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"""指数 / ETF 数据同步服务。
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标的列表优先用免费的 exchanges.get_instruments(type=index/etf) 拉取
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(None/Free 档均可用,无需 quote.pool 权限);付费档可额外用
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quotes.get_by_universes 作为补充来源。日K统一走 klines.batch。
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"""
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from __future__ import annotations
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import logging
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import gc
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from collections.abc import Callable
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from datetime import datetime, timedelta
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import polars as pl
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from app.indicators.pipeline import compute_enriched
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from app.services import kline_sync, preferences
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from app.tickflow.capabilities import Cap, CapabilitySet
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from app.tickflow.client import get_client
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from app.tickflow.repository import KlineRepository
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logger = logging.getLogger(__name__)
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# exchanges.get_instruments 查询的交易所(沪深京)
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_EXCHANGES = ["SH", "SZ", "BJ"]
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def _quotes_to_index_instruments(resp) -> pl.DataFrame:
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"""将 TickFlow quotes 响应(get_by_universes)规范为指数 instruments。
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付费档(Starter+)的补充来源,免费档用不到。
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"""
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if resp is None:
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return pl.DataFrame()
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if isinstance(resp, pl.DataFrame):
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df = resp
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elif hasattr(resp, "columns"):
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df = pl.from_pandas(resp.reset_index() if hasattr(resp, "reset_index") else resp)
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else:
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rows: list[dict] = []
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for q in resp or []:
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item = q if isinstance(q, dict) else {}
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ext = item.get("ext") or {}
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symbol = item.get("symbol")
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if not symbol:
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continue
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rows.append({
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"symbol": str(symbol),
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"name": ext.get("name") or item.get("name") or str(symbol),
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})
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df = pl.DataFrame(rows)
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if df.is_empty() or "symbol" not in df.columns:
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return pl.DataFrame()
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rename = {"ts_code": "symbol"}
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df = df.rename({k: v for k, v in rename.items() if k in df.columns})
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if "name" not in df.columns:
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if "ext" in df.columns:
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df = df.with_columns(pl.col("symbol").cast(pl.Utf8).alias("name"))
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else:
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df = df.with_columns(pl.col("symbol").cast(pl.Utf8).alias("name"))
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result = df.select([
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pl.col("symbol").cast(pl.Utf8),
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pl.col("name").cast(pl.Utf8),
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]).with_columns([
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pl.col("symbol").str.split(".").list.first().alias("code"),
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pl.lit("index").alias("asset_type"),
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])
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return result.unique(subset=["symbol"], keep="last").sort("symbol")
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def _fetch_instruments_by_type(instrument_type: str, asset_type_label: str) -> pl.DataFrame:
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"""用免费的 exchanges.get_instruments 拉取指定类型的标的列表。
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None/Free 档均可使用(标的信息查询免费开放)。
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instrument_type: 'index' / 'etf'
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asset_type_label: 写入 instruments 表的 asset_type 标记('index' / 'etf')
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"""
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tf = get_client()
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rows: list[dict] = []
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for ex in _EXCHANGES:
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try:
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items = tf.exchanges.get_instruments(ex, instrument_type=instrument_type)
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for it in items or []:
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item = it if isinstance(it, dict) else {}
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symbol = item.get("symbol")
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if not symbol:
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continue
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rows.append({
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"symbol": str(symbol),
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"name": item.get("name") or str(symbol),
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})
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except Exception as e: # noqa: BLE001
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logger.warning("get_instruments(%s, type=%s) failed: %s", ex, instrument_type, e)
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if not rows:
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return pl.DataFrame()
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return (
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pl.DataFrame(rows)
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.with_columns([
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pl.col("symbol").str.split(".").list.first().alias("code"),
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pl.lit(asset_type_label).alias("asset_type"),
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])
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.unique(subset=["symbol"], keep="last")
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.sort("symbol")
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)
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def sync_index_instruments(
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repo: KlineRepository,
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pull_index: bool = True,
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pull_etf: bool = True,
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) -> int:
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"""同步指数 / ETF 标的维表,返回标的总数。
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新版物理分开保存: 指数写 instruments_index, ETF 写 instruments_etf。
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读取层仍兼容旧版 instruments_index 中 asset_type='etf' 的历史数据。
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"""
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index_parts: list[pl.DataFrame] = []
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etf_parts: list[pl.DataFrame] = []
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# 1) 免费通道:按开关分别拉 index / etf
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if pull_index:
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index_df = _fetch_instruments_by_type("index", "index")
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if not index_df.is_empty():
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index_parts.append(index_df)
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if pull_etf:
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etf_df = _fetch_instruments_by_type("etf", "etf")
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if not etf_df.is_empty():
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etf_parts.append(etf_df)
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# 2) 付费补充:Starter+ 用 get_by_universes 补指数(仅当开启指数拉取)
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if pull_index:
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capset = None
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try:
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from app.tickflow import policy
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capset = policy.detect_capabilities(force=False)
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except Exception: # noqa: BLE001
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pass
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if capset is not None and capset.has(Cap.QUOTE_POOL):
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tf = get_client()
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for kwargs in (
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{"universes": ["CN_Index"]},
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{"universes": ["CN_Index"], "as_dataframe": False},
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):
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try:
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resp = tf.quotes.get_by_universes(**kwargs)
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if resp is not None and len(resp) > 0:
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sup = _quotes_to_index_instruments(resp)
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if not sup.is_empty():
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index_parts.append(sup)
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break
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except Exception as e: # noqa: BLE001
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logger.debug("CN_Index universe supplement failed: %s", e)
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total = 0
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if index_parts:
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index_inst = pl.concat(index_parts, how="diagonal_relaxed").unique(subset=["symbol"], keep="last").sort("symbol")
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if not index_inst.is_empty():
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repo.save_index_instruments(index_inst)
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total += index_inst.height
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if etf_parts:
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etf_inst = pl.concat(etf_parts, how="diagonal_relaxed").unique(subset=["symbol"], keep="last").sort("symbol")
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if not etf_inst.is_empty():
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repo.save_etf_instruments(etf_inst)
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total += etf_inst.height
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if total == 0:
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logger.warning("指数/ETF 标的列表为空(pull_index=%s, pull_etf=%s)", pull_index, pull_etf)
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return 0
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repo.refresh_index_views()
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logger.info("指数/ETF 标的同步完成: %d 只", total)
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return total
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def sync_etf_instruments(repo: KlineRepository) -> int:
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"""单独同步 ETF 标的维表(返回 ETF 数量)。"""
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etf_df = _fetch_instruments_by_type("etf", "etf")
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if etf_df.is_empty():
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return 0
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repo.save_etf_instruments(etf_df)
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repo.refresh_index_views()
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return etf_df.height
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def sync_and_persist_index_daily(
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repo: KlineRepository,
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capset: CapabilitySet,
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count: int | None = None,
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start_date: datetime | None = None,
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end_date: datetime | None = None,
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symbols_override: list[str] | None = None,
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on_chunk_done: Callable[[int, int], None] | None = None,
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) -> int:
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"""同步指数/ETF 日K到独立 parquet,并计算 enriched。
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symbols_override 非空时,只拉这些代码(跳过 instruments 表),用于自定义范围。
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否则取 index_instruments 表全量(指数+ETF 合并存储)。
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on_chunk_done(current, total) 每个批次完成后回调。
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"""
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if not capset.has(Cap.KLINE_DAILY_BATCH):
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return 0
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if symbols_override:
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symbols = sorted(set(s for s in symbols_override if s))
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if not symbols:
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return 0
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else:
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instruments = repo.get_index_instruments()
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if instruments.is_empty():
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sync_index_instruments(repo, pull_index=True, pull_etf=False)
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instruments = repo.get_index_instruments()
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if not instruments.is_empty() and "asset_type" in instruments.columns:
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instruments = instruments.filter(pl.col("asset_type") != "etf")
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if instruments.is_empty() or "symbol" not in instruments.columns:
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return 0
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symbols = sorted(set(instruments["symbol"].to_list()))
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lim = capset.limits(Cap.KLINE_DAILY_BATCH)
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batch_size = preferences.get_index_daily_batch_size()
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if lim and lim.batch:
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batch_size = min(batch_size, lim.batch)
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rpm = lim.rpm if lim else None
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end_time = end_date or datetime.now()
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start_time = start_date or (end_time - timedelta(days=365))
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total_rows = 0
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interval = (60.0 / rpm) if rpm else 0
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chunks = [symbols[i:i + batch_size] for i in range(0, len(symbols), batch_size)]
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for i, chunk in enumerate(chunks):
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if i > 0 and interval > 0 and len(chunks) > rpm:
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import time
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time.sleep(interval)
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raw = kline_sync.sync_daily_batch(
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chunk,
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count=count,
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batch_size=None,
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start_time=start_time,
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end_time=end_time,
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)
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if raw.is_empty():
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continue
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repo.append_index_daily(raw)
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enriched = compute_enriched(raw, factors=None, instruments=None)
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repo.append_index_enriched(enriched)
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total_rows += raw.height
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logger.info("index/etf daily synced: %d/%d chunks, +%d rows", i + 1, len(chunks), raw.height)
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if on_chunk_done:
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on_chunk_done(i + 1, len(chunks))
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del raw, enriched
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gc.collect()
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repo.refresh_index_views()
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return total_rows
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def _load_etf_factors(repo: KlineRepository) -> pl.DataFrame:
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factor_path = repo.store.data_dir / "adj_factor_etf" / "all.parquet"
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if not factor_path.exists():
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return pl.DataFrame()
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try:
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return pl.read_parquet(factor_path)
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except Exception as e: # noqa: BLE001
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logger.warning("ETF 复权因子读取失败: %s", e)
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return pl.DataFrame()
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def sync_etf_adj_factor(
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symbols: list[str],
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repo: KlineRepository,
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capset: CapabilitySet,
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start_time: datetime | None = None,
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end_time: datetime | None = None,
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on_chunk_done=None,
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) -> tuple[int, list[str]]:
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"""同步 ETF 复权因子；失败由调用方降级为 warning。"""
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return kline_sync.sync_adj_factor(
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symbols,
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repo,
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capset,
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start_time=start_time,
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end_time=end_time,
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on_chunk_done=on_chunk_done,
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asset_type="etf",
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)
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def sync_and_persist_etf_daily(
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repo: KlineRepository,
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capset: CapabilitySet,
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count: int | None = None,
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start_date: datetime | None = None,
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end_date: datetime | None = None,
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symbols_override: list[str] | None = None,
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on_chunk_done: Callable[[int, int], None] | None = None,
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) -> int:
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"""同步 ETF 日K到独立 kline_etf_* parquet,并计算 ETF enriched。
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on_chunk_done(current, total) 每个批次完成后回调。
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"""
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if not capset.has(Cap.KLINE_DAILY_BATCH):
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return 0
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if symbols_override:
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symbols = sorted(set(s for s in symbols_override if s))
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else:
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instruments = repo.get_etf_instruments()
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if instruments.is_empty():
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sync_etf_instruments(repo)
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instruments = repo.get_etf_instruments()
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if instruments.is_empty() or "symbol" not in instruments.columns:
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return 0
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symbols = sorted(set(instruments["symbol"].to_list()))
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if not symbols:
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return 0
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lim = capset.limits(Cap.KLINE_DAILY_BATCH)
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batch_size = preferences.get_index_daily_batch_size()
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if lim and lim.batch:
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batch_size = min(batch_size, lim.batch)
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rpm = lim.rpm if lim else None
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end_time = end_date or datetime.now()
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start_time = start_date or (end_time - timedelta(days=365))
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total_rows = 0
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interval = (60.0 / rpm) if rpm else 0
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chunks = [symbols[i:i + batch_size] for i in range(0, len(symbols), batch_size)]
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factors = _load_etf_factors(repo)
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for i, chunk in enumerate(chunks):
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if i > 0 and interval > 0 and len(chunks) > rpm:
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import time
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time.sleep(interval)
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raw = kline_sync.sync_daily_batch(
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chunk,
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count=count,
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batch_size=None,
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start_time=start_time,
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end_time=end_time,
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)
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if raw.is_empty():
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continue
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repo.append_etf_daily(raw)
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batch_factors = factors.filter(pl.col("symbol").is_in(chunk)) if not factors.is_empty() else factors
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# ETF 使用复权和通用技术指标；不传 instruments，避免套用 A股涨跌停/连板逻辑。
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enriched = compute_enriched(raw, factors=batch_factors, instruments=None)
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repo.append_etf_enriched(enriched)
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total_rows += raw.height
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logger.info("etf daily synced: %d/%d chunks, +%d rows", i + 1, len(chunks), raw.height)
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if on_chunk_done:
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on_chunk_done(i + 1, len(chunks))
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del raw, enriched
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gc.collect()
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repo.refresh_index_views()
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return total_rows
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Reference in New Issue
Block a user