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展示层对标专业看盘终端（tick-stock-panel 模式），数据全部来自通达信协议直连： - 市场看板：五大指数实时条（迷你分时）、涨跌统计、四维情绪雷达、 全市场涨跌分布直方图（约 5500 只 22 桶、鼠标跟随浮窗）、涨停雷达、 行业/概念热冷榜（可下钻）、涨幅/跌幅/成交额/换手四联排行榜、异动雷达 - 自选行情：6 位代码即加（symbol-info 自动取名）、SSE 实时全表刷新、 行内迷你分时；SQLite 持久化（watchlist.db，幂等加删） - 个股弹窗：五档盘口 + 1/3/5 日分时 + 日K（MA/BOLL/EMA + MACD/KDJ/RSI 前端本地计算）+ 一键加自选 + 一键全策略寻优 - 板块弹窗：板块分时/日K + 成分股涨跌榜直达个股 - SSE 架构：QuoteStreamer 单循环轮询 fan-out（独立队列 + 背压丢旧、 无订阅休眠、盘中 8s/盘外 60s 降频）；前端 pinia 单连接指数退避重连 - fix(codec): SH 000 系大盘指数与 881/885 板块指数报价按 2 位小数解析 （曾缩小 10 倍：科创50 1647.53→164.753）；880 统计指数保持 3 位 - fix: 前端批量五档路径 /security/quotes→/quotes、SSE 五档白名单 bid1_vol→bid_vol1、MAC 排行 close 列归一化、日K v-if 撑满、 寻优查看跳转 /→/backtest、FastAPI 0.141 _IncludedRouter 测试适配 新增 27 个单测（streamer/自选/小数位语义），全套 1078 passed
234 lines
8.9 KiB
Python
234 lines
8.9 KiB
Python
"""实时行情 SSE 推送器：单一共享轮询循环 + 每连接独立队列 fan-out。
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架构（借鉴 tick-stock-panel 的成熟模式，见其 QuoteService / SSE 演进）：
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- 通达信协议是请求-响应式，没有服务端推送；"实时"本质是后端定时轮询。
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- 所有 SSE 连接共享**一条**轮询循环（避免 N 个标签页 = N 倍行情请求），
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每个连接持有独立的 :class:`asyncio.Queue`，消息 fan-out 投递。
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- 背压策略：队列满（说明该连接消费慢/挂起）时丢弃最旧消息、保最新——
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行情场景下旧快照无价值，宁可跳帧不可积压。
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- 订阅集合 = 固定指数 + 全部自选（每次轮询前重读 watchlist，SQLite 单文件
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读极快）。前端加自选后，下一个轮询周期自动纳入推送，无需重连 SSE。
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- 无人订阅时循环休眠，不产生行情请求。
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- 交易时段（沪时区 09:10-15:10）~8s 一拍，其余时段降到 60s（收盘价仍可推）。
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"""
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from __future__ import annotations
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import asyncio
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import itertools
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import logging
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from collections.abc import Awaitable, Callable
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from datetime import datetime, timedelta, timezone as dt_timezone
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from typing import Any
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import pandas as pd
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from easy_tdx.models.enums import Market
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logger = logging.getLogger(__name__)
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__all__ = ["QuoteStreamer", "INDEX_SYMBOLS", "INDEX_NAMES"]
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# 看板常驻指数（标准协议行情，指数与个股同一接口）。
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INDEX_SYMBOLS: list[tuple[Market, str]] = [
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(Market.SH, "000001"), # 上证指数
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(Market.SZ, "399001"), # 深证成指
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(Market.SZ, "399006"), # 创业板指
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(Market.SH, "000688"), # 科创50
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(Market.SH, "000300"), # 沪深300
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]
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INDEX_NAMES: dict[str, str] = {
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"SH000001": "上证指数",
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"SZ399001": "深证成指",
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"SZ399006": "创业板指",
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"SH000688": "科创50",
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"SH000300": "沪深300",
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}
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_MARKET_NAMES = {Market.SZ: "SZ", Market.SH: "SH", Market.BJ: "BJ"}
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# 推送给前端的字段白名单（SecurityQuote 全字段中挑展示需要的，避免 unknown_* 噪音）。
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_QUOTE_FIELDS = [
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"market",
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"code",
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"price",
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"pre_close",
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"open",
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"high",
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"low",
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"vol",
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"cur_vol",
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"amount",
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"s_vol",
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"b_vol",
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"rise_speed",
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"limit_up",
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"limit_down",
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"decimal_point",
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"server_time",
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"trading_status",
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] + [
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f"{side}{i}" for side in ("bid", "ask") for i in range(1, 6)
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] + [
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f"{side}_vol{i}" for side in ("bid", "ask") for i in range(1, 6)
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]
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_SH_TZ = dt_timezone(timedelta(hours=8)) # Asia/Shanghai
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def _is_trading_hours(now: datetime | None = None) -> bool:
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"""A股盘中（含集合竞价与收盘前后缓冲）：沪时间 09:10-15:10，周一至周五。"""
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t = now or datetime.now(_SH_TZ)
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if t.weekday() >= 5:
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return False
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hm = t.hour * 60 + t.minute
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return 9 * 60 + 10 <= hm <= 15 * 60 + 10
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class QuoteStreamer:
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"""共享轮询 + fan-out。由 FastAPI lifespan 启停（``app.state.quote_streamer``）。
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Args:
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quote_fetcher: async ``(stocks) -> pd.DataFrame``，通常为
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``AsyncTdxClient.get_security_quotes`` 的偏函数。异常由本类兜底。
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watch_symbols: async ``() -> list[tuple[Market, str]]``，自选订阅集合
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（通常读 :class:`WatchlistStore`）。每次轮询前调用。
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trading_interval: 盘中轮询间隔（秒）。
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idle_interval: 盘外轮询间隔（秒）。
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"""
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def __init__(
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self,
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quote_fetcher: Callable[[list[tuple[Market, str]]], Awaitable[pd.DataFrame]],
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watch_symbols: Callable[[], Awaitable[list[tuple[Market, str]]]],
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*,
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trading_interval: float = 8.0,
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idle_interval: float = 60.0,
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) -> None:
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self._fetch = quote_fetcher
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self._watch_symbols = watch_symbols
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self._trading_interval = trading_interval
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self._idle_interval = idle_interval
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self._queues: dict[int, asyncio.Queue[dict[str, Any]]] = {}
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self._ids = itertools.count(1)
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self._task: asyncio.Task[None] | None = None
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self.last_snapshot: list[dict[str, Any]] = [] # 最近一次成功快照（调试/健康检查）
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# ── 订阅管理（SSE 端点调用） ──────────────────────────────────────────
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def subscribe(self) -> tuple[int, asyncio.Queue[dict[str, Any]]]:
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"""注册一个独立队列；返回 (id, queue)。"""
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qid = next(self._ids)
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q: asyncio.Queue[dict[str, Any]] = asyncio.Queue(maxsize=2)
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self._queues[qid] = q
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return qid, q
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def unsubscribe(self, qid: int) -> None:
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self._queues.pop(qid, None)
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@property
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def subscriber_count(self) -> int:
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return len(self._queues)
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# ── 生命周期 ──────────────────────────────────────────────────────────
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def start(self) -> None:
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if self._task is None or self._task.done():
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self._task = asyncio.get_running_loop().create_task(self._run())
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logger.info("QuoteStreamer started")
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async def stop(self) -> None:
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if self._task is not None:
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self._task.cancel()
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try:
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await self._task
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except asyncio.CancelledError:
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pass
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self._task = None
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logger.info("QuoteStreamer stopped")
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# ── 轮询主循环 ────────────────────────────────────────────────────────
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async def _run(self) -> None:
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while True:
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try:
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if not self._queues:
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await asyncio.sleep(1.0) # 无人订阅，待命
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continue
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symbols = list(INDEX_SYMBOLS)
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try:
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symbols += await self._watch_symbols()
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except Exception:
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logger.warning("读取自选订阅集合失败", exc_info=True)
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quotes = await self._fetch_quotes(symbols)
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if quotes:
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self.last_snapshot = quotes
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msg = {
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"type": "quotes_updated",
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"ts": datetime.now(_SH_TZ).isoformat(timespec="seconds"),
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"count": len(quotes),
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"quotes": quotes,
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}
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self._fan_out(msg)
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interval = self._trading_interval if _is_trading_hours() else self._idle_interval
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await asyncio.sleep(interval)
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except asyncio.CancelledError:
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raise
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except Exception:
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# 单轮失败不能杀死循环（行情服务器闪断很常见）
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logger.warning("QuoteStreamer 轮询异常", exc_info=True)
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await asyncio.sleep(self._idle_interval)
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async def _fetch_quotes(self, symbols: list[tuple[Market, str]]) -> list[dict[str, Any]]:
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"""批量拉行情（80/批），转精简 dict 列表；失败返回空。"""
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out: list[dict[str, Any]] = []
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for i in range(0, len(symbols), 80):
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batch = symbols[i : i + 80]
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try:
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df = await self._fetch(batch)
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except Exception:
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logger.warning("行情拉取失败（%d 只）", len(batch), exc_info=True)
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continue
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out.extend(self._df_to_dicts(df))
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return out
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@staticmethod
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def _df_to_dicts(df: pd.DataFrame) -> list[dict[str, Any]]:
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"""DataFrame → 前端 dict（白名单列 + market 枚举转字符串 + symbol 键）。"""
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if df is None or df.empty:
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return []
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rows: list[dict[str, Any]] = []
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for rec in df.to_dict(orient="records"):
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market = rec.get("market")
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market_str = _MARKET_NAMES.get(market, str(market or ""))
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code = str(rec.get("code", ""))
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d: dict[str, Any] = {}
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for f in _QUOTE_FIELDS:
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if f in rec and f not in ("market", "code"):
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v = rec[f]
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d[f] = None if v != v else v # NaN → None（JSON 合法）
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d["market"] = market_str
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d["code"] = code
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d["symbol"] = f"{market_str}{code}"
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rows.append(d)
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return rows
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def _fan_out(self, msg: dict[str, Any]) -> None:
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for q in list(self._queues.values()):
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try:
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q.put_nowait(msg)
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except asyncio.QueueFull:
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# 背压：丢最旧、保最新
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try:
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q.get_nowait()
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except asyncio.QueueEmpty:
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pass
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try:
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q.put_nowait(msg)
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except asyncio.QueueFull:
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pass
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