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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print(f"沪市证券总数: {count}")
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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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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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# 自动测速选最低延迟服务器
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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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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
|
||||
|
||||
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Load Diff
@@ -0,0 +1,80 @@
|
||||
"""演示：板块数据读取（本地 + 网络自动回退）。
|
||||
|
||||
系统板块获取优先级：
|
||||
1. 本地 .dat 文件（离线读取）
|
||||
2. TDX 服务器在线获取（自动回退）
|
||||
|
||||
自定义板块仅支持本地读取。
|
||||
"""
|
||||
|
||||
from pathlib import Path
|
||||
|
||||
from xmtdx import TdxClient
|
||||
from xmtdx.models.finance import TdxBlock
|
||||
from xmtdx.offline import detect_tdx_home, read_block_dat, read_customer_blocks
|
||||
|
||||
|
||||
def _print_blocks(blocks: list[TdxBlock], title: str) -> None:
|
||||
print(f"\n{title} ({len(blocks)} 个板块):")
|
||||
for block in blocks[:5]:
|
||||
codes_preview = ", ".join(block.codes[:5])
|
||||
suffix = "..." if len(block.codes) > 5 else ""
|
||||
print(f" {block.name} ({block.count}只): {codes_preview}{suffix}")
|
||||
if len(blocks) > 5:
|
||||
print(f" ... 还有 {len(blocks) - 5} 个板块")
|
||||
|
||||
|
||||
home = detect_tdx_home()
|
||||
|
||||
# --- 系统板块 ---
|
||||
print("=" * 60)
|
||||
print("系统板块")
|
||||
print("=" * 60)
|
||||
|
||||
vipdoc = Path(home) / "vipdoc" if home else None
|
||||
block_names = ["block_zs.dat", "block_gn.dat", "block_fg.dat"]
|
||||
block_labels = {
|
||||
"block_zs.dat": "行业板块",
|
||||
"block_gn.dat": "概念板块",
|
||||
"block_fg.dat": "风格板块",
|
||||
}
|
||||
|
||||
need_fetch = []
|
||||
for name in block_names:
|
||||
local_path = vipdoc / name if vipdoc else None
|
||||
if local_path and local_path.is_file():
|
||||
blocks = read_block_dat(local_path)
|
||||
_print_blocks(blocks, f"{block_labels[name]} ({name}, 本地)")
|
||||
else:
|
||||
print(f"\n{block_labels[name]}: 本地文件不存在，将从服务器获取")
|
||||
need_fetch.append(name)
|
||||
|
||||
# 本地没有的板块，通过网络获取
|
||||
if need_fetch:
|
||||
print(f"\n正在连接服务器获取 {len(need_fetch)} 个板块文件...")
|
||||
with TdxClient.from_best_host() as c:
|
||||
for name in need_fetch:
|
||||
blocks = c.get_block_info(name)
|
||||
_print_blocks(blocks, f"{block_labels[name]} ({name}, 网络)")
|
||||
|
||||
# --- 自定义板块 ---
|
||||
print(f"\n{'=' * 60}")
|
||||
print("自定义板块")
|
||||
print("=" * 60)
|
||||
|
||||
if home:
|
||||
blocknew_dir = Path(home) / "T0002" / "blocknew"
|
||||
if blocknew_dir.is_dir():
|
||||
blocks = read_customer_blocks(blocknew_dir)
|
||||
if blocks:
|
||||
print(f"\n共 {len(blocks)} 个自定义板块:")
|
||||
for block in blocks[:10]:
|
||||
codes_preview = ", ".join(block.codes[:5])
|
||||
suffix = "..." if len(block.codes) > 5 else ""
|
||||
print(f" {block.blockname} ({len(block.codes)}只): {codes_preview}{suffix}")
|
||||
else:
|
||||
print("未找到自定义板块数据")
|
||||
else:
|
||||
print(f"自定义板块目录不存在: {blocknew_dir}")
|
||||
else:
|
||||
print("需要本地通达信安装目录才能读取自定义板块")
|
||||
@@ -0,0 +1,43 @@
|
||||
"""演示：从本地通达信目录读取日线 K 线数据。
|
||||
|
||||
两种用法：
|
||||
1. 直接指定 .day 文件路径
|
||||
2. 通过 市场+代码 自动定位文件（需要设置 TDX_HOME 环境变量）
|
||||
|
||||
需要本地已安装通达信并下载过日线数据。
|
||||
"""
|
||||
|
||||
from xmtdx.offline import detect_tdx_home, read_daily_bars, find_daily_bar_file
|
||||
from xmtdx import Market
|
||||
|
||||
home = detect_tdx_home()
|
||||
if home is None:
|
||||
print("未检测到通达信安装目录，请设置 TDX_HOME 环境变量")
|
||||
print("例如: set TDX_HOME=C:\\new_jyplug")
|
||||
raise SystemExit(1)
|
||||
|
||||
print(f"通达信目录: {home}")
|
||||
|
||||
# --- 方式1: 通过 市场+代码 自动定位文件 ---
|
||||
filepath = find_daily_bar_file(Market.SH, "600000")
|
||||
print(f"\n文件路径: {filepath}")
|
||||
|
||||
bars = read_daily_bars(filepath)
|
||||
if not bars:
|
||||
print("未读取到数据，请确认通达信已下载该股票的日线数据")
|
||||
raise SystemExit(0)
|
||||
|
||||
# 最近 10 个交易日
|
||||
print(f"\n浦发银行 日线 (最近 {min(10, len(bars))} 个交易日):")
|
||||
print(f"{'日期':>12s} {'开盘':>8s} {'最高':>8s} {'最低':>8s} {'收盘':>8s} {'成交量':>10s}")
|
||||
for bar in bars[-10:]:
|
||||
print(
|
||||
f"{bar.year}-{bar.month:02d}-{bar.day:02d} "
|
||||
f"{bar.open:>8.2f} {bar.high:>8.2f} "
|
||||
f"{bar.low:>8.2f} {bar.close:>8.2f} "
|
||||
f"{bar.vol:>10.0f}"
|
||||
)
|
||||
|
||||
# --- 方式2: 直接指定文件路径 ---
|
||||
# from pathlib import Path
|
||||
# bars2 = read_daily_bars(Path(r"C:\new_jyplug\vipdoc\sz\lday\sz000001.day"))
|
||||
@@ -0,0 +1,80 @@
|
||||
"""演示：检测通达信安装目录与路径解析。
|
||||
|
||||
offline 模块的路径检测优先级：
|
||||
1. TDX_HOME 环境变量
|
||||
2. 平台常见路径猜测 (Windows: C:\\new_jyplug, C:\\new_tdx, D:\\... 等)
|
||||
|
||||
vipdoc 目录结构:
|
||||
vipdoc/
|
||||
├── sh/lday/ 上海日线 sh600000.day
|
||||
├── sh/fzline/ 上海5分钟线 sh600000.5
|
||||
├── sh/fzline/ 上海分钟线 sh600000.lc1 / .lc5
|
||||
├── sz/lday/ 深圳日线 sz000001.day
|
||||
├── sz/fzline/ 深圳5分钟线 sz000001.5
|
||||
├── sz/fzline/ 深圳分钟线 sz000001.lc1 / .lc5
|
||||
└── ds/ 扩展市场 29#A1801.day
|
||||
"""
|
||||
|
||||
import os
|
||||
from pathlib import Path
|
||||
|
||||
from xmtdx.offline import detect_tdx_home, resolve_vipdoc
|
||||
from xmtdx.offline import find_daily_bar_file, find_5min_bar_file, find_lc1_bar_file
|
||||
from xmtdx import Market
|
||||
|
||||
# --- 检测安装目录 ---
|
||||
print("=" * 60)
|
||||
print("通达信安装目录检测")
|
||||
print("=" * 60)
|
||||
|
||||
home = detect_tdx_home()
|
||||
if home:
|
||||
print(f"检测到: {home}")
|
||||
else:
|
||||
print("未检测到，可通过以下方式指定:")
|
||||
print(f" set TDX_HOME=C:\\new_jyplug")
|
||||
|
||||
# --- 手动指定路径 ---
|
||||
print(f"\n{'=' * 60}")
|
||||
print("手动指定 vipdoc 路径")
|
||||
print("=" * 60)
|
||||
|
||||
if home:
|
||||
vipdoc = resolve_vipdoc()
|
||||
print(f"vipdoc 目录: {vipdoc}")
|
||||
|
||||
# 列出 vipdoc 子目录
|
||||
if vipdoc.is_dir():
|
||||
for d in sorted(vipdoc.iterdir()):
|
||||
if d.is_dir():
|
||||
files = list(d.rglob("*"))
|
||||
print(f" {d.name}/ ({len(files)} 个文件)")
|
||||
else:
|
||||
print("(需要 TDX_HOME 才能自动解析)")
|
||||
|
||||
# --- 文件定位示例 ---
|
||||
print(f"\n{'=' * 60}")
|
||||
print("通过 市场+代码 定位文件")
|
||||
print("=" * 60)
|
||||
|
||||
if home:
|
||||
examples = [
|
||||
("浦发银行 日线", lambda: find_daily_bar_file(Market.SH, "600000")),
|
||||
("平安银行 日线", lambda: find_daily_bar_file(Market.SZ, "000001")),
|
||||
("浦发银行 5分钟", lambda: find_5min_bar_file(Market.SH, "600000")),
|
||||
("平安银行 1分钟", lambda: find_lc1_bar_file(Market.SZ, "000001")),
|
||||
]
|
||||
for label, finder in examples:
|
||||
p = finder()
|
||||
exists = "存在" if p.is_file() else "不存在"
|
||||
print(f" {label}: {p} ({exists})")
|
||||
else:
|
||||
print("(需要 TDX_HOME)")
|
||||
|
||||
# --- 设置环境变量的方式 ---
|
||||
print(f"\n{'=' * 60}")
|
||||
print("如何设置 TDX_HOME")
|
||||
print("=" * 60)
|
||||
print(" Windows CMD: set TDX_HOME=C:\\new_jyplug")
|
||||
print(" Windows PS: $env:TDX_HOME = 'C:\\new_jyplug'")
|
||||
print(" Linux/macOS: export TDX_HOME=/opt/new_tdx")
|
||||
@@ -0,0 +1,69 @@
|
||||
"""演示：从本地通达信目录读取扩展市场日线数据。
|
||||
|
||||
扩展市场包括：期货、港股、外盘等。
|
||||
文件位于 vipdoc/ds/ 目录下，如 29#A1801.day
|
||||
|
||||
需要本地已安装通达信并下载过扩展市场数据。
|
||||
"""
|
||||
|
||||
from pathlib import Path
|
||||
|
||||
from xmtdx.offline import detect_tdx_home, read_ex_daily_bars
|
||||
|
||||
home = detect_tdx_home()
|
||||
if home is None:
|
||||
print("未检测到通达信安装目录，请设置 TDX_HOME 环境变量")
|
||||
raise SystemExit(1)
|
||||
|
||||
vipdoc = Path(home) / "vipdoc" / "ds" / "lday"
|
||||
|
||||
# 列出 ds 目录下可用的 .day 文件
|
||||
day_files = sorted(vipdoc.glob("*.day")) if vipdoc.is_dir() else []
|
||||
if not day_files:
|
||||
print(f"扩展市场目录为空或不存在: {vipdoc}")
|
||||
print("请在通达信中下载扩展市场数据后再试")
|
||||
raise SystemExit(0)
|
||||
|
||||
print(f"可用文件 ({len(day_files)} 个):")
|
||||
for f in day_files[:10]:
|
||||
print(f" {f.name}")
|
||||
if len(day_files) > 10:
|
||||
print(f" ... 还有 {len(day_files) - 10} 个")
|
||||
|
||||
# 读取第一个文件作为示例
|
||||
sample = day_files[5]
|
||||
"""
|
||||
可用文件 (211 个):
|
||||
12#A_IXIC.day
|
||||
38#1_GDP.day
|
||||
38#1_GDPI.day
|
||||
38#1_MSR.day
|
||||
38#2_CGPI.day
|
||||
38#2_CPI.day
|
||||
38#2_PPCI.day
|
||||
38#2_PPI.day
|
||||
38#2_PPPI.day
|
||||
38#3_BCI.day
|
||||
... 还有 201 个
|
||||
|
||||
读取: 38#2_CPI.day
|
||||
共 250 条记录，最后 5 条:
|
||||
日期 开盘 最高 最低 收盘 结算
|
||||
2025-12-31 100.80 100.80 100.80 100.80 0.00
|
||||
2026-01-31 100.20 100.20 100.20 100.20 0.00
|
||||
2026-02-28 101.30 101.30 101.30 101.30 0.00
|
||||
2026-03-31 101.00 101.00 101.00 101.00 0.00
|
||||
2026-04-30 101.20 101.20 101.20 101.20 0.00
|
||||
"""
|
||||
print(f"\n读取: {sample.name}")
|
||||
bars = read_ex_daily_bars(sample)
|
||||
|
||||
if bars:
|
||||
print(f"共 {len(bars)} 条记录，最后 5 条:")
|
||||
print(f" {'日期':>12s} {'开盘':>8s} {'最高':>8s} {'最低':>8s} {'收盘':>8s} {'结算':>8s}")
|
||||
for bar in bars[-5:]:
|
||||
print(
|
||||
f" {bar.year}-{bar.month:02d}-{bar.day:02d} "
|
||||
f"{bar.open:>8.2f} {bar.high:>8.2f} "
|
||||
f"{bar.low:>8.2f} {bar.close:>8.2f} {bar.settlement:>8.2f}"
|
||||
)
|
||||
@@ -0,0 +1,53 @@
|
||||
"""演示：从本地通达信目录读取股本变迁数据。
|
||||
|
||||
股本变迁文件包含分红、送股、配股、扩缩股等历史记录。
|
||||
数据使用 XOR 加密存储，读取时会自动解密。
|
||||
|
||||
需要本地已安装通达信。
|
||||
"""
|
||||
|
||||
from pathlib import Path
|
||||
|
||||
from xmtdx.offline import detect_tdx_home, read_gbbq
|
||||
|
||||
home = detect_tdx_home()
|
||||
if home is None:
|
||||
print("未检测到通达信安装目录，请设置 TDX_HOME 环境变量")
|
||||
raise SystemExit(1)
|
||||
|
||||
gbbq_path = Path(home) / "T0002" / "hq_cache" / "gbbq"
|
||||
if not gbbq_path.is_file():
|
||||
# 尝试其他可能的路径
|
||||
gbbq_path = Path(home) / "T0002" / "gbbq"
|
||||
|
||||
if not gbbq_path.is_file():
|
||||
print(f"股本变迁文件不存在")
|
||||
print(f" 尝试过: {Path(home) / 'T0002' / 'hq_cache' / 'gbbq'}")
|
||||
print(f" 尝试过: {Path(home) / 'T0002' / 'gbbq'}")
|
||||
print("请在通达信中确认 gbbq 文件的位置")
|
||||
raise SystemExit(0)
|
||||
|
||||
print(f"读取: {gbbq_path}")
|
||||
records = read_gbbq(gbbq_path)
|
||||
|
||||
if not records:
|
||||
print("未读取到数据")
|
||||
raise SystemExit(0)
|
||||
|
||||
print(f"共 {len(records)} 条股本变迁记录\n")
|
||||
|
||||
# 按代码分组统计
|
||||
from collections import Counter
|
||||
|
||||
code_counts = Counter(r.code for r in records)
|
||||
print(f"涉及 {len(code_counts)} 只股票")
|
||||
|
||||
# 显示前 20 条记录
|
||||
print(f"\n前 20 条记录:")
|
||||
print(f" {'市场':>4s} {'代码':>8s} {'日期':>10s} {'类别':>4s} {'红利/盘前流通':>12s} {'配股价/前总股本':>14s}")
|
||||
for rec in records[:20]:
|
||||
print(
|
||||
f" {rec.market:>4d} {rec.code:>8s} {rec.datetime:>10d} "
|
||||
f"{rec.category:>4d} {rec.hongli_panqianliutong:>12.4f} "
|
||||
f"{rec.peigujia_qianzongguben:>14.4f}"
|
||||
)
|
||||
@@ -0,0 +1,68 @@
|
||||
"""演示：从本地通达信目录读取历史财务数据。
|
||||
|
||||
支持两种文件格式：
|
||||
- .dat 文件: 直接读取
|
||||
- .zip 文件: 自动解压后读取（如 gpcw20260331.zip）
|
||||
|
||||
文件可通过 TdxClient.get_financial_file_list() + download_file() 获取，
|
||||
也可从 calc 服务器下载。
|
||||
|
||||
需要本地有 gpcw*.dat 或 gpcw*.zip 文件。
|
||||
"""
|
||||
|
||||
from pathlib import Path
|
||||
|
||||
from xmtdx.offline import detect_tdx_home, read_history_financial
|
||||
|
||||
home = detect_tdx_home()
|
||||
if home is None:
|
||||
print("未检测到通达信安装目录，请设置 TDX_HOME 环境变量")
|
||||
raise SystemExit(1)
|
||||
|
||||
# 常见的历史财务数据存放位置
|
||||
candidates = [
|
||||
Path(home) / "vipdoc" / "fin",
|
||||
Path(home) / "T0002" / "fin",
|
||||
Path.home() / "Downloads",
|
||||
Path("."),
|
||||
]
|
||||
|
||||
# 查找可用的财务数据文件
|
||||
fin_files: list[Path] = []
|
||||
for d in candidates:
|
||||
if d.is_dir():
|
||||
fin_files.extend(d.glob("gpcw*.dat"))
|
||||
fin_files.extend(d.glob("gpcw*.zip"))
|
||||
|
||||
if not fin_files:
|
||||
print("未找到历史财务数据文件 (gpcw*.dat 或 gpcw*.zip)")
|
||||
print("\n获取方式:")
|
||||
print(" 1. 使用 TdxClient.get_financial_file_list() 查询可用文件")
|
||||
print(" 2. 使用 TdxClient.download_file() 下载到本地")
|
||||
raise SystemExit(0)
|
||||
|
||||
print(f"找到 {len(fin_files)} 个财务数据文件:")
|
||||
for f in fin_files:
|
||||
print(f" {f}")
|
||||
|
||||
# 读取第一个文件
|
||||
sample = fin_files[0]
|
||||
print(f"\n读取: {sample.name}")
|
||||
records = read_history_financial(sample)
|
||||
|
||||
if not records:
|
||||
print("未读取到数据")
|
||||
raise SystemExit(0)
|
||||
|
||||
print(f"共 {len(records)} 条记录")
|
||||
print(f"\n前 10 条:")
|
||||
print(f" {'代码':>8s} {'市场':>4s} {'报告期':>10s} {'字段数':>6s}")
|
||||
for rec in records[:10]:
|
||||
print(f" {rec.code:>8s} {rec.market.name:>4s} {rec.report_date:>10d} {len(rec.fields):>6d}")
|
||||
|
||||
# 展示一只股票的详细数据
|
||||
if records:
|
||||
rec = records[0]
|
||||
print(f"\n{rec.code} ({rec.market.name}) 报告期 {rec.report_date} 的前 20 个字段:")
|
||||
for i, val in enumerate(rec.fields[:20]):
|
||||
print(f" 字段{i + 1:3d}: {val:>15.4f}")
|
||||
@@ -0,0 +1,83 @@
|
||||
"""演示：从本地通达信目录读取分钟 K 线数据。
|
||||
|
||||
支持三种文件格式：
|
||||
- .5 文件: vipdoc/{sh,sz}/fzline/ (OHLC 为整数÷100)
|
||||
- .lc1 文件: vipdoc/{sh,sz}/fzline/ (OHLC 为浮点数)
|
||||
- .lc5 文件: vipdoc/{sh,sz}/fzline/ (OHLC 为浮点数)
|
||||
|
||||
需要本地已安装通达信并下载过分钟数据。
|
||||
"""
|
||||
|
||||
from xmtdx.offline import (
|
||||
detect_tdx_home,
|
||||
read_5min_bars,
|
||||
read_lc_min_bars,
|
||||
find_5min_bar_file,
|
||||
find_lc1_bar_file,
|
||||
find_lc5_bar_file,
|
||||
)
|
||||
from xmtdx import Market
|
||||
|
||||
home = detect_tdx_home()
|
||||
if home is None:
|
||||
print("未检测到通达信安装目录，请设置 TDX_HOME 环境变量")
|
||||
raise SystemExit(1)
|
||||
|
||||
"""
|
||||
# --- .5 文件 (5 分钟线) ---
|
||||
print("=" * 60)
|
||||
print("5 分钟线 (.5 文件)")
|
||||
print("=" * 60)
|
||||
|
||||
filepath = find_5min_bar_file(Market.SH, "600000")
|
||||
bars = read_5min_bars(filepath)
|
||||
if bars:
|
||||
print(f"共 {len(bars)} 条记录，最后 5 条:")
|
||||
for bar in bars[-5:]:
|
||||
print(
|
||||
f" {bar.year}-{bar.month:02d}-{bar.day:02d} "
|
||||
f"{bar.hour:02d}:{bar.minute:02d} "
|
||||
f"开{bar.open:>7.2f} 高{bar.high:>7.2f} "
|
||||
f"低{bar.low:>7.2f} 收{bar.close:>7.2f} 量{bar.vol:>8.0f}"
|
||||
)
|
||||
else:
|
||||
print("未读取到数据")
|
||||
|
||||
# --- .lc1 文件 (1 分钟线) ---
|
||||
print(f"\n{'=' * 60}")
|
||||
print("1 分钟线 (.lc1 文件)")
|
||||
print("=" * 60)
|
||||
|
||||
filepath = find_lc1_bar_file(Market.SH, "600000")
|
||||
bars = read_lc_min_bars(filepath)
|
||||
if bars:
|
||||
print(f"共 {len(bars)} 条记录，最后 5 条:")
|
||||
for bar in bars[-5:]:
|
||||
print(
|
||||
f" {bar.year}-{bar.month:02d}-{bar.day:02d} "
|
||||
f"{bar.hour:02d}:{bar.minute:02d} "
|
||||
f"开{bar.open:>7.2f} 高{bar.high:>7.2f} "
|
||||
f"低{bar.low:>7.2f} 收{bar.close:>7.2f} 量{bar.vol:>8.0f}"
|
||||
)
|
||||
else:
|
||||
print("未读取到数据")
|
||||
"""
|
||||
|
||||
# --- .lc5 文件 (5 分钟线) ---
|
||||
print(f"\n{'=' * 60}")
|
||||
print("5 分钟线 (.lc5 文件)")
|
||||
print("=" * 60)
|
||||
|
||||
filepath = find_lc5_bar_file(Market.SZ, "002176")
|
||||
bars = read_lc_min_bars(filepath)
|
||||
if bars:
|
||||
print(f"共 {len(bars)} 条记录，最后 5 条:")
|
||||
for bar in bars[-5:]:
|
||||
print(
|
||||
f" {bar.year}-{bar.month:02d}-{bar.day:02d} "
|
||||
f"{bar.hour:02d}:{bar.minute:02d} "
|
||||
f"开{bar.open:>7.2f} 高{bar.high:>7.2f} "
|
||||
f"低{bar.low:>7.2f} 收{bar.close:>7.2f} 量{bar.vol:>8.0f}"
|
||||
)
|
||||
else:
|
||||
print("未读取到数据")
|
||||
@@ -0,0 +1,11 @@
|
||||
"""xmtdx.ex — 通达信扩展行情（期货、港股、外股等，端口 7727）。"""
|
||||
|
||||
from .client import AsyncExTdxClient, ExTdxClient
|
||||
from .models import KNOWN_EX_HOSTS, KNOWN_EX_MARKETS
|
||||
|
||||
__all__ = [
|
||||
"ExTdxClient",
|
||||
"AsyncExTdxClient",
|
||||
"KNOWN_EX_HOSTS",
|
||||
"KNOWN_EX_MARKETS",
|
||||
]
|
||||
@@ -0,0 +1,439 @@
|
||||
"""扩展行情高层 API：ExTdxClient（同步）和 AsyncExTdxClient（asyncio）。"""
|
||||
|
||||
import asyncio
|
||||
from collections import OrderedDict
|
||||
from types import TracebackType
|
||||
from typing import TypeVar
|
||||
|
||||
from ..commands.base import BaseCommand
|
||||
from ..exceptions import TdxConnectionError
|
||||
from .commands.get_history_bars_range import GetExHistoryInstrumentBarsRangeCmd
|
||||
from .commands.get_instrument_bars import GetExInstrumentBarsCmd
|
||||
from .commands.get_instrument_count import GetExInstrumentCountCmd
|
||||
from .commands.get_instrument_info import GetExInstrumentInfoCmd
|
||||
from .commands.get_instrument_quote import GetExInstrumentQuoteCmd
|
||||
from .commands.get_instrument_quote_list import GetExInstrumentQuoteListCmd
|
||||
from .commands.get_markets import GetExMarketsCmd
|
||||
from .commands.get_minute_time import (
|
||||
GetExHistoryMinuteTimeDataCmd,
|
||||
GetExMinuteTimeDataCmd,
|
||||
)
|
||||
from .commands.get_transaction import (
|
||||
GetExHistoryTransactionDataCmd,
|
||||
GetExTransactionDataCmd,
|
||||
)
|
||||
from .models import (
|
||||
KNOWN_EX_HOSTS,
|
||||
ExInstrumentBar,
|
||||
ExInstrumentInfo,
|
||||
ExInstrumentQuote,
|
||||
ExMarketInfo,
|
||||
ExMinuteBar,
|
||||
ExTransactionRecord,
|
||||
)
|
||||
from .transport.async_ import AsyncExTdxConnection
|
||||
from .transport.sync import ExTdxConnection, ping_ex_all
|
||||
|
||||
_DEFAULT_EX_PORT = 7727
|
||||
_T = TypeVar("_T")
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 同步客户端
|
||||
# ============================================================
|
||||
|
||||
|
||||
class ExTdxClient:
|
||||
"""同步扩展行情客户端（期货、港股、外股等，端口 7727）。
|
||||
|
||||
使用示例::
|
||||
|
||||
with ExTdxClient("61.152.107.141") as c:
|
||||
markets = c.get_markets()
|
||||
quote = c.get_instrument_quote(47, "IFL0")
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
host: str = KNOWN_EX_HOSTS[0],
|
||||
port: int = _DEFAULT_EX_PORT,
|
||||
timeout: float = 15.0,
|
||||
auto_reconnect: bool = True,
|
||||
) -> None:
|
||||
self._host = host
|
||||
self._port = port
|
||||
self._timeout = timeout
|
||||
self._auto_reconnect = auto_reconnect
|
||||
self._conn = ExTdxConnection(host, port, timeout)
|
||||
|
||||
@classmethod
|
||||
def from_best_host(
|
||||
cls,
|
||||
hosts: list[str] | None = None,
|
||||
port: int = _DEFAULT_EX_PORT,
|
||||
timeout: float = 15.0,
|
||||
ping_timeout: float = 5.0,
|
||||
auto_reconnect: bool = True,
|
||||
) -> "ExTdxClient":
|
||||
"""测量所有扩展行情服务器延迟，选最低延迟建立连接。"""
|
||||
ranked = ping_ex_all(hosts, port, ping_timeout)
|
||||
best = ranked[0][0] if ranked else (hosts or KNOWN_EX_HOSTS)[0]
|
||||
return cls(best, port, timeout, auto_reconnect)
|
||||
|
||||
@staticmethod
|
||||
def ping_all(
|
||||
hosts: list[str] | None = None,
|
||||
port: int = _DEFAULT_EX_PORT,
|
||||
timeout: float = 5.0,
|
||||
) -> list[tuple[str, float]]:
|
||||
return ping_ex_all(hosts, port, timeout)
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 连接管理
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
def connect(self) -> None:
|
||||
self._conn.connect()
|
||||
|
||||
def close(self) -> None:
|
||||
self._conn.close()
|
||||
|
||||
def __enter__(self) -> "ExTdxClient":
|
||||
self.connect()
|
||||
return self
|
||||
|
||||
def __exit__(
|
||||
self,
|
||||
exc_type: type[BaseException] | None,
|
||||
exc_val: BaseException | None,
|
||||
exc_tb: TracebackType | None,
|
||||
) -> None:
|
||||
self.close()
|
||||
|
||||
def _execute(self, cmd: "BaseCommand[_T]") -> _T:
|
||||
try:
|
||||
return self._conn.execute(cmd)
|
||||
except TdxConnectionError:
|
||||
if not self._auto_reconnect:
|
||||
raise
|
||||
self._conn.close()
|
||||
self._conn = ExTdxConnection(self._host, self._port, self._timeout)
|
||||
self._conn.connect()
|
||||
return self._conn.execute(cmd)
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 市场信息
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
def get_markets(self) -> list[ExMarketInfo]:
|
||||
"""获取扩展行情支持的市场列表。"""
|
||||
return self._execute(GetExMarketsCmd())
|
||||
|
||||
def get_instrument_count(self) -> int:
|
||||
"""获取扩展行情商品总数。"""
|
||||
return self._execute(GetExInstrumentCountCmd())
|
||||
|
||||
def get_instrument_info(self, start: int, count: int = 100) -> list[ExInstrumentInfo]:
|
||||
"""获取商品信息列表（分页）。"""
|
||||
return self._execute(GetExInstrumentInfoCmd(start, count))
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 行情
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
def get_instrument_quote(self, market: int, code: str) -> ExInstrumentQuote | None:
|
||||
"""获取单个商品五档实时行情。"""
|
||||
return self._execute(GetExInstrumentQuoteCmd(market, code))
|
||||
|
||||
def get_instrument_quote_list(
|
||||
self,
|
||||
market: int,
|
||||
category: int,
|
||||
start: int = 0,
|
||||
count: int = 80,
|
||||
) -> list[OrderedDict[str, object]]:
|
||||
"""按类别获取商品行情列表。"""
|
||||
return self._execute(GetExInstrumentQuoteListCmd(market, category, start, count))
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# K线
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
def get_instrument_bars(
|
||||
self,
|
||||
category: int,
|
||||
market: int,
|
||||
code: str,
|
||||
start: int = 0,
|
||||
count: int = 700,
|
||||
) -> list[ExInstrumentBar]:
|
||||
"""获取K线数据。"""
|
||||
return self._execute(GetExInstrumentBarsCmd(category, market, code, start, count))
|
||||
|
||||
def get_history_instrument_bars_range(
|
||||
self,
|
||||
market: int,
|
||||
code: str,
|
||||
start_date: int,
|
||||
end_date: int,
|
||||
) -> list[ExInstrumentBar]:
|
||||
"""按日期范围获取历史K线。"""
|
||||
return self._execute(GetExHistoryInstrumentBarsRangeCmd(market, code, start_date, end_date))
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 分时
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
def get_minute_time_data(self, market: int, code: str) -> list[ExMinuteBar]:
|
||||
"""获取当日分时行情数据。"""
|
||||
return self._execute(GetExMinuteTimeDataCmd(market, code))
|
||||
|
||||
def get_history_minute_time_data(
|
||||
self,
|
||||
market: int,
|
||||
code: str,
|
||||
date: int,
|
||||
) -> list[ExMinuteBar]:
|
||||
"""获取历史某日分时行情数据（date: YYYYMMDD）。"""
|
||||
return self._execute(GetExHistoryMinuteTimeDataCmd(market, code, date))
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 成交
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
def get_transaction_data(
|
||||
self,
|
||||
market: int,
|
||||
code: str,
|
||||
start: int = 0,
|
||||
count: int = 1800,
|
||||
) -> list[ExTransactionRecord]:
|
||||
"""获取当日分笔成交数据。"""
|
||||
return self._execute(GetExTransactionDataCmd(market, code, start, count))
|
||||
|
||||
def get_history_transaction_data(
|
||||
self,
|
||||
market: int,
|
||||
code: str,
|
||||
date: int,
|
||||
start: int = 0,
|
||||
count: int = 1800,
|
||||
) -> list[ExTransactionRecord]:
|
||||
"""获取历史某日分笔成交数据（date: YYYYMMDD）。"""
|
||||
return self._execute(GetExHistoryTransactionDataCmd(market, code, date, start, count))
|
||||
|
||||
|
||||
# ============================================================
|
||||
# 异步客户端
|
||||
# ============================================================
|
||||
|
||||
|
||||
class AsyncExTdxClient:
|
||||
"""异步扩展行情客户端（asyncio，端口 7727）。
|
||||
|
||||
使用示例::
|
||||
|
||||
async with AsyncExTdxClient("61.152.107.141") as c:
|
||||
markets = await c.get_markets()
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
host: str = KNOWN_EX_HOSTS[0],
|
||||
port: int = _DEFAULT_EX_PORT,
|
||||
timeout: float = 15.0,
|
||||
auto_reconnect: bool = True,
|
||||
heartbeat_interval: float = 60.0,
|
||||
) -> None:
|
||||
self._host = host
|
||||
self._port = port
|
||||
self._timeout = timeout
|
||||
self._auto_reconnect = auto_reconnect
|
||||
self._heartbeat_interval = heartbeat_interval
|
||||
self._conn = AsyncExTdxConnection(host, port, timeout)
|
||||
self._execute_lock = asyncio.Lock()
|
||||
self._heartbeat_task: asyncio.Task[None] | None = None
|
||||
|
||||
@classmethod
|
||||
def from_best_host(
|
||||
cls,
|
||||
hosts: list[str] | None = None,
|
||||
port: int = _DEFAULT_EX_PORT,
|
||||
timeout: float = 15.0,
|
||||
ping_timeout: float = 5.0,
|
||||
auto_reconnect: bool = True,
|
||||
heartbeat_interval: float = 60.0,
|
||||
) -> "AsyncExTdxClient":
|
||||
ranked = ping_ex_all(hosts, port, ping_timeout)
|
||||
best = ranked[0][0] if ranked else (hosts or KNOWN_EX_HOSTS)[0]
|
||||
return cls(best, port, timeout, auto_reconnect, heartbeat_interval)
|
||||
|
||||
@staticmethod
|
||||
def ping_all(
|
||||
hosts: list[str] | None = None,
|
||||
port: int = _DEFAULT_EX_PORT,
|
||||
timeout: float = 5.0,
|
||||
) -> list[tuple[str, float]]:
|
||||
return ping_ex_all(hosts, port, timeout)
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 连接管理
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
async def connect(self) -> None:
|
||||
await self._conn.connect()
|
||||
self._start_heartbeat()
|
||||
|
||||
async def close(self) -> None:
|
||||
await self._stop_heartbeat()
|
||||
await self._conn.close()
|
||||
|
||||
async def __aenter__(self) -> "AsyncExTdxClient":
|
||||
await self.connect()
|
||||
return self
|
||||
|
||||
async def __aexit__(
|
||||
self,
|
||||
exc_type: type[BaseException] | None,
|
||||
exc_val: BaseException | None,
|
||||
exc_tb: TracebackType | None,
|
||||
) -> None:
|
||||
await self.close()
|
||||
|
||||
def _start_heartbeat(self) -> None:
|
||||
if self._heartbeat_interval <= 0:
|
||||
return
|
||||
if self._heartbeat_task is not None:
|
||||
self._heartbeat_task.cancel()
|
||||
self._heartbeat_task = asyncio.create_task(self._heartbeat_loop())
|
||||
|
||||
async def _stop_heartbeat(self) -> None:
|
||||
if self._heartbeat_task:
|
||||
self._heartbeat_task.cancel()
|
||||
try:
|
||||
await self._heartbeat_task
|
||||
except asyncio.CancelledError:
|
||||
pass
|
||||
self._heartbeat_task = None
|
||||
|
||||
async def _heartbeat_loop(self) -> None:
|
||||
while True:
|
||||
try:
|
||||
await asyncio.sleep(self._heartbeat_interval)
|
||||
await self.get_instrument_count()
|
||||
except asyncio.CancelledError:
|
||||
break
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
async def _execute(self, cmd: "BaseCommand[_T]") -> _T:
|
||||
async with self._execute_lock:
|
||||
try:
|
||||
return await self._conn.execute(cmd)
|
||||
except TdxConnectionError:
|
||||
if not self._auto_reconnect:
|
||||
raise
|
||||
await self._conn.close()
|
||||
self._conn = AsyncExTdxConnection(self._host, self._port, self._timeout)
|
||||
await self._conn.connect()
|
||||
return await self._conn.execute(cmd)
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 市场信息
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
async def get_markets(self) -> list[ExMarketInfo]:
|
||||
return await self._execute(GetExMarketsCmd())
|
||||
|
||||
async def get_instrument_count(self) -> int:
|
||||
return await self._execute(GetExInstrumentCountCmd())
|
||||
|
||||
async def get_instrument_info(
|
||||
self,
|
||||
start: int,
|
||||
count: int = 100,
|
||||
) -> list[ExInstrumentInfo]:
|
||||
return await self._execute(GetExInstrumentInfoCmd(start, count))
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 行情
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
async def get_instrument_quote(
|
||||
self,
|
||||
market: int,
|
||||
code: str,
|
||||
) -> ExInstrumentQuote | None:
|
||||
return await self._execute(GetExInstrumentQuoteCmd(market, code))
|
||||
|
||||
async def get_instrument_quote_list(
|
||||
self,
|
||||
market: int,
|
||||
category: int,
|
||||
start: int = 0,
|
||||
count: int = 80,
|
||||
) -> list[OrderedDict[str, object]]:
|
||||
return await self._execute(GetExInstrumentQuoteListCmd(market, category, start, count))
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# K线
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
async def get_instrument_bars(
|
||||
self,
|
||||
category: int,
|
||||
market: int,
|
||||
code: str,
|
||||
start: int = 0,
|
||||
count: int = 700,
|
||||
) -> list[ExInstrumentBar]:
|
||||
return await self._execute(GetExInstrumentBarsCmd(category, market, code, start, count))
|
||||
|
||||
async def get_history_instrument_bars_range(
|
||||
self,
|
||||
market: int,
|
||||
code: str,
|
||||
start_date: int,
|
||||
end_date: int,
|
||||
) -> list[ExInstrumentBar]:
|
||||
return await self._execute(
|
||||
GetExHistoryInstrumentBarsRangeCmd(market, code, start_date, end_date)
|
||||
)
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 分时
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
async def get_minute_time_data(self, market: int, code: str) -> list[ExMinuteBar]:
|
||||
return await self._execute(GetExMinuteTimeDataCmd(market, code))
|
||||
|
||||
async def get_history_minute_time_data(
|
||||
self,
|
||||
market: int,
|
||||
code: str,
|
||||
date: int,
|
||||
) -> list[ExMinuteBar]:
|
||||
return await self._execute(GetExHistoryMinuteTimeDataCmd(market, code, date))
|
||||
|
||||
# ------------------------------------------------------------------ #
|
||||
# 成交
|
||||
# ------------------------------------------------------------------ #
|
||||
|
||||
async def get_transaction_data(
|
||||
self,
|
||||
market: int,
|
||||
code: str,
|
||||
start: int = 0,
|
||||
count: int = 1800,
|
||||
) -> list[ExTransactionRecord]:
|
||||
return await self._execute(GetExTransactionDataCmd(market, code, start, count))
|
||||
|
||||
async def get_history_transaction_data(
|
||||
self,
|
||||
market: int,
|
||||
code: str,
|
||||
date: int,
|
||||
start: int = 0,
|
||||
count: int = 1800,
|
||||
) -> list[ExTransactionRecord]:
|
||||
return await self._execute(GetExHistoryTransactionDataCmd(market, code, date, start, count))
|
||||
@@ -0,0 +1 @@
|
||||
"""扩展行情命令模块。"""
|
||||
@@ -0,0 +1,76 @@
|
||||
"""获取扩展行情历史K线（按日期范围）。"""
|
||||
|
||||
import struct
|
||||
|
||||
from ...commands.base import BaseCommand
|
||||
from ..models import ExInstrumentBar
|
||||
|
||||
|
||||
class GetExHistoryInstrumentBarsRangeCmd(BaseCommand[list[ExInstrumentBar]]):
|
||||
"""按日期范围获取历史K线数据。"""
|
||||
|
||||
_seqid: int = 1
|
||||
|
||||
def __init__(self, market: int, code: str, start_date: int, end_date: int) -> None:
|
||||
self.market = market
|
||||
self.code = code.encode("utf-8")
|
||||
self.start_date = start_date
|
||||
self.end_date = end_date
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
pkg = bytearray.fromhex("01")
|
||||
pkg.extend(struct.pack("<B", self._seqid))
|
||||
self.__class__._seqid += 1
|
||||
pkg.extend(bytearray.fromhex("38 92 00 01 16 00 16 00 0D 24"))
|
||||
pkg.extend(struct.pack("<B9s", self.market, self.code))
|
||||
pkg.extend(bytearray.fromhex("07 00"))
|
||||
pkg.extend(struct.pack("<II", self.start_date, self.end_date))
|
||||
return bytes(pkg)
|
||||
|
||||
@staticmethod
|
||||
def _parse_date(num: int) -> tuple[int, int, int]:
|
||||
year = num // 2048 + 2004
|
||||
month = (num % 2048) // 100
|
||||
day = (num % 2048) % 100
|
||||
return year, month, day
|
||||
|
||||
@staticmethod
|
||||
def _parse_time(num: int) -> tuple[int, int]:
|
||||
return num // 60, num % 60
|
||||
|
||||
def parse_response(self, body: bytes) -> list[ExInstrumentBar]:
|
||||
pos = 12 # skip 12-byte header
|
||||
if pos + 2 > len(body):
|
||||
return []
|
||||
(ret_count,) = struct.unpack("<H", body[pos : pos + 2])
|
||||
pos += 2
|
||||
results: list[ExInstrumentBar] = []
|
||||
for _ in range(ret_count):
|
||||
if pos + 32 > len(body):
|
||||
break
|
||||
record_start = pos
|
||||
(d1, d2, open_p, high, low, close_p, position, trade, settlement) = struct.unpack(
|
||||
"<HHffffIIf",
|
||||
body[pos : pos + 32],
|
||||
)
|
||||
pos += 32
|
||||
year, month, day = self._parse_date(d1)
|
||||
hour, minute = self._parse_time(d2)
|
||||
results.append(
|
||||
ExInstrumentBar(
|
||||
open=open_p,
|
||||
high=high,
|
||||
low=low,
|
||||
close=close_p,
|
||||
position=position,
|
||||
trade=trade,
|
||||
amount=settlement,
|
||||
year=year,
|
||||
month=month,
|
||||
day=day,
|
||||
hour=hour,
|
||||
minute=minute,
|
||||
_raw=body[record_start:pos],
|
||||
)
|
||||
)
|
||||
return results
|
||||
@@ -0,0 +1,74 @@
|
||||
"""获取扩展行情K线数据。"""
|
||||
|
||||
import struct
|
||||
|
||||
from ...codec.datetime_ import get_datetime
|
||||
from ...commands.base import BaseCommand
|
||||
from ..models import ExInstrumentBar
|
||||
|
||||
|
||||
class GetExInstrumentBarsCmd(BaseCommand[list[ExInstrumentBar]]):
|
||||
"""获取K线数据（扩展行情版本，支持期货/港股等）。"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
category: int,
|
||||
market: int,
|
||||
code: str,
|
||||
start: int = 0,
|
||||
count: int = 700,
|
||||
) -> None:
|
||||
self.category = category
|
||||
self.market = market
|
||||
self.code = code.encode("utf-8")
|
||||
self.start = start
|
||||
self.count = count
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
header = bytes.fromhex("01 01 08 6a 01 01 16 00 16 00 ff 23")
|
||||
return header + struct.pack(
|
||||
"<B9sHHIH",
|
||||
self.market,
|
||||
self.code,
|
||||
self.category,
|
||||
1,
|
||||
self.start,
|
||||
self.count,
|
||||
)
|
||||
|
||||
def parse_response(self, body: bytes) -> list[ExInstrumentBar]:
|
||||
pos = 18 # skip 18-byte header
|
||||
if pos + 2 > len(body):
|
||||
return []
|
||||
(ret_count,) = struct.unpack("<H", body[pos : pos + 2])
|
||||
pos += 2
|
||||
results: list[ExInstrumentBar] = []
|
||||
for _ in range(ret_count):
|
||||
record_start = pos
|
||||
year, month, day, hour, minute, pos = get_datetime(self.category, body, pos)
|
||||
if pos + 28 > len(body):
|
||||
break
|
||||
(open_p, high, low, close_p, position, trade, _price) = struct.unpack(
|
||||
"<ffffIIf",
|
||||
body[pos : pos + 28],
|
||||
)
|
||||
(amount,) = struct.unpack("<f", body[pos + 16 : pos + 20])
|
||||
pos += 28
|
||||
results.append(
|
||||
ExInstrumentBar(
|
||||
open=open_p,
|
||||
high=high,
|
||||
low=low,
|
||||
close=close_p,
|
||||
position=position,
|
||||
trade=trade,
|
||||
amount=amount,
|
||||
year=year,
|
||||
month=month,
|
||||
day=day,
|
||||
hour=hour,
|
||||
minute=minute,
|
||||
_raw=body[record_start:pos],
|
||||
)
|
||||
)
|
||||
return results
|
||||
@@ -0,0 +1,17 @@
|
||||
"""获取扩展行情商品数量。"""
|
||||
|
||||
from ..._binary import unpack_from
|
||||
from ...commands.base import BaseCommand
|
||||
|
||||
|
||||
class GetExInstrumentCountCmd(BaseCommand[int]):
|
||||
"""获取扩展行情市场中商品总数。"""
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
return bytes.fromhex("01 03 48 66 00 01 02 00 02 00 f0 23")
|
||||
|
||||
def parse_response(self, body: bytes) -> int:
|
||||
if len(body) < 23:
|
||||
return 0
|
||||
(count,) = unpack_from("<I", body, 19, "ex instrument count")
|
||||
return count
|
||||
@@ -0,0 +1,50 @@
|
||||
"""获取扩展行情商品信息。"""
|
||||
|
||||
import struct
|
||||
|
||||
from ...commands.base import BaseCommand
|
||||
from ..models import ExInstrumentInfo
|
||||
|
||||
|
||||
class GetExInstrumentInfoCmd(BaseCommand[list[ExInstrumentInfo]]):
|
||||
"""获取扩展行情市场中的商品信息列表。"""
|
||||
|
||||
def __init__(self, start: int, count: int = 100) -> None:
|
||||
self.start = start
|
||||
self.count = count
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
header = bytes.fromhex("01 04 48 67 00 01 08 00 08 00 f5 23")
|
||||
return header + struct.pack("<IH", self.start, self.count)
|
||||
|
||||
def parse_response(self, body: bytes) -> list[ExInstrumentInfo]:
|
||||
if len(body) < 6:
|
||||
return []
|
||||
pos = 0
|
||||
(_start, _count) = struct.unpack("<IH", body[pos : pos + 6])
|
||||
count = _count
|
||||
pos += 6
|
||||
results: list[ExInstrumentInfo] = []
|
||||
for _ in range(count):
|
||||
if pos + 64 > len(body):
|
||||
break
|
||||
raw = body[pos : pos + 64]
|
||||
(category, market, _unused, raw_code, raw_name, raw_desc) = struct.unpack(
|
||||
"<BB3s9s17s9s",
|
||||
raw[:40],
|
||||
)
|
||||
pos += 64
|
||||
code = raw_code.decode("gbk", errors="replace").rstrip("\x00")
|
||||
name = raw_name.decode("gbk", errors="replace").rstrip("\x00")
|
||||
desc = raw_desc.decode("gbk", errors="replace").rstrip("\x00")
|
||||
results.append(
|
||||
ExInstrumentInfo(
|
||||
category=category,
|
||||
market=market,
|
||||
code=code,
|
||||
name=name,
|
||||
desc=desc,
|
||||
_raw=raw,
|
||||
)
|
||||
)
|
||||
return results
|
||||
@@ -0,0 +1,103 @@
|
||||
"""获取扩展行情实时五档报价。"""
|
||||
|
||||
import struct
|
||||
|
||||
from ...commands.base import BaseCommand
|
||||
from ..models import ExInstrumentQuote
|
||||
|
||||
|
||||
class GetExInstrumentQuoteCmd(BaseCommand[ExInstrumentQuote | None]):
|
||||
"""获取单个商品的五档实时行情。"""
|
||||
|
||||
def __init__(self, market: int, code: str) -> None:
|
||||
self.market = market
|
||||
self.code = code.encode("utf-8")
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
header = bytes.fromhex("01 01 08 02 02 01 0c 00 0c 00 fa 23")
|
||||
return header + struct.pack("<B9s", self.market, self.code)
|
||||
|
||||
def parse_response(self, body: bytes) -> ExInstrumentQuote | None:
|
||||
if len(body) < 150:
|
||||
return None
|
||||
pos = 0
|
||||
(market, raw_code) = struct.unpack("<B9s", body[pos : pos + 10])
|
||||
pos += 10
|
||||
pos += 4 # skip 4 unknown bytes
|
||||
record_start = pos - 14
|
||||
(
|
||||
pre_close,
|
||||
open_price,
|
||||
high,
|
||||
low,
|
||||
price,
|
||||
kaicang,
|
||||
_unk1,
|
||||
zongliang,
|
||||
xianliang,
|
||||
_unk2,
|
||||
neipan,
|
||||
waipan,
|
||||
_unk3,
|
||||
chicang,
|
||||
b1,
|
||||
b2,
|
||||
b3,
|
||||
b4,
|
||||
b5,
|
||||
bv1,
|
||||
bv2,
|
||||
bv3,
|
||||
bv4,
|
||||
bv5,
|
||||
a1,
|
||||
a2,
|
||||
a3,
|
||||
a4,
|
||||
a5,
|
||||
av1,
|
||||
av2,
|
||||
av3,
|
||||
av4,
|
||||
av5,
|
||||
) = struct.unpack(
|
||||
"<fffffIIIIIIIIIfffffIIIIIfffffIIIII",
|
||||
body[pos : pos + 136],
|
||||
)
|
||||
code = raw_code.decode("utf-8", errors="replace").rstrip("\x00")
|
||||
return ExInstrumentQuote(
|
||||
market=market,
|
||||
code=code,
|
||||
pre_close=pre_close,
|
||||
open=open_price,
|
||||
high=high,
|
||||
low=low,
|
||||
price=price,
|
||||
kaicang=kaicang,
|
||||
zongliang=zongliang,
|
||||
xianliang=xianliang,
|
||||
neipan=neipan,
|
||||
waipan=waipan,
|
||||
chicang=chicang,
|
||||
bid1=b1,
|
||||
bid2=b2,
|
||||
bid3=b3,
|
||||
bid4=b4,
|
||||
bid5=b5,
|
||||
bid_vol1=bv1,
|
||||
bid_vol2=bv2,
|
||||
bid_vol3=bv3,
|
||||
bid_vol4=bv4,
|
||||
bid_vol5=bv5,
|
||||
ask1=a1,
|
||||
ask2=a2,
|
||||
ask3=a3,
|
||||
ask4=a4,
|
||||
ask5=a5,
|
||||
ask_vol1=av1,
|
||||
ask_vol2=av2,
|
||||
ask_vol3=av3,
|
||||
ask_vol4=av4,
|
||||
ask_vol5=av5,
|
||||
_raw=body[record_start : pos + 136],
|
||||
)
|
||||
@@ -0,0 +1,218 @@
|
||||
"""获取扩展行情商品列表行情。"""
|
||||
|
||||
import struct
|
||||
from collections import OrderedDict
|
||||
|
||||
from ...commands.base import BaseCommand
|
||||
from ...exceptions import TdxCommandError
|
||||
|
||||
|
||||
class GetExInstrumentQuoteListCmd(BaseCommand[list[OrderedDict[str, object]]]):
|
||||
"""按类别获取商品行情列表（期货/港股等）。"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
market: int,
|
||||
category: int,
|
||||
start: int = 0,
|
||||
count: int = 80,
|
||||
) -> None:
|
||||
self.market = market
|
||||
self.category = category
|
||||
self.start = start
|
||||
self.count = count
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
header = bytes.fromhex("01 c1 06 0b 00 02 0b 00 0b 00 00 24")
|
||||
return header + struct.pack(
|
||||
"<BHHHH",
|
||||
self.market,
|
||||
0,
|
||||
self.start,
|
||||
self.count,
|
||||
1,
|
||||
)
|
||||
|
||||
def parse_response(self, body: bytes) -> list[OrderedDict[str, object]]:
|
||||
if len(body) < 2:
|
||||
return []
|
||||
(num,) = struct.unpack("<H", body[0:2])
|
||||
pos = 2
|
||||
results: list[OrderedDict[str, object]] = []
|
||||
for _ in range(num):
|
||||
if pos + 10 > len(body):
|
||||
break
|
||||
(market, raw_code) = struct.unpack("<B9s", body[pos : pos + 10])
|
||||
code = raw_code.strip(b"\x00").decode("gbk", errors="replace")
|
||||
pos += 10
|
||||
if self.category == 3:
|
||||
pos = self._parse_futures(market, code, body, pos, results)
|
||||
elif self.category == 2:
|
||||
pos = self._parse_hk_stocks(market, code, body, pos, results)
|
||||
else:
|
||||
raise TdxCommandError(f"不支持的扩展行情类别: {self.category}")
|
||||
return results
|
||||
|
||||
@staticmethod
|
||||
def _parse_futures(
|
||||
market: int,
|
||||
code: str,
|
||||
body: bytes,
|
||||
pos: int,
|
||||
results: list[OrderedDict[str, object]],
|
||||
) -> int:
|
||||
if pos + 140 > len(body):
|
||||
return pos + 290
|
||||
(
|
||||
bi_shu,
|
||||
zuo_jie,
|
||||
jin_kai,
|
||||
zui_gao,
|
||||
zui_di,
|
||||
mai_chu,
|
||||
kai_cang,
|
||||
_unk1,
|
||||
zong_liang,
|
||||
xian_liang,
|
||||
zong_jin_e,
|
||||
nei_pan,
|
||||
wai_pan,
|
||||
_unk2,
|
||||
chi_cang_liang,
|
||||
mai_ru_jia,
|
||||
_u1,
|
||||
_u2,
|
||||
_u3,
|
||||
_u4,
|
||||
mai_ru_liang,
|
||||
_u5,
|
||||
_u6,
|
||||
_u7,
|
||||
_u8,
|
||||
mai_chu_jia,
|
||||
_u9,
|
||||
_u10,
|
||||
_u11,
|
||||
_u12,
|
||||
mai_chu_liang,
|
||||
_u13,
|
||||
_u14,
|
||||
_u15,
|
||||
) = struct.unpack("<IfffffIIIIfIIfIfIIIIIIIIIfIIIIIIIII", body[pos : pos + 140])
|
||||
pos += 290
|
||||
results.append(
|
||||
OrderedDict(
|
||||
[
|
||||
("market", market),
|
||||
("code", code),
|
||||
("BiShu", bi_shu),
|
||||
("ZuoJie", zuo_jie),
|
||||
("JinKai", jin_kai),
|
||||
("ZuiGao", zui_gao),
|
||||
("ZuiDi", zui_di),
|
||||
("MaiChu", mai_chu),
|
||||
("KaiCang", kai_cang),
|
||||
("ZongLiang", zong_liang),
|
||||
("XianLiang", xian_liang),
|
||||
("ZongJinE", zong_jin_e),
|
||||
("NeiPan", nei_pan),
|
||||
("WaiPan", wai_pan),
|
||||
("ChiCangLiang", chi_cang_liang),
|
||||
("MaiRuJia", mai_ru_jia),
|
||||
("MaiRuLiang", mai_ru_liang),
|
||||
("MaiChuJia", mai_chu_jia),
|
||||
("MaiChuLiang", mai_chu_liang),
|
||||
]
|
||||
)
|
||||
)
|
||||
return pos
|
||||
|
||||
@staticmethod
|
||||
def _parse_hk_stocks(
|
||||
market: int,
|
||||
code: str,
|
||||
body: bytes,
|
||||
pos: int,
|
||||
results: list[OrderedDict[str, object]],
|
||||
) -> int:
|
||||
if pos + 140 > len(body):
|
||||
return pos + 290
|
||||
(
|
||||
huo_yue_du,
|
||||
zuo_shou,
|
||||
jin_kai,
|
||||
zui_gao,
|
||||
zui_di,
|
||||
xian_jia,
|
||||
_unk1,
|
||||
mai_ru_jia,
|
||||
zong_liang,
|
||||
xian_liang,
|
||||
zong_jin_e,
|
||||
_unk2,
|
||||
_unk3,
|
||||
nei,
|
||||
wai,
|
||||
mrj1,
|
||||
mrj2,
|
||||
mrj3,
|
||||
mrj4,
|
||||
mrj5,
|
||||
mrl1,
|
||||
mrl2,
|
||||
mrl3,
|
||||
mrl4,
|
||||
mrl5,
|
||||
mcj1,
|
||||
mcj2,
|
||||
mcj3,
|
||||
mcj4,
|
||||
mcj5,
|
||||
mcl1,
|
||||
mcl2,
|
||||
mcl3,
|
||||
mcl4,
|
||||
mcl5,
|
||||
) = struct.unpack("<IfffffIfIIfIIIIfffffIIIIIfffffIIIII", body[pos : pos + 140])
|
||||
pos += 290
|
||||
results.append(
|
||||
OrderedDict(
|
||||
[
|
||||
("market", market),
|
||||
("code", code),
|
||||
("HuoYueDu", huo_yue_du),
|
||||
("ZuoShou", zuo_shou),
|
||||
("JinKai", jin_kai),
|
||||
("ZuiGao", zui_gao),
|
||||
("ZuiDi", zui_di),
|
||||
("XianJia", xian_jia),
|
||||
("MaiRuJia", mai_ru_jia),
|
||||
("ZongLiang", zong_liang),
|
||||
("XianLiang", xian_liang),
|
||||
("ZongJinE", zong_jin_e),
|
||||
("Nei", nei),
|
||||
("Wai", wai),
|
||||
("MaiRuJia1", mrj1),
|
||||
("MaiRuJia2", mrj2),
|
||||
("MaiRuJia3", mrj3),
|
||||
("MaiRuJia4", mrj4),
|
||||
("MaiRuJia5", mrj5),
|
||||
("MaiRuLiang1", mrl1),
|
||||
("MaiRuLiang2", mrl2),
|
||||
("MaiRuLiang3", mrl3),
|
||||
("MaiRuLiang4", mrl4),
|
||||
("MaiRuLiang5", mrl5),
|
||||
("MaiChuJia1", mcj1),
|
||||
("MaiChuJia2", mcj2),
|
||||
("MaiChuJia3", mcj3),
|
||||
("MaiChuJia4", mcj4),
|
||||
("MaiChuJia5", mcj5),
|
||||
("MaiChuLiang1", mcl1),
|
||||
("MaiChuLiang2", mcl2),
|
||||
("MaiChuLiang3", mcl3),
|
||||
("MaiChuLiang4", mcl4),
|
||||
("MaiChuLiang5", mcl5),
|
||||
]
|
||||
)
|
||||
)
|
||||
return pos
|
||||
@@ -0,0 +1,41 @@
|
||||
"""获取扩展行情市场列表。"""
|
||||
|
||||
import struct
|
||||
|
||||
from ..._binary import unpack_from
|
||||
from ...commands.base import BaseCommand
|
||||
from ..models import ExMarketInfo
|
||||
|
||||
|
||||
class GetExMarketsCmd(BaseCommand[list[ExMarketInfo]]):
|
||||
"""获取扩展行情支持的市场列表。"""
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
return bytes.fromhex("01 02 48 69 00 01 02 00 02 00 f4 23")
|
||||
|
||||
def parse_response(self, body: bytes) -> list[ExMarketInfo]:
|
||||
if len(body) < 2:
|
||||
return []
|
||||
(count,) = unpack_from("<H", body, 0, "ex markets count")
|
||||
pos = 2
|
||||
results: list[ExMarketInfo] = []
|
||||
for _ in range(count):
|
||||
if pos + 64 > len(body):
|
||||
break
|
||||
raw = body[pos : pos + 64]
|
||||
(category, raw_name, market, raw_short_name) = struct.unpack("<B32sB2s", raw[:36])
|
||||
pos += 64
|
||||
if category == 0 and market == 0:
|
||||
continue
|
||||
name = raw_name.decode("gbk", errors="replace").rstrip("\x00")
|
||||
short_name = raw_short_name.decode("gbk", errors="replace").rstrip("\x00")
|
||||
results.append(
|
||||
ExMarketInfo(
|
||||
market=market,
|
||||
category=category,
|
||||
name=name,
|
||||
short_name=short_name,
|
||||
_raw=raw,
|
||||
)
|
||||
)
|
||||
return results
|
||||
@@ -0,0 +1,74 @@
|
||||
"""获取扩展行情分时数据（当日 + 历史）。"""
|
||||
|
||||
import struct
|
||||
|
||||
from ...commands.base import BaseCommand
|
||||
from ..models import ExMinuteBar
|
||||
|
||||
|
||||
class GetExMinuteTimeDataCmd(BaseCommand[list[ExMinuteBar]]):
|
||||
"""获取当日分时行情数据。"""
|
||||
|
||||
def __init__(self, market: int, code: str) -> None:
|
||||
self.market = market
|
||||
self.code = code.encode("utf-8")
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
header = bytes.fromhex("01 07 08 00 01 01 0c 00 0c 00 0b 24")
|
||||
return header + struct.pack("<B9s", self.market, self.code)
|
||||
|
||||
def parse_response(self, body: bytes) -> list[ExMinuteBar]:
|
||||
if len(body) < 12:
|
||||
return []
|
||||
pos = 0
|
||||
(market, raw_code, num) = struct.unpack("<B9sH", body[pos : pos + 12])
|
||||
pos += 12
|
||||
return self._parse_records(body, pos, num)
|
||||
|
||||
@staticmethod
|
||||
def _parse_records(body: bytes, pos: int, num: int) -> list[ExMinuteBar]:
|
||||
results: list[ExMinuteBar] = []
|
||||
for _ in range(num):
|
||||
if pos + 18 > len(body):
|
||||
break
|
||||
record_start = pos
|
||||
(raw_time, price, avg_price, volume, amount) = struct.unpack(
|
||||
"<HffII",
|
||||
body[pos : pos + 18],
|
||||
)
|
||||
pos += 18
|
||||
hour = raw_time // 60
|
||||
minute = raw_time % 60
|
||||
results.append(
|
||||
ExMinuteBar(
|
||||
hour=hour,
|
||||
minute=minute,
|
||||
price=price,
|
||||
avg_price=avg_price,
|
||||
volume=volume,
|
||||
open_interest=amount,
|
||||
_raw=body[record_start:pos],
|
||||
)
|
||||
)
|
||||
return results
|
||||
|
||||
|
||||
class GetExHistoryMinuteTimeDataCmd(BaseCommand[list[ExMinuteBar]]):
|
||||
"""获取历史某日分时行情数据。"""
|
||||
|
||||
def __init__(self, market: int, code: str, date: int) -> None:
|
||||
self.market = market
|
||||
self.code = code.encode("utf-8")
|
||||
self.date = date
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
header = bytes.fromhex("01 01 30 00 01 01 10 00 10 00 0c 24")
|
||||
return header + struct.pack("<IB9s", self.date, self.market, self.code)
|
||||
|
||||
def parse_response(self, body: bytes) -> list[ExMinuteBar]:
|
||||
if len(body) < 20:
|
||||
return []
|
||||
pos = 0
|
||||
(_market, _code, _unk, num) = struct.unpack("<B9s8sH", body[pos : pos + 20])
|
||||
pos += 20
|
||||
return GetExMinuteTimeDataCmd._parse_records(body, pos, num)
|
||||
@@ -0,0 +1,97 @@
|
||||
"""获取扩展行情成交数据（当日 + 历史）。"""
|
||||
|
||||
import struct
|
||||
|
||||
from ...commands.base import BaseCommand
|
||||
from ..models import ExTransactionRecord
|
||||
|
||||
|
||||
class GetExTransactionDataCmd(BaseCommand[list[ExTransactionRecord]]):
|
||||
"""获取当日分笔成交数据。"""
|
||||
|
||||
def __init__(self, market: int, code: str, start: int = 0, count: int = 1800) -> None:
|
||||
self.market = market
|
||||
self.code = code.encode("utf-8")
|
||||
self.start = start
|
||||
self.count = count
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
header = bytes.fromhex("01 01 08 00 03 01 12 00 12 00 fc 23")
|
||||
return header + struct.pack("<B9siH", self.market, self.code, self.start, self.count)
|
||||
|
||||
def parse_response(self, body: bytes) -> list[ExTransactionRecord]:
|
||||
if len(body) < 16:
|
||||
return []
|
||||
pos = 0
|
||||
(_market, _code, _unk, num) = struct.unpack("<B9s4sH", body[pos : pos + 16])
|
||||
pos += 16
|
||||
return self._parse_records(body, pos, num)
|
||||
|
||||
@staticmethod
|
||||
def _parse_records(body: bytes, pos: int, num: int) -> list[ExTransactionRecord]:
|
||||
results: list[ExTransactionRecord] = []
|
||||
for _ in range(num):
|
||||
if pos + 16 > len(body):
|
||||
break
|
||||
record_start = pos
|
||||
(raw_time, price, volume, zengcang, direction) = struct.unpack(
|
||||
"<HIIiH",
|
||||
body[pos : pos + 16],
|
||||
)
|
||||
pos += 16
|
||||
hour = raw_time // 60
|
||||
minute = raw_time % 60
|
||||
second = direction % 10000
|
||||
if second > 59:
|
||||
second = 0
|
||||
nature = direction // 10000
|
||||
results.append(
|
||||
ExTransactionRecord(
|
||||
hour=hour,
|
||||
minute=minute,
|
||||
second=second,
|
||||
price=price,
|
||||
volume=volume,
|
||||
zengcang=zengcang,
|
||||
nature=nature,
|
||||
_raw=body[record_start:pos],
|
||||
)
|
||||
)
|
||||
return results
|
||||
|
||||
|
||||
class GetExHistoryTransactionDataCmd(BaseCommand[list[ExTransactionRecord]]):
|
||||
"""获取历史某日分笔成交数据。"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
market: int,
|
||||
code: str,
|
||||
date: int,
|
||||
start: int = 0,
|
||||
count: int = 1800,
|
||||
) -> None:
|
||||
self.market = market
|
||||
self.code = code.encode("utf-8")
|
||||
self.date = date
|
||||
self.start = start
|
||||
self.count = count
|
||||
|
||||
def build_request(self) -> bytes:
|
||||
header = bytes.fromhex("01 01 30 00 02 01 16 00 16 00 06 24")
|
||||
return header + struct.pack(
|
||||
"<IB9siH",
|
||||
self.date,
|
||||
self.market,
|
||||
self.code,
|
||||
self.start,
|
||||
self.count,
|
||||
)
|
||||
|
||||
def parse_response(self, body: bytes) -> list[ExTransactionRecord]:
|
||||
if len(body) < 16:
|
||||
return []
|
||||
pos = 0
|
||||
(_market, _code, _unk, num) = struct.unpack("<B9s4sH", body[pos : pos + 16])
|
||||
pos += 16
|
||||
return GetExTransactionDataCmd._parse_records(body, pos, num)
|
||||
@@ -0,0 +1,16 @@
|
||||
"""扩展行情握手命令。"""
|
||||
|
||||
from typing import Final
|
||||
|
||||
EX_SETUP_CMD: Final[bytes] = bytes.fromhex(
|
||||
"01 01 48 65 00 01 52 00 52 00 54 24"
|
||||
"1f 32 c6 e5 d5 3d fb 41"
|
||||
"1f 32 c6 e5 d5 3d fb 41"
|
||||
"1f 32 c6 e5 d5 3d fb 41"
|
||||
"1f 32 c6 e5 d5 3d fb 41"
|
||||
"1f 32 c6 e5 d5 3d fb 41"
|
||||
"1f 32 c6 e5 d5 3d fb 41"
|
||||
"1f 32 c6 e5 d5 3d fb 41"
|
||||
"cc e1 6d ff d5 ba 3f b8"
|
||||
"cb c5 7a 05 4f 77 48 ea"
|
||||
)
|
||||
@@ -0,0 +1,158 @@
|
||||
"""扩展行情数据模型与常量。"""
|
||||
|
||||
from dataclasses import dataclass, field
|
||||
|
||||
# 扩展行情服务器（端口 7727），来源: pytdx_backup/util/best_ip.py
|
||||
KNOWN_EX_HOSTS: list[str] = [
|
||||
"106.14.95.149",
|
||||
"112.74.214.43",
|
||||
"119.147.86.171",
|
||||
"119.97.185.5",
|
||||
"120.24.0.77",
|
||||
"47.92.127.181",
|
||||
"59.175.238.38",
|
||||
"61.152.107.141",
|
||||
"61.152.107.171",
|
||||
"47.107.75.159",
|
||||
"120.25.218.6",
|
||||
"43.139.173.246",
|
||||
"159.75.90.107",
|
||||
"106.52.170.195",
|
||||
"139.9.191.175",
|
||||
"175.24.47.69",
|
||||
"150.158.9.199",
|
||||
"150.158.20.127",
|
||||
"49.235.119.116",
|
||||
"49.234.13.160",
|
||||
"116.205.143.214",
|
||||
"124.71.223.19",
|
||||
"113.45.175.47",
|
||||
"123.60.173.210",
|
||||
"118.89.69.202",
|
||||
]
|
||||
|
||||
# 已知扩展行情市场代码
|
||||
KNOWN_EX_MARKETS: dict[int, str] = {
|
||||
0: "深圳",
|
||||
1: "上海",
|
||||
28: "郑州商品",
|
||||
29: "大连商品",
|
||||
30: "上海期货",
|
||||
31: "香港主板",
|
||||
47: "中金所",
|
||||
48: "香港创业板",
|
||||
49: "香港基金",
|
||||
71: "沪港通",
|
||||
74: "外盘",
|
||||
}
|
||||
|
||||
_DEFAULT_EX_PORT = 7727
|
||||
|
||||
|
||||
@dataclass
|
||||
class ExMarketInfo:
|
||||
"""市场定义（GetMarkets 返回）。"""
|
||||
|
||||
market: int
|
||||
category: int
|
||||
name: str
|
||||
short_name: str
|
||||
_raw: bytes = field(default=b"", repr=False, compare=False)
|
||||
|
||||
|
||||
@dataclass
|
||||
class ExInstrumentInfo:
|
||||
"""合约/证券信息（GetInstrumentInfo 返回）。"""
|
||||
|
||||
category: int
|
||||
market: int
|
||||
code: str
|
||||
name: str
|
||||
desc: str
|
||||
_raw: bytes = field(default=b"", repr=False, compare=False)
|
||||
|
||||
|
||||
@dataclass
|
||||
class ExInstrumentQuote:
|
||||
"""五档行情（GetInstrumentQuote 返回）。"""
|
||||
|
||||
market: int
|
||||
code: str
|
||||
pre_close: float
|
||||
open: float
|
||||
high: float
|
||||
low: float
|
||||
price: float
|
||||
kaicang: int
|
||||
zongliang: int
|
||||
xianliang: int
|
||||
neipan: int
|
||||
waipan: int
|
||||
chicang: int
|
||||
bid1: float
|
||||
bid2: float
|
||||
bid3: float
|
||||
bid4: float
|
||||
bid5: float
|
||||
bid_vol1: int
|
||||
bid_vol2: int
|
||||
bid_vol3: int
|
||||
bid_vol4: int
|
||||
bid_vol5: int
|
||||
ask1: float
|
||||
ask2: float
|
||||
ask3: float
|
||||
ask4: float
|
||||
ask5: float
|
||||
ask_vol1: int
|
||||
ask_vol2: int
|
||||
ask_vol3: int
|
||||
ask_vol4: int
|
||||
ask_vol5: int
|
||||
_raw: bytes = field(default=b"", repr=False, compare=False)
|
||||
|
||||
|
||||
@dataclass
|
||||
class ExInstrumentBar:
|
||||
"""K线数据（GetInstrumentBars / GetHistoryInstrumentBarsRange 返回）。"""
|
||||
|
||||
open: float
|
||||
high: float
|
||||
low: float
|
||||
close: float
|
||||
position: int
|
||||
trade: int
|
||||
amount: float
|
||||
year: int
|
||||
month: int
|
||||
day: int
|
||||
hour: int
|
||||
minute: int
|
||||
_raw: bytes = field(default=b"", repr=False, compare=False)
|
||||
|
||||
|
||||
@dataclass
|
||||
class ExMinuteBar:
|
||||
"""分时数据（GetMinuteTimeData / GetHistoryMinuteTimeData 返回）。"""
|
||||
|
||||
hour: int
|
||||
minute: int
|
||||
price: float
|
||||
avg_price: float
|
||||
volume: int
|
||||
open_interest: int
|
||||
_raw: bytes = field(default=b"", repr=False, compare=False)
|
||||
|
||||
|
||||
@dataclass
|
||||
class ExTransactionRecord:
|
||||
"""逐笔成交记录（GetTransactionData / GetHistoryTransactionData 返回）。"""
|
||||
|
||||
hour: int
|
||||
minute: int
|
||||
second: int
|
||||
price: int
|
||||
volume: int
|
||||
zengcang: int
|
||||
nature: int
|
||||
_raw: bytes = field(default=b"", repr=False, compare=False)
|
||||
@@ -0,0 +1 @@
|
||||
"""扩展行情传输层。"""
|
||||
@@ -0,0 +1,125 @@
|
||||
"""扩展行情异步 TCP 连接（asyncio，端口 7727）。"""
|
||||
|
||||
import asyncio
|
||||
from types import TracebackType
|
||||
from typing import TYPE_CHECKING, TypeVar
|
||||
|
||||
from ...codec.frame import HEADER_SIZE, decompress_body, parse_header
|
||||
from ...exceptions import TdxConnectionError
|
||||
from ..commands.setup import EX_SETUP_CMD
|
||||
from ..models import KNOWN_EX_HOSTS
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from ...commands.base import BaseCommand
|
||||
|
||||
T = TypeVar("T")
|
||||
|
||||
_DEFAULT_EX_PORT = 7727
|
||||
_DEFAULT_TIMEOUT = 15.0
|
||||
|
||||
|
||||
class AsyncExTdxConnection:
|
||||
"""扩展行情异步 TCP 连接（asyncio，端口 7727，单包握手）。"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
host: str = KNOWN_EX_HOSTS[0],
|
||||
port: int = _DEFAULT_EX_PORT,
|
||||
timeout: float = _DEFAULT_TIMEOUT,
|
||||
) -> None:
|
||||
self.host = host
|
||||
self.port = port
|
||||
self.timeout = timeout
|
||||
self._reader: asyncio.StreamReader | None = None
|
||||
self._writer: asyncio.StreamWriter | None = None
|
||||
self._io_lock = asyncio.Lock()
|
||||
|
||||
async def connect(self) -> None:
|
||||
async with self._io_lock:
|
||||
if self._writer is not None and not self._writer.is_closing():
|
||||
return
|
||||
await self._connect_unlocked()
|
||||
|
||||
async def close(self) -> None:
|
||||
async with self._io_lock:
|
||||
await self._close_unlocked()
|
||||
|
||||
async def execute(self, cmd: "BaseCommand[T]") -> T:
|
||||
async with self._io_lock:
|
||||
if self._writer is None or self._reader is None:
|
||||
raise TdxConnectionError("未连接，请先调用 connect()")
|
||||
request = cmd.build_request()
|
||||
try:
|
||||
self._writer.write(request)
|
||||
await asyncio.wait_for(self._writer.drain(), timeout=self.timeout)
|
||||
header_buf = await self._recv_exact(HEADER_SIZE)
|
||||
header = parse_header(header_buf)
|
||||
raw_body = await self._recv_exact(header.zipsize)
|
||||
except asyncio.TimeoutError as e:
|
||||
await self._close_unlocked()
|
||||
raise TdxConnectionError(f"通信超时: {self.timeout}s") from e
|
||||
except (OSError, asyncio.IncompleteReadError) as e:
|
||||
await self._close_unlocked()
|
||||
raise TdxConnectionError(f"通信错误: {e}") from e
|
||||
|
||||
body = decompress_body(header, raw_body)
|
||||
return cmd.parse_response(body)
|
||||
|
||||
async def _connect_unlocked(self) -> None:
|
||||
try:
|
||||
reader, writer = await asyncio.wait_for(
|
||||
asyncio.open_connection(self.host, self.port),
|
||||
timeout=self.timeout,
|
||||
)
|
||||
except (OSError, asyncio.TimeoutError) as e:
|
||||
raise TdxConnectionError(f"无法连接 {self.host}:{self.port}: {e}") from e
|
||||
self._reader = reader
|
||||
self._writer = writer
|
||||
try:
|
||||
await self._send_setup()
|
||||
except Exception:
|
||||
await self._close_unlocked()
|
||||
raise
|
||||
|
||||
async def _close_unlocked(self) -> None:
|
||||
if self._writer is not None:
|
||||
try:
|
||||
self._writer.close()
|
||||
await self._writer.wait_closed()
|
||||
except OSError:
|
||||
pass
|
||||
self._reader = None
|
||||
self._writer = None
|
||||
|
||||
async def __aenter__(self) -> "AsyncExTdxConnection":
|
||||
await self.connect()
|
||||
return self
|
||||
|
||||
async def __aexit__(
|
||||
self,
|
||||
exc_type: type[BaseException] | None,
|
||||
exc_val: BaseException | None,
|
||||
exc_tb: TracebackType | None,
|
||||
) -> None:
|
||||
await self.close()
|
||||
|
||||
async def _send_setup(self) -> None:
|
||||
"""发送单条扩展行情握手命令并丢弃响应。"""
|
||||
assert self._writer is not None
|
||||
assert self._reader is not None
|
||||
self._writer.write(EX_SETUP_CMD)
|
||||
await asyncio.wait_for(self._writer.drain(), timeout=self.timeout)
|
||||
try:
|
||||
hdr_buf = await self._recv_exact(HEADER_SIZE)
|
||||
hdr = parse_header(hdr_buf)
|
||||
if hdr.zipsize > 0:
|
||||
await self._recv_exact(hdr.zipsize)
|
||||
except (OSError, asyncio.TimeoutError, asyncio.IncompleteReadError):
|
||||
pass
|
||||
|
||||
async def _recv_exact(self, n: int) -> bytes:
|
||||
assert self._reader is not None
|
||||
return await asyncio.wait_for(
|
||||
self._reader.readexactly(n),
|
||||
timeout=self.timeout,
|
||||
)
|
||||
@@ -0,0 +1,163 @@
|
||||
"""扩展行情同步 TCP 连接（端口 7727）。"""
|
||||
|
||||
import socket
|
||||
import time
|
||||
from types import TracebackType
|
||||
from typing import TYPE_CHECKING, TypeVar
|
||||
|
||||
from ...codec.frame import HEADER_SIZE, decompress_body, parse_header
|
||||
from ...exceptions import TdxConnectionError
|
||||
from ..commands.setup import EX_SETUP_CMD
|
||||
from ..models import KNOWN_EX_HOSTS
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from ...commands.base import BaseCommand
|
||||
|
||||
T = TypeVar("T")
|
||||
|
||||
_DEFAULT_EX_PORT = 7727
|
||||
_DEFAULT_TIMEOUT = 15.0
|
||||
|
||||
|
||||
def ping_ex_host(
|
||||
host: str,
|
||||
port: int = _DEFAULT_EX_PORT,
|
||||
timeout: float = 5.0,
|
||||
) -> float | None:
|
||||
"""测量扩展行情服务器延迟（秒）。失败返回 None。"""
|
||||
t0 = time.monotonic()
|
||||
sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
|
||||
sock.settimeout(timeout)
|
||||
try:
|
||||
sock.connect((host, port))
|
||||
sock.sendall(EX_SETUP_CMD)
|
||||
hdr_buf = _recv_exact_sock(sock, HEADER_SIZE)
|
||||
hdr = parse_header(hdr_buf)
|
||||
if hdr.zipsize > 0:
|
||||
_recv_exact_sock(sock, hdr.zipsize)
|
||||
return time.monotonic() - t0
|
||||
except OSError:
|
||||
return None
|
||||
finally:
|
||||
try:
|
||||
sock.close()
|
||||
except OSError:
|
||||
pass
|
||||
|
||||
|
||||
def ping_ex_all(
|
||||
hosts: list[str] | None = None,
|
||||
port: int = _DEFAULT_EX_PORT,
|
||||
timeout: float = 5.0,
|
||||
) -> list[tuple[str, float]]:
|
||||
"""并发测量多台扩展行情服务器延迟，按延迟排序返回。"""
|
||||
import concurrent.futures
|
||||
|
||||
if hosts is None:
|
||||
hosts = KNOWN_EX_HOSTS
|
||||
results: list[tuple[str, float]] = []
|
||||
with concurrent.futures.ThreadPoolExecutor(max_workers=len(hosts)) as pool:
|
||||
futures = {pool.submit(ping_ex_host, h, port, timeout): h for h in hosts}
|
||||
for fut in concurrent.futures.as_completed(futures):
|
||||
host = futures[fut]
|
||||
latency = fut.result()
|
||||
if latency is not None:
|
||||
results.append((host, latency))
|
||||
results.sort(key=lambda t: t[1])
|
||||
return results
|
||||
|
||||
|
||||
def _recv_exact_sock(sock: socket.socket, n: int) -> bytes:
|
||||
buf = bytearray()
|
||||
while len(buf) < n:
|
||||
chunk = sock.recv(n - len(buf))
|
||||
if not chunk:
|
||||
raise TdxConnectionError("连接被服务器关闭")
|
||||
buf.extend(chunk)
|
||||
return bytes(buf)
|
||||
|
||||
|
||||
class ExTdxConnection:
|
||||
"""扩展行情同步 TCP 连接（端口 7727，单包握手）。"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
host: str = KNOWN_EX_HOSTS[0],
|
||||
port: int = _DEFAULT_EX_PORT,
|
||||
timeout: float = _DEFAULT_TIMEOUT,
|
||||
) -> None:
|
||||
self.host = host
|
||||
self.port = port
|
||||
self.timeout = timeout
|
||||
self._sock: socket.socket | None = None
|
||||
|
||||
def connect(self) -> None:
|
||||
"""建立 TCP 连接并完成扩展行情握手。"""
|
||||
sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
|
||||
sock.settimeout(self.timeout)
|
||||
try:
|
||||
sock.connect((self.host, self.port))
|
||||
except OSError as e:
|
||||
sock.close()
|
||||
raise TdxConnectionError(f"无法连接 {self.host}:{self.port}: {e}") from e
|
||||
self._sock = sock
|
||||
try:
|
||||
self._send_setup()
|
||||
except Exception:
|
||||
try:
|
||||
sock.close()
|
||||
except OSError:
|
||||
pass
|
||||
self._sock = None
|
||||
raise
|
||||
|
||||
def close(self) -> None:
|
||||
if self._sock is not None:
|
||||
try:
|
||||
self._sock.close()
|
||||
except OSError:
|
||||
pass
|
||||
self._sock = None
|
||||
|
||||
def execute(self, cmd: "BaseCommand[T]") -> T:
|
||||
"""执行一条命令：发送请求，接收并解压响应，返回解析结果。"""
|
||||
if self._sock is None:
|
||||
raise TdxConnectionError("未连接，请先调用 connect()")
|
||||
request = cmd.build_request()
|
||||
try:
|
||||
self._sock.sendall(request)
|
||||
header_buf = self._recv_exact(HEADER_SIZE)
|
||||
header = parse_header(header_buf)
|
||||
raw_body = self._recv_exact(header.zipsize)
|
||||
except OSError as e:
|
||||
raise TdxConnectionError(f"通信错误: {e}") from e
|
||||
body = decompress_body(header, raw_body)
|
||||
return cmd.parse_response(body)
|
||||
|
||||
def __enter__(self) -> "ExTdxConnection":
|
||||
self.connect()
|
||||
return self
|
||||
|
||||
def __exit__(
|
||||
self,
|
||||
exc_type: type[BaseException] | None,
|
||||
exc_val: BaseException | None,
|
||||
exc_tb: TracebackType | None,
|
||||
) -> None:
|
||||
self.close()
|
||||
|
||||
def _send_setup(self) -> None:
|
||||
"""发送单条扩展行情握手命令并丢弃响应。"""
|
||||
assert self._sock is not None
|
||||
self._sock.sendall(EX_SETUP_CMD)
|
||||
try:
|
||||
hdr_buf = self._recv_exact(HEADER_SIZE)
|
||||
hdr = parse_header(hdr_buf)
|
||||
if hdr.zipsize > 0:
|
||||
self._recv_exact(hdr.zipsize)
|
||||
except OSError:
|
||||
pass
|
||||
|
||||
def _recv_exact(self, n: int) -> bytes:
|
||||
assert self._sock is not None
|
||||
return _recv_exact_sock(self._sock, n)
|
||||
@@ -15,3 +15,11 @@ class TdxDecodeError(TdxError):
|
||||
|
||||
class TdxCommandError(TdxError):
|
||||
"""命令执行失败（服务器返回错误）"""
|
||||
|
||||
|
||||
class TdxFileNotFoundError(TdxError):
|
||||
"""本地数据文件不存在"""
|
||||
|
||||
|
||||
class TdxOfflineError(TdxError):
|
||||
"""离线数据读取失败（路径未配置、文件格式错误等）"""
|
||||
|
||||
@@ -0,0 +1,37 @@
|
||||
"""离线数据读取模块 —— 从本地通达信安装目录读取数据文件。"""
|
||||
|
||||
from .block import CustomerBlock, read_block_dat, read_customer_blocks
|
||||
from .daily_bar import find_daily_bar_file, read_daily_bars
|
||||
from .ex_daily_bar import ExDailyBar, read_ex_daily_bars
|
||||
from .finders import find_5min_bar_file, find_lc1_bar_file, find_lc5_bar_file
|
||||
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
|
||||
|
||||
__all__ = [
|
||||
# 路径
|
||||
"detect_tdx_home",
|
||||
"resolve_vipdoc",
|
||||
# 日线
|
||||
"read_daily_bars",
|
||||
"find_daily_bar_file",
|
||||
# 分钟线
|
||||
"read_5min_bars",
|
||||
"read_lc_min_bars",
|
||||
"find_5min_bar_file",
|
||||
"find_lc1_bar_file",
|
||||
"find_lc5_bar_file",
|
||||
# 扩展市场
|
||||
"ExDailyBar",
|
||||
"read_ex_daily_bars",
|
||||
# 板块
|
||||
"CustomerBlock",
|
||||
"read_block_dat",
|
||||
"read_customer_blocks",
|
||||
# 股本变迁
|
||||
"GbbqRecord",
|
||||
"read_gbbq",
|
||||
# 历史财务
|
||||
"read_history_financial",
|
||||
]
|
||||
@@ -0,0 +1,92 @@
|
||||
"""板块数据读取（.dat 文件和自定义板块目录）。"""
|
||||
|
||||
from dataclasses import dataclass, field
|
||||
from pathlib import Path
|
||||
|
||||
from ..codec.block import parse_block_dat
|
||||
from ..exceptions import TdxFileNotFoundError, TdxOfflineError
|
||||
from ..models.finance import TdxBlock
|
||||
|
||||
|
||||
@dataclass
|
||||
class CustomerBlock:
|
||||
"""自定义板块。"""
|
||||
|
||||
blockname: str
|
||||
block_type: str
|
||||
codes: list[str] = field(default_factory=list)
|
||||
|
||||
|
||||
def read_block_dat(filepath: str | Path) -> list[TdxBlock]:
|
||||
"""从本地 .dat 板块文件读取板块数据。
|
||||
|
||||
直接复用 codec/block.py 的 parse_block_dat()。
|
||||
|
||||
Args:
|
||||
filepath: .dat 文件路径（如 block_zs.dat）。
|
||||
|
||||
Returns:
|
||||
TdxBlock 列表。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
raise TdxFileNotFoundError(f"板块数据文件不存在: {filepath}")
|
||||
data = filepath.read_bytes()
|
||||
return parse_block_dat(data, filename=filepath.name)
|
||||
|
||||
|
||||
def read_customer_blocks(block_dir: str | Path) -> list[CustomerBlock]:
|
||||
"""从通达信自定义板块目录读取板块数据。
|
||||
|
||||
目录结构：
|
||||
blocknew.cfg — 板块索引（120 字节/条：50B 名称 + 70B 文件名）
|
||||
*.blk — 板块内容（每行一个代码，首位为市场标识）
|
||||
|
||||
Args:
|
||||
block_dir: 自定义板块目录路径。
|
||||
|
||||
Returns:
|
||||
CustomerBlock 列表。
|
||||
"""
|
||||
block_dir = Path(block_dir)
|
||||
if not block_dir.is_dir():
|
||||
raise TdxOfflineError(f"自定义板块目录不存在: {block_dir}")
|
||||
|
||||
cfg_path = block_dir / "blocknew.cfg"
|
||||
if not cfg_path.is_file():
|
||||
raise TdxOfflineError(f"板块配置文件不存在: {cfg_path}")
|
||||
|
||||
cfg_data = cfg_path.read_bytes()
|
||||
results: list[CustomerBlock] = []
|
||||
pos = 0
|
||||
|
||||
while pos + 120 <= len(cfg_data):
|
||||
name = cfg_data[pos : pos + 50].decode("gbk", errors="replace").rstrip("\x00")
|
||||
name = name.split("\x00")[0]
|
||||
blk_filename = cfg_data[pos + 50 : pos + 120].decode("gbk", errors="replace").rstrip("\x00")
|
||||
blk_filename = blk_filename.split("\x00")[0]
|
||||
pos += 120
|
||||
|
||||
if not blk_filename:
|
||||
continue
|
||||
|
||||
blk_path = block_dir / f"{blk_filename}.blk"
|
||||
if not blk_path.is_file():
|
||||
continue
|
||||
|
||||
codes: list[str] = []
|
||||
for line in blk_path.read_text(encoding="utf-8", errors="replace").splitlines():
|
||||
line = line.strip()
|
||||
if line and len(line) > 1:
|
||||
codes.append(line[1:]) # 去掉首位的市场标识
|
||||
|
||||
if name:
|
||||
results.append(
|
||||
CustomerBlock(
|
||||
blockname=name,
|
||||
block_type=blk_filename,
|
||||
codes=codes,
|
||||
)
|
||||
)
|
||||
|
||||
return results
|
||||
@@ -0,0 +1,131 @@
|
||||
"""日线 K 线数据读取（.day 文件）。"""
|
||||
|
||||
import struct
|
||||
from pathlib import Path
|
||||
|
||||
from ..exceptions import TdxFileNotFoundError
|
||||
from ..models.bar import SecurityBar
|
||||
from .paths import _market_to_exchange, resolve_vipdoc
|
||||
|
||||
# struct 格式：日期(YYYYMMDD) 开盘 最高 最低 收盘 成交额 成交量 保留
|
||||
# 全部为小端序，32 字节/条
|
||||
_DAILY_FMT = struct.Struct("<IIIIIfII")
|
||||
|
||||
# 证券类型 → (价格系数, 量系数)
|
||||
_SECURITY_COEFFICIENTS: dict[str, tuple[float, float]] = {
|
||||
"SH_A_STOCK": (0.01, 0.01),
|
||||
"SH_B_STOCK": (0.001, 0.01),
|
||||
"SH_INDEX": (0.01, 1.0),
|
||||
"SH_FUND": (0.001, 1.0),
|
||||
"SH_BOND": (0.001, 1.0),
|
||||
"SZ_A_STOCK": (0.01, 0.01),
|
||||
"SZ_B_STOCK": (0.01, 0.01),
|
||||
"SZ_INDEX": (0.01, 1.0),
|
||||
"SZ_FUND": (0.001, 0.01),
|
||||
"SZ_BOND": (0.001, 1.0),
|
||||
}
|
||||
|
||||
|
||||
def _detect_security_type(filename: str) -> str:
|
||||
"""从文件名推断证券类型。
|
||||
|
||||
文件名格式: {exchange}{code}.day，如 sh600000.day、sz000001.day
|
||||
"""
|
||||
base = Path(filename).name.lower()
|
||||
exchange = base[:2] # "sh" or "sz"
|
||||
code_head = base[2:4]
|
||||
|
||||
if exchange == "sz":
|
||||
if code_head in ("00", "30"):
|
||||
return "SZ_A_STOCK"
|
||||
if code_head == "20":
|
||||
return "SZ_B_STOCK"
|
||||
if code_head == "39":
|
||||
return "SZ_INDEX"
|
||||
if code_head in ("15", "16"):
|
||||
return "SZ_FUND"
|
||||
if code_head in ("10", "11", "12", "13", "14"):
|
||||
return "SZ_BOND"
|
||||
elif exchange == "sh":
|
||||
if code_head == "60":
|
||||
return "SH_A_STOCK"
|
||||
if code_head == "90":
|
||||
return "SH_B_STOCK"
|
||||
if code_head in ("00", "88", "99"):
|
||||
return "SH_INDEX"
|
||||
if code_head in ("50", "51"):
|
||||
return "SH_FUND"
|
||||
if code_head in ("01", "10", "11", "12", "13", "14"):
|
||||
return "SH_BOND"
|
||||
|
||||
return "SZ_A_STOCK" # 默认按 A 股处理
|
||||
|
||||
|
||||
def read_daily_bars(filepath: str | Path) -> list[SecurityBar]:
|
||||
"""从本地 .day 文件读取日线 K 线数据。
|
||||
|
||||
Args:
|
||||
filepath: .day 文件路径。
|
||||
|
||||
Returns:
|
||||
SecurityBar 列表（按时间升序）。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
raise TdxFileNotFoundError(f"日线数据文件不存在: {filepath}")
|
||||
|
||||
sec_type = _detect_security_type(filepath.name)
|
||||
price_coeff, vol_coeff = _SECURITY_COEFFICIENTS.get(sec_type, (0.01, 0.01))
|
||||
|
||||
data = filepath.read_bytes()
|
||||
if len(data) < _DAILY_FMT.size:
|
||||
return []
|
||||
|
||||
results: list[SecurityBar] = []
|
||||
record_size = _DAILY_FMT.size
|
||||
for offset in range(0, len(data) - record_size + 1, record_size):
|
||||
raw = data[offset : offset + record_size]
|
||||
date_int, op, hi, lo, cl, amount, vol, _res = _DAILY_FMT.unpack(raw)
|
||||
|
||||
year = date_int // 10000
|
||||
month = (date_int % 10000) // 100
|
||||
day = date_int % 100
|
||||
|
||||
results.append(
|
||||
SecurityBar(
|
||||
open=op * price_coeff,
|
||||
close=cl * price_coeff,
|
||||
high=hi * price_coeff,
|
||||
low=lo * price_coeff,
|
||||
vol=vol * vol_coeff,
|
||||
amount=amount,
|
||||
year=year,
|
||||
month=month,
|
||||
day=day,
|
||||
hour=0,
|
||||
minute=0,
|
||||
_raw=raw,
|
||||
)
|
||||
)
|
||||
|
||||
return results
|
||||
|
||||
|
||||
def find_daily_bar_file(
|
||||
market: int,
|
||||
code: str,
|
||||
vipdoc: str | Path | None = None,
|
||||
) -> Path:
|
||||
"""根据市场和代码定位日线文件路径。
|
||||
|
||||
Args:
|
||||
market: 市场代码（Market.SZ=0, Market.SH=1）。
|
||||
code: 6 位股票代码。
|
||||
vipdoc: vipdoc 目录路径，None 则自动检测。
|
||||
|
||||
Returns:
|
||||
.day 文件的 Path。
|
||||
"""
|
||||
vipdoc_path = resolve_vipdoc(vipdoc)
|
||||
exchange = _market_to_exchange(market)
|
||||
return vipdoc_path / exchange / "lday" / f"{exchange}{code}.day"
|
||||
@@ -0,0 +1,82 @@
|
||||
"""扩展市场日线数据读取（期货、港股等 .day 文件）。"""
|
||||
|
||||
import struct
|
||||
from dataclasses import dataclass, field
|
||||
from pathlib import Path
|
||||
|
||||
from ..exceptions import TdxFileNotFoundError
|
||||
|
||||
# 日期(4B) 开盘(4Bf) 最高(4Bf) 最低(4Bf) 收盘(4Bf) 成交额(4B) 成交量(4B) 结算价(4Bf)
|
||||
_EX_DAILY_FMT = struct.Struct("<IffffIIf")
|
||||
|
||||
|
||||
@dataclass
|
||||
class ExDailyBar:
|
||||
"""扩展市场日线（期货/港股等，含结算价）。"""
|
||||
|
||||
open: float
|
||||
high: float
|
||||
low: float
|
||||
close: float
|
||||
amount: int
|
||||
vol: int
|
||||
settlement: float
|
||||
hk_stock_amount: float
|
||||
year: int
|
||||
month: int
|
||||
day: int
|
||||
_raw: bytes = field(default=b"", repr=False, compare=False)
|
||||
|
||||
|
||||
def read_ex_daily_bars(filepath: str | Path) -> list[ExDailyBar]:
|
||||
"""从本地扩展市场 .day 文件读取日线数据。
|
||||
|
||||
文件位于 vipdoc/ds/ 目录下，如 29#A1801.day。
|
||||
|
||||
Args:
|
||||
filepath: .day 文件路径。
|
||||
|
||||
Returns:
|
||||
ExDailyBar 列表（按时间升序）。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
raise TdxFileNotFoundError(f"扩展市场日线文件不存在: {filepath}")
|
||||
|
||||
data = filepath.read_bytes()
|
||||
if len(data) < _EX_DAILY_FMT.size:
|
||||
return []
|
||||
|
||||
results: list[ExDailyBar] = []
|
||||
record_size = _EX_DAILY_FMT.size
|
||||
|
||||
for offset in range(0, len(data) - record_size + 1, record_size):
|
||||
raw = data[offset : offset + record_size]
|
||||
date_int, op, hi, lo, cl, amt, vol, settlement = _EX_DAILY_FMT.unpack(raw)
|
||||
|
||||
# 第 5 个字段（成交额位置）重新解释为 float 作为港股量
|
||||
hk_bytes = struct.pack("<I", amt)
|
||||
(hk_stock_amount,) = struct.unpack("<f", hk_bytes)
|
||||
|
||||
year = date_int // 10000
|
||||
month = (date_int % 10000) // 100
|
||||
day = date_int % 100
|
||||
|
||||
results.append(
|
||||
ExDailyBar(
|
||||
open=op,
|
||||
high=hi,
|
||||
low=lo,
|
||||
close=cl,
|
||||
amount=vol,
|
||||
vol=vol,
|
||||
settlement=settlement,
|
||||
hk_stock_amount=hk_stock_amount,
|
||||
year=year,
|
||||
month=month,
|
||||
day=day,
|
||||
_raw=raw,
|
||||
)
|
||||
)
|
||||
|
||||
return results
|
||||
@@ -0,0 +1,38 @@
|
||||
"""路径定位辅助函数。"""
|
||||
|
||||
from pathlib import Path
|
||||
|
||||
from .paths import _market_to_exchange, resolve_vipdoc
|
||||
|
||||
|
||||
def find_5min_bar_file(
|
||||
market: int,
|
||||
code: str,
|
||||
vipdoc: str | Path | None = None,
|
||||
) -> Path:
|
||||
"""根据市场和代码定位 .5 分钟线文件路径。"""
|
||||
vipdoc_path = resolve_vipdoc(vipdoc)
|
||||
exchange = _market_to_exchange(market)
|
||||
return vipdoc_path / exchange / "fzline" / f"{exchange}{code}.5"
|
||||
|
||||
|
||||
def find_lc1_bar_file(
|
||||
market: int,
|
||||
code: str,
|
||||
vipdoc: str | Path | None = None,
|
||||
) -> Path:
|
||||
"""根据市场和代码定位 .lc1 分钟线文件路径。"""
|
||||
vipdoc_path = resolve_vipdoc(vipdoc)
|
||||
exchange = _market_to_exchange(market)
|
||||
return vipdoc_path / exchange / "fzline" / f"{exchange}{code}.lc1"
|
||||
|
||||
|
||||
def find_lc5_bar_file(
|
||||
market: int,
|
||||
code: str,
|
||||
vipdoc: str | Path | None = None,
|
||||
) -> Path:
|
||||
"""根据市场和代码定位 .lc5 分钟线文件路径。"""
|
||||
vipdoc_path = resolve_vipdoc(vipdoc)
|
||||
exchange = _market_to_exchange(market)
|
||||
return vipdoc_path / exchange / "fzline" / f"{exchange}{code}.lc5"
|
||||
@@ -0,0 +1,366 @@
|
||||
"""股本变迁数据读取（XOR 加密的 gbbq 文件）。"""
|
||||
|
||||
import struct
|
||||
from dataclasses import dataclass, field
|
||||
from pathlib import Path
|
||||
|
||||
from ..exceptions import TdxFileNotFoundError
|
||||
|
||||
_MASK32 = 0xFFFFFFFF
|
||||
|
||||
# XOR 解密密钥（从 pytdx 移植，1072 字节 hex dump）
|
||||
_HEX_KEY = (
|
||||
"38 A7 C2 1D E0 6A 17 E2 D1 39 A2 40 9C BA 46 AF "
|
||||
"42 C6 FF 05 74 EA DA BB 89 B4 F8 44 AC 89 D7 F2 "
|
||||
"98 7F B6 BC E4 F7 6B 75 05 04 58 67 79 C8 6D C6 "
|
||||
"2B 06 96 8C FB 86 06 8B BF D6 E8 E1 87 49 6B 36 "
|
||||
"C7 18 02 79 53 25 72 72 13 CC 04 0B 90 24 0C DC "
|
||||
"DB 03 1A D5 2E 04 85 5C 7E 8E BD 02 26 2D BD 06 "
|
||||
"1B 50 34 99 1B A2 24 04 F2 88 35 C8 89 EA D5 FB "
|
||||
"12 24 BB B5 3B 29 CA 14 A6 04 CE A9 A8 58 02 B9 "
|
||||
"AA E3 97 A3 A6 22 57 BB AD A0 22 5F EB 05 86 11 "
|
||||
"C3 ED B1 3F 39 C2 36 D1 4A 43 C8 64 4D B0 6E 3A "
|
||||
"7C 51 6D F7 8E C6 DF F3 8E A4 1E 74 9D B2 22 05 "
|
||||
"4D 07 3F 96 7F 97 F9 63 B9 C4 2B 98 75 F6 D6 84 "
|
||||
"56 DC 15 D3 52 8B 60 F3 D6 0E A9 AD 07 07 E9 02 "
|
||||
"86 58 C2 32 9C 90 BC C9 19 BF B0 54 7A F8 CC A8 "
|
||||
"27 63 82 29 EE FB 98 11 BF 35 29 62 91 93 95 FC "
|
||||
"F4 F0 08 E4 B2 3A B4 5E B3 B0 2E 3E 20 C1 D7 43 "
|
||||
"59 7D C6 29 5F 69 74 7F B2 77 E1 0E FA 85 A1 C9 "
|
||||
"77 73 83 B3 CB 1C 60 DB E9 53 69 FC B3 18 59 15 "
|
||||
"0F 97 8A 7A C8 83 F5 49 DC 1B 3E 86 C1 95 45 46 "
|
||||
"E2 16 67 7F 12 35 A0 BB 27 FB CC F8 30 7E 4F C8 "
|
||||
"6D AB 18 B2 0D 01 CC 79 20 80 7B FA 37 AA 14 9E "
|
||||
"85 E8 25 E9 D4 2D 35 4E 8F D3 DE B0 06 8D 15 15 "
|
||||
"52 65 E8 39 03 28 09 02 67 99 3D 13 BA F3 68 5C "
|
||||
"4C 89 B0 E3 6B AE 16 5C 88 25 F8 33 03 19 02 5B "
|
||||
"29 7B 2A 41 2D 75 49 48 9B B3 B6 B3 BF AA DF 8C "
|
||||
"95 FE 0F 13 B8 7B 02 BB 52 E1 1C 34 C3 9B 87 59 "
|
||||
"E2 46 CC 22 77 4B D7 C4 2C 31 AA 84 7C 44 51 88 "
|
||||
"15 1A CC AE 40 9D 1F 44 97 29 98 45 60 74 47 A1 "
|
||||
"0D A5 73 F0 53 FF 01 F9 F4 9A F1 36 07 D0 2D A0 "
|
||||
"79 2D 81 23 25 AD 4B 9C C8 BC 12 55 4D D4 BB 95 "
|
||||
"B1 B9 BE 7D A6 E6 A0 53 BA 83 8C DD 7E E9 4B ED "
|
||||
"BA 28 42 D8 FF 98 69 35 CA 4E 9C 9D 57 D6 CF A0 "
|
||||
"89 5C A2 E7 54 D2 AF 4C FB 54 C4 B4 4F C3 BA F8 "
|
||||
"A2 58 69 19 79 0E A8 0E 3D C8 04 FD 26 32 C8 E1 "
|
||||
"02 8B A7 1C C3 91 25 E5 D8 49 DB DF 19 5F 16 F5 "
|
||||
"A7 8B 18 23 04 D4 BF FB 44 C4 61 7C 79 6E C8 90 "
|
||||
"15 B5 EB 50 87 CA 7A 69 47 2F AF A8 B5 A2 8A 84 "
|
||||
"C4 41 79 E8 DE 0C AC D0 D5 6F 34 C6 CB A7 76 F9 "
|
||||
"00 24 42 05 26 7E 7B 14 86 59 7B DB 1C 62 D5 B7 "
|
||||
"3E F7 17 44 27 4B D2 C6 6F FF C8 49 55 AD 65 52 "
|
||||
"2D 43 C2 33 9B 63 AB 3D 54 54 28 E2 02 65 03 9A "
|
||||
"03 4B 8F 64 1A 92 52 DE 32 D6 2B F0 BE BE 1D 54 "
|
||||
"B1 7C 70 41 9B 90 55 DA 71 55 21 B9 B6 68 90 19 "
|
||||
"5F BC AA B4 55 0E E6 81 4C A3 BE BC 64 D7 59 00 "
|
||||
"59 BD 0F 6A 57 1A A6 A0 D5 1A 0A 80 D3 09 06 73 "
|
||||
"5A 51 E2 DD 29 66 AC A0 86 29 21 2B 7A 6D 9E 3A "
|
||||
"68 D0 A3 DC A7 2B 85 A0 4C D4 F0 C5 C4 43 E4 CF "
|
||||
"0C 19 81 30 B6 F6 BE 71 F5 AC 25 AA CF 42 90 06 "
|
||||
"64 1B 45 29 FD 3A A3 B6 0B 9D 29 9F FA 31 B8 6D "
|
||||
"D8 EC 43 F5 92 7E 35 22 E0 C3 D3 09 06 61 71 DA "
|
||||
"E8 36 0A 19 F6 23 81 CB 89 E0 67 6E FE B1 E6 47 "
|
||||
"72 63 5C 25 18 E0 B4 65 85 EF B5 1B 26 23 90 89 "
|
||||
"CC EE E3 01 77 95 63 DF C4 AC BF E6 37 14 99 15 "
|
||||
"49 8A 96 02 91 AA 1D 98 21 57 5E 87 96 C7 B5 87 "
|
||||
"08 3F 58 06 52 58 17 8F AB A8 4E A1 7A 60 B1 69 "
|
||||
"5E 9C BE E2 D0 C5 12 59 DF 31 EB D2 19 54 96 E2 "
|
||||
"10 11 8E 68 B4 1A 2D D3 2F AB 12 F7 FE F3 A7 F7 "
|
||||
"61 FC F7 7C CB FC 87 8C 6A 10 40 29 7B 30 D6 0D "
|
||||
"13 4C 71 CD 5E AB 36 A2 F1 4C 05 ED 53 88 E5 FF "
|
||||
"8E 71 79 5D B5 AF D3 67 6D C4 44 6B AB C1 A7 AA "
|
||||
"38 D8 70 1E 08 E6 D2 36 7B 88 11 96 DB D2 68 D9 "
|
||||
"FF D8 50 2B 3A A9 CC 45 1A CA CD D2 05 C6 FC A0 "
|
||||
"35 0C EE 98 2B 5C B2 39 6A 27 12 8F 97 EC CB 7B "
|
||||
"B6 C0 27 F6 A7 48 75 09 82 98 CA 3A 5D E3 96 0C "
|
||||
"A5 D2 B3 6C A4 D1 1F AE 99 67 B0 3D D6 9A 7A 3E "
|
||||
"00 8B FD 45 32 F7 9F 28 7C 94 03 DB 64 AA 44 80 "
|
||||
"D2 27 AF B3 73 87 57 31 EB 08 D9 BA 73 4D 2C 77 "
|
||||
"03 BF F5 0F 47 3C 22 DA 3F B9 F1 9A 1B 22 83 16 "
|
||||
"EE F4 18 FC 08 E8 3B 30 1C 04 50 AA 4C E3 28 53 "
|
||||
"AB DE F8 5F 32 D9 E1 78 7B F1 C5 A8 CA 85 B6 9F "
|
||||
"89 1F 40 B8 2C 88 D7 C1 66 34 45 D6 46 FD 7B F3 "
|
||||
"72 A3 32 55 23 CF B5 B0 79 AB A0 F1 00 5C DB EE "
|
||||
"3F 51 AA AE C0 89 8E 47 A5 30 4E 4B DD D6 AE D8 "
|
||||
"6D 40 1C 4E 8E FB 0C 60 8D 54 1E 2F 17 B7 3A ED "
|
||||
"DE DC 81 F5 72 85 B7 A6 39 31 6F 47 50 84 43 C5 "
|
||||
"11 F3 6A 26 8E BA 7F 81 98 31 FD 13 6B 83 C9 11 "
|
||||
"61 48 64 FA E3 F5 39 2C 12 11 C1 6D 4D 03 13 A6 "
|
||||
"C2 E0 DF F5 32 8E 5B 35 A7 7F 08 F7 85 27 0D 71 "
|
||||
"9D B8 CE 9C 1E BA 77 3A F6 A1 A7 26 94 29 C0 20 "
|
||||
"10 65 75 6E EF AA 32 0C 66 91 3A 4E 0E 74 E2 8A "
|
||||
"FE B6 F8 17 C7 A7 E4 D8 35 67 2E F0 83 A8 9F A6 "
|
||||
"28 13 40 A3 96 DC 49 83 55 E1 85 AB BD 4D ED 88 "
|
||||
"FA 36 69 A9 77 59 5A 9C D0 A0 B1 3D EB 31 16 DC "
|
||||
"3E 29 7B 39 01 5B D4 FF 5C E5 9E DA F7 55 D5 3F "
|
||||
"E3 3B 51 76 83 8E 40 AE E1 2E E8 3E F8 08 B7 B0 "
|
||||
"24 26 91 AD 82 4C 2E 2F 37 7A 34 A1 05 BD 8C 9A "
|
||||
"75 52 5C CD 59 80 CB 92 F8 B1 F8 A5 F2 2C 9F 4A "
|
||||
"59 BF EF 76 A3 74 4F E1 C9 7C 7F 91 D9 0D 12 05 "
|
||||
"B2 8E D0 E0 BB 46 D4 5C 44 2F 65 6D 7A 1C 02 86 "
|
||||
"FB 7E 7D B6 2A 57 B9 DB 80 CD 02 BF E7 9E 35 21 "
|
||||
"FB BE 28 13 82 9F F0 74 F7 92 55 DE F2 7B F2 F2 "
|
||||
"7D F5 A0 14 0F 99 4D 25 F4 DC 11 17 7A 77 65 77 "
|
||||
"CC BE EF 90 88 E8 FD B2 4E 8E F5 26 FE 53 5D 65 "
|
||||
"A9 74 47 0B CB E9 E8 71 95 95 87 6C FD 86 94 A7 "
|
||||
"E5 FC 20 00 1E 0A 0A E3 85 17 24 D4 D0 73 8A 11 "
|
||||
"1E 1E EF 83 E3 D7 E1 BF CC 98 07 6D 70 37 3A 8F "
|
||||
"31 17 55 4E 60 A8 C8 AB 4F 08 2D 37 76 E6 2B 58 "
|
||||
"DD 81 0F D1 6E 9A A6 55 3D 80 82 99 9E 2D 16 9A "
|
||||
"DF 4E CB 3B 5D DA A8 53 08 C7 FF 54 DD C6 11 31 "
|
||||
"1A B6 EB A3 03 08 4A FB B4 45 EC C0 7C 0D C6 CF "
|
||||
"CB 1B 78 46 88 8F F4 6A 15 62 2F 17 12 E6 41 64 "
|
||||
"76 58 96 78 DB 29 B5 6A AE DE 63 41 6F BE 9B 37 "
|
||||
"6C C9 D0 EC 1B F6 79 17 9E FE 79 0E B1 82 28 F2 "
|
||||
"06 15 C2 BE 96 9C E0 81 80 D7 00 DB 95 87 4B C0 "
|
||||
"0D 91 55 5B 1F 86 22 64 74 EA 1B 89 85 D2 DD F7 "
|
||||
"9F F1 D9 09 06 64 FA 6D 59 72 EF CE 66 A7 03 D1 "
|
||||
"99 E8 DF AE D7 63 5F 60 5F AB 6E C5 22 C8 3A 94 "
|
||||
"6A 3B 00 72 F8 DB 90 E7 05 DC A2 89 0F 83 AA 03 "
|
||||
"FE 42 14 1C 8A E6 1C 9E DB D8 D0 CA 97 21 6C AD "
|
||||
"ED 0A E0 A2 9E EC C1 FF D1 B4 8A 9A AD AB 34 0B "
|
||||
"13 3F B5 18 8D 85 9E 0D F9 FB AC 21 2E DD 7A DE "
|
||||
"BF 9F 7E BD BF 84 DF F5 FD 1E BE E1 1F 0F F8 18 "
|
||||
"9D 73 09 02 29 B7 5B 26 7E 44 75 04 4D B1 AA 2F "
|
||||
"3A DB 46 38 12 D1 41 35 91 29 06 DF C9 98 69 92 "
|
||||
"02 F2 48 12 A9 71 D2 AE 3B 23 6D 1C E2 6B 8B 75 "
|
||||
"87 4A 13 A7 1F 81 4D 29 65 53 0A 3A 34 CE 6D E6 "
|
||||
"31 8D 7E 4E DD 25 6E 76 44 82 3C 47 36 4C B9 C4 "
|
||||
"9B F4 4F 84 43 11 56 C2 94 53 7E B0 2E 36 DA EB "
|
||||
"77 5F C1 64 E2 CA 9F BE 29 D8 06 36 53 D0 6F 82 "
|
||||
"19 DA BC 8C 5F 4D 45 E7 21 37 9E 90 A6 D4 33 A8 "
|
||||
"64 4D EC BC 90 5E FE 8E 8B CA 17 7C FF AC 96 BB "
|
||||
"21 CF 3D 24 71 3B C2 A1 74 68 85 CF 32 8E 7F 63 "
|
||||
"39 C5 E7 8E A5 E0 CD 3A F5 9A B8 FD 43 D4 43 39 "
|
||||
"08 8E 45 76 5F DF E9 17 54 59 12 ED D0 E9 3D 6F "
|
||||
"3F 02 14 8A 0A 47 9A D1 E7 FA 4E A1 41 00 50 EF "
|
||||
"60 9D 4D C1 CA 87 98 40 E7 B2 0F 76 C0 9D 71 EF "
|
||||
"D7 46 93 C1 2B 9F 11 B8 F9 05 AC ED A7 72 6B F5 "
|
||||
"11 9B 3E 0A 04 21 7D 06 D7 46 76 7B AD AE 9D 95 "
|
||||
"A6 47 68 05 AD F5 38 7C C7 A5 5A CA B2 CB 48 18 "
|
||||
"C1 F2 62 55 98 36 39 08 80 C5 28 B1 06 E4 FB 46 "
|
||||
"11 3C 38 A1 4F 1C FE A1 81 B7 FC DB 94 B0 7A FE "
|
||||
"B5 74 F1 BB 92 AA FF B0 FE 1E 31 8B C6 BC F0 4F "
|
||||
"1A FE 91 C5 7A 9C 73 09 4A 32 90 51 01 8B 12 C0 "
|
||||
"20 CA 3C CB 14 83 D3 C7 7C 5A 12 79 EE 56 1A 36 "
|
||||
"C4 09 E2 3E DC E8 CE F1 C1 A1 9E 99 DA 64 4F CF "
|
||||
"1E D6 2B 70 27 86 3E CF BE 75 1C 39 9B F9 53 63 "
|
||||
"C1 6B 58 CC 71 D2 07 41 88 BB 14 70 96 F1 68 CE "
|
||||
"13 75 FE F4 A0 C8 85 A2 67 18 49 56 0D 07 94 1D "
|
||||
"74 61 89 0C 32 49 9D 0D 94 73 4A AB 1A E9 0F E0 "
|
||||
"BA B6 4A 34 F9 33 1D B3 71 C2 B8 64 D7 0B CB 19 "
|
||||
"F7 BD E0 69 3E 24 96 B1 C4 28 09 5F 58 AE 8A C0 "
|
||||
"83 99 19 64 4D 44 37 55 A6 9B A1 42 50 84 B8 18 "
|
||||
"29 B5 21 91 58 23 88 EB 8F 13 4A 24 09 EC 0F 6D "
|
||||
"7D AF 3E FC F7 F3 9F 34 39 15 C4 84 03 BB 7E 67 "
|
||||
"39 5F 2A 2C 67 94 F4 A6 B5 02 3F 45 56 79 0C 2A "
|
||||
"9B 25 77 67 C2 3B CC F2 71 3B 4F 83 2A 8D 8C 53 "
|
||||
"0D 18 49 54 CA 58 0E BE 8B 3A 53 74 FC 6F 47 28 "
|
||||
"07 8E C1 F5 53 D3 34 4B 08 05 FF E9 14 29 40 1B "
|
||||
"57 AD 77 EC E8 DA DA 35 55 A7 78 03 56 4C 7C B2 "
|
||||
"ED 3B B5 61 65 91 DF 41 B4 5D C9 B7 9B 13 82 41 "
|
||||
"15 D7 B3 6E 1C C8 15 B4 F0 F3 3F 91 4B A1 C8 90 "
|
||||
"78 91 39 5A 21 55 DA 6A E1 2C BA C9 38 69 F6 AE "
|
||||
"A8 2B 8C B7 14 C1 35 82 35 A0 78 47 56 C0 9A A7 "
|
||||
"7F 74 14 64 85 F1 B7 48 BC 55 8C 6A A4 95 1C CB "
|
||||
"F3 52 F9 54 61 15 27 56 43 D0 27 95 E3 35 AA 39 "
|
||||
"DC 23 38 DA EF 1F 27 65 3A AB F7 CC BB 25 DB 00 "
|
||||
"36 34 96 D1 F7 C4 EC 44 37 42 7E 17 18 67 C8 9C "
|
||||
"9A 5B 39 08 5C 3C F4 92 F1 16 31 88 FA 12 44 9E "
|
||||
"79 27 1C C2 0B 46 AC CD 1F 39 B8 9F 9A 56 34 0A "
|
||||
"85 86 C2 B1 B1 9B 31 CE 47 57 05 3E A7 AE 3F 3E "
|
||||
"01 2D C5 B9 C1 CB BA AB 0A 2A D2 71 E4 EC F8 0A "
|
||||
"71 85 CC A1 CA 6E EF 9D 87 22 38 5D 80 81 F7 1A "
|
||||
"6C 31 7B 82 86 BD 7F 10 9D 89 B6 F7 AF E4 41 0D "
|
||||
"4F 97 28 80 34 06 3E 19 3A 21 60 ED 54 18 02 0F "
|
||||
"2F D5 D5 3B A5 87 01 21 38 1B A6 99 32 28 E9 8D "
|
||||
"6F 02 35 60 85 BD 64 C4 B0 26 7E 68 D1 E6 97 B5 "
|
||||
"32 6E B2 4F EB 06 4C 4D C2 97 8E 6B 30 22 C0 B4 "
|
||||
"3D 47 93 78 67 AC 27 42 DD 5C 3C 27 ED 0A 6C E4 "
|
||||
"4A 0D 0F DF 52 63 A6 70 76 09 F0 2E 58 F6 05 B2 "
|
||||
"DF EE C9 1F CB 1D 11 0C A1 8B 19 26 B8 10 2C 81 "
|
||||
"48 FF 98 EF 30 36 0C 01 C5 4A D9 AC 05 72 89 C7 "
|
||||
"3F D6 4D E0 17 BA BA B3 D3 E8 1B 0C 8C C8 DF 6B "
|
||||
"FE 7E BA 91 FD F6 A0 CB 59 19 B0 01 2F D7 0B A0 "
|
||||
"62 0F 5F CE 74 B8 EB 42 89 B5 BE CA C9 EF DA 9A "
|
||||
"BB C6 66 1B E0 65 EE D4 3A CE D9 CC 0E BB 85 50 "
|
||||
"41 45 01 BA 1B 29 11 6F 34 11 55 03 DD 0C B5 99 "
|
||||
"56 3A 93 4D 4D 95 6D CE C3 51 E0 15 54 3E FF 2F "
|
||||
"A3 DA 59 EC 3D 59 2D 62 FC 64 39 D6 7B C8 80 78 "
|
||||
"1D D7 FD E8 0B 5D 8A ED 1A 9D 98 CB C2 EE 78 47 "
|
||||
"30 AD 8F 64 A5 82 12 23 DA B3 3E CA 4C 85 7A 80 "
|
||||
"D5 9F 46 20 D6 EE D1 F9 33 FA 1F C5 9C 8E F9 1E "
|
||||
"66 51 A5 46 68 DC B7 7F A8 5A DE E6 18 D7 8C 2B "
|
||||
"5D EA A8 EC 6B 8B 48 C1 92 5A C1 B1 6A 5E 37 82 "
|
||||
"22 4B 6A B6 F0 40 16 89 16 A5 81 F8 D4 1B 20 26 "
|
||||
"86 35 E5 AD C1 01 6E C9 B5 D0 69 C5 0B 31 08 51 "
|
||||
"5D 35 FC 74 F5 13 04 7A F4 57 10 53 5B A4 CC 8B "
|
||||
"21 82 82 15 4B 8C 3D 6B DA 91 85 CB D6 CF 05 80 "
|
||||
"D0 F0 CF 0D DF 7A B4 99 C7 F8 D5 4C 76 56 30 E9 "
|
||||
"65 B6 58 60 C1 C0 39 8A 42 54 BC 4A 48 8B A1 D9 "
|
||||
"5C 32 05 7A 1C BB 50 51 5B 7F C7 75 2D 68 55 E6 "
|
||||
"83 7B C3 98 FD E6 D5 B8 DA A8 31 01 78 F5 60 8B "
|
||||
"1A D2 FD 51 34 47 FA AF 23 AE E2 DE 15 A7 07 66 "
|
||||
"69 35 9A 40 61 55 25 98 23 54 2A 50 C9 7D A6 CE "
|
||||
"74 F8 19 0C 8E 63 E5 49 2F F9 17 05 FD 39 15 55 "
|
||||
"F4 B0 91 BF 60 B7 B2 40 2E 7A D3 68 86 C0 FC 38 "
|
||||
"88 AB B9 03 8A 04 05 1A 9F 61 AE F2 D3 B8 A4 29 "
|
||||
"F8 51 43 CF 84 26 4A 90 6E 13 27 AF 7B 52 DB F9 "
|
||||
"00 E8 AE C0 B5 6F 64 03 57 20 59 7C F5 E1 65 A8 "
|
||||
"47 C3 BD EE 72 2A 85 E2 70 8D EA 9D 98 D4 2A D5 "
|
||||
"70 A2 E9 76 A2 DA E6 7C B0 F7 14 D9 23 B6 88 C0 "
|
||||
"B3 6F 42 12 F4 69 0C 15 81 D6 F7 0B B7 1B DF 15 "
|
||||
"E6 75 63 13 53 B3 20 43 79 90 34 E3 34 48 80 D6 "
|
||||
"86 BB 45 A2 85 DD F8 23 64 3B D5 68 AB 99 53 34 "
|
||||
"C6 25 0A 87 73 17 37 56 39 BA 8C 0E 39 24 4B CC "
|
||||
"AA 98 84 0C 2F 27 E6 E2 AC 86 34 5D 1E 25 AE FD "
|
||||
"1E FF 3C 27 AD 26 18 4A 1A E5 09 61 5D 83 5F 2C "
|
||||
"DC 41 A7 C6 07 55 5B B5 0B 71 FE 86 E7 30 A1 BC "
|
||||
"27 AF 5F 24 51 1A DD 20 F6 32 9E 3D 64 6F DC 43 "
|
||||
"65 2A 80 CB 95 C4 B6 F0 E1 F3 CF 6C F2 C2 9C EA "
|
||||
"81 88 0C 2D D2 DA 74 82 C6 A5 1E 98 D3 BC 71 ED "
|
||||
"E2 0B 05 DA BB 0E FA 35 0A 2C D5 C8 62 E7 B1 AF "
|
||||
"95 14 6C 83 7D F1 CE 9F 13 6B D8 68 C9 A5 F5 87 "
|
||||
"2E A5 8F D7 5C B2 C6 99 37 31 5A A4 D0 E2 43 DF "
|
||||
"C8 BE BD 10 C0 D8 22 63 95 46 1E E7 8C A8 61 E4 "
|
||||
"74 02 6C B4 30 F3 06 15 11 E6 2A 3A 0D 3B 2F B9 "
|
||||
"3B B3 83 40 18 79 FB 39 38 B7 CE 4D BA F6 9E AA "
|
||||
"E1 8F 32 1C B1 68 DD 5C 2C 37 65 61 73 3D C6 34 "
|
||||
"56 CD EA BC 77 6A A1 7D 6A F1 F9 78 AF 0F D9 C2 "
|
||||
"AA D3 D7 A8 2D A8 6E BC 19 83 96 B5 A3 3E B3 B2 "
|
||||
"5C 54 AD 77 CE 1D E5 D5 AA B3 0D 36 7A 32 7D 5C "
|
||||
"A3 60 66 8D 84 A0 BD 4F 0F A9 09 89 B8 EC 14 8A "
|
||||
"2B 2B 74 8E 75 77 5A 8E B2 51 D0 26 D6 06 8C 9A "
|
||||
"CA 31 D6 94 17 F0 14 D7 43 1C 82 0C 00 83 E6 75 "
|
||||
"05 5C 52 AB 0C 38 8F A3 35 77 52 E8 3E 3B CB 48 "
|
||||
"81 E3 25 B1 A9 40 12 76 4F 16 F1 CE 3D D7 23 89 "
|
||||
"44 D7 3F 24 7E B7 46 66 C1 16 7A 17 B2 2A 99 F1 "
|
||||
"AC 3C C9 9D C5 FE 89 BE BF 2C 68 BC 2C A7 F1 C5 "
|
||||
"2F 26 1E CC D1 AF 7D AA 7D C5 94 4A 4D C4 87 97 "
|
||||
"2D 2B 6A 5E 5E BF 39 82 18 AB 8C B9 DC 80 83 A1 "
|
||||
"D1 80 D2 65 FE 2E CC 6A F1 02 84 B2 36 60 37 24 "
|
||||
"4E 5E 57 AD A5 C5 50 1A 5E A4 5C 31 B6 93 60 57 "
|
||||
"AC EB ED 65 3F BF EA C7 08 CA 13 00 93 E5 E6 79 "
|
||||
"F6 37 20 CA B4 6E 39 9E 83 4F 15 8B 15 CD E7 8C "
|
||||
"90 93 B0 85 91 9B AE 21 EF 03 D0 A4 B6 2A B4 C6 "
|
||||
"D3 07 04 92 54 72 8E EC 2E B3 47 6C CE 42 06 7F "
|
||||
"E0 5B 96 F2 48 8B FA 8F 83 E2 47 10 A5 B7 30 F8 "
|
||||
"68 B0 FD 02 74 6F 48 71 D7 F1 2E DF A1 52 61 76 "
|
||||
"99 47 BE 0A 2F F8 F2 69 9D AD 03 FA E6 84 A7 CF "
|
||||
"35 7D 8F 5F C5 A6 9B 21 66 35 BC 58 D5 89 B5 E0 "
|
||||
"9F 11 F0 A8 8A 1F C8 3C 24 B2 B7 F1 6C 8A DB 3B "
|
||||
"39 7A CA D0 EF 15 61 22 72 FD FC 02 3D BD 76 35 "
|
||||
"9E E1 C6 D7 2C B2 59 E1 03 E0 FF 7A 87 03 79 9F "
|
||||
"61 AB CC 49 98 C2 41 CF 6E 9B AA 52 9B D0 08 B5 "
|
||||
"9E 23 F6 C1 39 82 77 16 5D D4 E1 B3 AD A0 0C 58 "
|
||||
"F8 E2 67 00 6A 0B 4B D2 6C E1 C5 6B 9D BA 3F 40 "
|
||||
"82 C5 28 B8 C1 60 75 85 EE C4 FA 04 ED 62 64 B6 "
|
||||
"29 10 67 4B 9B D6 6C 0E 06 62 64 83 CA F0 2F 2D "
|
||||
"B8 F6 0A D7 D7 6A 1C 58 14 BE 18 60 80 29 02 CD "
|
||||
"F6 B1 95 A5 6D 2E 27 9C 08 E3 1F C5 C2 07 7F 63 "
|
||||
"7F DB 82 C6 C6 85 AC A6 D2 4C F1 7F DB 1D CF 86 "
|
||||
"20 56 60 C0 24 E0 C0 42 0B 4E 00 5F 8B 78 60 FE "
|
||||
"EA EC 6D 31 93 49 70 EB 2A 45 4F 92 9B 6C 17 28 "
|
||||
"BB 89 FC C0 07 84 CC AD 1B 85 F2 85 18 5C 3D 5A "
|
||||
"60 54 AF 03 9D 9E E4 26 D3 86 AA 0B 7C A3 32 9C "
|
||||
"C2 0F 3A D4 3E 1F 52 43 A8 31 E9 70 FC 0C B4 7C "
|
||||
"F5 E3 C7 6F 11 ED 22 4C 0C 1B 82 CB 72 A4 95 28 "
|
||||
"1A D4 1B E5 C4 6E D7 F1 EC BF 25 2C B8 92 87 A8 "
|
||||
"D2 15 79 34 39 C0 BE 0D C8 68 2D F2 D3 8E 01 09 "
|
||||
"3C 48 94 32 69 89 D5 C0 5D E8 2C E6 A6 97 59 4B "
|
||||
"9A C6 61 B0 9E DB 81 DC D3 F9 47 34 84 00 CA 87 "
|
||||
"BE 5D 6D 56 F3 01 02 3B FF FF FF FF 00 00 00 00"
|
||||
)
|
||||
|
||||
_BIN_KEYS: bytes = bytes.fromhex(_HEX_KEY.replace(" ", ""))
|
||||
|
||||
|
||||
@dataclass
|
||||
class GbbqRecord:
|
||||
"""股本变迁记录。"""
|
||||
|
||||
market: int
|
||||
code: str
|
||||
datetime: int
|
||||
category: int
|
||||
hongli_panqianliutong: float
|
||||
peigujia_qianzongguben: float
|
||||
songgu_qianzongguben: float
|
||||
peigu_houzongguben: float
|
||||
_raw: bytes = field(default=b"", repr=False, compare=False)
|
||||
|
||||
|
||||
def read_gbbq(filepath: str | Path) -> list[GbbqRecord]:
|
||||
"""从本地 gbbq 文件读取股本变迁数据（XOR 加密）。
|
||||
|
||||
Args:
|
||||
filepath: gbbq 文件路径。
|
||||
|
||||
Returns:
|
||||
GbbqRecord 列表。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
raise TdxFileNotFoundError(f"股本变迁文件不存在: {filepath}")
|
||||
|
||||
content = filepath.read_bytes()
|
||||
if len(content) < 4:
|
||||
return []
|
||||
|
||||
(count,) = struct.unpack("<I", content[:4])
|
||||
results: list[GbbqRecord] = []
|
||||
data_offset = 4
|
||||
|
||||
for _ in range(count):
|
||||
clear_data = bytearray()
|
||||
# 每条记录解密 3 轮，每轮 8 字节
|
||||
for _round in range(3):
|
||||
(eax,) = struct.unpack("<I", _BIN_KEYS[0x44 : 0x44 + 4])
|
||||
(ebx,) = struct.unpack("<I", content[data_offset : data_offset + 4])
|
||||
num = (eax ^ ebx) & _MASK32
|
||||
(numold,) = struct.unpack("<I", content[data_offset + 4 : data_offset + 8])
|
||||
|
||||
for j in range(0x40, 0x04 - 1, -4):
|
||||
ebx = (num & 0xFF0000) >> 16
|
||||
(eax,) = struct.unpack("<I", _BIN_KEYS[ebx * 4 + 0x448 : ebx * 4 + 0x448 + 4])
|
||||
ebx = num >> 24
|
||||
(eax_add,) = struct.unpack("<I", _BIN_KEYS[ebx * 4 + 0x48 : ebx * 4 + 0x48 + 4])
|
||||
eax = (eax + eax_add) & _MASK32
|
||||
ebx = (num & 0xFF00) >> 8
|
||||
(eax_xor,) = struct.unpack("<I", _BIN_KEYS[ebx * 4 + 0x848 : ebx * 4 + 0x848 + 4])
|
||||
eax = (eax ^ eax_xor) & _MASK32
|
||||
ebx = num & 0xFF
|
||||
(eax_add,) = struct.unpack("<I", _BIN_KEYS[ebx * 4 + 0xC48 : ebx * 4 + 0xC48 + 4])
|
||||
eax = (eax + eax_add) & _MASK32
|
||||
(eax_xor,) = struct.unpack("<I", _BIN_KEYS[j : j + 4])
|
||||
eax = (eax ^ eax_xor) & _MASK32
|
||||
ebx = num
|
||||
num = (numold ^ eax) & _MASK32
|
||||
numold = ebx
|
||||
|
||||
(numold_op,) = struct.unpack("<I", _BIN_KEYS[:4])
|
||||
numold = (numold ^ numold_op) & _MASK32
|
||||
clear_data.extend(struct.pack("<II", numold, num))
|
||||
data_offset += 8
|
||||
|
||||
# 追加剩余 5 字节
|
||||
clear_data.extend(content[data_offset : data_offset + 5])
|
||||
|
||||
v1, v2, v3, v4, v5, v6, v7, v8 = struct.unpack("<B7sIBffff", clear_data)
|
||||
results.append(
|
||||
GbbqRecord(
|
||||
market=v1,
|
||||
code=v2.rstrip(b"\x00").decode("utf-8"),
|
||||
datetime=v3,
|
||||
category=v4,
|
||||
hongli_panqianliutong=v5,
|
||||
peigujia_qianzongguben=v6,
|
||||
songgu_qianzongguben=v7,
|
||||
peigu_houzongguben=v8,
|
||||
_raw=bytes(clear_data),
|
||||
)
|
||||
)
|
||||
data_offset += 5
|
||||
|
||||
return results
|
||||
@@ -0,0 +1,59 @@
|
||||
"""历史财务数据读取（gpcw*.dat / gpcw*.zip 文件）。"""
|
||||
|
||||
import zipfile
|
||||
from pathlib import Path
|
||||
|
||||
from ..codec.financial import parse_financial_dat
|
||||
from ..exceptions import TdxFileNotFoundError, TdxOfflineError
|
||||
from ..models.enums import Market
|
||||
from ..models.finance import FinancialRecord
|
||||
|
||||
|
||||
def read_history_financial(filepath: str | Path) -> list[FinancialRecord]:
|
||||
"""从本地 gpcw*.dat 或 gpcw*.zip 文件读取历史财务数据。
|
||||
|
||||
复用 codec/financial.py 的 parse_financial_dat() 解析二进制格式。
|
||||
|
||||
Args:
|
||||
filepath: .dat 或 .zip 文件路径。
|
||||
|
||||
Returns:
|
||||
FinancialRecord 列表。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
raise TdxFileNotFoundError(f"历史财务数据文件不存在: {filepath}")
|
||||
|
||||
if filepath.suffix.lower() == ".zip":
|
||||
data = _read_from_zip(filepath)
|
||||
else:
|
||||
data = filepath.read_bytes()
|
||||
|
||||
raw_records = parse_financial_dat(data)
|
||||
results: list[FinancialRecord] = []
|
||||
for code, market_byte, report_date, fields in raw_records:
|
||||
try:
|
||||
market = Market(market_byte)
|
||||
except ValueError:
|
||||
market = Market.SZ # 默认深圳
|
||||
results.append(
|
||||
FinancialRecord(
|
||||
code=code,
|
||||
market=market,
|
||||
report_date=report_date,
|
||||
fields=fields,
|
||||
)
|
||||
)
|
||||
return results
|
||||
|
||||
|
||||
def _read_from_zip(zip_path: Path) -> bytes:
|
||||
"""从 zip 中提取 .dat 文件内容。"""
|
||||
try:
|
||||
with zipfile.ZipFile(zip_path, "r") as zf:
|
||||
for name in zf.namelist():
|
||||
if name.endswith(".dat"):
|
||||
return zf.read(name)
|
||||
raise TdxOfflineError(f"zip 中未找到 .dat 文件: {zip_path}")
|
||||
except zipfile.BadZipFile as e:
|
||||
raise TdxOfflineError(f"无效的 zip 文件: {zip_path}") from e
|
||||
@@ -0,0 +1,122 @@
|
||||
"""分钟 K 线数据读取（.5 文件和 .lc1/.lc5 文件）。"""
|
||||
|
||||
import struct
|
||||
from pathlib import Path
|
||||
|
||||
from ..exceptions import TdxFileNotFoundError
|
||||
from ..models.bar import SecurityBar
|
||||
|
||||
# .5 文件: 日期(2B) 时间(2B) 开盘(4B) 最高(4B) 最低(4B) 收盘(4B) 额(4B) 量(4B) 保留(4B)
|
||||
_MIN_FMT = struct.Struct("<HHIIIIfII")
|
||||
|
||||
# .lc1/.lc5 文件: 日期(2B) 时间(2B) 开(4Bf) 高(4Bf) 低(4Bf) 收(4Bf) 额(4Bf) 量(4B) 保留(4B)
|
||||
_LC_MIN_FMT = struct.Struct("<HHfffffII")
|
||||
|
||||
|
||||
def _decode_tdx_date(num: int) -> tuple[int, int, int]:
|
||||
"""解码通达信压缩日期（2 字节）。"""
|
||||
year = num // 2048 + 2004
|
||||
month = (num % 2048) // 100
|
||||
day = (num % 2048) % 100
|
||||
return year, month, day
|
||||
|
||||
|
||||
def _decode_tdx_time(num: int) -> tuple[int, int]:
|
||||
"""解码通达信分钟时间（从 0:00 开始的分钟数）。"""
|
||||
return num // 60, num % 60
|
||||
|
||||
|
||||
def read_5min_bars(filepath: str | Path) -> list[SecurityBar]:
|
||||
"""从本地 .5 文件读取 5 分钟 K 线数据。
|
||||
|
||||
OHLC 为整数，需除以 100 得到实际价格。
|
||||
|
||||
Args:
|
||||
filepath: .5 文件路径。
|
||||
|
||||
Returns:
|
||||
SecurityBar 列表（按时间升序）。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
raise TdxFileNotFoundError(f"分钟线数据文件不存在: {filepath}")
|
||||
|
||||
data = filepath.read_bytes()
|
||||
if len(data) < _MIN_FMT.size:
|
||||
return []
|
||||
|
||||
results: list[SecurityBar] = []
|
||||
record_size = _MIN_FMT.size
|
||||
for offset in range(0, len(data) - record_size + 1, record_size):
|
||||
raw = data[offset : offset + record_size]
|
||||
date_num, time_num, op, hi, lo, cl, amount, vol, _res = _MIN_FMT.unpack(raw)
|
||||
|
||||
year, month, day = _decode_tdx_date(date_num)
|
||||
hour, minute = _decode_tdx_time(time_num)
|
||||
|
||||
results.append(
|
||||
SecurityBar(
|
||||
open=op / 100.0,
|
||||
close=cl / 100.0,
|
||||
high=hi / 100.0,
|
||||
low=lo / 100.0,
|
||||
vol=vol,
|
||||
amount=amount,
|
||||
year=year,
|
||||
month=month,
|
||||
day=day,
|
||||
hour=hour,
|
||||
minute=minute,
|
||||
_raw=raw,
|
||||
)
|
||||
)
|
||||
|
||||
return results
|
||||
|
||||
|
||||
def read_lc_min_bars(filepath: str | Path) -> list[SecurityBar]:
|
||||
"""从本地 .lc1/.lc5 文件读取分钟 K 线数据。
|
||||
|
||||
OHLC 为 float 类型，无需额外转换。
|
||||
|
||||
Args:
|
||||
filepath: .lc1 或 .lc5 文件路径。
|
||||
|
||||
Returns:
|
||||
SecurityBar 列表（按时间升序）。
|
||||
"""
|
||||
filepath = Path(filepath)
|
||||
if not filepath.is_file():
|
||||
raise TdxFileNotFoundError(f"分钟线数据文件不存在: {filepath}")
|
||||
|
||||
data = filepath.read_bytes()
|
||||
if len(data) < _LC_MIN_FMT.size:
|
||||
return []
|
||||
|
||||
results: list[SecurityBar] = []
|
||||
record_size = _LC_MIN_FMT.size
|
||||
for offset in range(0, len(data) - record_size + 1, record_size):
|
||||
raw = data[offset : offset + record_size]
|
||||
date_num, time_num, op, hi, lo, cl, amount, vol, _res = _LC_MIN_FMT.unpack(raw)
|
||||
|
||||
year, month, day = _decode_tdx_date(date_num)
|
||||
hour, minute = _decode_tdx_time(time_num)
|
||||
|
||||
results.append(
|
||||
SecurityBar(
|
||||
open=op,
|
||||
close=cl,
|
||||
high=hi,
|
||||
low=lo,
|
||||
vol=vol,
|
||||
amount=amount,
|
||||
year=year,
|
||||
month=month,
|
||||
day=day,
|
||||
hour=hour,
|
||||
minute=minute,
|
||||
_raw=raw,
|
||||
)
|
||||
)
|
||||
|
||||
return results
|
||||
@@ -0,0 +1,74 @@
|
||||
"""通达信安装目录检测与路径解析。"""
|
||||
|
||||
import os
|
||||
import sys
|
||||
from pathlib import Path
|
||||
|
||||
from ..exceptions import TdxOfflineError
|
||||
|
||||
_WIN_CANDIDATES = [
|
||||
Path(r"C:\new_jyplug"),
|
||||
Path(r"C:\new_tdx"),
|
||||
Path(r"D:\new_jyplug"),
|
||||
Path(r"D:\new_tdx"),
|
||||
]
|
||||
|
||||
_UNIX_CANDIDATES = [
|
||||
Path.home() / "new_jyplug",
|
||||
Path.home() / "new_tdx",
|
||||
]
|
||||
|
||||
|
||||
def detect_tdx_home() -> Path | None:
|
||||
"""按优先级检测通达信安装目录。
|
||||
|
||||
1. TDX_HOME 环境变量
|
||||
2. 平台常见路径猜测
|
||||
"""
|
||||
env = os.getenv("TDX_HOME")
|
||||
if env:
|
||||
p = Path(env)
|
||||
if p.is_dir():
|
||||
return p
|
||||
candidates = _WIN_CANDIDATES if sys.platform == "win32" else _UNIX_CANDIDATES
|
||||
for p in candidates:
|
||||
if p.is_dir():
|
||||
return p
|
||||
return None
|
||||
|
||||
|
||||
def resolve_vipdoc(path: str | Path | None = None) -> Path:
|
||||
"""解析 vipdoc 数据目录。
|
||||
|
||||
Args:
|
||||
path: 显式指定的 vipdoc 路径。为 None 时自动检测。
|
||||
|
||||
Returns:
|
||||
vipdoc 目录的 Path 对象。
|
||||
|
||||
Raises:
|
||||
TdxOfflineError: 无法定位 vipdoc 目录。
|
||||
"""
|
||||
if path is not None:
|
||||
p = Path(path)
|
||||
if p.is_dir():
|
||||
return p
|
||||
raise TdxOfflineError(f"指定的 vipdoc 路径不存在: {p}")
|
||||
home = detect_tdx_home()
|
||||
if home is None:
|
||||
raise TdxOfflineError(
|
||||
"无法定位通达信安装目录，请设置 TDX_HOME 环境变量或显式传入 vipdoc 路径"
|
||||
)
|
||||
vipdoc = home / "vipdoc"
|
||||
if not vipdoc.is_dir():
|
||||
raise TdxOfflineError(f"vipdoc 目录不存在: {vipdoc}")
|
||||
return vipdoc
|
||||
|
||||
|
||||
def _market_to_exchange(market: int) -> str:
|
||||
"""Market 枚举值 → vipdoc 子目录名（sh/sz）。"""
|
||||
if market == 0: # Market.SZ
|
||||
return "sz"
|
||||
if market == 1: # Market.SH
|
||||
return "sh"
|
||||
raise TdxOfflineError(f"不支持的市场代码: {market}")
|
||||
@@ -0,0 +1,872 @@
|
||||
version = 1
|
||||
revision = 1
|
||||
requires-python = ">=3.10"
|
||||
resolution-markers = [
|
||||
"python_full_version >= '3.15' and sys_platform == 'win32'",
|
||||
"python_full_version >= '3.15' and sys_platform == 'emscripten'",
|
||||
"python_full_version >= '3.15' and sys_platform != 'emscripten' and sys_platform != 'win32'",
|
||||
"python_full_version == '3.14.*' and sys_platform == 'win32'",
|
||||
"python_full_version == '3.14.*' and sys_platform == 'emscripten'",
|
||||
"python_full_version == '3.14.*' and sys_platform != 'emscripten' and sys_platform != 'win32'",
|
||||
"python_full_version >= '3.11' and python_full_version < '3.14' and sys_platform == 'win32'",
|
||||
"python_full_version >= '3.11' and python_full_version < '3.14' and sys_platform == 'emscripten'",
|
||||
"python_full_version >= '3.11' and python_full_version < '3.14' and sys_platform != 'emscripten' and sys_platform != 'win32'",
|
||||
"python_full_version < '3.11'",
|
||||
]
|
||||
|
||||
[[package]]
|
||||
name = "ast-serialize"
|
||||
version = "0.5.0"
|
||||
source = { registry = "https://pypi.org/simple" }
|
||||
sdist = { url = "https://files.pythonhosted.org/packages/81/9d/09e27731bd5864a9ce04e3244074e674bb8936bf62b45e0357248717adac/ast_serialize-0.5.0.tar.gz", hash = "sha256:5880091bfe6f4f986f22866375c2e884843e7a0b6343ae41aeea659613d879b6", size = 61157 }
|
||||
wheels = [
|
||||
{ url = "https://files.pythonhosted.org/packages/c0/9a/13dde51ba9e15f8b97957ab7cb0120d0e381524d651c6bd630b9c359227f/ast_serialize-0.5.0-cp314-cp314t-macosx_10_12_x86_64.whl", hash = "sha256:8f5c14f169eb0972c0c21bada5358b23d6047c76583b005234f865b11f1fa00a", size = 1183520 },
|
||||
{ url = "https://files.pythonhosted.org/packages/37/de/5a7f0a9fe68944f536632a5af84676739c7d2582be42deb082634bf3a754/ast_serialize-0.5.0-cp314-cp314t-macosx_11_0_arm64.whl", hash = "sha256:7d1a2de9de5be04652f0ed60738356ef94f66db37924a9499fffe98dc491aa0b", size = 1175779 },
|
||||
{ url = "https://files.pythonhosted.org/packages/9c/81/0bb853e76e4f6e9a1855d569003c59e19ffac45f7079d91505d1bb212f92/ast_serialize-0.5.0-cp314-cp314t-manylinux_2_17_aarch64.manylinux2014_aarch64.whl", hash = "sha256:be5173fb66f9b49026d9d5a2ff0fc7c7009077107c0eb285b2d60fdf1fe10bd1", size = 1233750 },
|
||||
{ url = "https://files.pythonhosted.org/packages/e5/d3/4cf705beeccc08754d0bbda99aefff26110e209b9a07ac8a6b60eec48531/ast_serialize-0.5.0-cp314-cp314t-manylinux_2_17_armv7l.manylinux2014_armv7l.whl", hash = "sha256:f8015cd071ac1339924ee2b8098c93e00e155f30a16f40ec9816fcf84f4753f6", size = 1235942 },
|
||||
{ url = "https://files.pythonhosted.org/packages/26/c8/ee097e437ea27dd2b8b227865c875492b585650a5802a22d82b304c8201b/ast_serialize-0.5.0-cp314-cp314t-manylinux_2_17_ppc64le.manylinux2014_ppc64le.whl", hash = "sha256:5499e8797edff2a9186aa313ed382c6b422e798e9332d9953badcee6e69a88f2", size = 1442517 },
|
||||
{ url = "https://files.pythonhosted.org/packages/ff/bd/68063442838f1ba68ec72b5436430bc75b3bb17a1a3c3063f09b0c05ae2b/ast_serialize-0.5.0-cp314-cp314t-manylinux_2_17_s390x.manylinux2014_s390x.whl", hash = "sha256:6848f2a093fb5548751a9a09bff8fcd229e2bbeb0e3331f391b6ae6d26cd9903", size = 1254081 },
|
||||
{ url = "https://files.pythonhosted.org/packages/50/e2/1e520793bc6a4e4524a6ab022391e827825eaa0c3811828bfdc6852eca26/ast_serialize-0.5.0-cp314-cp314t-manylinux_2_17_x86_64.manylinux2014_x86_64.whl", hash = "sha256:832d4c998e0b091fd60a6d6bceee535483c4d490de9ba85003af835225719261", size = 1259910 },
|
||||
{ url = "https://files.pythonhosted.org/packages/4e/e1/49b60f467979979cfe6913b43948ff25bca971ad0591d181812f163a988e/ast_serialize-0.5.0-cp314-cp314t-manylinux_2_31_riscv64.whl", hash = "sha256:16db7c62ec0b8efe1d7afd283a388d8f74f2605d56032e5a37747d2de8dba027", size = 1250678 },
|
||||
{ url = "https://files.pythonhosted.org/packages/74/ba/66ab9555de6275677566f6574e5ef6c29cb185ea866f643bc06f8280a8ee/ast_serialize-0.5.0-cp314-cp314t-manylinux_2_5_i686.manylinux1_i686.whl", hash = "sha256:baf5eb061eb5bccade4128ad42da33787d72f6013809cd1b590376ece8b3c937", size = 1301603 },
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||||
{ url = "https://files.pythonhosted.org/packages/66/42/6aca9b9abc710014b2be9059689e5dd1679339e78f567ffb4d255a9e2050/ast_serialize-0.5.0-cp314-cp314t-musllinux_1_2_aarch64.whl", hash = "sha256:104e4a35bd7c124173c41760ef9aaea17ddb3f86c65cb643671d59afbe3ee94c", size = 1410332 },
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||||
{ url = "https://files.pythonhosted.org/packages/47/68/2f76594432a22581ecf878b5e75a9b8601c24b2241cf0bbeb1e21fcf370c/ast_serialize-0.5.0-cp314-cp314t-musllinux_1_2_armv7l.whl", hash = "sha256:36be371028fc1675acb38a331bde160dbab7ff907fdf00b67eb6911aa106951b", size = 1509979 },
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||||
{ url = "https://files.pythonhosted.org/packages/40/ac/a93c9b58292653f6c595752f677a08e608f903b710594909e9231a389b3b/ast_serialize-0.5.0-cp314-cp314t-musllinux_1_2_i686.whl", hash = "sha256:061ee58bdb52341c8201a6df41182a977736bae3b7ded87ca7176ca25a8a47ab", size = 1505002 },
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||||
{ url = "https://files.pythonhosted.org/packages/14/2e/b278f68c497ee2f1d1576cbbef8db5281cd4a5f2db040537592ac9c8862e/ast_serialize-0.5.0-cp314-cp314t-musllinux_1_2_x86_64.whl", hash = "sha256:b15219e9cdc9f53f6f4cb51c009203507228226148c05c5e8fe451c28b435eb3", size = 1456231 },
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||||
{ url = "https://files.pythonhosted.org/packages/0b/43/419be1c566a4c504cd8fd60ce2f84e790f295495c0f327cfaeadf3d51012/ast_serialize-0.5.0-cp314-cp314t-win32.whl", hash = "sha256:842d1c004bb466c7df036f95fabef789570541922b10976b12f5592a69cf0b38", size = 1058668 },
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||||
{ url = "https://files.pythonhosted.org/packages/03/6f/c9d4d549295ed05111aeb8853232d1afd9d0a179fddb01eeffbb3a4a6842/ast_serialize-0.5.0-cp314-cp314t-win_amd64.whl", hash = "sha256:b0c06d760909b095cc466356dfccd05a1c7233a6ca191c020dca2c6a6f16c24c", size = 1101075 },
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||||
{ url = "https://files.pythonhosted.org/packages/d0/8e/d00c5ab30c58222e07d62956fca86c59d91b9ad32997e633c38b526623a3/ast_serialize-0.5.0-cp314-cp314t-win_arm64.whl", hash = "sha256:787baedb0262cc49e8ce37cc15c00ae818e46a165a3b36f5e21ed174998104cb", size = 1075347 },
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||||
{ url = "https://files.pythonhosted.org/packages/e0/9e/dc2530acb3a60dc6e46d65abf27d1d9f86721694757906a148d90a6860de/ast_serialize-0.5.0-cp39-abi3-macosx_10_12_x86_64.whl", hash = "sha256:0668aa9459cfa8c9c49ddd2163ebcf43088ba045ef7492af6fe22e0098303101", size = 1191380 },
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||||
{ url = "https://files.pythonhosted.org/packages/26/0a/bd3d18a582f273d6c843d16bb9e22e9e16365ff7991e92f18f798e9f1224/ast_serialize-0.5.0-cp39-abi3-macosx_11_0_arm64.whl", hash = "sha256:bf683d6363edf2b39eed6b6d4fe22d34b6203867a67e27134d9e2a2680c4bc4a", size = 1183879 },
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||||
{ url = "https://files.pythonhosted.org/packages/40/ae/1f919100f8620887af58fcc381c61a1f218cdf89c6e155f87b213e61010a/ast_serialize-0.5.0-cp39-abi3-manylinux_2_17_aarch64.manylinux2014_aarch64.whl", hash = "sha256:9cc22cf0c9be65e71cf88fda130af60d61eb4a79370ad4cfe7900d48a4aa2211", size = 1244529 },
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||||
{ url = "https://files.pythonhosted.org/packages/c6/ca/6376559dcce707cdbc1d0d9a13c8d3baaaa501e949ce0ebdc4230cd881aa/ast_serialize-0.5.0-cp39-abi3-manylinux_2_17_armv7l.manylinux2014_armv7l.whl", hash = "sha256:f66173891548c9f2726bf27957b41cabce12fa679dc6da505ddbde4d4b3b31cf", size = 1240560 },
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||||
{ url = "https://files.pythonhosted.org/packages/35/b2/a620e206b5aeb7efbf2710336df57d457cffbb3991076bbcc1147ef9abd4/ast_serialize-0.5.0-cp39-abi3-manylinux_2_17_ppc64le.manylinux2014_ppc64le.whl", hash = "sha256:e42d729ef2be96a14efbad355093284739e3670ece3e534f82cc8832790911d9", size = 1451172 },
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||||
{ url = "https://files.pythonhosted.org/packages/fa/e0/4ad5c04c24a40481b2935ce9a0ccdb6023dc8b667167d06ae530cc3512f2/ast_serialize-0.5.0-cp39-abi3-manylinux_2_17_s390x.manylinux2014_s390x.whl", hash = "sha256:b725026bafa801dbd7310eb13a75f0a2e370e7e51b2cb225f9d21fcfadf919ee", size = 1265072 },
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Reference in New Issue
Block a user