"""Generic HTTP provider for custom market data sources.""" from __future__ import annotations import logging import os from collections.abc import Callable from datetime import datetime, timedelta from pathlib import Path from typing import Any import httpx import polars as pl from app.config import settings from app.data_providers.base import AssetType from app.data_providers.custom.config import CustomSourceConfig, DatasetConfig from app.data_providers.custom.mapper import ( apply_transforms, datetime_payload, extract_rows, map_rows, ) from app.data_providers.normalizer import normalize_adj_factors, normalize_daily from app.tickflow.rate_limits import chunked, sleep_between_batches logger = logging.getLogger(__name__) _REQUIRED = { "daily": {"symbol", "date", "open", "high", "low", "close", "volume", "amount"}, "adj_factor": {"symbol", "trade_date", "ex_factor"}, "realtime": {"symbol", "last_price", "prev_close", "open", "high", "low", "volume"}, "minute": {"symbol", "datetime", "open", "high", "low", "close", "volume", "amount"}, # full_minute (全量分钟) 与 minute 同形: 当日窗口批量拉取, 字段映射一致 "full_minute": {"symbol", "datetime", "open", "high", "low", "close", "volume", "amount"}, # financial 字段由数据源决定, 只要求能映射出 symbol "financial": {"symbol"}, } # 小数制下 change_pct 的物理上限: A股最大涨跌停 30% (+容差)。 # 中位数口径下小数制批次不可能超过该值, 百分制批次(典型中位数 0.5~3)必然超过。 # 仅对 change_pct 有效——amplitude/turnover_rate 的两种单位在数值区间上重叠 # (百分制 0.05 = 0.05% 与小数制 0.05 = 5%), 无物理依据可判。 _PCT_FRACTION_MAX = 0.31 _PCT_COLUMNS = ("change_pct", "amplitude", "turnover_rate") def _normalize_pct_units( df: pl.DataFrame, pct_unit: str | None = None, transformed_cols: frozenset[str] = frozenset(), ) -> pl.DataFrame: """比例字段单位归一为契约小数制 (change_pct/amplitude/turnover_rate, 0.0366 = 3.66%, CONTRIBUTING §3.1)。单位只认显式声明, 不靠数值猜: - pct_unit="percent" → 三列无条件 /100 (声明即契约, 即使数值看着像小数制); - pct_unit="decimal" → 原样透传 (即使数值看着像百分制也不动); - 未声明 → change_pct 保留截面中位数判定(涨跌停 30% 上限使其物理可判: 样本 >= 5 用 |值| 中位数, 小样本退用最大值, 整批同除 100); amplitude/turnover_rate 置 None 交下游重算(enriched 管道按 high/low/prev_close 与股本口径重算), 除非该列已被 transforms 显式 处理过(视为用户已接管单位, 原样透传)。 """ dropped_undeclared = False for col in _PCT_COLUMNS: if col not in df.columns: continue df = df.with_columns(pl.col(col).cast(pl.Float64, strict=False).alias(col)) if pct_unit == "percent": df = df.with_columns((pl.col(col) / 100).alias(col)) elif pct_unit == "decimal" or col in transformed_cols: continue elif col == "change_pct": vals = df[col].drop_nulls().abs() if vals.is_empty(): continue stat = vals.median() if vals.len() >= 5 else vals.max() if stat > _PCT_FRACTION_MAX: df = df.with_columns((pl.col(col) / 100).alias(col)) else: df = df.with_columns(pl.lit(None, dtype=pl.Float64).alias(col)) dropped_undeclared = True if dropped_undeclared: logger.warning( "自定义源 realtime 未声明 pct_unit: amplitude/turnover_rate 的单位" "无法从数值判定, 已置 None 交由下游按股本/价格口径重算;" "请在 realtime 数据集配置中显式声明 pct_unit: percent 或 decimal" ) return df class GenericHTTPProvider: """HTTP-backed custom source. It only handles fetching and schema mapping.""" def __init__(self, config: CustomSourceConfig) -> None: self.config = config self.name = config.name self._client = httpx.Client(timeout=30.0) def close(self) -> None: self._client.close() def validate(self) -> list[str]: errors: list[str] = [] for dataset, cfg in self.config.datasets.items(): if not cfg.url: errors.append(f"{dataset}: url is required") required = _REQUIRED.get(dataset) if required: mapped = set(cfg.field_map.values()) missing = sorted(required - mapped) if missing: errors.append(f"{dataset}: missing mapped fields: {', '.join(missing)}") if cfg.pct_unit is not None: if dataset != "realtime": errors.append(f"{dataset}: pct_unit 仅用于 realtime 数据集") elif cfg.pct_unit not in ("percent", "decimal"): errors.append(f"{dataset}: pct_unit 必须是 percent 或 decimal") if dataset != "realtime": request_params = [cfg.symbols_param, cfg.start_param, cfg.end_param] if dataset in {"minute", "full_minute"}: request_params.extend( name for name in (cfg.asset_type_param, cfg.freq_param) if name ) duplicates = sorted({ name for name in request_params if request_params.count(name) > 1 }) if duplicates: errors.append( f"{dataset}: duplicate request parameter names: " f"{', '.join(duplicates)}" ) return errors def get_daily( self, symbols: list[str], start_time: datetime | None, end_time: datetime | None, asset_type: str = "stock", # noqa: ARG002 on_chunk_done=None, ) -> pl.DataFrame: cfg = self._dataset("daily") frames: list[pl.DataFrame] = [] chunks = chunked(symbols, cfg.batch) for i, chunk in enumerate(chunks): sleep_between_batches(i, cfg.rpm) rows = self._request_rows(cfg, symbols=chunk, start_time=start_time, end_time=end_time) df = self._mapped_frame(cfg, rows) df = normalize_daily(df, source=self.name) if not df.is_empty(): frames.append(df) if on_chunk_done: on_chunk_done(i + 1, len(chunks)) return pl.concat(frames, how="diagonal_relaxed") if frames else pl.DataFrame() def get_adj_factors( self, symbols: list[str], start_time: datetime | None, end_time: datetime | None, asset_type: str = "stock", # noqa: ARG002 on_chunk_done=None, ) -> pl.DataFrame: cfg = self._dataset("adj_factor") frames: list[pl.DataFrame] = [] chunks = chunked(symbols, cfg.batch) for i, chunk in enumerate(chunks): sleep_between_batches(i, cfg.rpm) rows = self._request_rows(cfg, symbols=chunk, start_time=start_time, end_time=end_time) df = self._mapped_frame(cfg, rows) df = normalize_adj_factors(df, source=self.name) if not df.is_empty(): frames.append(df) if on_chunk_done: on_chunk_done(i + 1, len(chunks)) return pl.concat(frames, how="diagonal_relaxed") if frames else pl.DataFrame() def get_realtime(self) -> list[dict]: cfg = self._dataset("realtime") rows = self._request_rows(cfg) df = self._mapped_frame(cfg, rows) # 单位归一: 显式 pct_unit 声明优先; 未声明时 amplitude/turnover_rate # fail-closed 置 None(交下游重算), change_pct 保留截面判定 df = _normalize_pct_units( df, pct_unit=cfg.pct_unit, transformed_cols=frozenset(cfg.transforms) & set(_PCT_COLUMNS), ) if df.is_empty(): return [] return df.to_dicts() def get_minute( self, symbols: list[str], start_time: datetime | None, end_time: datetime | None, asset_type: AssetType = "stock", freq: str = "1m", on_chunk_done: Callable[[int, int], None] | None = None, ) -> pl.DataFrame: """拉取分钟 K。 asset_type / freq 默认不传上游 (minute dataset URL 应返回 1m 数据)。 在 dataset 配置中设置 asset_type_param / freq_param 后, 这两个参数会以 配置的参数名注入请求 (GET → params, POST → body), 用于上游需区分 stock/ETF/index 或固定频率的场景。 """ return self._fetch_minute_dataset( "minute", symbols, start_time, end_time, asset_type, freq, on_chunk_done, ) def get_intraday_batch( self, symbols: list[str], count: int = 300, # noqa: ARG002 — 与插件契约对齐, YAML 源按时间窗口取全天 asset_type: AssetType = "stock", ) -> pl.DataFrame: """全量分钟修复轮: 按当日窗口批量拉取 full_minute 数据集 (chunked + rpm 限速)。 与 get_minute 同形 (字段映射/归一一致), 区别仅在数据集名与窗口由调用方 传当日值。稳态增量 (get_intraday_latest) YAML 声明式源不提供 — 服务自动 降级为仅修复轮模式并放慢节奏。 """ start = datetime.now().replace(hour=0, minute=0, second=0, microsecond=0) return self._fetch_minute_dataset( "full_minute", symbols, start, datetime.now(), asset_type, "1m", None, ) def _fetch_minute_dataset( self, ds_name: str, symbols: list[str], start_time: datetime | None, end_time: datetime | None, asset_type: AssetType = "stock", freq: str = "1m", on_chunk_done: Callable[[int, int], None] | None = None, ) -> pl.DataFrame: cfg = self._dataset(ds_name) override: dict[str, Any] = {} if cfg.asset_type_param: override[cfg.asset_type_param] = asset_type if cfg.freq_param: override[cfg.freq_param] = freq frames: list[pl.DataFrame] = [] chunks = chunked(symbols, cfg.batch) for i, chunk in enumerate(chunks): sleep_between_batches(i, cfg.rpm) rows = self._request_rows( cfg, symbols=chunk, start_time=start_time, end_time=end_time, override_params=override or None, override_body=override or None, ) df = self._mapped_frame(cfg, rows) df = self._normalize_minute(df) if not df.is_empty(): frames.append(df) if on_chunk_done: on_chunk_done(i + 1, len(chunks)) return pl.concat(frames, how="diagonal_relaxed") if frames else pl.DataFrame() def get_financials( self, table: str, symbols: list[str], latest_only: bool = True, ) -> pl.DataFrame: """拉取财务数据。table 包含四张财务报表及 shares 股本表。 custom 源用一个 'financial' dataset 配置覆盖全部财务表; 请求时把 table 作为参数传给上游, 上游根据 table 返回对应数据。字段由数据源决定, 这里只确保有 symbol 列。 """ cfg = self._dataset("financial") frames: list[pl.DataFrame] = [] chunks = chunked(symbols, cfg.batch) for i, chunk in enumerate(chunks): sleep_between_batches(i, cfg.rpm) # 把 table 注入到请求参数 (上游据此区分财务表) extra_params = {**cfg.params, "table": table} extra_body = {**cfg.body, "table": table} if table == "shares": extra_params["latest"] = latest_only extra_body["latest"] = latest_only rows = self._request_rows( cfg, symbols=chunk, override_params=extra_params, override_body=extra_body, ) df = self._mapped_frame(cfg, rows) if not df.is_empty(): frames.append(df) if not frames: return pl.DataFrame() return pl.concat(frames, how="diagonal_relaxed") @staticmethod def _normalize_minute(df: pl.DataFrame) -> pl.DataFrame: """把映射后的 df 规范成 minute canonical 列。""" if df.is_empty(): return df if "datetime" in df.columns and df.schema["datetime"] != pl.Datetime("us"): df = df.with_columns(pl.col("datetime").cast(pl.Datetime("us"), strict=False)) for col in ("open", "high", "low", "close", "volume", "amount"): if col in df.columns: df = df.with_columns(pl.col(col).cast(pl.Float64, strict=False)) keep = [c for c in ("symbol", "datetime", "open", "high", "low", "close", "volume", "amount") if c in df.columns] return df.select(keep) if keep else pl.DataFrame() def test_dataset(self, dataset: str, symbols: list[str] | None = None) -> dict: cfg = self._dataset(dataset) test_symbols = symbols or ["000001.SZ"] end_time = datetime.now() start_time = end_time - timedelta(days=7) if dataset == "realtime": rows = self._request_rows(cfg) elif dataset in {"minute", "full_minute"}: override: dict[str, Any] = {} if cfg.asset_type_param: override[cfg.asset_type_param] = "stock" if cfg.freq_param: override[cfg.freq_param] = "1m" rows = self._request_rows( cfg, symbols=test_symbols, start_time=start_time, end_time=end_time, override_params=override or None, override_body=override or None, ) elif dataset in {"daily", "adj_factor"}: rows = self._request_rows( cfg, symbols=test_symbols, start_time=start_time, end_time=end_time, ) else: rows = self._request_rows(cfg, symbols=test_symbols) df = self._mapped_frame(cfg, rows) return { "provider": self.name, "dataset": dataset, "rows": len(rows), "columns": df.columns, "preview": df.head(5).to_dicts() if not df.is_empty() else [], } def _dataset(self, name: str) -> DatasetConfig: cfg = self.config.datasets.get(name) if not cfg: raise ValueError(f"Custom data source '{self.name}' does not configure dataset '{name}'") return cfg def _mapped_frame(self, cfg: DatasetConfig, rows: list[dict]) -> pl.DataFrame: df = map_rows(rows, cfg.field_map) return apply_transforms(df, cfg.transforms) def _request_rows( self, cfg: DatasetConfig, *, symbols: list[str] | None = None, start_time: datetime | None = None, end_time: datetime | None = None, override_params: dict[str, Any] | None = None, override_body: dict[str, Any] | None = None, ) -> list[dict]: headers, auth_params = self._auth_parts() params = dict(cfg.params) params.update(auth_params) if override_params: params.update(override_params) body = dict(cfg.body) if override_body: body.update(override_body) if symbols: body[cfg.symbols_param] = symbols params.setdefault(cfg.symbols_param, ",".join(symbols)) start_value = datetime_payload(start_time) end_value = datetime_payload(end_time) if start_value: body[cfg.start_param] = start_value params.setdefault(cfg.start_param, start_value) if end_value: body[cfg.end_param] = end_value params.setdefault(cfg.end_param, end_value) method = cfg.method.upper() request_kwargs: dict[str, Any] = {"headers": headers, "timeout": cfg.timeout} if method == "GET": request_kwargs["params"] = params else: request_kwargs["params"] = auth_params request_kwargs["json"] = body resp = self._client.request(method, cfg.url, **request_kwargs) resp.raise_for_status() return extract_rows(resp.json(), cfg.response_path) def _auth_parts(self) -> tuple[dict[str, str], dict[str, str]]: auth = self.config.auth if auth.type == "none": return {}, {} token = _token_from_env(auth.token_env) if auth.token_env else None if not token: logger.warning("custom data source %s auth token is not set", self.name) return {}, {} if auth.type == "bearer": return {auth.header: f"Bearer {token}"}, {} if auth.type == "header": return {auth.header: token}, {} if auth.type == "query": return {}, {auth.param: token} return {}, {} def _token_from_env(name: str | None) -> str | None: if not name: return None token = os.getenv(name) if token: return token candidates = [settings.data_dir.parent / ".env", Path.cwd() / ".env", Path.cwd().parent / ".env"] env_path = next((path for path in candidates if path.exists()), None) if env_path is None: return None try: for line in env_path.read_text(encoding="utf-8").splitlines(): text = line.strip() if not text or text.startswith("#") or "=" not in text: continue key, value = text.split("=", 1) if key.strip() == name: return value.strip().strip('"').strip("'") except Exception: # noqa: BLE001 return None return None