"""日 K 同步服务(§7.7 Step 1)。 调度器在 capability 允许下,把符号集合的日 K 批量同步到本地 Parquet。 策略: - 日 K 仅使用 `kline.daily.batch` - 除权因子仅使用 `adj_factor` """ from __future__ import annotations import logging import time from collections.abc import Callable from datetime import datetime, timedelta import polars as pl from app.indicators.pipeline import filter_halt_days from app.tickflow.capabilities import Cap, CapabilitySet from app.tickflow.client import get_client from app.tickflow.repository import KlineRepository logger = logging.getLogger(__name__) # 标准列(无论 SDK 返回什么形状,我们把它规范成这套) CANONICAL_DAILY_COLS = [ "symbol", "date", "open", "high", "low", "close", "volume", "amount", ] def _normalize_daily(df_in, default_symbol: str | None = None) -> pl.DataFrame: """把 SDK 返回的 pandas/任意 DataFrame 规范成 canonical 列。""" if df_in is None or len(df_in) == 0: return pl.DataFrame() if not isinstance(df_in, pl.DataFrame): df = pl.from_pandas(df_in.reset_index() if hasattr(df_in, "reset_index") else df_in) else: df = df_in # 兼容字段名差异 rename_map = { "ts_code": "symbol", "trade_date": "date", "vol": "volume", "amt": "amount", "datetime": "date", } df = df.rename({k: v for k, v in rename_map.items() if k in df.columns}) if "symbol" not in df.columns and default_symbol is not None: df = df.with_columns(pl.lit(default_symbol).alias("symbol")) # 类型规范 if "date" in df.columns and df.schema["date"] != pl.Date: df = df.with_columns(pl.col("date").cast(pl.Date, strict=False)) for col in ("open", "high", "low", "close"): if col in df.columns: df = df.with_columns(pl.col(col).cast(pl.Float64, strict=False)) for col in ("volume", "amount"): if col in df.columns: df = df.with_columns(pl.col(col).cast(pl.Float64, strict=False)) # 过滤停牌日 (open/high 为 0; close 可能被填充为前收盘价, 不能用全零判断) df = filter_halt_days(df) # 只保留 canonical 列 keep = [c for c in CANONICAL_DAILY_COLS if c in df.columns] return df.select(keep) def sync_daily_batch(symbols: list[str], count: int | None = None, batch_size: int | None = None, rpm: int | None = None, start_time: datetime | None = None, end_time: datetime | None = None, on_chunk_done: Callable[[int, int], None] | None = None) -> pl.DataFrame: """批量拉取多股日 K。 优先使用 start_time / end_time 区间 + count=10000,确保覆盖完整时间段。 仅传 count 时按条数回溯。 """ tf = get_client() out: list[pl.DataFrame] = [] interval = (60.0 / rpm) if rpm else 0 if batch_size is None: chunks = [symbols] else: chunks = [symbols[i:i + batch_size] for i in range(0, len(symbols), batch_size)] for i, chunk in enumerate(chunks): if i > 0 and interval > 0 and len(chunks) > rpm: time.sleep(interval) try: if start_time and end_time: raw = tf.klines.batch( chunk, period="1d", adjust="none", start_time=_datetime_to_ms(start_time), end_time=_datetime_to_ms(end_time), count=10000, as_dataframe=True, show_progress=False, ) else: raw = tf.klines.batch(chunk, period="1d", count=count or 250, adjust="none", as_dataframe=True, show_progress=False) except Exception as e: # noqa: BLE001 logger.warning("batch fetch failed for %d symbols: %s", len(chunk), e) continue # 兼容两种形态:dict[sym → df] 和扁平 df if isinstance(raw, dict): for sym, sub in raw.items(): if sub is None or len(sub) == 0: continue out.append(_normalize_daily(sub, default_symbol=sym)) elif raw is not None and len(raw) > 0: out.append(_normalize_daily(raw)) if on_chunk_done: on_chunk_done(i + 1, len(chunks)) if not out: return pl.DataFrame() return pl.concat(out, how="diagonal_relaxed") def sync_and_persist_daily_batch( symbols: list[str], repo: KlineRepository, capset: CapabilitySet, count: int | None = None, start_date: datetime | None = None, end_date: datetime | None = None, on_chunk_done: Callable[[int, int], None] | None = None, ) -> int: """批量同步日 K 并落到 Parquet。返回写入的行数。 start_date/end_date: 外部传入的时间范围(由 pipeline 根据已有数据计算)。 未传入时默认拉最近 1 年。 """ if not symbols or not capset.has(Cap.KLINE_DAILY_BATCH): return 0 lim = capset.limits(Cap.KLINE_DAILY_BATCH) batch_size = lim.batch if lim and lim.batch else 100 rpm = lim.rpm if lim else None end_time = end_date or datetime.now() start_time = start_date or (end_time - timedelta(days=365)) df = sync_daily_batch( symbols, count=count, batch_size=batch_size, rpm=rpm, start_time=start_time, end_time=end_time, on_chunk_done=on_chunk_done, ) if df.is_empty(): return 0 repo.append_daily(df) try: d = repo.store.data_dir.as_posix() repo.db.execute( f"""CREATE OR REPLACE VIEW kline_daily AS SELECT * FROM read_parquet('{d}/kline_daily/**/*.parquet', union_by_name=true)""" ) except Exception as e: # noqa: BLE001 logger.warning("refresh view failed: %s", e) return df.height def sync_daily_by_quotes(repo: KlineRepository) -> int: """用实时行情接口拉全市场当日数据,覆写 kline_daily 今天分区。 一个请求覆盖 ~5500 只股票,比 batch K-line 快几个数量级。 返回写入的行数。 """ from datetime import date as _date from app.tickflow.client import get_client tf = get_client() try: resp = tf.quotes.get_by_universes(universes=["CN_Equity_A"]) except Exception as e: logger.warning("get_by_universes failed: %s", e) return 0 if not resp: logger.warning("get_by_universes returned empty") return 0 records = [] for q in resp: ext = q.get("ext") or {} records.append({ "symbol": q.get("symbol"), "open": q.get("open"), "high": q.get("high"), "low": q.get("low"), "close": q.get("last_price"), "volume": q.get("volume"), "amount": q.get("amount"), }) df = pl.DataFrame(records) if df.is_empty(): return 0 today = _date.today() daily_df = df.with_columns(pl.lit(today).cast(pl.Date).alias("date")) # 过滤停牌 (open/high 为 0; close 可能被填充为前收盘价, 不能用全零判断) daily_df = filter_halt_days(daily_df) repo.flush_live_daily(daily_df) logger.info("sync_daily_by_quotes: %d symbols flushed for %s", daily_df.height, today) return daily_df.height def _normalize_adj_factor(raw) -> pl.DataFrame: """Normalize SDK ex_factors response to symbol/trade_date/ex_factor.""" if raw is None or len(raw) == 0: return pl.DataFrame() if isinstance(raw, dict): rows: list[dict] = [] for sym, values in raw.items(): for item in values or []: row = dict(item or {}) row.setdefault("symbol", sym) rows.append(row) df = pl.DataFrame(rows) if rows else pl.DataFrame() elif isinstance(raw, pl.DataFrame): df = raw else: df = pl.from_pandas(raw.reset_index() if hasattr(raw, "reset_index") else raw) if df.is_empty(): return df # rename: timestamp/date → trade_date, adj_factor → ex_factor # 注意: 新版 SDK 可能同时返回 timestamp 和 trade_date (或 adj_factor 和 ex_factor), # 直接 rename 会产生重复列报错。仅当目标列不存在时才 rename。 rename_map: dict[str, str] = {} for src, dst in (("timestamp", "trade_date"), ("date", "trade_date"), ("adj_factor", "ex_factor")): if src in df.columns and dst not in df.columns: rename_map[src] = dst df = df.rename(rename_map) if "trade_date" in df.columns: if df.schema["trade_date"] in {pl.Int64, pl.Int32, pl.UInt64, pl.UInt32, pl.Float64, pl.Float32}: df = df.with_columns( pl.from_epoch(pl.col("trade_date").cast(pl.Int64), time_unit="ms").dt.date().alias("trade_date") ) else: df = df.with_columns(pl.col("trade_date").cast(pl.Date, strict=False)) if "ex_factor" in df.columns: df = df.with_columns(pl.col("ex_factor").cast(pl.Float64, strict=False)) cols = [c for c in ["symbol", "trade_date", "ex_factor"] if c in df.columns] if len(cols) < 3: return pl.DataFrame() return df.select(cols).drop_nulls() def sync_adj_factor(symbols: list[str], repo: KlineRepository, capset: CapabilitySet, start_time: datetime | None = None, end_time: datetime | None = None, on_chunk_done: Callable[[int, int], None] | None = None, asset_type: str = "stock") -> tuple[int, list[str]]: """同步除权因子(Starter+)。SDK 接口:`tf.klines.ex_factors(symbols=...)`。 支持增量: 传 start_time/end_time 只拉取该时间范围内的新除权事件。 返回 (写入行数, 受影响的 symbol 列表) — 供 enriched 局部重算使用。 """ if not capset.has(Cap.ADJ_FACTOR) or not symbols: return 0, [] tf = get_client() lim = capset.limits(Cap.ADJ_FACTOR) batch_size = lim.batch if lim and lim.batch else 50 rpm = lim.rpm if lim else 30 interval = 60.0 / rpm if rpm else 0 # 构建 SDK 参数 sdk_kwargs: dict = {"as_dataframe": True, "batch_size": batch_size, "show_progress": False} if start_time: sdk_kwargs["start_time"] = _datetime_to_ms(start_time) if end_time: sdk_kwargs["end_time"] = _datetime_to_ms(end_time) chunks = [symbols[i:i + batch_size] for i in range(0, len(symbols), batch_size)] all_dfs: list[pl.DataFrame] = [] for i, chunk in enumerate(chunks): if i > 0 and interval > 0 and len(chunks) > rpm: time.sleep(interval) try: raw = tf.klines.ex_factors(chunk, **sdk_kwargs) normalized = _normalize_adj_factor(raw) if not normalized.is_empty(): all_dfs.append(normalized) logger.debug("adj_factor chunk %d/%d: %d symbols", i + 1, len(chunks), len(chunk)) except Exception as e: # noqa: BLE001 logger.warning("adj_factor chunk %d failed: %s", i + 1, e) if on_chunk_done: on_chunk_done(i + 1, len(chunks)) if not all_dfs: return 0, [] new_data = pl.concat(all_dfs, how="diagonal_relaxed") if len(all_dfs) > 1 else all_dfs[0] # 提取受影响的 symbol 列表(合并前) affected = new_data["symbol"].unique().to_list() factor_dir = "adj_factor_etf" if asset_type == "etf" else "adj_factor" out = repo.store.data_dir / factor_dir / "all.parquet" out.parent.mkdir(parents=True, exist_ok=True) if out.exists(): existing = pl.read_parquet(out) before = existing.height merged = pl.concat([existing, new_data]).unique( subset=["symbol", "trade_date"], keep="last", ).sort(["symbol", "trade_date"]) merged.write_parquet(out) added = merged.height - before logger.info("adj_factor merged: %d total (+%d new), %d/%d symbols", merged.height, added, new_data.height, len(symbols)) return added, affected else: new_data.sort(["symbol", "trade_date"]).write_parquet(out) logger.info("adj_factor synced: %d rows (%d symbols)", new_data.height, len(symbols)) return new_data.height, affected # ===== 分钟 K 同步 ===== CANONICAL_MINUTE_COLS = [ "symbol", "datetime", "open", "high", "low", "close", "volume", "amount", ] def _normalize_minute(df_in, default_symbol: str | None = None) -> pl.DataFrame: """把 SDK 返回的分钟 K 数据规范成 canonical 列。""" if df_in is None or len(df_in) == 0: return pl.DataFrame() if not isinstance(df_in, pl.DataFrame): df = pl.from_pandas(df_in.reset_index() if hasattr(df_in, "reset_index") else df_in) else: df = df_in rename_map = { "ts_code": "symbol", "vol": "volume", "amt": "amount", } df = df.rename({k: v for k, v in rename_map.items() if k in df.columns}) # datetime 列:优先用 timestamp(毫秒精度),其次 trade_time if "timestamp" in df.columns: df = df.with_columns( pl.from_epoch("timestamp", time_unit="ms").alias("datetime"), ).drop("timestamp") for drop_col in ("trade_time", "trade_date"): if drop_col in df.columns: df = df.drop(drop_col) elif "trade_time" in df.columns: df = df.rename({"trade_time": "datetime"}) if "trade_date" in df.columns: df = df.drop("trade_date") elif "trade_date" in df.columns: df = df.rename({"trade_date": "datetime"}) if "symbol" not in df.columns and default_symbol is not None: df = df.with_columns(pl.lit(default_symbol).alias("symbol")) # 类型规范:统一转 Datetime('us') if "datetime" in df.columns: dt_type = df.schema["datetime"] if not isinstance(dt_type, pl.Datetime) or dt_type.time_unit != "us": df = df.with_columns(pl.col("datetime").cast(pl.Datetime("us"), strict=False)) for col in ("open", "high", "low", "close"): if col in df.columns: df = df.with_columns(pl.col(col).cast(pl.Float64, strict=False)) for col in ("volume", "amount"): if col in df.columns: df = df.with_columns(pl.col(col).cast(pl.Float64, strict=False)) keep = [c for c in CANONICAL_MINUTE_COLS if c in df.columns] return df.select(keep) def _datetime_to_ms(dt: datetime) -> int: """datetime → 毫秒时间戳 (供 SDK start_time / end_time 使用)。""" return int(dt.timestamp() * 1000) def sync_minute_batch( symbols: list[str], start_time: datetime | None = None, end_time: datetime | None = None, count: int | None = None, batch_size: int | None = None, rpm: int | None = None, on_chunk_done: Callable[[int, int], None] | None = None, ) -> pl.DataFrame: """批量拉取多股分钟 K。 优先使用 start_time / end_time 区间, 确保所有标的覆盖同一时间段。 count 仅作为 fallback 保留。 on_chunk_done(current, total) 每个 chunk 完成后回调。 """ tf = get_client() out: list[pl.DataFrame] = [] interval = (60.0 / rpm) if rpm else 0 if batch_size is None: chunks = [symbols] else: chunks = [symbols[i:i + batch_size] for i in range(0, len(symbols), batch_size)] for i, chunk in enumerate(chunks): if i > 0 and interval > 0 and len(chunks) > rpm: time.sleep(interval) try: if start_time and end_time: raw = tf.klines.batch( chunk, period="1m", start_time=_datetime_to_ms(start_time), end_time=_datetime_to_ms(end_time), count=10000, as_dataframe=True, show_progress=False, ) else: raw = tf.klines.batch(chunk, period="1m", count=count or 1200, as_dataframe=True, show_progress=False) except Exception as e: # noqa: BLE001 logger.warning("minute batch fetch failed for %d symbols: %s", len(chunk), e) continue if isinstance(raw, dict): for sym, sub in raw.items(): if sub is None or len(sub) == 0: continue out.append(_normalize_minute(sub, default_symbol=sym)) elif raw is not None and len(raw) > 0: out.append(_normalize_minute(raw)) if on_chunk_done: on_chunk_done(i + 1, len(chunks)) if not out: return pl.DataFrame() return pl.concat(out, how="diagonal_relaxed") def fetch_minute_single(symbol: str, trade_date: date) -> pl.DataFrame: """从 TickFlow 实时拉取单股单日分钟 K(不写入本地)。""" from datetime import datetime start_time = datetime(trade_date.year, trade_date.month, trade_date.day, 9, 25, 0) end_time = datetime(trade_date.year, trade_date.month, trade_date.day, 15, 5, 0) tf = get_client() try: raw = tf.klines.batch( [symbol], period="1m", start_time=_datetime_to_ms(start_time), end_time=_datetime_to_ms(end_time), count=10000, as_dataframe=True, show_progress=False, ) except Exception as e: logger.warning("fetch_minute_single(%s, %s) failed: %s", symbol, trade_date, e) return pl.DataFrame() if isinstance(raw, dict): sub = raw.get(symbol) return _normalize_minute(sub) if sub is not None and len(sub) > 0 else pl.DataFrame() if raw is not None and len(raw) > 0: return _normalize_minute(raw) return pl.DataFrame() def fetch_adj_factor_single(symbol: str) -> pl.DataFrame: """从 TickFlow 实时拉取单股除权因子(不写入本地), 用于单股 K 线即时前复权。 返回结构: symbol, trade_date, ex_factor (空 DataFrame 表示无除权事件或拉取失败)。 与 _apply_adj_factor / compute_enriched 的 factors 参数格式一致。 """ tf = get_client() try: raw = tf.klines.ex_factors([symbol], as_dataframe=True, show_progress=False) except Exception as e: # noqa: BLE001 logger.warning("fetch_adj_factor_single(%s) failed: %s", symbol, e) return pl.DataFrame() return _normalize_adj_factor(raw) def _latest_minute_datetime(repo: KlineRepository) -> datetime | None: """本地分钟 K 数据的最新时间。""" try: res = repo.execute_one("SELECT max(datetime) FROM kline_minute") if res and res[0]: d = res[0] if isinstance(d, datetime): return d return datetime.fromisoformat(str(d)) except Exception: # noqa: BLE001 pass return None def _cleanup_null_datetime_minute(repo: KlineRepository) -> None: """检测并清除 datetime 全为 null 的旧版分钟 K 数据(迁移用)。""" minute_dir = repo.store.data_dir / "kline_minute" if not minute_dir.exists(): return try: row = repo.execute_one( "SELECT count(*) AS total, count(datetime) AS non_null FROM kline_minute" ) if row and row[0] > 0 and (row[1] is None or row[1] == 0): # 全部 datetime 为 null — 清除所有分钟 K parquet n = 0 for f in minute_dir.rglob("*.parquet"): f.unlink() n += 1 logger.info("cleaned %d corrupted minute-K parquet files (null datetime)", n) except Exception as e: # noqa: BLE001 logger.debug("minute cleanup check failed: %s", e) def _migrate_symbol_to_date_partition(repo: KlineRepository) -> None: """将旧版 symbol= 分区迁移为 date= 分区。迁移完成后删除旧目录。""" minute_dir = repo.store.data_dir / "kline_minute" if not minute_dir.exists(): return old_dirs = [d for d in minute_dir.iterdir() if d.is_dir() and d.name.startswith("symbol=")] if not old_dirs: return logger.info("migrating %d symbol-partitioned minute-K dirs to date partition…", len(old_dirs)) all_frames: list[pl.DataFrame] = [] for sym_dir in old_dirs: for pq in sym_dir.glob("*.parquet"): try: df = pl.read_parquet(pq) if "datetime" in df.columns: df = df.filter(pl.col("datetime").is_not_null()) if not df.is_empty(): all_frames.append(df) except Exception: # noqa: BLE001 pass if not all_frames: # 数据全部不可用,直接删旧目录 for d in old_dirs: d.mkdir(parents=True, exist_ok=True) for f in d.rglob("*"): if f.is_file(): f.unlink() d.rmdir() return combined = pl.concat(all_frames, how="diagonal_relaxed") combined = combined.unique(subset=["symbol", "datetime"], keep="last") # 按日期写新分区 combined = combined.with_columns(pl.col("datetime").dt.date().alias("_trade_date")) for day_df in combined.partition_by("_trade_date"): trade_date = day_df["_trade_date"][0] out = minute_dir / f"date={trade_date}" / "part.parquet" out.parent.mkdir(parents=True, exist_ok=True) day_df = day_df.drop("_trade_date").sort("symbol", "datetime") day_df.write_parquet(out) # 删旧目录 for d in old_dirs: for f in d.rglob("*"): if f.is_file(): f.unlink() # 移除空目录 try: d.rmdir() except OSError: pass logger.info("minute-K migration done: %d rows migrated", combined.height) def sync_and_persist_minute( symbols: list[str], repo: KlineRepository, capset: CapabilitySet, days: int = 5, on_chunk_done: Callable[[int, int], None] | None = None, ) -> int: """同步分钟 K 并存到 Parquet(仅 raw,不前复权)。返回写入行数。 使用 start_time / end_time 区间拉取, 确保所有标的覆盖同一时间段。 on_chunk_done(current, total) 每个 chunk 完成后回调。 """ if not symbols or not capset.has(Cap.KLINE_MINUTE_BATCH): return 0 # 迁移:旧版 _normalize_minute 未转换 timestamp→datetime,导致全部 datetime 为 null # 检测到后直接清除(这些数据无法使用) _cleanup_null_datetime_minute(repo) # 迁移:旧版按 symbol= 分区转为 date= 分区 _migrate_symbol_to_date_partition(repo) now = datetime.now() # 计算时间区间: 首次拉取回溯 N 天, 增量从最后数据时间开始 last_dt = _latest_minute_datetime(repo) if last_dt: start_time = last_dt else: start_time = now - timedelta(days=days) end_time = now lim = capset.limits(Cap.KLINE_MINUTE_BATCH) batch_size = lim.batch if lim and lim.batch else 100 rpm = lim.rpm if lim else 30 df = sync_minute_batch(symbols, start_time=start_time, end_time=end_time, batch_size=batch_size, rpm=rpm, on_chunk_done=on_chunk_done) if df.is_empty(): return 0 # 按日期分区写: data/kline_minute/date={YYYY-MM-DD}/part.parquet df = df.with_columns( pl.col("datetime").dt.date().alias("_trade_date") ) written = 0 for day_df in df.partition_by("_trade_date"): trade_date = day_df["_trade_date"][0] out = repo.store.data_dir / "kline_minute" / f"date={trade_date}" / "part.parquet" out.parent.mkdir(parents=True, exist_ok=True) if out.exists(): existing = pl.read_parquet(out) if "datetime" in existing.columns: existing = existing.filter(pl.col("datetime").is_not_null()) day_df = pl.concat([existing, day_df.drop("_trade_date")]).unique( subset=["symbol", "datetime"], keep="last", ) else: day_df = day_df.drop("_trade_date") day_df = day_df.sort("symbol", "datetime") day_df.write_parquet(out) written += day_df.height # 刷新视图 try: d = repo.store.data_dir.as_posix() repo.db.execute( f"""CREATE OR REPLACE VIEW kline_minute AS SELECT * FROM read_parquet('{d}/kline_minute/**/*.parquet', union_by_name=true)""" ) except Exception as e: # noqa: BLE001 logger.warning("refresh kline_minute view failed: %s", e) logger.info("minute K synced: %d rows (%d symbols)", written, len(symbols)) return written