mirror of
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feat: add extended market, offline data reader, rewrite README
- Add ExTdxClient/AsyncExTdxClient for futures, HK stocks, etc (port 7727) - Add offline module: read daily bars, minute bars, blocks, gbbq, financials from local TDX installation directory (inspired by pytdx) - Add examples 09 (file download) and 10 (offline data reading) - Rewrite README with comprehensive API docs and code examples - Add TdxFileNotFoundError and TdxOfflineError exceptions Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
This commit is contained in:
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co-authored by
Claude Opus 4.7
Claude Opus 4.7
parent
321043f9a5
commit
9c5672b4d2
@@ -1,28 +1,27 @@
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# xmtdx
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通达信 TCP 协议 A 股行情数据客户端，零运行时依赖。
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通达信 TCP 协议行情数据客户端，零运行时依赖。支持在线行情获取和离线本地数据读取。
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pytdx 年久失修：多处已知解析 bug、Python 2 包袱、无类型注解、大量未知字段被静默丢弃。xmtdx 重新实现协议，修复已知 bug，保留全部原始字节与未知字段供后续逆向分析。
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离线数据读取模块借鉴了 [pytdx](https://github.com/rainx/pytdx) 的数据格式解析方法，感谢 pytdx 项目的贡献。
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## 特性
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- **零依赖**：纯标准库，Python ≥ 3.10
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- **零依赖**：纯标准库，Python >= 3.10
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- **同步 + asyncio 双接口**：`TdxClient` / `AsyncTdxClient`，commands 层不含任何 IO
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- **完整类型注解**：strict `mypy` + `ruff` 通过
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- **高可用传输**：同步/异步均支持 `ping_all()`、`from_best_host()`、断线自动重连
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- **修复 pytdx 已知 bug**（见下文）
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- **保留原始字节**：每条数据记录含 `_raw: bytes`，未知字段以 `unknown_N` 命名而非丢弃
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- **保活心跳机制**：`AsyncTdxClient` 自动发送心跳包，确保长连接生产环境稳定性
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- **沪深 A 股完整列表**：`get_security_list_all()` 自动过滤非 A 股品种并挂载行业信息
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- **北交所列表限制**：`get_security_list(Market.BJ, start)` 当前不能稳定获取，BJ 暂未纳入 `get_security_list_all()`
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- **全市场涨跌统计**：一键获取全 A 股涨/跌/平家数及总成交额
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- **离线 + 本地传输回归测试**：覆盖解析、异步并发串行化、超时、自动重连与坏包处理
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- **扩展行情**：`ExTdxClient` / `AsyncExTdxClient` 支持期货、港股、外盘等扩展市场（端口 7727）
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- **离线数据读取**：从本地通达信安装目录直接读取日线、分钟线、财务、板块、股本变迁等数据，无需网络
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- **专业财务数据**：通过计算服务器下载历史财报 ZIP 文件并解析
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## 安装
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```bash
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python3 -m venv .venv
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source .venv/bin/activate
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pip install -e . # 开发模式
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pip install -e ".[dev]" # 含测试/类型检查工具
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pip install -e ".[pandas]" # 含 pandas（可选）
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@@ -30,22 +29,23 @@ pip install -e ".[pandas]" # 含 pandas（可选）
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## 快速开始
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### 同步
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### 连接与基本查询
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```python
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from xmtdx import TdxClient, Market, KlineCategory
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# 指定服务器
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# 手动指定服务器
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with TdxClient("180.153.18.170") as c:
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count = c.get_security_count(Market.SH)
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bars = c.get_security_bars(Market.SH, "600000", KlineCategory.DAY, 0, 5)
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for b in bars:
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print(b.year, b.month, b.day, b.open, b.close, b.high, b.low, b.vol)
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print(f"沪市证券总数: {count}")
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# 自动测速选最低延迟服务器
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# 自动优选最低延迟服务器
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with TdxClient.from_best_host() as c:
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quotes = c.get_security_quotes([(Market.SH, "600000"), (Market.SZ, "000001")])
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print(quotes[0].price, quotes[0].bid1, quotes[0].ask1)
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bars = c.get_security_bars(Market.SH, "600000", KlineCategory.DAY, 0, 5)
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for b in bars:
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print(f"{b.year}-{b.month:02d}-{b.day:02d} "
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f"开:{b.open:.2f} 高:{b.high:.2f} "
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f"低:{b.low:.2f} 收:{b.close:.2f}")
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```
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### asyncio
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@@ -55,80 +55,414 @@ import asyncio
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from xmtdx import AsyncTdxClient, Market, KlineCategory
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async def main():
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async with AsyncTdxClient("180.153.18.170") as c:
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bars = await c.get_security_bars(Market.SH, "600000", KlineCategory.DAY, 0, 5)
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print(bars[0])
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async with AsyncTdxClient.from_best_host() as c:
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bars = await c.get_security_bars(
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Market.SH, "600000", KlineCategory.DAY, 0, 5
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)
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for bar in bars:
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print(f"{bar.year}-{bar.month:02d}-{bar.day:02d} "
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f"开:{bar.open:.2f} 高:{bar.high:.2f} "
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f"低:{bar.low:.2f} 收:{bar.close:.2f}")
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asyncio.run(main())
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```
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### 高可用工具
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### 服务器测速
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```python
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from xmtdx import ping_all, KNOWN_HOSTS
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from xmtdx import TdxClient
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# 并发测速，返回按延迟排序的 [(host, seconds), ...]
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results = ping_all(KNOWN_HOSTS, timeout=5.0)
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for host, ms in results:
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print(f"{host} {ms*1000:.0f} ms")
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# 自动选最优服务器
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with TdxClient.from_best_host(ping_timeout=5.0) as c:
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...
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# asyncio 版本同样支持
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client = AsyncTdxClient.from_best_host(ping_timeout=5.0)
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# 测速并排序
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results = TdxClient.ping_all()
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for host, latency in results:
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print(f"{host} {latency * 1000:.0f} ms")
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```
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内置服务器列表（`KNOWN_HOSTS`）：
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## API 参考
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```
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180.153.18.170 180.153.18.171 180.153.18.172
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115.238.56.198 115.238.90.165 218.75.126.9
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47.107.75.159 59.175.238.38
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### 连接管理
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| 方法 | 说明 |
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|------|------|
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| `TdxClient(host, port=7709, timeout=15.0)` | 指定服务器创建客户端 |
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| `TdxClient.from_best_host(ping_timeout=5.0)` | 自动选延迟最低的服务器 |
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| `TdxClient.ping_all(timeout=5.0)` | 并发测速，返回 `[(host, seconds), ...]` |
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| `AsyncTdxClient` / `AsyncTdxClient.from_best_host()` | 异步版，接口一一对应 |
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内置服务器列表 `KNOWN_HOSTS`（8 台）和计算服务器 `CALC_HOSTS`（1 台）。
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### 市场信息
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```python
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with TdxClient.from_best_host() as c:
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# 市场证券总数
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count = c.get_security_count(Market.SH)
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# 证券列表（分页，每页约 1000 条）
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stocks = c.get_security_list(Market.SH, start=0)
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# stocks[0].code / .name / .pre_close / .industry_tdx / .industry_sw
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# 沪深 A 股完整列表（自动挂载行业信息，本地缓存 1 天）
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all_stocks = c.get_security_list_all()
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# 批量实时五档行情（最多 80 只/次）
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quotes = c.get_security_quotes([
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(Market.SH, "600000"), # 浦发银行
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(Market.SH, "600519"), # 贵州茅台
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(Market.SZ, "000001"), # 平安银行
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(Market.SZ, "000858"), # 五粮液
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])
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# quotes[0].price / .pre_close / .open / .high / .low / .bid1..bid5 / .ask1..ask5
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# 全市场涨跌统计
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stat = c.get_market_stat()
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# stat.up_count / .down_count / .neutral_count / .total_amount / .total_market_cap
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```
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### K 线数据
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## API
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```python
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from xmtdx import Market, KlineCategory
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### TdxClient
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with TdxClient.from_best_host() as c:
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# 个股 K 线
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bars = c.get_security_bars(Market.SZ, "002176", KlineCategory.DAY, 0, 100)
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# 指数 K 线（常用指数代码：上证 "999999"，深成 "399001"，创业板 "399006"）
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bars = c.get_index_bars(Market.SH, "999999", KlineCategory.DAY, 0, 10)
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```
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K 线类别：
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```
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KlineCategory.MIN_1 MIN_5 MIN_15 MIN_30 MIN_60
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KlineCategory.DAY WEEK MONTH YEAR
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```
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K 线字段：`open` `close` `high` `low` `vol` `amount` `year` `month` `day` `hour` `minute` `_raw`
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### 分时数据
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```python
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with TdxClient.from_best_host() as c:
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# 今日分时（240 条）
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bars = c.get_minute_time_data(Market.SH, "600000")
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# 历史某日分时，date 为 YYYYMMDD 格式整数
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bars = c.get_history_minute_time_data(Market.SH, "600000", 20250110)
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```
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分时字段：`price` `vol` `unknown_1`（原 pytdx 丢弃字段，保留供分析）`_raw`
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### 逐笔成交
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```python
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with TdxClient.from_best_host() as c:
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# 当日逐笔成交（分页）
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records = c.get_transaction_data(Market.SH, "600000", 0, 20)
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# 历史逐笔成交
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records = c.get_history_transaction_data(Market.SH, "600000", 20250110, 0, 20)
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```
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成交字段：`hour` `minute` `price` `vol` `buyorsell`（0=买, 1=卖, 2=中性, 8=集合竞价）`unknown_last` `_raw`
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### 财务与公司信息
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```python
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from xmtdx import XDXR_CATEGORY_NAMES
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with TdxClient.from_best_host() as c:
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# 除权除息历史
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records = c.get_xdxr_info(Market.SH, "600519")
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# records[0].fenhong / .songzhuangu / .peigujia / .peigu
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# 最新财务数据
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info = c.get_finance_info(Market.SH, "600519")
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# info.zong_guben / .liutong_guben / .jing_lirun / .zhuying_shouru / ...
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# 涨跌停价计算
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quotes = c.get_security_quotes([(Market.SH, "600519")])
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limit_up, limit_down = c.get_price_limits(
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Market.SH, "600519", "贵州茅台", quotes[0].pre_close
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)
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# 公司信息目录
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categories = c.get_company_info_category(Market.SH, "600519")
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for cat in categories:
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print(cat.name, cat.filename, cat.start, cat.length)
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# 公司信息内容
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content = c.get_company_info_content(
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Market.SH, "600519", cat.filename, cat.start, cat.length
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)
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```
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### 板块信息
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```python
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with TdxClient.from_best_host() as c:
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# 行业/指数板块
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blocks = c.get_block_info("block_zs.dat")
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# 概念板块
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blocks = c.get_block_info("block_gn.dat")
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# 风格板块
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blocks = c.get_block_info("block_fg.dat")
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# blocks[0].name / .category / .count / .codes
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```
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### 资金流向
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```python
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with TdxClient.from_best_host() as c:
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# 当日资金流向（超大/大/中/小单）
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flow = c.get_fund_flow(Market.SH, "600519")
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# flow.super_in / .super_out / .large_in / .large_out / .main_net_inflow
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# 历史日线资金流向序列
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flows = c.get_history_fund_flow(Market.SH, "600519", 0, 10)
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# flows[0].year / .month / .day / .super_in / .main_net_inflow
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```
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### 文件下载
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```python
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from xmtdx import CALC_HOSTS
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with TdxClient.from_best_host() as c:
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# 行情服务器可用的文件
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data = c.get_report_file("tdxhy.cfg") # 行业映射配置
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data = c.get_report_file("block_gn.dat") # 概念板块
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# 计算服务器：专业财务数据
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with TdxClient(CALC_HOSTS[0]) as calc:
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file_list = calc.get_financial_file_list()
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# file_list[0].filename / .filesize / .hash
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zip_data = calc.get_financial_file("tdxfin/gpcw20260331.zip")
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records = calc.get_financial_records("tdxfin/gpcw20260331.zip")
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# records[0].market / .code / .report_date / .fields
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```
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### 扩展行情（期货、港股、外盘）
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```python
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from xmtdx import ExTdxClient
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# 扩展行情服务器端口 7727
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with ExTdxClient() as c:
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markets = c.get_markets() # 可用市场列表
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count = c.get_instrument_count() # 品种总数
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instruments = c.get_instrument_info(0, 50) # 品种信息（分页）
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quote = c.get_instrument_quote(market, code) # 单品种行情
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# K 线（支持日期范围查询）
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bars = c.get_instrument_bars(market, code, category, start, count)
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bars = c.get_history_instrument_bars_range(market, code, date_start, date_end)
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# 分时 / 逐笔
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minute = c.get_minute_time_data(market, code)
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trades = c.get_transaction_data(market, code, start, count)
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```
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`AsyncExTdxClient` 提供与同步版对应的 `async def` 方法。
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## 离线数据读取
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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。离线模块的路径检测优先级：
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1. `TDX_HOME` 环境变量
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2. 平台常见路径猜测（Windows: `C:\new_jyplug`、`C:\new_tdx` 等）
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```python
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# Windows
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set TDX_HOME=C:\new_jyplug
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# Linux/macOS
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export TDX_HOME=/opt/new_tdx
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```
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### 日线 K 线
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```python
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from xmtdx.offline import detect_tdx_home, read_daily_bars, find_daily_bar_file
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from xmtdx import Market
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home = detect_tdx_home()
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# 通过 市场+代码 自动定位文件
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filepath = find_daily_bar_file(Market.SH, "600000")
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bars = read_daily_bars(filepath)
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for bar in bars[-10:]:
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print(f"{bar.year}-{bar.month:02d}-{bar.day:02d} "
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f"开:{bar.open:.2f} 收:{bar.close:.2f} 量:{bar.vol:.0f}")
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```
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文件位于 `vipdoc/{sh,sz}/lday/`，如 `sh600000.day`。自动识别证券类型（A 股/B 股/指数/基金/债券）并应用对应的价格和成交量系数。
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### 分钟 K 线
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```python
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from xmtdx.offline import (
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read_5min_bars, read_lc_min_bars,
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find_5min_bar_file, find_lc1_bar_file, find_lc5_bar_file,
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)
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from xmtdx import Market
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# .5 文件（OHLC 为整数 / 100）
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filepath = find_5min_bar_file(Market.SH, "600000")
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bars = read_5min_bars(filepath)
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# .lc1 文件（1 分钟线，OHLC 为浮点数）
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filepath = find_lc1_bar_file(Market.SH, "600000")
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bars = read_lc_min_bars(filepath)
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# .lc5 文件（5 分钟线，OHLC 为浮点数）
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filepath = find_lc5_bar_file(Market.SZ, "002176")
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bars = read_lc_min_bars(filepath)
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```
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|
||||
文件位于 `vipdoc/{sh,sz}/fzline/`，如 `sh600000.5`、`sh600000.lc1`、`sh600000.lc5`。
|
||||
|
||||
### 扩展市场日线
|
||||
|
||||
```python
|
||||
from xmtdx.offline import read_ex_daily_bars
|
||||
|
||||
# 期货、港股、外盘等扩展市场数据
|
||||
# 文件位于 vipdoc/ds/lday/，如 29#A1801.day
|
||||
bars = read_ex_daily_bars(r"C:\new_jyplug\vipdoc\ds\lday\38#2_CPI.day")
|
||||
# bar.open / .high / .low / .close / .settlement / .vol
|
||||
```
|
||||
|
||||
### 板块数据
|
||||
|
||||
```python
|
||||
from xmtdx.offline import read_block_dat, read_customer_blocks
|
||||
|
||||
# 系统板块（本地 .dat 文件）
|
||||
blocks = read_block_dat(r"C:\new_jyplug\vipdoc\block_zs.dat")
|
||||
# blocks[0].name / .category / .count / .codes
|
||||
|
||||
# 自定义板块（blocknew 目录）
|
||||
blocks = read_customer_blocks(r"C:\new_jyplug\T0002\blocknew")
|
||||
# blocks[0].blockname / .codes
|
||||
```
|
||||
|
||||
支持本地 .dat 文件离线读取，本地不存在时可通过 `TdxClient.get_block_info()` 在线获取。
|
||||
|
||||
### 股本变迁
|
||||
|
||||
```python
|
||||
from xmtdx.offline import read_gbbq
|
||||
|
||||
records = read_gbbq(r"C:\new_jyplug\T0002\hq_cache\gbbq")
|
||||
# records[0].market / .code / .datetime / .category / .hongli_panqianliutong / ...
|
||||
```
|
||||
|
||||
gbbq 文件使用 XOR 加密存储，读取时自动解密。
|
||||
|
||||
### 历史财务数据
|
||||
|
||||
```python
|
||||
from xmtdx.offline import read_history_financial
|
||||
|
||||
# 支持 .dat 和 .zip 文件（.zip 自动解压）
|
||||
records = read_history_financial(r"C:\new_jyplug\vipdoc\fin\gpcw20260331.zip")
|
||||
# records[0].code / .market / .report_date / .fields
|
||||
```
|
||||
|
||||
文件可通过 `TdxClient.get_financial_file_list()` 查询可用文件，再用 `get_financial_file()` 下载到本地。
|
||||
|
||||
### 路径检测
|
||||
|
||||
```python
|
||||
from xmtdx.offline import detect_tdx_home, resolve_vipdoc
|
||||
|
||||
# 自动检测通达信安装目录
|
||||
home = detect_tdx_home()
|
||||
|
||||
# 解析 vipdoc 数据目录
|
||||
vipdoc = resolve_vipdoc()
|
||||
```
|
||||
|
||||
vipdoc 目录结构：
|
||||
|
||||
```
|
||||
vipdoc/
|
||||
├── sh/lday/ 上海日线 sh600000.day
|
||||
├── sh/fzline/ 上海分钟线 sh600000.5 / .lc1 / .lc5
|
||||
├── sz/lday/ 深圳日线 sz000001.day
|
||||
├── sz/fzline/ 深圳分钟线 sz000001.5 / .lc1 / .lc5
|
||||
├── ds/lday/ 扩展市场 29#A1801.day
|
||||
└── fin/ 历史财务 gpcw*.dat / gpcw*.zip
|
||||
```
|
||||
|
||||
## 完整 API 列表
|
||||
|
||||
### TdxClient / AsyncTdxClient
|
||||
|
||||
| 方法 | 说明 |
|
||||
|------|------|
|
||||
| `get_security_count(market)` | 市场证券总数 |
|
||||
| `get_security_list(market, start)` | 证券列表（每页 ~1000 条；BJ 当前不能稳定获取） |
|
||||
| `get_security_list_all()` | 沪深 A 股列表（自动挂载行业信息；BJ 暂未纳入） |
|
||||
| `get_market_stat()` | 全市场 A 股涨跌统计（家数、成交额） |
|
||||
| `get_security_list(market, start)` | 证券列表（每页约 1000 条） |
|
||||
| `get_security_list_all()` | 沪深 A 股完整列表（含行业映射，本地缓存 1 天） |
|
||||
| `get_security_quotes([(market, code), ...])` | 批量实时五档行情（最多 80 只/次） |
|
||||
| `get_price_limits(market, code, name, pre_close)` | 计算当前涨跌停价（自动处理上市初期无涨跌幅限制） |
|
||||
| `get_security_bars(market, code, category, start, count=800)` | K 线（股票） |
|
||||
| `get_index_bars(market, code, category, start, count=800)` | K 线（指数） |
|
||||
| `get_price_limits(market, code, name, pre_close)` | 计算涨跌停价 |
|
||||
| `get_security_bars(market, code, category, start, count)` | 个股 K 线 |
|
||||
| `get_index_bars(market, code, category, start, count)` | 指数 K 线 |
|
||||
| `get_minute_time_data(market, code)` | 今日分时（240 条） |
|
||||
| `get_history_minute_time_data(market, code, date)` | 历史某日分时，`date=YYYYMMDD` |
|
||||
| `get_transaction_data(market, code, start, count=800)` | 当日逐笔成交（分页） |
|
||||
| `get_history_transaction_data(market, code, date, start, count=800)` | 历史逐笔成交 |
|
||||
| `get_fund_flow(market, code)` | 当日资金流向统计（超大/大/中/小单） |
|
||||
| `get_history_fund_flow(market, code, start, count)` | 历史日线资金流向序列（优先 Category 22，空回包时自动回退到历史逐笔重算） |
|
||||
| `get_history_minute_time_data(market, code, date)` | 历史分时 |
|
||||
| `get_transaction_data(market, code, start, count)` | 当日逐笔成交 |
|
||||
| `get_history_transaction_data(market, code, date, start, count)` | 历史逐笔成交 |
|
||||
| `get_fund_flow(market, code)` | 当日资金流向 |
|
||||
| `get_history_fund_flow(market, code, start, count)` | 历史日线资金流向 |
|
||||
| `get_xdxr_info(market, code)` | 除权除息历史 |
|
||||
| `get_finance_info(market, code)` | 最新财务数据 |
|
||||
| `get_company_info_category(market, code)` | 公司信息文件目录 |
|
||||
| `get_company_info_category(market, code)` | 公司信息目录 |
|
||||
| `get_company_info_content(market, code, filename, offset, length)` | 公司信息文本 |
|
||||
| `get_block_info(filename)` | 板块信息（行业、概念、风格等） |
|
||||
| `get_report_file(filename)` | 批量拉取大文件（如 'base_info.zip', 'gpcw.txt'） |
|
||||
| `get_block_info(filename)` | 板块信息 |
|
||||
| `get_report_file(filename)` | 下载服务器文件 |
|
||||
| `get_market_stat()` | 全市场涨跌统计 |
|
||||
| `get_financial_file_list()` | 计算服务器财务文件列表 |
|
||||
| `get_financial_file(filename)` | 下载财务文件 |
|
||||
| `get_financial_records(filename)` | 下载并解析财务记录 |
|
||||
|
||||
`AsyncTdxClient` 提供与同步版对应的查询方法与高可用入口，均为 `async def`。
|
||||
单个 `AsyncTdxClient` 仅维护一条 TCP 连接；并发调用会在连接内串行执行。
|
||||
### ExTdxClient / AsyncExTdxClient
|
||||
|
||||
## 已知限制
|
||||
| 方法 | 说明 |
|
||||
|------|------|
|
||||
| `get_markets()` | 可用市场列表 |
|
||||
| `get_instrument_count()` | 品种总数 |
|
||||
| `get_instrument_info(start, count)` | 品种信息（分页） |
|
||||
| `get_instrument_quote(market, code)` | 单品种行情 |
|
||||
| `get_instrument_quote_list(market, start, count)` | 批量行情 |
|
||||
| `get_instrument_bars(market, code, category, start, count)` | 品种 K 线 |
|
||||
| `get_history_instrument_bars_range(market, code, start, end)` | 日期范围 K 线 |
|
||||
| `get_minute_time_data(market, code)` | 分时数据 |
|
||||
| `get_history_minute_time_data(market, code, date)` | 历史分时 |
|
||||
| `get_transaction_data(market, code, start, count)` | 逐笔成交 |
|
||||
| `get_history_transaction_data(market, code, date, start, count)` | 历史逐笔 |
|
||||
|
||||
- `xmtdx` 当前不能稳定获取 BJ 证券列表；`get_security_count(Market.BJ)` 可用，但 `get_security_list(Market.BJ, start)` 经常超时，因此 `get_security_list_all()` 暂不纳入 BJ。
|
||||
### xmtdx.offline
|
||||
|
||||
### KlineCategory
|
||||
|
||||
```
|
||||
MIN_1 MIN_3 MIN_5 MIN_15 MIN_30 MIN_60
|
||||
DAY WEEK MONTH SEASON YEAR YEAR_ALT
|
||||
```
|
||||
| 函数 | 说明 |
|
||||
|------|------|
|
||||
| `detect_tdx_home()` | 检测通达信安装目录 |
|
||||
| `resolve_vipdoc(path)` | 解析 vipdoc 数据目录 |
|
||||
| `read_daily_bars(filepath)` | 读取日线 .day 文件 |
|
||||
| `find_daily_bar_file(market, code)` | 定位日线文件路径 |
|
||||
| `read_5min_bars(filepath)` | 读取 .5 分钟线文件 |
|
||||
| `read_lc_min_bars(filepath)` | 读取 .lc1/.lc5 分钟线文件 |
|
||||
| `find_5min_bar_file(market, code)` | 定位 .5 文件路径 |
|
||||
| `find_lc1_bar_file(market, code)` | 定位 .lc1 文件路径 |
|
||||
| `find_lc5_bar_file(market, code)` | 定位 .lc5 文件路径 |
|
||||
| `read_ex_daily_bars(filepath)` | 读取扩展市场日线 |
|
||||
| `read_block_dat(filepath)` | 读取系统板块 .dat 文件 |
|
||||
| `read_customer_blocks(block_dir)` | 读取自定义板块目录 |
|
||||
| `read_gbbq(filepath)` | 读取股本变迁文件 |
|
||||
| `read_history_financial(filepath)` | 读取历史财务数据 |
|
||||
|
||||
## 数据模型
|
||||
|
||||
@@ -149,31 +483,11 @@ market code price pre_close open high low
|
||||
vol cur_vol amount s_vol b_vol
|
||||
bid1..bid5 bid_vol1..bid_vol5
|
||||
ask1..ask5 ask_vol1..ask_vol5
|
||||
rise_speed limit_up limit_down server_time
|
||||
unknown_2..unknown_3 unknown_5..unknown_8
|
||||
server_time
|
||||
_raw
|
||||
```
|
||||
|
||||
`limit_up` / `limit_down` 当前不再直接由协议字段映射，默认保留为 `None`；
|
||||
建议通过 `client.get_price_limits(...)` 计算当前涨跌停价，或用
|
||||
`xmtdx.codec.price_rules.compute_price_limits(..., listed_days=...)` 做纯规则计算。
|
||||
|
||||
### MinuteBar（分时）
|
||||
|
||||
```
|
||||
price vol
|
||||
unknown_1 # 原 pytdx 丢弃字段，保留供分析（≠ 均价）
|
||||
_raw
|
||||
```
|
||||
|
||||
### TransactionRecord（逐笔成交）
|
||||
|
||||
```
|
||||
hour minute price vol
|
||||
buyorsell # 0=买, 1=卖, 2=中性, 8=集合竞价
|
||||
unknown_last
|
||||
_raw
|
||||
```
|
||||
`limit_up` / `limit_down` 默认为 `None`，涨跌停价应通过 `get_price_limits()` 计算。
|
||||
|
||||
### SecurityInfo（证券列表）
|
||||
|
||||
@@ -182,42 +496,50 @@ market code name volunit decimal_point pre_close
|
||||
industry_tdx industry_sw
|
||||
```
|
||||
|
||||
### MinuteBar（分时）
|
||||
|
||||
```
|
||||
price vol unknown_1 _raw
|
||||
```
|
||||
|
||||
### TransactionRecord（逐笔成交）
|
||||
|
||||
```
|
||||
hour minute price vol buyorsell unknown_last _raw
|
||||
```
|
||||
|
||||
### XdxrRecord（除权除息）
|
||||
|
||||
```
|
||||
market code year month day category name
|
||||
fenhong peigujia songzhuangu peigu suogu
|
||||
xingquanjia fenshu
|
||||
panqian_liutong panhou_liutong # 单位：万股
|
||||
qian_zongguben hou_zongguben # 单位：万股
|
||||
panqian_liutong panhou_liutong # 万股
|
||||
qian_zongguben hou_zongguben # 万股
|
||||
_raw
|
||||
```
|
||||
|
||||
`category == 1` 时，`fenhong / songzhuangu / peigu` 已归一化为“每股”口径。
|
||||
`category == 1` 时为现金分红/送转/配股，`fenhong / songzhuangu / peigu` 已归一化为每股口径。
|
||||
|
||||
### 复权公式
|
||||
|
||||
若在仓库外自行计算前复权 / 后复权，建议仅使用 `category == 1` 的 `xdxr`
|
||||
记录（现金分红 / 送转 / 配股）参与因子计算：
|
||||
|
||||
- `cash = fenhong`
|
||||
- `bonus = songzhuangu`
|
||||
- `rights = peigu`
|
||||
- `rights_price = peigujia`
|
||||
|
||||
单次除权除息事件的价格因子可写为：
|
||||
仅使用 `category == 1` 的 xdxr 记录：
|
||||
|
||||
```text
|
||||
factor = (pre_close - cash + rights * rights_price) / (1 + bonus + rights)
|
||||
```
|
||||
|
||||
其中 `pre_close` 为事件前一交易日的未复权收盘价。
|
||||
其中 `cash = fenhong`，`bonus = songzhuangu`，`rights = peigu`，`rights_price = peigujia`，`pre_close` 为事件前一日未复权收盘价。
|
||||
|
||||
- 前复权：将事件日前的历史价格连续乘以各次 `factor`
|
||||
- 后复权：将事件日后的价格连续除以各次 `factor`
|
||||
- 前复权：事件日前的历史价格连续乘以各次 `factor`
|
||||
- 后复权：事件日后的价格连续除以各次 `factor`
|
||||
|
||||
当前建议只把 `category == 1` 用作复权；`2..14` 类事件仍更适合作为原始事件暴露，
|
||||
不建议直接纳入通用复权引擎。
|
||||
### FundFlow（资金流向）
|
||||
|
||||
```
|
||||
super_in/out large_in/out medium_in/out small_in/out
|
||||
main_net_inflow total_net_inflow
|
||||
```
|
||||
|
||||
### FinanceInfo（财务）
|
||||
|
||||
@@ -235,24 +557,13 @@ name filename start length
|
||||
name category count codes
|
||||
```
|
||||
|
||||
### FundFlow（资金流）
|
||||
## 已知限制
|
||||
|
||||
```
|
||||
super_in/out large_in/out medium_in/out small_in/out
|
||||
main_net_inflow total_net_inflow
|
||||
```
|
||||
|
||||
### HistoricalFundFlow（历史资金流序列）
|
||||
|
||||
```
|
||||
year month day
|
||||
super_in/out large_in/out medium_in/out small_in/out
|
||||
main_net_inflow
|
||||
```
|
||||
- `get_security_list(Market.BJ, start)` 当前不能稳定获取（服务器端问题），`get_security_list_all()` 暂不纳入 BJ
|
||||
- `limit_up` / `limit_down` 在 `SecurityQuote` 中默认为 `None`，涨跌停价应通过 `get_price_limits()` 计算
|
||||
|
||||
## 修复的 pytdx Bug
|
||||
|
||||
|
||||
| # | 位置 | 问题 | 修复 |
|
||||
|---|------|------|------|
|
||||
| 1 | `xdxr_info` | 循环内始终读 `body[:7]`，所有记录字段相同 | 改为从当前 `pos` 读取，pos 正确推进 |
|
||||
@@ -260,7 +571,7 @@ main_net_inflow
|
||||
| 3 | `security_list` | `pre_close` 误当作整数价格 `/100` | 恢复为通达信自定义浮点解码 |
|
||||
| 4 | `transaction` | 最后一个字段被 `_` 丢弃 | 保留为 `unknown_last` |
|
||||
| 5 | `minute_time` | `reversed1` 字段被丢弃 | 保留为 `unknown_1` |
|
||||
| 6 | `xdxr_info` | 股本字段用 `float(uint32)` 直解，差约 374 倍 | 改用 `_decode_volume`（通达信自定义浮点），单位万股，与 `FinanceInfo` 完全吻合 |
|
||||
| 6 | `xdxr_info` | 股本字段用 `float(uint32)` 直解，差约 374 倍 | 改用 `_decode_volume`，单位万股，与 `FinanceInfo` 完全吻合 |
|
||||
| 7 | `security_quotes` | 涨停/跌停价映射错误或缺失 | 停止使用不可信协议位，改由业务规则计算 |
|
||||
|
||||
## 架构
|
||||
@@ -268,6 +579,18 @@ main_net_inflow
|
||||
```
|
||||
src/xmtdx/
|
||||
├── client.py # TdxClient / AsyncTdxClient（高层 API）
|
||||
├── ex/
|
||||
│ ├── client.py # ExTdxClient / AsyncExTdxClient（扩展行情）
|
||||
│ └── models.py # 扩展行情数据模型
|
||||
├── offline/ # 离线数据读取模块
|
||||
│ ├── paths.py # 路径检测与解析
|
||||
│ ├── daily_bar.py # 日线读取
|
||||
│ ├── min_bar.py # 分钟线读取
|
||||
│ ├── ex_daily_bar.py # 扩展市场日线
|
||||
│ ├── block.py # 板块数据读取
|
||||
│ ├── gbbq.py # 股本变迁（XOR 解密）
|
||||
│ ├── history_financial.py # 历史财务数据
|
||||
│ └── finders.py # 文件路径定位
|
||||
├── transport/
|
||||
│ ├── sync.py # TdxConnection（socket）+ ping_host / ping_all
|
||||
│ └── async_.py # AsyncTdxConnection（asyncio）
|
||||
@@ -276,7 +599,17 @@ src/xmtdx/
|
||||
└── models/ # 纯 dataclass，无业务逻辑
|
||||
```
|
||||
|
||||
commands 层不依赖 transport，可独立单测。transport 层负责 TCP、握手、帧解压、分发。
|
||||
commands 层不依赖 transport，可独立单测。transport 层负责 TCP、握手、帧解压、分发。offline 层直接读取本地二进制文件，不依赖 transport。
|
||||
|
||||
## 协议说明
|
||||
|
||||
通达信使用私有二进制 TCP 协议：
|
||||
|
||||
- **帧格式**：16 字节响应头（含 zipsize / unzipsize），body 按需 zlib 解压
|
||||
- **价格编码**：变长有符号整数（类 LEB128，bit8=继续，bit7=符号，首字节低 6 位 + 后续低 7 位）
|
||||
- **成交量编码**：4 字节自定义浮点（字节 3 = 指数，字节 0-2 = 精度），不可用于价格字段
|
||||
- **握手**：连接后必须顺序发送 3 条 setup 命令，响应丢弃
|
||||
- **价格存储**：整数 x 100，差分编码（相邻 tick 存 delta）
|
||||
|
||||
## 开发
|
||||
|
||||
@@ -287,22 +620,15 @@ python -m pytest tests/unit/
|
||||
# 集成测试（需要网络，默认跳过）
|
||||
XMTDX_LIVE=1 python -m pytest tests/integration/
|
||||
|
||||
# 未知字段探测脚本
|
||||
python scripts/probe_unknowns.py
|
||||
|
||||
# 类型检查
|
||||
mypy src/
|
||||
|
||||
# lint
|
||||
# lint + format
|
||||
ruff check src/ tests/
|
||||
ruff format --check src/ tests/
|
||||
```
|
||||
|
||||
## 协议说明
|
||||
## 致谢
|
||||
|
||||
通达信使用私有二进制 TCP 协议：
|
||||
|
||||
- **帧格式**：16 字节响应头（含 zipsize / unzipsize），body 按需 zlib 解压
|
||||
- **价格编码**：变长有符号整数（类 LEB128，bit8=继续，bit7=符号，首字节低 6 位 + 后续低 7 位）
|
||||
- **成交量编码**：4 字节自定义浮点（字节 3 = 指数，字节 0-2 = 精度），**不可用于价格字段**
|
||||
- **握手**：连接后必须顺序发送 3 条 setup 命令，响应丢弃
|
||||
- **价格存储**：整数 × 100，差分编码（相邻 tick 存 delta）
|
||||
- [pytdx](https://github.com/rainx/pytdx) — 离线数据读取模块（日线、分钟线、板块、股本变迁、历史财务的文件格式解析方法）借鉴自 pytdx 项目，感谢 rainx 及所有贡献者的工作
|
||||
- 通达信协议分析离不开开源社区的逆向工程成果
|
||||
|
||||
Reference in New Issue
Block a user