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release: v1.31.3 — 紧急修复盘中分时数据错乱（实时命令解析错位，全程改走历史分时）
This commit is contained in:
Justin Gu
+13
-5
@@ -2,11 +2,18 @@
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本文件记录 easy-tdx 的版本变更。格式遵循 [Keep a Changelog](https://keepachangelog.com/zh-CN/)。
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## [未发布]
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## [1.31.3] — 2026-09-04
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**CLI 对齐 WebUI/Python SDK 的分析能力**——补齐 CLI 此前缺失的三块：一键参数寻优、内置策略列表、组合级 WF/一条龙。引擎层全部复用现成实现（`ParamGridOptimizer`/`STRATEGY_PRESETS`/`evaluate_portfolio`/`PortfolioWalkForwardEngine`），CLI、Web API（`/backtest/optimize`、`/backtest/evaluate` 等）与 Python SDK 三条通路能力对等。
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**紧急修复盘中分时数据错乱（v1.31.2 回归），并包含 CLI 分析能力对齐**——v1.31.2 引入的"盘中走实时分时命令"路径存在解析错位：实时分时命令（0x0c1b）响应每条记录实际 2 个字段，解析器按 3 字段读取，从第二条起全部错位——个股与指数**盘中**分时出现天文价格（如科创50 出现 67008）与负成交量（如 -2296）。实测确认历史分时接口盘中查"当日"即返回已成交分钟（午休 12:33 时返回上午 120 条，尾价与实时行情现价吻合），实时命令本无必要。本版同时包含此前合入 main 的 CLI 分析能力对齐与寻优指标缓存修复。
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### 新增
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### 紧急修复（分时）
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- **分时全程改走历史分时接口**（[client.py](src/easy_tdx/client.py) `get_minute_time_data`，同步+异步）：先查今天——盘中=已成交部分、收盘后=全天 240 条；空（盘前/周末/节假日）回退最近交易日。实时分时命令从 client 移除，docstring 记录弃用原因（响应布局与解析器不匹配）。
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- v1.31.2 的**盘前/休市回退**与**指数K线命令适配**（乱码日期检测自动换 `GetIndexBarsCmd`）经验证正确，保持不变。
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### 新增（CLI 对齐 WebUI/Python SDK 的分析能力）
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补齐 CLI 此前缺失的三块：一键参数寻优、内置策略列表、组合级 WF/一条龙。引擎层全部复用现成实现（`ParamGridOptimizer`/`STRATEGY_PRESETS`/`evaluate_portfolio`/`PortfolioWalkForwardEngine`），CLI、Web API（`/backtest/optimize`、`/backtest/evaluate` 等）与 Python SDK 三条通路能力对等。
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- **`easy-tdx optimize` 参数网格寻优命令**（[backtest/cli.py](src/easy_tdx/backtest/cli.py)）：单策略网格搜索（`--strategy ma_cross` 用该策略预设网格，或 `--param fast=5,10,15 --param slow=20,60` 自定义），以及 `--all` 一键寻优所有内置策略——逐策略按 `STRATEGY_PRESETS` 预设网格寻优后按总收益率全局排名（对齐 Web UI /optimize 页与 `/backtest/optimize-all/run/async`）。支持 `--workers N` 进程级并行、`--table` 排名表 / JSON 全量输出（含热力图矩阵）。`--strategy` 与 `--param` 在联网取数前前置校验（未知策略/未知参数/网格超限快速失败）。
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- **`easy_tdx.backtest.optimizer.optimize_all_strategies` Python API**（[optimizer.py](src/easy_tdx/backtest/optimizer.py)）：一键全策略寻优的规范实现（`_optimize_strategy_best` 模块级 worker 可 pickle，主进程解析 label、跨策略 ProcessPool 并行），CLI 与后续 Web 端可共用；`presets` 参数支持注入子集网格（测试用）。
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@@ -19,9 +26,10 @@
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### 测试
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- 新增 13 例：`optimize` 命令互斥/未知策略/未知参数/畸形参数校验（联网前快速失败）、`strategies` 表格与 JSON 输出、`portfolio --help` 新旗标、`optimize_all_strategies` 排名序/label/skipped/JSON 原生类型、指标缓存「同内容不同对象必须命中」回归。
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- **分时单测重写为 7 例**（同步/异步双口径）：盘中只查今日历史分时（断言单次请求）、盘前回退最近交易日、指数锚点换指数K线命令、无日 K 兜底；盘中实测四类标的（个股 301008 / 上证指数 / 科创50 000688 / 880 板块指数）全部返回当日已成交分钟、尾价与实时现价吻合、零异常行（价格 ≤0 或成交量 <0 的行数为 0）。
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- CLI 侧新增 13 例：`optimize` 命令互斥/未知策略/未知参数/畸形参数校验（联网前快速失败）、`strategies` 表格与 JSON 输出、`portfolio --help` 新旗标、`optimize_all_strategies` 排名序/label/skipped/JSON 原生类型、指标缓存「同内容不同对象必须命中」回归。
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- 实测验证：`strategies` 列出 54 策略；`optimize --strategy`（3×3 网格）与 `optimize --all --workers 4`（54 策略 316 网格点）真实行情跑通；`portfolio --evaluate`（完整报告含评分/评级/WF/基准）与 `--wf` 真实跑通。
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- 全量回归：pytest 1613 全部通过、ruff/ruff format/mypy 全绿（原 v1.25 既有失败 `test_optimizer_cache_reuse_across_grid_points` 随缓存键修复转绿）。
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- 全量回归：pytest 1629 全部通过、ruff/ruff format/mypy 全绿（v1.25 既有失败 `test_optimizer_cache_reuse_across_grid_points` 随缓存键修复转绿）。
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## [1.31.2] — 2026-09-04
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+1
-1
@@ -4,7 +4,7 @@ build-backend = "hatchling.build"
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[project]
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name = "easy-tdx"
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version = "1.31.2"
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version = "1.31.3"
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description = "通达信 TCP 协议行情数据客户端，支持在线行情、离线数据读取与写入同步"
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readme = "README.md"
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requires-python = ">=3.10"
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+19
-26
@@ -39,7 +39,7 @@ from .commands.base import BaseCommand
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from .commands.block_info import GetBlockInfoCmd, GetBlockInfoMetaCmd
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from .commands.company_info import GetCompanyInfoCategoryCmd, GetCompanyInfoContentCmd
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from .commands.finance_info import GetFinanceInfoCmd
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from .commands.minute_time import GetHistoryMinuteTimeDataCmd, GetMinuteTimeDataCmd
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from .commands.minute_time import GetHistoryMinuteTimeDataCmd
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from .commands.report_file import GetReportFileCmd
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from .commands.security_bars import GetIndexBarsCmd, GetSecurityBarsCmd
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from .commands.security_count import GetSecurityCountCmd
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@@ -608,27 +608,23 @@ class TdxClient:
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# ------------------------------------------------------------------ #
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def get_minute_time_data(self, market: Market, code: str) -> pd.DataFrame:
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"""获取最近交易日分时数据（盘中=今日实时分时；盘前/休市=最近交易日历史分时）。
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"""获取最近交易日分时数据（个股与指数通用）。
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历史分时接口对当日返回空（数据收盘后才生成），实时分时接口在盘前
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返回价格自 0 累加的占位数据——单纯用"今天"查任一接口在盘前/周末/
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节假日都会拿到空/脏数据。这里以最新一根日 K 的日期锚定最近交易日：
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等于今天（盘中/收盘后）走实时分时命令；早于今天则查该日的历史分时。
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历史分时接口盘中对"当日"即返回已成交分钟（实测 12:33 午休时返回
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上午 120 条），收盘后为全天 240 条——先查今天，无数据（盘前/周末/
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节假日）回退最近交易日（最新日 K 锚定，指数自动走指数 K 线命令）。
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实时分时命令（0x0c1b）响应每条 2 字段而解析器按 3 字段读，必然
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错位出负量/天价乱码，不使用。
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"""
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today = _today_in_shanghai()
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latest = self._latest_trade_date(market, code)
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if latest == today:
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bars = self._execute(GetMinuteTimeDataCmd(market, code))
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# 盘前占位数据首条价格恒为 0（价格差自 0 累加），视为无效
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if bars and bars[0].price > 0:
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return _add_minute_datetime(_to_df(bars), today)
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if latest is not None and latest != today:
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bars = self._execute(GetHistoryMinuteTimeDataCmd(market, code, latest))
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for date in dict.fromkeys((today, latest)):
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if date is None:
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continue
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bars = self._execute(GetHistoryMinuteTimeDataCmd(market, code, date))
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if bars:
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return _add_minute_datetime(_to_df(bars), latest)
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# 兜底（无日 K 数据等场景）：维持旧契约，查今日历史分时（可能为空）
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bars = self._execute(GetHistoryMinuteTimeDataCmd(market, code, today))
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return _add_minute_datetime(_to_df(bars), today)
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return _add_minute_datetime(_to_df(bars), date)
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return _add_minute_datetime(_to_df([]), today)
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def _latest_trade_date(self, market: Market, code: str) -> int | None:
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"""最新一根日 K 的日期（YYYYMMDD），无日 K 数据（如未上市新股）返回 None。
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@@ -1382,16 +1378,13 @@ class AsyncTdxClient(AsyncHeartbeatMixin):
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"""获取最近交易日分时数据，语义见同步版 :meth:`get_minute_time_data`。"""
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today = _today_in_shanghai()
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latest = await self._latest_trade_date(market, code)
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if latest == today:
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bars = await self._execute(GetMinuteTimeDataCmd(market, code))
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if bars and bars[0].price > 0:
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return _add_minute_datetime(_to_df(bars), today)
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if latest is not None and latest != today:
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bars = await self._execute(GetHistoryMinuteTimeDataCmd(market, code, latest))
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for date in dict.fromkeys((today, latest)):
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if date is None:
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continue
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bars = await self._execute(GetHistoryMinuteTimeDataCmd(market, code, date))
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if bars:
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return _add_minute_datetime(_to_df(bars), latest)
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bars = await self._execute(GetHistoryMinuteTimeDataCmd(market, code, today))
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return _add_minute_datetime(_to_df(bars), today)
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return _add_minute_datetime(_to_df(bars), date)
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return _add_minute_datetime(_to_df([]), today)
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async def _latest_trade_date(self, market: Market, code: str) -> int | None:
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"""最新一根日 K 的日期（YYYYMMDD），语义见同步版 :meth:`_latest_trade_date`。"""
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@@ -11,7 +11,6 @@ from easy_tdx import AsyncTdxClient, Market, TdxClient
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from easy_tdx.client import _classify_fund_flow
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from easy_tdx.commands.minute_time import (
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GetHistoryMinuteTimeDataCmd,
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GetMinuteTimeDataCmd,
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)
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from easy_tdx.commands.security_bars import GetIndexBarsCmd, GetSecurityBarsCmd
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from easy_tdx.commands.security_list import GetSecurityListCmd
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@@ -321,17 +320,17 @@ def test_get_price_limits_uses_listing_window(_mock_conn_cls):
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@patch("easy_tdx.client.TdxConnection")
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def test_get_minute_time_data_preopen_falls_back_to_last_trade_day(_mock_conn_cls):
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"""盘前/周末/节假日：今日分时尚不存在，应回退查最近交易日（最新日K日期）的历史分时。"""
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def test_get_minute_time_data_intraday_uses_history_today(_mock_conn_cls):
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"""盘中（最新日K=今天）：历史分时接口对当日即返回已成交分钟，只查今天一次。"""
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client = TdxClient("127.0.0.1")
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day_bars = [SecurityBar(10, 10, 10, 10, 100, 1000, 2026, 9, 3, 15, 0)]
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expected = [MinuteBar(price=40.91, vol=3677)]
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day_bars = [SecurityBar(10, 10, 10, 10, 100, 1000, 2026, 9, 4, 15, 0)]
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expected = [MinuteBar(price=44.2, vol=118)]
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def mock_execute(cmd):
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if isinstance(cmd, GetSecurityBarsCmd):
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return day_bars
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if isinstance(cmd, GetHistoryMinuteTimeDataCmd):
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assert cmd.date == 20260903, "应查最近交易日 20260903 而非今天"
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assert cmd.date == 20260904, "盘中应只查今天的历史分时"
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return expected
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return []
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@@ -342,55 +341,26 @@ def test_get_minute_time_data_preopen_falls_back_to_last_trade_day(_mock_conn_cl
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result = client.get_minute_time_data(Market.SH, "600000")
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assert isinstance(result, pd.DataFrame)
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assert result["price"].iloc[0] == 40.91
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assert str(result["datetime"].iloc[0]).startswith("2026-09-03")
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# 不应请求今日历史分时（旧实现盘前必然拿到空的来源）
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history_dates = [
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c[0][0].date
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for c in mock_exec.call_args_list
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if isinstance(c[0][0], GetHistoryMinuteTimeDataCmd)
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]
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assert history_dates == [20260903]
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@patch("easy_tdx.client.TdxConnection")
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def test_get_minute_time_data_intraday_uses_live_cmd(_mock_conn_cls):
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"""盘中/收盘后（最新日K=今天）：走实时分时命令，返回今日数据。"""
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client = TdxClient("127.0.0.1")
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day_bars = [SecurityBar(10, 10, 10, 10, 100, 1000, 2026, 9, 4, 15, 0)]
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live = [MinuteBar(price=41.0, vol=100)]
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def mock_execute(cmd):
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if isinstance(cmd, GetSecurityBarsCmd):
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return day_bars
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if isinstance(cmd, GetMinuteTimeDataCmd):
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return live
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raise AssertionError(f"盘中不应请求历史分时: {cmd}")
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with (
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patch("easy_tdx.client._today_in_shanghai", return_value=20260904),
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patch.object(TdxClient, "_execute", side_effect=mock_execute),
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):
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result = client.get_minute_time_data(Market.SH, "600000")
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assert result["price"].iloc[0] == 41.0
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assert result["price"].iloc[0] == 44.2
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assert str(result["datetime"].iloc[0]).startswith("2026-09-04")
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history_calls = [
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c for c in mock_exec.call_args_list if isinstance(c[0][0], GetHistoryMinuteTimeDataCmd)
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]
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assert len(history_calls) == 1
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@patch("easy_tdx.client.TdxConnection")
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def test_get_minute_time_data_live_placeholder_falls_back(_mock_conn_cls):
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"""防御：实时分时接口返回盘前占位数据（首条价格 0）时不应采用，回退历史分时。"""
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def test_get_minute_time_data_preopen_falls_back_to_last_trade_day(_mock_conn_cls):
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"""盘前/周末/节假日：今日分时尚不存在（历史分时当日返回空），回退最近交易日。"""
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client = TdxClient("127.0.0.1")
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day_bars = [SecurityBar(10, 10, 10, 10, 100, 1000, 2026, 9, 4, 15, 0)]
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expected = [MinuteBar(price=41.0, vol=100)]
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day_bars = [SecurityBar(10, 10, 10, 10, 100, 1000, 2026, 9, 3, 15, 0)]
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expected = [MinuteBar(price=40.91, vol=3677)]
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def mock_execute(cmd):
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if isinstance(cmd, GetSecurityBarsCmd):
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return day_bars
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if isinstance(cmd, GetMinuteTimeDataCmd):
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return [MinuteBar(price=0.0, vol=48)] * 240
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if isinstance(cmd, GetHistoryMinuteTimeDataCmd):
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return expected
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return expected if cmd.date == 20260903 else []
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return []
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with (
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@@ -399,7 +369,8 @@ def test_get_minute_time_data_live_placeholder_falls_back(_mock_conn_cls):
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):
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result = client.get_minute_time_data(Market.SH, "600000")
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assert result["price"].iloc[0] == 41.0
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assert result["price"].iloc[0] == 40.91
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assert str(result["datetime"].iloc[0]).startswith("2026-09-03")
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@patch("easy_tdx.client.TdxConnection")
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@@ -432,8 +403,7 @@ def test_get_minute_time_data_index_anchor_uses_index_bars(_mock_conn_cls):
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if isinstance(cmd, GetSecurityBarsCmd):
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return garbage_bars
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if isinstance(cmd, GetHistoryMinuteTimeDataCmd):
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assert cmd.date == 20260903, "应以指数K线锚定的 20260903 查历史分时"
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return expected
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return expected if cmd.date == 20260903 else []
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return []
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with (
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@@ -462,8 +432,7 @@ def test_async_get_minute_time_data_index_anchor_uses_index_bars():
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if isinstance(cmd, GetSecurityBarsCmd):
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return garbage_bars
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if isinstance(cmd, GetHistoryMinuteTimeDataCmd):
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assert cmd.date == 20260903
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return expected
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return expected if cmd.date == 20260903 else []
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return []
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with (
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@@ -491,8 +460,7 @@ def test_async_get_minute_time_data_preopen_falls_back_to_last_trade_day():
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if isinstance(cmd, GetSecurityBarsCmd):
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return day_bars
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if isinstance(cmd, GetHistoryMinuteTimeDataCmd):
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assert cmd.date == 20260903, "应查最近交易日 20260903 而非今天"
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return expected
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return expected if cmd.date == 20260903 else []
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return []
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with (
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@@ -507,10 +475,10 @@ def test_async_get_minute_time_data_preopen_falls_back_to_last_trade_day():
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asyncio.run(run_test())
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def test_async_get_minute_time_data_intraday_uses_live_cmd():
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"""异步客户端：盘中走实时分时命令。"""
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def test_async_get_minute_time_data_intraday_uses_history_today():
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"""异步客户端：盘中走历史分时接口查今天。"""
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day_bars = [SecurityBar(10, 10, 10, 10, 100, 1000, 2026, 9, 4, 15, 0)]
|
||||
live = [MinuteBar(price=41.0, vol=100)]
|
||||
expected = [MinuteBar(price=44.2, vol=118)]
|
||||
|
||||
async def run_test() -> None:
|
||||
with patch("easy_tdx.client.AsyncTdxConnection"):
|
||||
@@ -519,9 +487,10 @@ def test_async_get_minute_time_data_intraday_uses_live_cmd():
|
||||
async def mock_execute(cmd):
|
||||
if isinstance(cmd, GetSecurityBarsCmd):
|
||||
return day_bars
|
||||
if isinstance(cmd, GetMinuteTimeDataCmd):
|
||||
return live
|
||||
raise AssertionError(f"盘中不应请求历史分时: {cmd}")
|
||||
if isinstance(cmd, GetHistoryMinuteTimeDataCmd):
|
||||
assert cmd.date == 20260904, "盘中应只查今天的历史分时"
|
||||
return expected
|
||||
return []
|
||||
|
||||
with (
|
||||
patch("easy_tdx.client._today_in_shanghai", return_value=20260904),
|
||||
@@ -529,6 +498,6 @@ def test_async_get_minute_time_data_intraday_uses_live_cmd():
|
||||
):
|
||||
result = await client.get_minute_time_data(Market.SH, "600000")
|
||||
|
||||
assert result["price"].iloc[0] == 41.0
|
||||
assert result["price"].iloc[0] == 44.2
|
||||
|
||||
asyncio.run(run_test())
|
||||
|
||||
Reference in New Issue
Block a user