533 lines
23 KiB
Python
533 lines
23 KiB
Python
"""盘后管道 + 盘前维表同步。
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调度:
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09:10 盘前 — 同步标的维表 instruments (全量覆盖)
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15:30 盘后 — 日K同步 + 增量除权因子 + enriched 计算 + 刷新视图
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盘后同步策略:
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日 K: QuoteService 交易时段已实时落盘 → 有数据时跳过 batch,首次拉 1 年区间
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除权因子: 从已有数据最新日期的下一天开始增量获取,避免重复拉取和计算
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"""
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from __future__ import annotations
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import logging
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from collections.abc import Callable
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from pathlib import Path
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import polars as pl
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from apscheduler.schedulers.asyncio import AsyncIOScheduler
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from apscheduler.triggers.cron import CronTrigger
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from app.indicators.pipeline import run_pipeline
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from app.config import settings
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from app.services import index_sync, instrument_sync, kline_sync
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from app.tickflow.capabilities import Cap, CapabilitySet
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from app.tickflow.pools import DEMO_SYMBOLS, get_pool
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from app.tickflow.repository import KlineRepository
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logger = logging.getLogger(__name__)
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ProgressCb = Callable[..., None]
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def _noop(stage: str, pct: int, msg: str, **kwargs) -> None: # noqa: ARG001
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pass
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def _invalidate(table: str | None = None) -> None:
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"""stage 写完调用,让 /api/data/status 只重算被影响的那张表。"""
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from app.api.data import invalidate_data_cache
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invalidate_data_cache(table)
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def _resolve_universe(capset: CapabilitySet) -> list[str]:
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"""解析标的池 — 以 CN_Equity_A (沪深京A股 ~5522只) 为主。
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有 batch 能力 → 直接拉 CN_Equity_A universe
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其他用户 → 用 instruments parquet + watchlist 兜底
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"""
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if capset.has(Cap.KLINE_DAILY_BATCH):
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try:
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all_a = get_pool("CN_Equity_A", refresh=True)
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if all_a:
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return sorted(all_a)
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except Exception as e: # noqa: BLE001
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logger.warning("CN_Equity_A pool unavailable, fallback: %s", e)
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# Free 用户兜底: instruments parquet + watchlist + demo
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base: set[str] = set(DEMO_SYMBOLS)
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base.update(get_pool("watchlist"))
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d = Path(settings.data_dir)
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inst_path = d / "instruments" / "instruments.parquet"
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if inst_path.exists():
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try:
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inst = pl.read_parquet(inst_path, columns=["symbol"])
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base.update(inst["symbol"].to_list())
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except Exception as e: # noqa: BLE001
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logger.warning("instruments supplement failed: %s", e)
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return sorted(base)
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def run_instruments_sync(repo: KlineRepository) -> dict:
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"""盘前同步标的维表。"""
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rows = instrument_sync.sync_instruments(repo.store.data_dir)
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_refresh_instruments_view(repo)
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_invalidate("instruments")
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return {"instruments_rows": rows}
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def run_now(
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repo: KlineRepository,
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capset: CapabilitySet,
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on_progress: ProgressCb | None = None,
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) -> dict:
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"""立即执行一次盘后管道,支持进度回调。
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跳过的 stage **不 emit**,避免前端把"无 capability"的卡片错误标记为 active/done。
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result 里带 skipped_stages 列表供前端展示。
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"""
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emit = on_progress or _noop
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skipped: list[str] = []
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# Step 0: 先同步标的维表, 再解析标的池 — 确保标的池基于最新 instruments
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emit("sync_instruments", 2, "同步标的维表…")
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inst_rows = instrument_sync.sync_instruments(repo.store.data_dir)
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if inst_rows > 0:
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_refresh_instruments_view(repo)
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emit("sync_instruments", 8, f"标的维表同步完成,{inst_rows} 只标的")
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_invalidate("instruments")
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emit("resolve_universe", 9, "解析标的池…")
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universe = _resolve_universe(capset)
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emit("resolve_universe", 10, f"标的池规模:{len(universe)} 只")
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# Step 1: 日 K 同步
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# 今天有数据 → 实时行情接口拉一次覆写（1请求全市场）
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# 今天没数据 → batch K-line API 补齐
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# 无任何数据 → batch K-line API 拉首次 1 年
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from datetime import date as _date, timedelta as _td, datetime as _dt
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latest_daily = repo.latest_daily_date()
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today = _date.today()
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today_exists = latest_daily and latest_daily >= today
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new_daily_days = 0
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if today_exists:
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# 今天有数据（QuoteService 已落盘）→ 实时行情覆写，确保最新
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emit("sync_daily", 12, f"获取日K [{today} ~ {today}] 实时行情…")
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written_daily = kline_sync.sync_daily_by_quotes(repo)
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new_daily_days = 1
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emit("sync_daily", 45, f"日K 完成,{written_daily} 只标的")
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logger.info("sync_daily: [%s ~ %s] live quotes, %d symbols", today, today, written_daily)
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elif latest_daily:
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# 有历史但今天没数据 → batch 补齐缺口
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start_date = latest_daily
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emit("sync_daily", 12, f"获取日K [{start_date} ~ {today}]…")
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logger.info("sync_daily: [%s ~ %s] gap fill", start_date, today)
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def _daily_chunk_progress(cur: int, tot: int) -> None:
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emit("sync_daily", 12 + int(33 * cur / tot),
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f"日K 批次 {cur}/{tot}", stage_pct=int(100 * cur / tot), skip_log=True)
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written_daily = kline_sync.sync_and_persist_daily_batch(
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universe, repo, capset,
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start_date=_dt.combine(start_date, _dt.min.time()),
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end_date=_dt.combine(today, _dt.min.time()),
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on_chunk_done=_daily_chunk_progress,
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)
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gap_days = (today - start_date).days
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new_daily_days = gap_days
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emit("sync_daily", 45, f"日K 完成,覆盖 {gap_days} 天")
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logger.info("sync_daily: [%s ~ %s] done, %d days", start_date, today, gap_days)
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else:
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# 首次：无任何数据 → batch 拉 1 年
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start_date = today - _td(days=365)
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emit("sync_daily", 12, f"获取日K [{start_date} ~ {today}]…")
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logger.info("sync_daily: [%s ~ %s] initial fetch", start_date, today)
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def _daily_chunk_progress(cur: int, tot: int) -> None:
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emit("sync_daily", 12 + int(33 * cur / tot),
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f"日K 批次 {cur}/{tot}", stage_pct=int(100 * cur / tot), skip_log=True)
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written_daily = kline_sync.sync_and_persist_daily_batch(
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universe, repo, capset,
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start_date=_dt.combine(start_date, _dt.min.time()),
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end_date=_dt.combine(today, _dt.min.time()),
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on_chunk_done=_daily_chunk_progress,
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)
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new_daily_days = 365
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emit("sync_daily", 45, "日K 完成")
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logger.info("sync_daily: [%s ~ %s] done", start_date, today)
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_invalidate("daily")
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# Step 1.5: 增量同步除权因子 — 从已有数据最新日期的下一天开始获取
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written_adj = 0
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affected_symbols: list[str] = []
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if capset.has(Cap.ADJ_FACTOR):
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from datetime import datetime, timedelta
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adj_end = datetime.now()
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# 从已有除权因子数据的最新日期开始获取，避免重复拉取
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adj_factor_path = repo.store.data_dir / "adj_factor" / "all.parquet"
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fallback_start = adj_end - timedelta(days=30)
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if adj_factor_path.exists():
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try:
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from datetime import date as date_cls
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max_date = pl.scan_parquet(adj_factor_path).select(
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pl.col("trade_date").max()
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).collect().item()
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if max_date is not None:
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# trade_date 可能是 date / datetime / string 类型
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if isinstance(max_date, str):
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td = date_cls.fromisoformat(max_date)
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elif isinstance(max_date, datetime):
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td = max_date.date()
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else:
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td = max_date
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adj_start = datetime.combine(td, datetime.min.time())
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else:
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adj_start = fallback_start
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except Exception:
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adj_start = fallback_start
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else:
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adj_start = fallback_start
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adj_start_str = adj_start.strftime("%Y-%m-%d")
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adj_end_str = adj_end.strftime("%Y-%m-%d")
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emit("sync_adj", 50, f"获取除权因子 [{adj_start_str} ~ {adj_end_str}]…")
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logger.info("sync_adj: [%s ~ %s] start", adj_start_str, adj_end_str)
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def _adj_chunk_progress(cur: int, tot: int) -> None:
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emit("sync_adj", 50 + int(10 * cur / tot),
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f"除权因子批次 {cur}/{tot}", stage_pct=int(100 * cur / tot), skip_log=True)
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written_adj, affected_symbols = kline_sync.sync_adj_factor(
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universe, repo, capset,
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start_time=adj_start, end_time=adj_end,
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on_chunk_done=_adj_chunk_progress,
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)
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if affected_symbols:
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_refresh_single_view(repo, "adj_factor")
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emit("sync_adj", 60, f"除权因子完成,新增 {len(affected_symbols)} 只个股")
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logger.info("sync_adj: [%s ~ %s] done, %d symbols", adj_start_str, adj_end_str, len(affected_symbols))
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else:
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emit("sync_adj", 60, "除权因子完成,无新增")
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logger.info("sync_adj: [%s ~ %s] no new factors", adj_start_str, adj_end_str)
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_invalidate("adj_factor")
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else:
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skipped.append("sync_adj")
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logger.info("sync_adj skipped: no ADJ_FACTOR capability")
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# Step 2: 计算 enriched
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# 判断策略:
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# - 首次 (enriched 目录不存在) → 全量
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# - 往前扩展历史 (新日期 < enriched 已有最早日期) → 全量
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# 前面的除权因子会改变累积因子链,影响后面所有日期的复权价格
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# - 往后新增日期 (新日期 > enriched 已有最晚日期)
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# → 增量补新区块(所有标的) + 受除权影响个股全日期重算
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# - 无新日期 + 有新除权因子 → 增量: 只重算受影响个股的全部日期
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# - 无新日期 + 无变化 → 跳过
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enriched_dir = repo.store.data_dir / "kline_daily_enriched"
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enriched_exists = enriched_dir.exists() and any(enriched_dir.glob("date=*"))
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daily_dir = repo.store.data_dir / "kline_daily"
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daily_days = len(list(daily_dir.glob("date=*"))) if daily_dir.exists() else 0
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prev_enriched_days = len(list(enriched_dir.glob("date=*"))) if enriched_exists else 0
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# 判断新日期方向: 找 daily 和 enriched 的日期集合做比较
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forward_incremental = False
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backward_extension = False
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if daily_days > prev_enriched_days and enriched_exists:
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daily_dates = sorted(d.stem.split("=")[1] for d in daily_dir.glob("date=*"))
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enriched_dates = sorted(d.stem.split("=")[1] for d in enriched_dir.glob("date=*"))
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earliest_enriched = enriched_dates[0]
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latest_enriched = enriched_dates[-1]
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new_dates = set(daily_dates) - set(enriched_dates)
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if new_dates:
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# 有新日期早于 enriched 最早日期 → 往前扩展
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if any(d < earliest_enriched for d in new_dates):
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backward_extension = True
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# 有新日期晚于 enriched 最晚日期 → 往后新增
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if any(d > latest_enriched for d in new_dates):
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forward_incremental = True
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def _enriched_batch_progress(cur: int, tot: int) -> None:
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emit("compute_enriched", 65 + int(23 * cur / tot),
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f"计算指标 批次 {cur}/{tot}", stage_pct=int(100 * cur / tot), skip_log=True)
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if not enriched_exists or backward_extension:
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# 首次 或 往前扩展 → 全量
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emit("compute_enriched", 65, "全量计算 enriched…")
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logger.info("compute_enriched: full rebuild (first=%s, backward=%s, daily=%d, enriched=%d)",
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not enriched_exists, backward_extension, daily_days, prev_enriched_days)
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written_enriched = run_pipeline(on_batch_done=_enriched_batch_progress)
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new_enriched_days = len(list(enriched_dir.glob("date=*")))
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emit("compute_enriched", 88, f"enriched 完成,覆盖 {new_enriched_days} 天")
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logger.info("compute_enriched: full rebuild done, %d days", new_enriched_days)
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elif forward_incremental:
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# 往后新增日期: 增量补新区块 + 受影响个股全日期重算
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symbols_to_recompute = list(set(affected_symbols)) if affected_symbols else []
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emit("compute_enriched", 65,
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f"增量计算 enriched (新日期 + {len(symbols_to_recompute)} 只个股重算)…"
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if symbols_to_recompute else "增量计算 enriched (新日期)…")
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logger.info("compute_enriched: forward incremental, %d symbols to recompute",
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len(symbols_to_recompute))
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written_enriched = run_pipeline(
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new_dates_only=True,
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symbols=symbols_to_recompute or None,
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on_batch_done=_enriched_batch_progress,
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)
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new_enriched_days = len(list(enriched_dir.glob("date=*")))
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emit("compute_enriched", 88, f"enriched 完成,覆盖 {new_enriched_days} 天")
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logger.info("compute_enriched: forward incremental done, %d days", new_enriched_days)
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elif affected_symbols:
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# 无新日期,仅除权因子变更 → 只重算受影响个股的全部日期
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emit("compute_enriched", 65, f"增量计算 enriched ({len(affected_symbols)} 只个股)…")
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logger.info("compute_enriched: adj_factor incremental, %d symbols", len(affected_symbols))
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written_enriched = run_pipeline(symbols=affected_symbols, on_batch_done=_enriched_batch_progress)
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emit("compute_enriched", 88, f"enriched 完成,{len(affected_symbols)} 只个股")
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else:
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written_enriched = 0
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logger.info("compute_enriched: skip (no new daily, no adj_factor changes)")
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_refresh_single_view(repo, "kline_enriched")
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_invalidate("enriched")
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# Step 2.3: 指数同步 — 独立 kline_index_* 存储，不进入股票选股/策略链路。
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written_index_daily = 0
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index_count = 0
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if capset.has(Cap.KLINE_DAILY_BATCH):
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emit("sync_index", 88, "同步指数列表与日K…")
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try:
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index_count = index_sync.sync_index_instruments(repo)
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index_dir = repo.store.data_dir / "kline_index_enriched"
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index_dates = sorted(
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d.name[5:] for d in index_dir.glob("date=*")
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if d.is_dir() and d.name.startswith("date=")
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) if index_dir.exists() else []
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index_start = _date.fromisoformat(index_dates[-1]) if index_dates else today - _td(days=365)
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written_index_daily = index_sync.sync_and_persist_index_daily(
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repo,
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capset,
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start_date=_dt.combine(index_start, _dt.min.time()),
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end_date=_dt.combine(today, _dt.min.time()),
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)
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repo.refresh_index_views()
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_invalidate("index_instruments")
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_invalidate("index_daily")
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_invalidate("index_enriched")
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emit("sync_index", 89, f"指数完成,{index_count} 只指数,{written_index_daily} 行日K")
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except Exception as e: # noqa: BLE001
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logger.warning("sync_index failed: %s", e)
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emit("sync_index", 89, f"指数同步失败:{e}")
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else:
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skipped.append("sync_index")
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# Step 2.5: 分钟 K 同步(可选) — 未启用或无 capability 时静默跳过(不 emit)
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from app.services import preferences
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minute_on = preferences.get_minute_sync_enabled()
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minute_days = preferences.get_minute_sync_days()
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written_minute = 0
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if minute_on and capset.has(Cap.KLINE_MINUTE_BATCH):
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minute_start = today - _td(days=minute_days)
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emit("sync_minute", 90, f"获取分钟K [{minute_start} ~ {today}]…")
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logger.info("sync_minute: [%s ~ %s] start", minute_start, today)
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minute_symbols = _resolve_minute_symbols(capset)
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def _minute_chunk_progress(cur: int, tot: int) -> None:
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emit("sync_minute", 90 + int(3 * cur / tot),
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f"分钟K 批次 {cur}/{tot}", stage_pct=int(100 * cur / tot), skip_log=True)
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written_minute = kline_sync.sync_and_persist_minute(
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minute_symbols, repo, capset, days=minute_days,
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on_chunk_done=_minute_chunk_progress,
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)
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minute_dir = repo.store.data_dir / "kline_minute"
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minute_cover_days = len(list(minute_dir.glob("date=*"))) if minute_dir.exists() else 0
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emit("sync_minute", 93, f"分钟K完成,覆盖 {minute_cover_days} 天")
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logger.info("sync_minute: [%s ~ %s] done, %d days", minute_start, today, minute_cover_days)
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_invalidate("minute")
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else:
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skipped.append("sync_minute")
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if minute_on:
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logger.info("sync_minute skipped: no KLINE_MINUTE_BATCH capability")
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else:
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logger.info("sync_minute skipped: user disabled")
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# Step 3: 刷新视图
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emit("refresh_views", 95, "刷新 DuckDB 视图…")
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_refresh_views(repo)
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emit("done", 100, "完成")
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_invalidate(None) # 兜底:全清
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return {
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"universe_size": len(universe),
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"daily_days": new_daily_days,
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"adj_factor_symbols": len(affected_symbols),
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"enriched_days": written_enriched,
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"index_count": index_count,
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"index_daily_rows": written_index_daily,
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"minute_rows": written_minute,
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"skipped_stages": skipped,
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}
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def _refresh_views(repo: KlineRepository) -> None:
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"""刷新所有 DuckDB 视图。"""
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d = repo.store.data_dir.as_posix()
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views = {
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"kline_daily": f"{d}/kline_daily/**/*.parquet",
|
|
"kline_enriched": f"{d}/kline_daily_enriched/**/*.parquet",
|
|
"kline_index_daily": f"{d}/kline_index_daily/**/*.parquet",
|
|
"kline_index_enriched": f"{d}/kline_index_enriched/**/*.parquet",
|
|
"kline_minute": f"{d}/kline_minute/**/*.parquet",
|
|
"adj_factor": f"{d}/adj_factor/**/*.parquet",
|
|
"instruments": f"{d}/instruments/**/*.parquet",
|
|
"instruments_index": f"{d}/instruments_index/**/*.parquet",
|
|
}
|
|
for name, path in views.items():
|
|
try:
|
|
repo.db.execute(
|
|
f"CREATE OR REPLACE VIEW {name} AS "
|
|
f"SELECT * FROM read_parquet('{path}', union_by_name=true)"
|
|
)
|
|
except Exception as e: # noqa: BLE001
|
|
logger.warning("refresh view %s failed: %s", name, e)
|
|
|
|
|
|
def _refresh_single_view(repo: KlineRepository, name: str) -> None:
|
|
"""刷新单个 DuckDB 视图。"""
|
|
d = repo.store.data_dir.as_posix()
|
|
paths = {
|
|
"kline_daily": f"{d}/kline_daily/**/*.parquet",
|
|
"kline_enriched": f"{d}/kline_daily_enriched/**/*.parquet",
|
|
"kline_index_daily": f"{d}/kline_index_daily/**/*.parquet",
|
|
"kline_index_enriched": f"{d}/kline_index_enriched/**/*.parquet",
|
|
"kline_minute": f"{d}/kline_minute/**/*.parquet",
|
|
"adj_factor": f"{d}/adj_factor/**/*.parquet",
|
|
"instruments": f"{d}/instruments/**/*.parquet",
|
|
"instruments_index": f"{d}/instruments_index/**/*.parquet",
|
|
}
|
|
path = paths.get(name)
|
|
if not path:
|
|
return
|
|
try:
|
|
repo.db.execute(
|
|
f"CREATE OR REPLACE VIEW {name} AS "
|
|
f"SELECT * FROM read_parquet('{path}', union_by_name=true)"
|
|
)
|
|
except Exception as e: # noqa: BLE001
|
|
logger.warning("refresh view %s failed: %s", name, e)
|
|
|
|
|
|
def _resolve_minute_symbols(capset: CapabilitySet) -> list[str]:
|
|
"""分钟 K 同步标的 — 与日K共用同一标的池。"""
|
|
return _resolve_universe(capset)
|
|
|
|
|
|
def _refresh_instruments_view(repo: KlineRepository) -> None:
|
|
"""单独刷新 instruments 视图。"""
|
|
d = repo.store.data_dir.as_posix()
|
|
try:
|
|
repo.db.execute(
|
|
f"CREATE OR REPLACE VIEW instruments AS "
|
|
f"SELECT * FROM read_parquet('{d}/instruments/**/*.parquet', union_by_name=true)"
|
|
)
|
|
except Exception as e: # noqa: BLE001
|
|
logger.warning("refresh instruments view failed: %s", e)
|
|
|
|
|
|
def _run_tracked(fn, job_label: str) -> None:
|
|
"""调度触发时包装 JobStore 跟踪，确保同步历史有记录。"""
|
|
from app.services.pipeline_jobs import job_store
|
|
|
|
job_id = job_store.create()
|
|
job_store.start(job_id)
|
|
|
|
def progress(stage: str, pct: int, msg: str, stage_pct: int | None = None,
|
|
skip_log: bool = False) -> None:
|
|
job_store.progress(job_id, stage, pct, msg, stage_pct=stage_pct, skip_log=skip_log)
|
|
|
|
try:
|
|
result = fn(on_progress=progress)
|
|
job_store.succeed(job_id, result)
|
|
logger.info("scheduled %s completed: job_id=%s", job_label, job_id)
|
|
except Exception:
|
|
logger.exception("scheduled %s failed: job_id=%s", job_label, job_id)
|
|
job_store.fail(job_id, f"scheduled {job_label} failed")
|
|
|
|
|
|
def start_scheduler(repo: KlineRepository, capset: CapabilitySet) -> AsyncIOScheduler:
|
|
"""启动调度器。
|
|
|
|
工作日 09:10 — 同步标的维表
|
|
工作日 HH:MM — 盘后管道（时间由用户偏好决定，默认 15:30）
|
|
"""
|
|
from app.services import preferences
|
|
sched = preferences.get_pipeline_schedule()
|
|
inst_sched = preferences.get_instruments_schedule()
|
|
|
|
scheduler = AsyncIOScheduler(timezone="Asia/Shanghai")
|
|
|
|
# 盘前: 同步 instruments（时间由偏好决定）
|
|
def _instruments_task(on_progress=None):
|
|
emit = on_progress or _noop
|
|
emit("sync_instruments", 0, "同步标的维表…")
|
|
result = run_instruments_sync(repo)
|
|
emit("done", 100, f"标的维表同步完成,{result.get('instruments_rows', 0)} 只标的")
|
|
return result
|
|
|
|
scheduler.add_job(
|
|
lambda: _run_tracked(_instruments_task, "instruments_sync"),
|
|
trigger=CronTrigger(day_of_week="mon-fri",
|
|
hour=inst_sched["hour"], minute=inst_sched["minute"],
|
|
timezone="Asia/Shanghai"),
|
|
id="pre_market_instruments",
|
|
misfire_grace_time=1800,
|
|
replace_existing=True,
|
|
)
|
|
|
|
# 盘后: 日 K + enriched（时间由偏好决定）
|
|
scheduler.add_job(
|
|
lambda: _run_tracked(
|
|
lambda on_progress=None: run_now(repo, capset, on_progress=on_progress),
|
|
"daily_pipeline",
|
|
),
|
|
trigger=CronTrigger(day_of_week="mon-fri",
|
|
hour=sched["hour"], minute=sched["minute"],
|
|
timezone="Asia/Shanghai"),
|
|
id="daily_pipeline",
|
|
misfire_grace_time=3600,
|
|
replace_existing=True,
|
|
)
|
|
|
|
# 盘后: 五档盘口 sealed 定版(时间由偏好决定, 默认15:02, 范围15:01~18:00)
|
|
depth_sched = preferences.get_depth_finalize_time()
|
|
|
|
def _depth_finalize():
|
|
depth_svc = getattr(_get_app_state(), "depth_service", None) if _get_app_state() else None
|
|
if depth_svc:
|
|
depth_svc.finalize()
|
|
|
|
scheduler.add_job(
|
|
_depth_finalize,
|
|
trigger=CronTrigger(day_of_week="mon-fri",
|
|
hour=depth_sched["hour"], minute=depth_sched["minute"],
|
|
timezone="Asia/Shanghai"),
|
|
id="depth_finalize",
|
|
misfire_grace_time=3600,
|
|
replace_existing=True,
|
|
)
|
|
|
|
scheduler.start()
|
|
logger.info("scheduler started; instruments@%02d:%02d, pipeline@%02d:%02d, depth@%02d:%02d mon-fri",
|
|
inst_sched["hour"], inst_sched["minute"], sched["hour"], sched["minute"],
|
|
depth_sched["hour"], depth_sched["minute"])
|
|
return scheduler
|
|
|
|
|
|
# app_state 延迟引用(start_scheduler 在 lifespan 早期调用, app.state 可能还没就绪)
|
|
_app_state_ref = None
|
|
|
|
|
|
def set_app_state(app_state) -> None:
|
|
"""lifespan 注册 app.state 引用, 供 scheduled job 访问 depth_service 等单例。"""
|
|
global _app_state_ref
|
|
_app_state_ref = app_state
|
|
|
|
|
|
def _get_app_state():
|
|
return _app_state_ref
|