +63,11 @@ def compute_price_limits(
|
||||
upper_name = name.upper()
|
||||
|
||||
# 指数/板块类代码通常无涨跌停。
|
||||
# 这里优先用明确的指数代码段判断，再用名称兜底，避免把真实股票误判成指数。
|
||||
is_index = False
|
||||
if market == Market.SH and code.startswith(
|
||||
("000", "880", "881", "882", "883", "884", "885", "999")
|
||||
):
|
||||
is_index = True
|
||||
elif market == Market.SZ and code.startswith(("395", "399")):
|
||||
is_index = True
|
||||
elif "指数" in name or "板块" in name:
|
||||
is_index = True
|
||||
if _is_index_like(market, code, name):
|
||||
return None, None
|
||||
|
||||
if is_index:
|
||||
no_limit_window_days = get_no_limit_window_days(market, code, name)
|
||||
if listed_days is not None and 0 < listed_days <= no_limit_window_days:
|
||||
return None, None
|
||||
|
||||
limit_pct = 0.10 # 默认 10%
|
||||
@@ -50,7 +82,7 @@ def compute_price_limits(
|
||||
elif code.startswith(("43", "83", "87", "92")):
|
||||
limit_pct = 0.30
|
||||
|
||||
# TODO: 上市前 5 日无涨跌幅限制判断（需要 ipo_date 或更明确的上市状态标识）。
|
||||
# `listed_days` 是更可靠的交易日维度输入；finance_info 仍保留给上层调用方扩展。
|
||||
_ = finance_info
|
||||
|
||||
def _round_price(p: float) -> float:
|
||||
|
||||
Reference in New Issue
Block a user