mirror of
https://ghfast.top/https://github.com/aeroxw/easy_tdx_max.git
synced 2026-09-12 15:44:18 +08:00
Justin Gu
e374a0da28
对 v1.21→v1.32.5 的 249 文件 4.2 万行改动做六路专项审查，本轮落地全部发现： 回测正确性：组合收益 fillna(0) 虚增、轮动停牌日过期价成交、单标的 WF 逐窗指标 被预热区稀释（三件套均带先红后绿回归）；worst_drawdown 方向、grading 容错、 组合体检品种费率、寻优端点费率透传。 安全：LLM api_url 仅 http/https 且禁 userinfo（封死 file:// 读取与 Key 外送链）、 错误响应不回显原始 body、响应体 2MB 上限、配置原子写、坏配置字段级防御。 数据：涨跌停价整数分币舍入（67/318/90 个价位错 1 分漏判清零）、交易时段/采样/ provisional 统一沪时区、warehouse 增量缺口自动全量重拉、provisional 定点转正、 baostock 真故障抛错 + W/M 去 tradestatus（实测服务端报错，周月兜底此前从未工作） + 指数 vol 股→手（实测锚定）、ccpm 结构变更抛错。 Web API：缓存键补 count/vipdoc、NaN 清洗先于缓存、count>800 分页取全量、 submit 透传真实状态、pending 不再被淘汰成幽灵、watchlist/server 入参约束。 公式：FILTER 去副作用、0-1 值域误判收严、递归深度上限、REF 负移位显式禁止。 前端：4 处请求竞态序号守卫、Sparkline viewBox、北交所 market=2 映射、 空数据缓存死角、AI 弹窗卸载中止轮询、量能/资金日历口径修正。 CLI/CI：warehouse sync 失败 exit 1、参数校验干净报错、release 真实发布 SHA256、 CI 超时与缓存、spec 补 baostock 前提。 约 60 条回归测试先红后绿；pytest 1820 全过，ruff/mypy/vue-tsc/node --test 全绿。
484 lines
19 KiB
Python
484 lines
19 KiB
Python
"""K线 / 分时 / 逐笔成交路由。"""
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from __future__ import annotations
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import asyncio
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import logging
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from typing import Any
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import numpy as np
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import pandas as pd
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from fastapi import APIRouter, Depends, Query
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from easy_tdx._df import _category_to_minutes
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from easy_tdx.web.convert import (
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adjust_from_str,
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category_from_str,
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market_from_str,
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market_value_from_str,
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period_times_from_category,
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)
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from easy_tdx.web.deps import get_client, get_mac_client_optional
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from easy_tdx.web.schemas import BarsResponse, DataFrameResponse
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_logger = logging.getLogger(__name__)
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router = APIRouter(tags=["bars"])
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# 规整后保持的列顺序（匹配旧 SecurityBar 输出契约）
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_NORMAL_COLS = ["open", "close", "high", "low", "vol", "amount"]
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# 120 分钟线的 category 别名（协议无此枚举，路由层特判）
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_MIN_120_ALIASES = frozenset({"MIN_120", "120M", "120MIN"})
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# 标准 TdxClient 单次取数上限（60M×2 重采样路径的抓取上限）
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_MAX_BARS_PER_FETCH = 800
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def _df_resp(df: Any) -> DataFrameResponse:
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return DataFrameResponse.from_dataframe(df)
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def _is_daily_plus(cat: Any) -> bool:
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"""判断 KlineCategory 是否日线及以上周期（datetime 应归一为 date）。
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KlineCategory 的枚举值不按周期长短排序（MIN_1=7、MIN_3=8 均大于 DAY=4），
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不能用整数大小判断"日线及以上"；与 client.py 的 get_security_bars 路径保持
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同一判定源：_CATEGORY_MINUTES 查得到=分钟级，查不到=日线及以上。
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"""
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return _category_to_minutes(int(cat)) is None
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def _normalize_mac_df(df: pd.DataFrame, daily_plus: bool) -> pd.DataFrame:
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"""规整 MacClient.get_stock_kline 的输出以匹配旧 /bars 契约。
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MacClient 返回 ``datetime`` 列（含时分秒）+ ``float_shares`` 列，OHLC 顺序为
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open/high/low/close。旧 /bars（SecurityBar 路径）日线返回 ``date`` 列（仅日期）、
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分钟线返回 ``datetime`` 列，无 float_shares，OHLC 顺序为 open/close/high/low。
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本函数做对齐，保证迁移后调用方输出契约不变。
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Args:
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df: MacClient 返回的 DataFrame（可能为空）。
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daily_plus: True=日线及以上周期（datetime→date），False=分钟线（保留 datetime）。
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"""
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if df.empty:
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return df
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out = df.copy()
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if "float_shares" in out.columns:
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out = out.drop(columns=["float_shares"])
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time_col = "date" if daily_plus else "datetime"
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if "datetime" in out.columns:
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if daily_plus:
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# 截断为仅日期（00:00:00），与旧 _merge_bar_datetime 的 date 列语义一致
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out["datetime"] = pd.to_datetime(out["datetime"]).dt.normalize()
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out = out.rename(columns={"datetime": time_col})
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# 重排列顺序：时间列在前，OHLC 顺序 open/close/high/low，再 vol/amount
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cols = [c for c in [time_col, *_NORMAL_COLS] if c in out.columns]
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# 兜底：保留未列出的列（理论上不应有），追加到末尾
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cols += [c for c in out.columns if c not in cols]
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return out[cols]
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def _resample_pairs(df: pd.DataFrame, count: int) -> pd.DataFrame:
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"""相邻两根分钟 bar 聚合成一根（60M×2 → 120M）。
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分组规则：从最新端对齐两两配对（奇数根丢最旧一根，保最新数据），
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聚合口径 open=first / high=max / low=min / close=last / vol·amount=sum，
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时间列取配对中后一根。要求 df 按时间升序、含 datetime 列。
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Args:
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df: 已规整的 60M DataFrame（升序，datetime 列）。
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count: 目标 120M 根数（超出的旧数据裁掉）。
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Returns:
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重采样后的 DataFrame；输入为空时原样返回。
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"""
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if df is None or df.empty:
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return df
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out = df.reset_index(drop=True)
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if len(out) % 2:
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out = out.iloc[1:].reset_index(drop=True) # 丢最旧一根，两两对齐
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group = np.arange(len(out)) // 2
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agg: dict[str, str] = {"datetime": "last"}
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for col, how in (
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("open", "first"),
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("high", "max"),
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("low", "min"),
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("close", "last"),
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("vol", "sum"),
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("amount", "sum"),
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):
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if col in out.columns:
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agg[col] = how
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res = out.assign(_g=group).groupby("_g").agg(agg).reset_index(drop=True)
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if len(res) > count:
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res = res.tail(count).reset_index(drop=True)
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return res
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def _attach_derived(df: pd.DataFrame) -> pd.DataFrame:
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"""每根 bar 附带衍生字段：pre_close / change / change_pct / amplitude_pct。
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- ``pre_close``：前一根收盘；首根退化为本根开盘（涨跌记 0）。
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- ``change_pct``：(close/pre_close - 1)×100。
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- ``amplitude_pct``：(high - low)/pre_close×100。
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- pre_close ≤ 0.01 时按 0.01 兜底（复权后首段价格可能为 0/负，
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除零保护；QFQ 负价兜底场景见 /bars 文档）。
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"""
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if df is None or df.empty or "close" not in df.columns:
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return df
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out = df.reset_index(drop=True).copy()
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close = pd.to_numeric(out["close"], errors="coerce")
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pre = close.shift(1)
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if "open" in out.columns:
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pre = pre.fillna(pd.to_numeric(out["open"], errors="coerce"))
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safe_pre = pre.where(pre > 0.01, 0.01)
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out["pre_close"] = pre
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out["change"] = (close - pre).round(4)
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out["change_pct"] = ((close / safe_pre - 1.0) * 100).round(4)
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if "high" in out.columns and "low" in out.columns:
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high = pd.to_numeric(out["high"], errors="coerce")
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low = pd.to_numeric(out["low"], errors="coerce")
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out["amplitude_pct"] = ((high - low) / safe_pre * 100).round(4)
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return out
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async def _fetch_120m(
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market: str,
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code: str,
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start: int,
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count: int,
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adjust: str,
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bar_time: str,
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mac_client: Any,
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client: Any,
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) -> pd.DataFrame:
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"""120 分钟 K 线：MAC 原生 times=120 优先，2×60M 重采样兜底。"""
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market_value = market_value_from_str(market)
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if mac_client is not None:
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from easy_tdx.mac.enums import Period
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# 1) MAC 原生多分钟线（Period.MINS + times=120）
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try:
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df = await mac_client.get_stock_kline(
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market_value,
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code,
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Period.MINS,
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start,
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count,
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120,
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adjust=adjust_from_str(adjust),
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bar_time=bar_time,
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)
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if df is not None and not df.empty:
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return _normalize_mac_df(df, daily_plus=False)
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_logger.info("/bars MIN_120 原生路径返回空，转 60M 重采样 (%s%s)", market, code)
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except Exception as exc: # noqa: BLE001 — 原生不可用时降级，不中断
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_logger.warning(
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"/bars MIN_120 原生获取失败，转 60M 重采样 (%s%s): %s", market, code, exc
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)
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# 2) MAC 60M×2 重采样（自动分页，可一次取足 count×2）
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try:
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df = await mac_client.get_stock_kline(
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market_value,
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code,
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Period.MIN_60,
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start,
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count * 2,
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1,
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adjust=adjust_from_str(adjust),
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bar_time=bar_time,
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)
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res = _resample_pairs(_normalize_mac_df(df, daily_plus=False), count)
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if res is not None and not res.empty:
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return res
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except Exception as exc: # noqa: BLE001
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_logger.warning("/bars MIN_120 60M重采样（MAC）失败 (%s%s): %s", market, code, exc)
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# 3) 标准 TdxClient 60M×2（无 MAC；单次上限 800 根 → 最多 400 根 120M）
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fetch_n = min(count * 2, _MAX_BARS_PER_FETCH)
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if fetch_n < count * 2:
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_logger.info(
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"/bars MIN_120 回退路径单次上限 %d 根 60M，最多合成 %d 根 120M",
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_MAX_BARS_PER_FETCH,
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_MAX_BARS_PER_FETCH // 2,
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)
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df = await client.get_security_bars(
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market_from_str(market),
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code,
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category_from_str("MIN_60"),
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start,
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fetch_n,
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bar_time=bar_time,
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)
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return _resample_pairs(df, count)
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async def _baostock_last_resort(
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market: str,
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code: str,
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category: str,
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start: int,
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count: int,
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adjust: str,
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is_index: bool = False,
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) -> tuple[pd.DataFrame | None, str | None]:
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"""TDX 全部路径失败/为空后的最后一级兜底：baostock（仅日线及以上）。
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未安装 baostock / 设置了 EASY_TDX_BAOSTOCK=0 / 周期不适用 / 查询失败
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一律返回 ``(None, None)``——兜底源自身的任何失败（含新版 fetch_bars 对
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真故障抛出的 RuntimeError）都按"兜底不可用"处理，调用方继续维持原
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TDX 错误语义。baostock 客户端阻塞且非线程安全：丢线程池执行，模块内部
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持锁串行。
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Args:
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is_index: 标的是指数（/bars/index 兜底传 True，vol 股→手对齐契约）。
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"""
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from easy_tdx.sources import baostock as baostock_source
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if not baostock_source.is_enabled():
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return None, None
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try:
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df = await asyncio.to_thread(
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baostock_source.fetch_bars,
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market,
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code,
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category,
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start,
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count,
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adjust,
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is_index,
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)
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except Exception as exc: # noqa: BLE001 — 兜底失败不改变原错误路径
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_logger.warning("/bars baostock 兜底异常 (%s%s): %s", market, code, exc)
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return None, None
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if df is None or df.empty:
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return None, None
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_logger.info(
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"/bars 已启用 baostock 兜底 (%s%s %s%s，%d 根)",
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market,
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code,
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category,
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"，指数" if is_index else "",
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len(df),
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)
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return df, "baostock"
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def _bars_resp(df: pd.DataFrame | None, source: str | None) -> BarsResponse:
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"""构建带来源标注的 K 线响应（source 非 None = 命中兜底源）。"""
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resp = BarsResponse.from_dataframe(df)
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resp.source = source
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return resp
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@router.get("/bars", response_model=BarsResponse)
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async def security_bars(
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market: str = Query(..., description="市场: SZ, SH, BJ"),
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code: str = Query(..., min_length=6, max_length=6),
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category: str = Query(
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"DAY",
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description=(
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"K线周期: MIN_1, MIN_5, MIN_15, MIN_30, MIN_60, MIN_120(120分钟), "
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"DAY, WEEK, MONTH, SEASON, YEAR"
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),
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),
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start: int = Query(0, ge=0),
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count: int = Query(800, ge=1, le=800),
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bar_time: str = Query(
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"start", description="时间戳: start=bar开始时间(默认) / end=bar结束时间(对齐Tushare)"
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),
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adjust: str = Query(
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"QFQ", description="复权: NONE=不复权 / QFQ=前复权(默认) / HFQ=后复权（需 MAC 客户端）"
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),
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mac_client: Any = Depends(get_mac_client_optional),
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client: Any = Depends(get_client),
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) -> BarsResponse:
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"""获取股票K线数据（MAC 协议，支持复权）。
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多级自动回退：MAC 优先（支持 NONE/QFQ/HFQ 复权 + QFQ 负价兜底）→
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失败/为空转标准 TdxClient（无复权，adjust 参数忽略）→ 仍失败/为空且
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周期为日线及以上时，最后一级自动兜底 baostock（需 ``pip install
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easy-tdx[baostock]``，可用 ``EASY_TDX_BAOSTOCK=0`` 关闭）。兜底命中时
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响应带 ``source: "baostock"``，否则该字段为 null。
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输出契约与旧版一致：日线返回 ``date`` 列，分钟线返回 ``datetime`` 列。
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``category=MIN_120`` 为 120 分钟线：MAC 原生 ``Period.MINS × times=120``
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优先，失败则取 2 倍 60M 数据相邻两根聚合（open=first/high=max/low=min/
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close=last/vol·amount=sum），标准客户端回退路径最多合成 400 根。
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每根 bar 附带衍生字段：``pre_close``（前收，首根=本根开盘）、``change``、
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``change_pct``、``amplitude_pct``（振幅%）。pre_close ≤ 0.01 时按 0.01
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兜底（QFQ 复权后早期价格可能为 0/负）。
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vol 单位：分钟线/日线 = 成交量(股)；周/月/季/年线服务端原样返回真实
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成交量/100，回退路径（标准 TdxClient）已 ×100 还原为股。
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"""
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if category.upper() in _MIN_120_ALIASES:
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df120 = await _fetch_120m(market, code, start, count, adjust, bar_time, mac_client, client)
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return _bars_resp(_attach_derived(df120), None)
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cat = category_from_str(category)
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df: pd.DataFrame | None = None
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source: str | None = None
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last_exc: Exception | None = None
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if mac_client is not None:
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try:
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period, times = period_times_from_category(cat)
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df = await mac_client.get_stock_kline(
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market_value_from_str(market),
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code,
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period,
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start,
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count,
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times,
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adjust=adjust_from_str(adjust),
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bar_time=bar_time,
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)
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# daily_plus：日线及以上周期 datetime→date（枚举值无序，显式查表判定）
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df = _normalize_mac_df(df, daily_plus=_is_daily_plus(cat))
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except Exception as exc: # noqa: BLE001 — 降级到标准客户端，不中断
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last_exc = exc
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df = None
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_logger.warning("/bars MAC 获取失败，转标准 TdxClient (%s%s): %s", market, code, exc)
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if df is None or df.empty:
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if mac_client is None:
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_logger.warning(
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"/bars MAC 客户端未连接，回退标准 TdxClient（不支持复权，adjust=%s 被忽略）",
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adjust,
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)
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elif df is not None and df.empty:
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# MAC 抛异常的情况已在 except 分支记录
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_logger.info("/bars MAC 返回空，转标准 TdxClient (%s%s)", market, code)
|
||
try:
|
||
df = await client.get_security_bars(
|
||
market_from_str(market), code, cat, start, count, bar_time=bar_time
|
||
)
|
||
except Exception as exc: # noqa: BLE001 — 降级到 baostock，不中断
|
||
last_exc = exc
|
||
df = None
|
||
_logger.warning("/bars 标准 TdxClient 获取失败 (%s%s): %s", market, code, exc)
|
||
|
||
if df is None or df.empty:
|
||
# 周期先归一成枚举名（"4"→DAY）：baostock 频率查表只认名称，
|
||
# 数字串直接透传会让兜底静默失效
|
||
bdf, bsource = await _baostock_last_resort(market, code, cat.name, start, count, adjust)
|
||
if bdf is not None:
|
||
df, source = bdf, bsource
|
||
|
||
if df is None:
|
||
# TDX 两级都抛了异常且兜底不可用：维持原错误语义（503/500）
|
||
if last_exc is not None:
|
||
raise last_exc
|
||
df = pd.DataFrame()
|
||
return _bars_resp(_attach_derived(df), source)
|
||
|
||
|
||
@router.get("/bars/index", response_model=BarsResponse)
|
||
async def index_bars(
|
||
market: str = Query(..., description="市场: SZ, SH"),
|
||
code: str = Query(..., min_length=6, max_length=6),
|
||
category: str = Query("DAY", description="K线周期"),
|
||
start: int = Query(0, ge=0),
|
||
count: int = Query(800, ge=1, le=800),
|
||
bar_time: str = Query(
|
||
"start", description="时间戳: start=bar开始时间(默认) / end=bar结束时间(对齐Tushare)"
|
||
),
|
||
client: Any = Depends(get_client),
|
||
) -> BarsResponse:
|
||
"""获取指数K线数据。
|
||
|
||
指数K线并非所有 TDX 服务器都提供：失败/为空时自动兜底 baostock
|
||
（仅日线及以上，见 /bars 说明），命中时响应带 ``source: "baostock"``。
|
||
|
||
vol 单位：日线/周线/月线/季线/年线 = 成交量(手)（周及以上周期服务端
|
||
原样返回真实成交量/100，已 ×100 还原）；**分钟线协议不提供成交量**
|
||
（报文中该字段实为成交额/100），vol 为 ``null``，请勿当作成交量使用。
|
||
|
||
每根 bar 同样附带 ``pre_close/change/change_pct/amplitude_pct`` 衍生字段。
|
||
"""
|
||
df: pd.DataFrame | None = None
|
||
source: str | None = None
|
||
last_exc: Exception | None = None
|
||
try:
|
||
df = await client.get_index_bars(
|
||
market_from_str(market),
|
||
code,
|
||
category_from_str(category),
|
||
start,
|
||
count,
|
||
bar_time=bar_time,
|
||
)
|
||
except Exception as exc: # noqa: BLE001 — 降级到 baostock，不中断
|
||
last_exc = exc
|
||
_logger.warning("/bars/index TdxClient 获取失败 (%s%s): %s", market, code, exc)
|
||
|
||
if df is None or df.empty:
|
||
bdf, bsource = await _baostock_last_resort(
|
||
market, code, category_from_str(category).name, start, count, "QFQ", is_index=True
|
||
)
|
||
if bdf is not None:
|
||
df, source = bdf, bsource
|
||
|
||
if df is None:
|
||
if last_exc is not None:
|
||
raise last_exc
|
||
df = pd.DataFrame()
|
||
return _bars_resp(_attach_derived(df), source)
|
||
|
||
|
||
@router.get("/minute", response_model=DataFrameResponse)
|
||
async def minute_time(
|
||
market: str = Query(..., description="市场: SZ, SH"),
|
||
code: str = Query(..., min_length=6, max_length=6),
|
||
client: Any = Depends(get_client),
|
||
) -> DataFrameResponse:
|
||
"""获取最近交易日分时数据（盘中=今日实时分时；盘前/周末/节假日=最近交易日历史分时）。"""
|
||
df = await client.get_minute_time_data(market_from_str(market), code)
|
||
return _df_resp(df)
|
||
|
||
|
||
@router.get("/minute/history", response_model=DataFrameResponse)
|
||
async def history_minute_time(
|
||
market: str = Query(..., description="市场: SZ, SH"),
|
||
code: str = Query(..., min_length=6, max_length=6),
|
||
date: int = Query(..., description="日期 YYYYMMDD"),
|
||
client: Any = Depends(get_client),
|
||
) -> DataFrameResponse:
|
||
"""获取历史某日分时数据。"""
|
||
df = await client.get_history_minute_time_data(market_from_str(market), code, date)
|
||
return _df_resp(df)
|
||
|
||
|
||
@router.get("/transaction", response_model=DataFrameResponse)
|
||
async def transaction_data(
|
||
market: str = Query(..., description="市场: SZ, SH"),
|
||
code: str = Query(..., min_length=6, max_length=6),
|
||
start: int = Query(0, ge=0),
|
||
count: int = Query(800, ge=1, le=800),
|
||
client: Any = Depends(get_client),
|
||
) -> DataFrameResponse:
|
||
"""获取当日逐笔成交。"""
|
||
df = await client.get_transaction_data(market_from_str(market), code, start, count)
|
||
return _df_resp(df)
|
||
|
||
|
||
@router.get("/transaction/history", response_model=DataFrameResponse)
|
||
async def history_transaction_data(
|
||
market: str = Query(..., description="市场: SZ, SH"),
|
||
code: str = Query(..., min_length=6, max_length=6),
|
||
date: int = Query(..., description="日期 YYYYMMDD"),
|
||
start: int = Query(0, ge=0),
|
||
count: int = Query(800, ge=1, le=800),
|
||
client: Any = Depends(get_client),
|
||
) -> DataFrameResponse:
|
||
"""获取历史逐笔成交。"""
|
||
df = await client.get_history_transaction_data(
|
||
market_from_str(market), code, date, start, count
|
||
)
|
||
return _df_resp(df)
|