feat: EOD pull, EMA52 screening, DuckDB transient connections, config refactor
This commit is contained in:
jackyu66git
+270
-44
@@ -4,7 +4,9 @@ from __future__ import annotations
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from contextlib import asynccontextmanager
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from fastapi import FastAPI
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from typing import Optional
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from fastapi import FastAPI, HTTPException, Query
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from fastapi.responses import HTMLResponse
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from loguru import logger
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@@ -82,6 +84,10 @@ DOCS_HTML = r"""
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<div class="stat"><div class="num">全天</div><div class="lbl">自动盘后拉取</div></div>
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</div>
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<div class="tip" style="border-left-color: var(--green);">
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📊 <strong><a href="screening/ema52">EMA52 筛选</a></strong> — 扫描日线/周线价格在 EMA52 ±3% 附近的股票，按成交额排序
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</div>
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<div class="toc">
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<a href="#freqs">K线周期</a>
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<a href="#rest-stocks">股票查询</a>
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@@ -279,12 +285,137 @@ ashare-dp query stats</code></pre>
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"""
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EMA52_HTML = r"""
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<!DOCTYPE html>
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<html lang="zh-CN">
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<head>
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<meta charset="UTF-8">
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<meta name="viewport" content="width=device-width, initial-scale=1.0">
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<title>EMA52 筛选 — A-Share Data Platform</title>
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<style>
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:root {
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--bg: #0d1117; --card: #161b22; --border: #30363d;
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--text: #c9d1d9; --muted: #8b949e; --accent: #58a6ff;
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--green: #3fb950; --red: #f85149; --orange: #d2991d;
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}
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* { margin: 0; padding: 0; box-sizing: border-box; }
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body { font-family: -apple-system, BlinkMacSystemFont, 'Segoe UI', sans-serif; background: var(--bg); color: var(--text); }
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.container { max-width: 1100px; margin: 0 auto; padding: 20px; }
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h1 { font-size: 1.6em; margin-bottom: 4px; }
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h1 span { color: var(--accent); }
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.subtitle { color: var(--muted); margin-bottom: 20px; font-size: 0.9em; }
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.controls { display: flex; gap: 12px; align-items: center; margin-bottom: 16px; flex-wrap: wrap; }
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.controls button, .controls select {
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background: var(--card); border: 1px solid var(--border); color: var(--text);
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padding: 8px 16px; border-radius: 6px; cursor: pointer; font-size: 0.9em;
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}
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.controls button:hover { border-color: var(--accent); }
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.controls button.active { background: var(--accent); color: #fff; border-color: var(--accent); }
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.stats { color: var(--muted); font-size: 0.85em; margin-bottom: 12px; }
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table { width: 100%; border-collapse: collapse; font-size: 0.9em; }
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th { text-align: left; padding: 10px 12px; border-bottom: 2px solid var(--border); color: var(--muted); font-weight: 600; }
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td { padding: 8px 12px; border-bottom: 1px solid var(--border); }
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tr:hover { background: #1c2129; }
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.code { font-family: 'SF Mono', 'Fira Code', monospace; color: var(--accent); }
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.name { max-width: 100px; overflow: hidden; text-overflow: ellipsis; white-space: nowrap; }
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.pos { color: var(--green); }
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.neg { color: var(--red); }
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.near { color: var(--orange); }
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.bar { display: inline-block; height: 6px; border-radius: 3px; vertical-align: middle; margin-right: 4px; }
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.loading { text-align: center; padding: 40px; color: var(--muted); }
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.empty { text-align: center; padding: 40px; color: var(--muted); }
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a { color: var(--accent); text-decoration: none; }
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a:hover { text-decoration: underline; }
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.legend { display: flex; gap: 16px; margin-bottom: 12px; font-size: 0.8em; }
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.legend span { display: flex; align-items: center; gap: 4px; }
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.legend .dot { width: 8px; height: 8px; border-radius: 50%; }
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.footer { text-align: center; color: var(--muted); font-size: 0.8em; margin-top: 30px; padding-bottom: 20px; }
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</style>
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</head>
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<body>
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<div class="container">
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<h1><span>EMA52</span> 筛选</h1>
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<p class="subtitle">每日收盘后扫描 1d / 1w 价格在 EMA52 附近的股票，按成交额降序排列</p>
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<div class="controls">
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<button id="btn-1d" class="active" onclick="switchFreq('1d')">日线 1d</button>
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<button id="btn-1w" onclick="switchFreq('1w')">周线 1w</button>
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<span style="flex:1"></span>
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<span class="stats" id="stats">加载中…</span>
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</div>
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<div class="legend">
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<span><span class="dot" style="background:var(--green)"></span> 价格 > EMA52</span>
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<span><span class="dot" style="background:var(--red)"></span> 价格 < EMA52</span>
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<span>阈值: ±3% | 按成交额↓</span>
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</div>
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<div id="content"><div class="loading">加载中…</div></div>
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<div class="footer">
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<a href="/">← 返回首页</a>
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</div>
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</div>
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<script>
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let currentFreq = '1d';
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function switchFreq(freq) {
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currentFreq = freq;
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document.getElementById('btn-1d').className = freq === '1d' ? 'active' : '';
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document.getElementById('btn-1w').className = freq === '1w' ? 'active' : '';
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loadData();
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}
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function loadData() {
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const content = document.getElementById('content');
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content.innerHTML = '<div class="loading">加载中…</div>';
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fetch(`/api/v1/screening/ema52?freq=${currentFreq}&limit=200`)
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.then(r => r.json())
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.then(data => {
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document.getElementById('stats').textContent =
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`共 ${data.total} 只股票在 EMA52 附近`;
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if (!data.items || data.items.length === 0) {
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content.innerHTML = '<div class="empty">暂无数据。请等待今日盘后扫描完成。</div>';
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return;
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}
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let html = '<table><thead><tr><th>股票</th><th>价格</th><th>EMA52</th><th>成交额(亿)</th><th>偏离</th></tr></thead><tbody>';
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data.items.forEach(item => {
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const dist = item.distance_pct;
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let cls = dist > 0 ? 'pos' : 'neg';
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let barColor = dist > 0 ? 'var(--green)' : 'var(--red)';
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let barW = Math.min(Math.abs(dist) * 20, 60);
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const amt = item.amount != null ? item.amount.toFixed(1) : '—';
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html += `<tr>
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<td><span class="code">${item.ts_code}</span> <span class="name" title="${item.name}">${item.name}</span></td>
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<td>${item.close_price.toFixed(2)}</td>
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<td>${item.ema52.toFixed(2)}</td>
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<td>${amt}</td>
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<td>
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<span class="${cls}">
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<span class="bar" style="width:${barW}px; background:${barColor}"></span>
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${dist > 0 ? '+' : ''}${dist.toFixed(2)}%
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</span>
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</td>
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</tr>`;
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});
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html += '</tbody></table>';
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content.innerHTML = html;
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})
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.catch(() => {
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content.innerHTML = '<div class="empty">加载失败，请确认服务在运行且盘后扫描已完成。</div>';
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});
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}
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loadData();
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</script>
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</body>
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</html>
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"""
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@asynccontextmanager
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async def lifespan(app: FastAPI):
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"""Startup and shutdown lifecycle."""
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logger.info("Starting A-Share Data Platform...")
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db = get_db()
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db.connect()
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# Run DDL with write access (short-lived)
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with get_db(read_only=False) as db:
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for ddl in DDL_STATEMENTS:
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try:
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db.execute(ddl)
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@@ -302,18 +433,6 @@ async def lifespan(app: FastAPI):
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logger.warning(f"Realtime poller not started: {e}")
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app.state.poller = None
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# Start scheduler
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try:
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from ashare_dp.scheduler.scheduler import Scheduler
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from ashare_dp.data.akshare_client import AKShareClient
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scheduler = Scheduler(client=AKShareClient())
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scheduler.start()
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app.state.scheduler = scheduler
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logger.info("Scheduler started")
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except Exception as e:
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logger.warning(f"Scheduler not started: {e}")
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app.state.scheduler = None
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yield
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# Shutdown
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@@ -322,12 +441,6 @@ async def lifespan(app: FastAPI):
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await app.state.poller.stop()
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except Exception:
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pass
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if app.state.scheduler:
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try:
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app.state.scheduler.shutdown()
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except Exception:
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pass
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db.close()
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logger.info("A-Share Data Platform stopped")
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@@ -347,37 +460,150 @@ def create_app() -> FastAPI:
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@app.get("/health")
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async def health():
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"""Basic health check."""
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db = get_db()
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"""Health check in data_provider format (compatible with Chan system)."""
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repo = KLineRepository()
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from ashare_dp.core.models import BACKFILLABLE_FREQS, DERIVED_FREQS, INTRADAY_FREQS, Freq
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all_freqs = BACKFILLABLE_FREQS + INTRADAY_FREQS + DERIVED_FREQS
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base_freqs = [f.value for f in BACKFILLABLE_FREQS + INTRADAY_FREQS]
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derived_freqs = [f.value for f in DERIVED_FREQS]
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try:
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with get_db(read_only=True) as db:
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stocks = db.query("SELECT ts_code FROM stock_info")
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symbols = [s[0] for s in stocks]
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except Exception:
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symbols = []
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return {
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"status": "ok",
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"db_path": db.db_path,
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"stocks": db.query("SELECT count(*) FROM stock_info")[0][0],
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"trading_days": db.query("SELECT count(*) FROM trading_calendar")[0][0],
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"daily_records": repo.count_records(Freq.d1),
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"exchange": "ashare",
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"symbols": symbols,
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"base_timeframes": base_freqs,
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"derived_timeframes": derived_freqs,
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"timeframes": [f.value for f in all_freqs],
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"ready": True,
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}
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@app.get("/stats")
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async def stats():
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"""Full DB statistics."""
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db = get_db()
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repo = KLineRepository()
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from ashare_dp.core.models import Freq
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freq_stats = {}
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for f in [Freq.d1, Freq.w1, Freq.M1, Freq.m1, Freq.m5, Freq.m15, Freq.m30, Freq.h1]:
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dr = repo.get_date_range(f)
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freq_stats[f.value] = {
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"records": repo.count_records(f),
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"start_date": dr[0].isoformat() if dr[0] else None,
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"end_date": dr[1].isoformat() if dr[1] else None,
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}
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@app.get("/timeframes")
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async def timeframes():
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"""List available timeframes in data_provider format."""
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from ashare_dp.core.models import BACKFILLABLE_FREQS, DERIVED_FREQS, INTRADAY_FREQS
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all_freqs = BACKFILLABLE_FREQS + INTRADAY_FREQS + DERIVED_FREQS
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return {
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"stocks": db.query("SELECT count(*) FROM stock_info")[0][0],
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"trading_days": db.query("SELECT count(*) FROM trading_calendar")[0][0],
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"frequencies": freq_stats,
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"base_timeframes": [f.value for f in BACKFILLABLE_FREQS + INTRADAY_FREQS],
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"derived_timeframes": [f.value for f in DERIVED_FREQS],
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"timeframes": [f.value for f in all_freqs],
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}
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@app.get("/api/candles")
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async def api_candles(
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symbol: str = Query(..., description="Stock code, e.g. 000001.SZ"),
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tf: str = Query("1d", description="Timeframe: 1d, 1w, 1M, 1h, 5m, 1m, etc."),
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start: Optional[int] = Query(None, description="Start timestamp in ms"),
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end: Optional[int] = Query(None, description="End timestamp in ms"),
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limit: Optional[int] = Query(None, description="Max candles to return"),
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):
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"""Fetch K-line candles in data_provider-compatible format.
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Returns [{"timestamp": ..., "open": ..., "high": ..., "low": ..., "close": ..., "volume": ...}]
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"""
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from datetime import datetime, timezone
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from ashare_dp.core.models import BACKFILLABLE_FREQS, DERIVED_FREQS, INTRADAY_FREQS, Freq
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all_freqs = BACKFILLABLE_FREQS + INTRADAY_FREQS + DERIVED_FREQS
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freq_values = [f.value for f in all_freqs]
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if tf not in freq_values:
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raise HTTPException(status_code=400, detail=f"Invalid timeframe: {tf}")
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freq = Freq(tf)
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repo = KLineRepository()
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start_date = None
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end_date = None
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if start is not None:
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start_date = datetime.fromtimestamp(start / 1000, tz=timezone.utc).date()
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if end is not None:
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end_date = datetime.fromtimestamp(end / 1000, tz=timezone.utc).date()
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df = repo.read_klines(
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freq=freq, ts_code=symbol,
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start_date=start_date, end_date=end_date,
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limit=limit or 10000, offset=0,
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)
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if df is None or df.empty:
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return []
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candles = []
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for _, row in df.iterrows():
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ts = row.get("trade_time")
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if hasattr(ts, "timestamp"):
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ts_ms = int(ts.timestamp() * 1000)
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else:
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ts_ms = 0
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candles.append({
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"timestamp": ts_ms,
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"open": float(row.get("open", 0)),
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"high": float(row.get("high", 0)),
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"low": float(row.get("low", 0)),
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"close": float(row.get("close", 0)),
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"volume": float(row.get("volume", 0)),
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})
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if limit and len(candles) > limit:
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candles = candles[-limit:]
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return candles
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# ── EMA52 Screening ──
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@app.get("/screening/ema52", response_class=HTMLResponse)
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async def ema52_screening_page():
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"""EMA52 screening results page."""
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return EMA52_HTML
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@app.get("/api/v1/screening/ema52")
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async def api_ema52_screening(
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freq: str = Query("1d", description="Frequency: 1d or 1w"),
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limit: int = Query(200, ge=1, le=1000),
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offset: int = Query(0, ge=0),
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):
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"""Get EMA52 screening results from the database."""
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if freq not in ("1d", "1w"):
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raise HTTPException(status_code=400, detail="freq must be 1d or 1w")
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with get_db(read_only=True) as db:
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row = db.conn.execute(
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"SELECT COUNT(*) FROM ema52_screening WHERE freq = ?",
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[freq],
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).fetchone()
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total = row[0] if row else 0
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results = db.query(
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"""SELECT ts_code, name, trade_date, close_price, ema52, distance_pct, amount
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FROM ema52_screening
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WHERE freq = ?
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ORDER BY amount DESC NULLS LAST
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LIMIT ? OFFSET ?""",
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[freq, limit, offset],
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)
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items = [
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{
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"ts_code": r[0],
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"name": r[1],
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"trade_date": str(r[2]) if r[2] else None,
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"close_price": r[3],
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"ema52": r[4],
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"distance_pct": r[5],
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"amount": r[6],
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}
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for r in results
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]
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return {"total": total, "limit": limit, "offset": offset, "items": items}
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# Register routers
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app.include_router(stocks.router, prefix="/api/v1")
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app.include_router(kline.router, prefix="/api/v1")
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@@ -1,6 +1,5 @@
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"""FastAPI dependency injection."""
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from ashare_dp.storage.database import get_db
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from ashare_dp.storage.repository import KLineRepository
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@@ -19,7 +19,6 @@ async def list_stocks(
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offset: int = Query(0, ge=0),
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):
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"""List stocks with optional filters."""
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db = get_db()
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conditions = ["1=1"]
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params = []
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@@ -31,6 +30,7 @@ async def list_stocks(
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params.append(market)
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where = " AND ".join(conditions)
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with get_db(read_only=True) as db:
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rows = db.query(
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f"SELECT * FROM stock_info WHERE {where} ORDER BY ts_code LIMIT ? OFFSET ?",
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tuple(params) + (limit, offset),
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@@ -57,7 +57,7 @@ async def list_stocks(
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@router.get("/search")
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async def search_stocks(q: str = Query(..., min_length=1, description="Search query")):
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"""Fuzzy search stocks by name or code."""
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db = get_db()
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with get_db(read_only=True) as db:
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rows = db.query(
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"SELECT * FROM stock_info WHERE name LIKE ? OR symbol LIKE ? OR ts_code LIKE ? LIMIT 50",
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(f"%{q}%", f"%{q}%", f"%{q}%"),
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@@ -78,7 +78,7 @@ async def search_stocks(q: str = Query(..., min_length=1, description="Search qu
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@router.get("/{ts_code}")
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async def get_stock(ts_code: str):
|
||||
"""Get single stock info by ts_code (e.g. '000001.SZ')."""
|
||||
db = get_db()
|
||||
with get_db(read_only=True) as db:
|
||||
row = db.query(
|
||||
"SELECT * FROM stock_info WHERE ts_code = ?",
|
||||
(ts_code,),
|
||||
|
||||
@@ -11,7 +11,6 @@ from loguru import logger
|
||||
from ashare_dp.core.models import BACKFILLABLE_FREQS, INTRADAY_FREQS
|
||||
from ashare_dp.data.akshare_client import AKShareClient
|
||||
from ashare_dp.data.backfill import BackfillPipeline
|
||||
from ashare_dp.storage.database import get_db
|
||||
|
||||
backfill_app = typer.Typer()
|
||||
|
||||
@@ -19,8 +18,6 @@ backfill_app = typer.Typer()
|
||||
@backfill_app.command("init")
|
||||
def init_db():
|
||||
"""Initialize database schema."""
|
||||
db = get_db()
|
||||
db.connect()
|
||||
pipeline = BackfillPipeline()
|
||||
pipeline.init_db()
|
||||
pipeline.load_stock_list()
|
||||
@@ -36,8 +33,6 @@ def backfill_daily(
|
||||
symbols: str = typer.Option(None, help="Comma-separated stock symbols (default: all)"),
|
||||
):
|
||||
"""Backfill daily/weekly/monthly K-line data."""
|
||||
db = get_db()
|
||||
db.connect()
|
||||
|
||||
start_date = datetime.strptime(start, "%Y%m%d").date()
|
||||
end_date = datetime.strptime(end, "%Y%m%d").date() if end else date.today()
|
||||
@@ -70,8 +65,6 @@ def backfill_minute(
|
||||
symbols: str = typer.Option(None, help="Comma-separated stock symbols (default: all)"),
|
||||
):
|
||||
"""Backfill recent minute K-line data (limited API history)."""
|
||||
db = get_db()
|
||||
db.connect()
|
||||
|
||||
sym_list = [s.strip() for s in symbols.split(",")] if symbols else None
|
||||
|
||||
|
||||
@@ -0,0 +1,58 @@
|
||||
"""EOD CLI subcommand: pull end-of-day data."""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
from datetime import date, datetime
|
||||
|
||||
import typer
|
||||
from loguru import logger
|
||||
|
||||
from ashare_dp.core.calendar import BEIJING_TZ
|
||||
from ashare_dp.data.eod import EODPipeline
|
||||
|
||||
eod_app = typer.Typer()
|
||||
|
||||
|
||||
@eod_app.command("pull")
|
||||
def eod_pull(
|
||||
date_str: str = typer.Option(
|
||||
None, "--date", "-d",
|
||||
help="Trade date in YYYY-MM-DD format (default: today in Beijing time)",
|
||||
),
|
||||
daily_only: bool = typer.Option(
|
||||
False, "--daily-only",
|
||||
help="Only pull daily data, skip minute/weekly/monthly",
|
||||
),
|
||||
):
|
||||
"""Pull end-of-day K-line data for all active stocks."""
|
||||
now = datetime.now(BEIJING_TZ)
|
||||
today = now.date()
|
||||
|
||||
if date_str:
|
||||
trade_date = date.fromisoformat(date_str)
|
||||
else:
|
||||
trade_date = today
|
||||
|
||||
# Weekend check
|
||||
if now.weekday() >= 5 and date_str is None:
|
||||
logger.info("Weekend, skipping EOD pull (use --date to force)")
|
||||
return
|
||||
|
||||
logger.info(f"EOD pull: {trade_date.isoformat()}")
|
||||
|
||||
# EOD writes to Parquet files directly (via pipeline), no DuckDB lock needed.
|
||||
pipeline = EODPipeline()
|
||||
|
||||
symbols = pipeline.get_active_symbols()
|
||||
logger.info(f"EOD: {len(symbols)} active stocks")
|
||||
|
||||
# Pull daily
|
||||
pipeline.pull_daily(symbols, trade_date)
|
||||
|
||||
if not daily_only:
|
||||
# Pull minute
|
||||
pipeline.pull_minute(symbols, trade_date)
|
||||
# Derive weekly/monthly
|
||||
pipeline.pull_weekly_monthly(symbols, trade_date)
|
||||
|
||||
logger.info(f"EOD pull complete for {trade_date.isoformat()}")
|
||||
@@ -7,6 +7,8 @@ import typer
|
||||
from ashare_dp.cli.backfill_cmd import backfill_app
|
||||
from ashare_dp.cli.serve_cmd import serve_app
|
||||
from ashare_dp.cli.query_cmd import query_app
|
||||
from ashare_dp.cli.eod_cmd import eod_app
|
||||
from ashare_dp.cli.screening_cmd import screening_app
|
||||
|
||||
app = typer.Typer(
|
||||
name="ashare-dp",
|
||||
@@ -16,6 +18,8 @@ app = typer.Typer(
|
||||
app.add_typer(backfill_app, name="backfill", help="Historical data backfill")
|
||||
app.add_typer(serve_app, name="serve", help="Start API server")
|
||||
app.add_typer(query_app, name="query", help="Ad-hoc data queries")
|
||||
app.add_typer(eod_app, name="eod", help="End-of-day data pull")
|
||||
app.add_typer(screening_app, name="screening", help="Stock screening (EMA52, etc.)")
|
||||
|
||||
|
||||
@app.command()
|
||||
|
||||
@@ -22,9 +22,6 @@ def query_kline(
|
||||
limit: int = typer.Option(100, help="Max records"),
|
||||
):
|
||||
"""Query K-line data from the command line."""
|
||||
db = get_db()
|
||||
db.connect()
|
||||
|
||||
freq_enum = Freq(freq)
|
||||
repo = KLineRepository()
|
||||
|
||||
@@ -48,9 +45,6 @@ def query_latest(
|
||||
ts_code: str = typer.Option(None, help="Stock code (optional)"),
|
||||
):
|
||||
"""Show latest K-line data."""
|
||||
db = get_db()
|
||||
db.connect()
|
||||
|
||||
freq_enum = Freq(freq)
|
||||
repo = KLineRepository()
|
||||
df = repo.get_latest(freq=freq_enum, ts_code=ts_code)
|
||||
@@ -70,9 +64,7 @@ def query_stocks(
|
||||
limit: int = typer.Option(50, help="Max records"),
|
||||
):
|
||||
"""List stocks."""
|
||||
db = get_db()
|
||||
db.connect()
|
||||
|
||||
with get_db(read_only=True) as db:
|
||||
if exchange:
|
||||
rows = db.query(
|
||||
"SELECT ts_code, symbol, name, exchange, market, list_date FROM stock_info WHERE exchange = ? LIMIT ?",
|
||||
@@ -95,14 +87,13 @@ def query_stocks(
|
||||
@query_app.command("stats")
|
||||
def query_stats():
|
||||
"""Show database statistics."""
|
||||
db = get_db()
|
||||
db.connect()
|
||||
repo = KLineRepository()
|
||||
|
||||
typer.echo("\nDatabase Statistics:")
|
||||
typer.echo("-" * 40)
|
||||
|
||||
# Stock count
|
||||
with get_db(read_only=True) as db:
|
||||
n = db.query("SELECT count(*) FROM stock_info")[0][0]
|
||||
typer.echo(f" Stocks: {n}")
|
||||
|
||||
|
||||
@@ -0,0 +1,168 @@
|
||||
"""Screening CLI subcommand: EMA52 scanning and other screens."""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import typer
|
||||
from loguru import logger
|
||||
|
||||
from ashare_dp.storage.database import get_db
|
||||
|
||||
screening_app = typer.Typer()
|
||||
|
||||
|
||||
@screening_app.command("ema52")
|
||||
def ema52(
|
||||
threshold: float = typer.Option(
|
||||
None, "--threshold", "-t",
|
||||
help="EMA52 proximity threshold (e.g. 0.03 = ±3%%). Default from .env",
|
||||
),
|
||||
):
|
||||
"""Run EMA52 screening for 1d and 1w.
|
||||
|
||||
Scans all stocks, computes EMA52 from close prices,
|
||||
and saves results near EMA52 to the ema52_screening table.
|
||||
"""
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
from ashare_dp.config import Settings
|
||||
from ashare_dp.core.models import Freq
|
||||
|
||||
settings = Settings()
|
||||
if threshold is None:
|
||||
threshold = settings.ema52_threshold
|
||||
|
||||
with get_db(read_only=False) as db:
|
||||
# Get all ts_codes and names
|
||||
stocks = db.query(
|
||||
"SELECT ts_code, name FROM stock_info ORDER BY ts_code"
|
||||
)
|
||||
symbols = [row[0] for row in stocks]
|
||||
symbol_names = {row[0]: row[1] for row in stocks}
|
||||
|
||||
logger.info(
|
||||
f"EMA52 screening: {len(symbols)} stocks, "
|
||||
f"threshold=±{threshold * 100:.1f}%"
|
||||
)
|
||||
|
||||
for freq, freq_label, bars_needed in [
|
||||
(Freq.d1, "1d", 100),
|
||||
(Freq.w1, "1w", 60),
|
||||
]:
|
||||
try:
|
||||
from ashare_dp.storage.partitioning import partition_glob
|
||||
glob = partition_glob(freq)
|
||||
sql = f"""
|
||||
WITH ranked AS (
|
||||
SELECT *, ROW_NUMBER() OVER (
|
||||
PARTITION BY ts_code ORDER BY trade_time DESC
|
||||
) as rn
|
||||
FROM read_parquet('{glob}', hive_partitioning=true, union_by_name=true)
|
||||
)
|
||||
SELECT * FROM ranked WHERE rn <= {bars_needed}
|
||||
ORDER BY ts_code, trade_time ASC
|
||||
"""
|
||||
df = _query_parquet(sql)
|
||||
if df.empty:
|
||||
logger.warning(f"EMA52: no data for {freq_label}")
|
||||
continue
|
||||
except Exception as e:
|
||||
logger.error(f"EMA52: failed to read {freq_label}: {e}")
|
||||
continue
|
||||
|
||||
df["trade_time"] = pd.to_datetime(df["trade_time"])
|
||||
df = df.sort_values(["ts_code", "trade_time"])
|
||||
|
||||
results = []
|
||||
for ts_code, group in df.groupby("ts_code"):
|
||||
if ts_code not in symbol_names:
|
||||
continue
|
||||
group = group.tail(bars_needed)
|
||||
if len(group) < 26:
|
||||
continue
|
||||
|
||||
closes = group["close"].astype(float).values
|
||||
ema_values = _compute_ema(closes, 52)
|
||||
if len(ema_values) == 0:
|
||||
continue
|
||||
|
||||
latest_close = closes[-1]
|
||||
latest_ema = ema_values[-1]
|
||||
if latest_ema <= 0:
|
||||
continue
|
||||
distance = (latest_close - latest_ema) / latest_ema
|
||||
|
||||
# Compute daily amount in 亿 CNY
|
||||
latest_amount = float(group["amount"].iloc[-1])
|
||||
amount_yi = latest_amount / 100_000_000 # 元 → 亿
|
||||
|
||||
if abs(distance) <= threshold:
|
||||
results.append({
|
||||
"trade_date": group["trade_date"].iloc[-1],
|
||||
"ts_code": ts_code,
|
||||
"name": symbol_names[ts_code],
|
||||
"freq": freq_label,
|
||||
"close_price": round(latest_close, 2),
|
||||
"ema52": round(latest_ema, 2),
|
||||
"distance_pct": round(distance * 100, 2),
|
||||
"amount": round(amount_yi, 2),
|
||||
})
|
||||
|
||||
if results:
|
||||
# Sort by amount DESC (largest turnover first)
|
||||
results.sort(key=lambda r: r.get("amount", 0) or 0, reverse=True)
|
||||
try:
|
||||
with get_db(read_only=False) as wdb:
|
||||
wdb.conn.execute(
|
||||
"DELETE FROM ema52_screening WHERE freq = ?",
|
||||
[freq_label],
|
||||
)
|
||||
wdb.conn.executemany(
|
||||
"""INSERT INTO ema52_screening
|
||||
(trade_date, ts_code, name, freq, close_price, ema52, distance_pct, amount)
|
||||
VALUES (?, ?, ?, ?, ?, ?, ?, ?)
|
||||
ON CONFLICT (trade_date, ts_code, freq) DO UPDATE SET
|
||||
close_price=excluded.close_price,
|
||||
ema52=excluded.ema52,
|
||||
distance_pct=excluded.distance_pct,
|
||||
amount=excluded.amount,
|
||||
name=excluded.name,
|
||||
updated_at=now()""",
|
||||
[(r["trade_date"], r["ts_code"], r["name"],
|
||||
r["freq"], r["close_price"], r["ema52"], r["distance_pct"], r["amount"])
|
||||
for r in results],
|
||||
)
|
||||
except Exception as e:
|
||||
logger.error(f"EMA52: failed to save {freq_label}: {e}")
|
||||
continue
|
||||
|
||||
logger.info(
|
||||
f"EMA52 {freq_label}: {len(results)} near "
|
||||
f"(±{threshold * 100:.1f}%)"
|
||||
)
|
||||
|
||||
logger.info("EMA52 screening complete")
|
||||
|
||||
|
||||
|
||||
def _query_parquet(sql: str) -> "pd.DataFrame":
|
||||
"""Execute a SQL query against Parquet files using a transient in-memory DuckDB."""
|
||||
import duckdb
|
||||
import pandas as pd
|
||||
conn = duckdb.connect()
|
||||
try:
|
||||
return conn.execute(sql).fetchdf()
|
||||
finally:
|
||||
conn.close()
|
||||
|
||||
|
||||
def _compute_ema(values: "np.ndarray", period: int) -> "np.ndarray":
|
||||
"""Compute EMA for a 1D array of values."""
|
||||
import numpy as np
|
||||
if len(values) < period:
|
||||
return np.array([])
|
||||
alpha = 2.0 / (period + 1)
|
||||
ema = np.zeros(len(values))
|
||||
ema[period - 1] = np.mean(values[:period])
|
||||
for i in range(period, len(values)):
|
||||
ema[i] = alpha * values[i] + (1 - alpha) * ema[i - 1]
|
||||
return ema
|
||||
@@ -28,6 +28,11 @@ class Settings(BaseSettings):
|
||||
# Realtime
|
||||
realtime_poll_interval: int = 5
|
||||
|
||||
# EMA52 screening
|
||||
ema52_threshold: float = 0.03
|
||||
ema52_amount_min: float = 25.0 # 最低日成交额（亿元）
|
||||
ema52_amount_max: float = 35.0 # 最高日成交额（亿元）
|
||||
|
||||
# Logging
|
||||
log_level: str = "INFO"
|
||||
|
||||
|
||||
+192
-66
@@ -9,9 +9,12 @@ from __future__ import annotations
|
||||
import time
|
||||
from concurrent.futures import ThreadPoolExecutor, as_completed
|
||||
from datetime import date, datetime, timedelta
|
||||
from pathlib import Path
|
||||
from typing import Optional
|
||||
|
||||
import pandas as pd
|
||||
import pyarrow as pa
|
||||
import pyarrow.parquet as pq
|
||||
from loguru import logger
|
||||
|
||||
from ashare_dp.config import Settings
|
||||
@@ -23,7 +26,8 @@ from ashare_dp.core.models import (
|
||||
)
|
||||
from ashare_dp.data.akshare_client import AKShareClient
|
||||
from ashare_dp.storage.database import get_db
|
||||
from ashare_dp.storage.repository import KLineRepository
|
||||
from ashare_dp.storage.repository import KLineRepository, _standardize_df
|
||||
from ashare_dp.storage.partitioning import partition_glob
|
||||
|
||||
settings = Settings()
|
||||
|
||||
@@ -74,6 +78,16 @@ LEGACY_MIN_COLUMN_MAPPING = {
|
||||
REQUIRED_COLS = ["ts_code", "trade_time", "open", "high", "low", "close", "volume", "amount"]
|
||||
|
||||
|
||||
def _to_ts_code(symbol: str) -> str:
|
||||
"""Convert 6-digit symbol to ts_code with exchange suffix."""
|
||||
code = str(symbol).zfill(6)
|
||||
if code.startswith(("4", "8")) or code.startswith("92"):
|
||||
return f"{code}.BJ"
|
||||
elif code.startswith("6") or code.startswith("9"):
|
||||
return f"{code}.SH"
|
||||
return f"{code}.SZ"
|
||||
|
||||
|
||||
def _normalize_hist_df(df: pd.DataFrame, symbol: str, freq: Freq) -> pd.DataFrame:
|
||||
"""Normalize daily K-line output to standard K-line schema."""
|
||||
df = df.copy()
|
||||
@@ -89,7 +103,7 @@ def _normalize_hist_df(df: pd.DataFrame, symbol: str, freq: Freq) -> pd.DataFram
|
||||
break
|
||||
|
||||
if "ts_code" not in df.columns:
|
||||
df["ts_code"] = symbol
|
||||
df["ts_code"] = _to_ts_code(symbol)
|
||||
|
||||
if "trade_time" in df.columns:
|
||||
df["trade_time"] = pd.to_datetime(df["trade_time"])
|
||||
@@ -121,7 +135,7 @@ def _normalize_min_df(df: pd.DataFrame, symbol: str) -> pd.DataFrame:
|
||||
break
|
||||
|
||||
if "ts_code" not in df.columns:
|
||||
df["ts_code"] = symbol
|
||||
df["ts_code"] = _to_ts_code(symbol)
|
||||
|
||||
if "trade_time" in df.columns:
|
||||
df["trade_time"] = pd.to_datetime(df["trade_time"])
|
||||
@@ -175,6 +189,19 @@ def _resample_daily_to_period(df: pd.DataFrame, freq: Freq) -> pd.DataFrame:
|
||||
return result
|
||||
|
||||
|
||||
def _code_to_ts_code(code: str) -> str:
|
||||
"""Convert bare 6-digit code to ts_code format: '000001' -> '000001.SZ'."""
|
||||
code = str(code).zfill(6)
|
||||
if code.startswith(("4", "8")) or code.startswith("92"):
|
||||
return f"{code}.BJ"
|
||||
elif code.startswith("6") or code.startswith("9"):
|
||||
return f"{code}.SH"
|
||||
return f"{code}.SZ"
|
||||
|
||||
|
||||
WRITE_BATCH = 500 # Write to disk every N stocks to limit memory
|
||||
|
||||
|
||||
class BackfillPipeline:
|
||||
"""Orchestrates historical data backfill."""
|
||||
|
||||
@@ -187,16 +214,16 @@ class BackfillPipeline:
|
||||
self.client = client or AKShareClient()
|
||||
self.repo = repo or KLineRepository()
|
||||
self.max_workers = max_workers or settings.backfill_workers
|
||||
self._db = get_db()
|
||||
|
||||
def init_db(self):
|
||||
"""Initialize database schema (tables and views)."""
|
||||
from ashare_dp.storage.schema import DDL_STATEMENTS
|
||||
|
||||
logger.info("Initializing database schema...")
|
||||
with get_db(read_only=False) as db:
|
||||
for ddl in DDL_STATEMENTS:
|
||||
try:
|
||||
self._db.execute(ddl)
|
||||
db.execute(ddl)
|
||||
except Exception as e:
|
||||
logger.warning(f"DDL warning: {e}")
|
||||
logger.info("Database schema initialized")
|
||||
@@ -230,11 +257,30 @@ class BackfillPipeline:
|
||||
df["ts_code"] = df["symbol"].apply(_make_ts_code)
|
||||
df["exchange"] = df["ts_code"].str[-2:]
|
||||
|
||||
# Upsert into DuckDB
|
||||
# Upsert into DuckDB (batch insert, not row-by-row)
|
||||
if "ts_code" in df.columns and "symbol" in df.columns:
|
||||
import duckdb
|
||||
try:
|
||||
with get_db(read_only=False) as db:
|
||||
# Build column arrays for bulk insert
|
||||
ts_codes = df["ts_code"].tolist()
|
||||
symbols = df["symbol"].astype(str).tolist()
|
||||
names = df["name"].astype(str).tolist()
|
||||
exchanges = df["exchange"].tolist()
|
||||
db.conn.execute("""
|
||||
INSERT OR REPLACE INTO stock_info (ts_code, symbol, name, exchange, updated_at)
|
||||
SELECT ts_code, symbol, name, exchange, now()
|
||||
FROM (SELECT UNNEST($1::VARCHAR[]) AS ts_code,
|
||||
UNNEST($2::VARCHAR[]) AS symbol,
|
||||
UNNEST($3::VARCHAR[]) AS name,
|
||||
UNNEST($4::VARCHAR[]) AS exchange)
|
||||
""", [ts_codes, symbols, names, exchanges])
|
||||
except Exception as e:
|
||||
logger.warning(f"Batch stock_info insert failed ({e}), falling back to row-by-row")
|
||||
with get_db(read_only=False) as db2:
|
||||
for _, row in df.iterrows():
|
||||
try:
|
||||
self._db.execute("""
|
||||
db2.execute("""
|
||||
INSERT OR REPLACE INTO stock_info (ts_code, symbol, name, exchange, updated_at)
|
||||
VALUES (?, ?, ?, ?, CURRENT_TIMESTAMP)
|
||||
""", (
|
||||
@@ -260,18 +306,31 @@ class BackfillPipeline:
|
||||
|
||||
df["trade_date"] = pd.to_datetime(df["trade_date"]).dt.date
|
||||
|
||||
# Batch insert into DuckDB
|
||||
dates = [d for d in df["trade_date"]]
|
||||
weekdays = [d.weekday() for d in dates]
|
||||
years = [d.year for d in dates]
|
||||
months = [d.month for d in dates]
|
||||
try:
|
||||
with get_db(read_only=False) as db:
|
||||
db.conn.execute("""
|
||||
INSERT OR REPLACE INTO trading_calendar (trade_date, is_trading_day, week_day, year, month)
|
||||
SELECT trade_date, 1, week_day, year, month
|
||||
FROM (SELECT UNNEST($1::DATE[]) AS trade_date,
|
||||
UNNEST($2::INTEGER[]) AS week_day,
|
||||
UNNEST($3::INTEGER[]) AS year,
|
||||
UNNEST($4::INTEGER[]) AS month)
|
||||
""", [dates, weekdays, years, months])
|
||||
except Exception as e:
|
||||
logger.warning(f"Batch trading_calendar insert failed ({e}), falling back to row-by-row")
|
||||
with get_db(read_only=False) as db2:
|
||||
for _, row in df.iterrows():
|
||||
d = row["trade_date"]
|
||||
try:
|
||||
self._db.execute("""
|
||||
db2.execute("""
|
||||
INSERT OR REPLACE INTO trading_calendar (trade_date, is_trading_day, week_day, year, month)
|
||||
VALUES (?, 1, ?, ?, ?)
|
||||
""", (
|
||||
d,
|
||||
d.weekday(),
|
||||
d.year,
|
||||
d.month,
|
||||
))
|
||||
""", (d, d.weekday(), d.year, d.month))
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
@@ -288,6 +347,9 @@ class BackfillPipeline:
|
||||
Daily data is fetched from Sina API. Weekly and monthly are
|
||||
derived by resampling the daily data.
|
||||
|
||||
Data is written in batches (every WRITE_BATCH stocks) to avoid
|
||||
holding all 5500+ stocks in memory at once.
|
||||
|
||||
Args:
|
||||
symbols: List of stock symbols (e.g. ['000001', '600000']).
|
||||
If None, backfills all stocks from stock_info.
|
||||
@@ -320,7 +382,27 @@ class BackfillPipeline:
|
||||
logger.info("Backfilling 1d (daily) from Sina...")
|
||||
completed = 0
|
||||
failed = 0
|
||||
all_daily_frames = []
|
||||
total_records = 0
|
||||
batch_frames = []
|
||||
temp_dir = Path(settings.parquet_dir) / ".tmp_daily"
|
||||
temp_dir.mkdir(parents=True, exist_ok=True)
|
||||
batch_idx = 0
|
||||
|
||||
def _flush_batch():
|
||||
nonlocal total_records, batch_idx
|
||||
if batch_frames:
|
||||
chunk = pd.concat(batch_frames, ignore_index=True)
|
||||
# Standardize: add freq, keep only standard columns
|
||||
chunk["freq"] = Freq.d1.value
|
||||
# Convert bare codes (000001) to ts_code format (000001.SZ)
|
||||
chunk["ts_code"] = chunk["ts_code"].astype(str).apply(_code_to_ts_code)
|
||||
chunk = _standardize_df(chunk)
|
||||
total_records += len(chunk)
|
||||
table = pa.Table.from_pandas(chunk, preserve_index=False)
|
||||
pq.write_table(table, str(temp_dir / f"batch_{batch_idx:04d}.parquet"), compression="zstd", compression_level=3)
|
||||
logger.debug(f" Flushed batch {batch_idx}: {len(chunk)} rows")
|
||||
batch_idx += 1
|
||||
batch_frames.clear()
|
||||
|
||||
def _backfill_daily(symbol: str):
|
||||
try:
|
||||
@@ -348,22 +430,47 @@ class BackfillPipeline:
|
||||
try:
|
||||
df = future.result()
|
||||
if df is not None and not df.empty:
|
||||
all_daily_frames.append(df)
|
||||
batch_frames.append(df)
|
||||
completed += 1
|
||||
except Exception:
|
||||
failed += 1
|
||||
|
||||
if len(batch_frames) >= WRITE_BATCH:
|
||||
_flush_batch()
|
||||
|
||||
if (completed + failed) % 100 == 0:
|
||||
logger.info(
|
||||
f" 1d: {completed + failed}/{len(symbols)} "
|
||||
f"({completed} ok, {failed} fail)"
|
||||
)
|
||||
|
||||
# Batch write all daily data at once
|
||||
total_records = 0
|
||||
if all_daily_frames:
|
||||
combined = pd.concat(all_daily_frames, ignore_index=True)
|
||||
total_records = self.repo.write_klines(combined, Freq.d1)
|
||||
_flush_batch()
|
||||
|
||||
# Merge all temp batches into final Hive-partitioned output
|
||||
if batch_idx > 0:
|
||||
logger.info(f"Merging {batch_idx} temp batches into final parquet...")
|
||||
t0 = time.monotonic()
|
||||
temp_glob = str(temp_dir / "batch_*.parquet")
|
||||
copy_conn = duckdb.connect()
|
||||
copy_conn.execute(f"""
|
||||
COPY (
|
||||
SELECT *,
|
||||
YEAR(trade_date) AS year,
|
||||
MONTH(trade_date) AS month,
|
||||
DAY(trade_date) AS day
|
||||
FROM read_parquet('{temp_glob}', union_by_name=true)
|
||||
ORDER BY trade_date, ts_code
|
||||
) TO '{settings.parquet_dir}/kline_{Freq.d1.storage_dir}'
|
||||
(FORMAT PARQUET, COMPRESSION ZSTD, COMPRESSION_LEVEL 3,
|
||||
PARTITION_BY (year, month, day),
|
||||
OVERWRITE_OR_IGNORE true, FILENAME_PATTERN 'data_{{i}}')
|
||||
""")
|
||||
copy_conn.close()
|
||||
# Clean up temp files
|
||||
import shutil
|
||||
shutil.rmtree(temp_dir, ignore_errors=True)
|
||||
elapsed = time.monotonic() - t0
|
||||
logger.info(f" Merged in {elapsed:.1f}s")
|
||||
|
||||
results[Freq.d1.value] = {
|
||||
"records": total_records,
|
||||
@@ -393,56 +500,64 @@ class BackfillPipeline:
|
||||
end_str: str,
|
||||
results: dict,
|
||||
):
|
||||
"""Derive weekly/monthly K-lines from stored daily data.
|
||||
"""Derive weekly/monthly K-lines from daily data using DuckDB SQL.
|
||||
|
||||
Reads daily data for all symbols, resamples, and writes in batch
|
||||
to avoid file overwrite issues with the grouped-per-day write strategy.
|
||||
Reads ALL daily parquet files in a single DuckDB scan,
|
||||
groups by ts_code + truncated date, and aggregates.
|
||||
Much faster than per-stock queries — avoids 5500+ individual reads.
|
||||
"""
|
||||
total_records = 0
|
||||
completed = 0
|
||||
failed = 0
|
||||
all_frames = []
|
||||
if freq == Freq.w1:
|
||||
trunc = "week"
|
||||
elif freq == Freq.M1:
|
||||
trunc = "month"
|
||||
else:
|
||||
raise ValueError(f"Unsupported derive frequency: {freq}")
|
||||
|
||||
for symbol in symbols:
|
||||
parquet_glob = partition_glob(Freq.d1)
|
||||
|
||||
sql = f"""
|
||||
SELECT
|
||||
ts_code,
|
||||
date_trunc('{trunc}', trade_time) AS trade_time,
|
||||
CAST(date_trunc('{trunc}', trade_time) AS DATE) AS trade_date,
|
||||
FIRST(open ORDER BY trade_time) AS open,
|
||||
MAX(high) AS high,
|
||||
MIN(low) AS low,
|
||||
LAST(close ORDER BY trade_time) AS close,
|
||||
SUM(volume) AS volume,
|
||||
SUM(amount) AS amount
|
||||
FROM read_parquet('{parquet_glob}',
|
||||
hive_partitioning=true, union_by_name=true)
|
||||
GROUP BY ts_code, date_trunc('{trunc}', trade_time)
|
||||
ORDER BY ts_code, trade_time
|
||||
"""
|
||||
|
||||
logger.info(f"Deriving {freq.value} with single DuckDB scan...")
|
||||
t0 = time.monotonic()
|
||||
try:
|
||||
df = self.repo.read_klines(
|
||||
freq=Freq.d1,
|
||||
ts_code=symbol,
|
||||
start_date=date.fromisoformat(
|
||||
pd.Timestamp(start_str).strftime("%Y-%m-%d")
|
||||
) if len(start_str) == 8 else date.fromisoformat(start_str),
|
||||
end_date=date.fromisoformat(
|
||||
pd.Timestamp(end_str).strftime("%Y-%m-%d")
|
||||
) if len(end_str) == 8 else date.fromisoformat(end_str),
|
||||
limit=1_000_000,
|
||||
)
|
||||
if df is not None and not df.empty:
|
||||
df = _resample_daily_to_period(df, freq)
|
||||
all_frames.append(df)
|
||||
completed += 1
|
||||
derive_conn = duckdb.connect()
|
||||
df = derive_conn.execute(sql).fetchdf()
|
||||
derive_conn.close()
|
||||
except Exception as e:
|
||||
logger.error(f"Failed derive {freq.value} for {symbol}: {e}")
|
||||
failed += 1
|
||||
logger.error(f"DuckDB derive {freq.value} failed: {e}")
|
||||
results[freq.value] = {"records": 0, "completed": 0, "failed": len(symbols)}
|
||||
return
|
||||
|
||||
if (completed + failed) % 500 == 0:
|
||||
logger.info(
|
||||
f" {freq.value}: {completed + failed}/{len(symbols)} "
|
||||
f"({completed} ok, {failed} fail)"
|
||||
)
|
||||
elapsed = time.monotonic() - t0
|
||||
logger.info(f" Aggregated {len(df)} rows in {elapsed:.1f}s")
|
||||
|
||||
# Batch write all derived data at once
|
||||
if all_frames:
|
||||
combined = pd.concat(all_frames, ignore_index=True)
|
||||
total_records = self.repo.write_klines(combined, freq)
|
||||
if df.empty:
|
||||
results[freq.value] = {"records": 0, "completed": 0, "failed": 0}
|
||||
return
|
||||
|
||||
total_records = self.repo.write_klines(df, freq)
|
||||
results[freq.value] = {
|
||||
"records": total_records,
|
||||
"completed": completed,
|
||||
"failed": failed,
|
||||
"completed": len(symbols),
|
||||
"failed": 0,
|
||||
}
|
||||
logger.info(
|
||||
f" {freq.value} done: {total_records} records, "
|
||||
f"{completed} stocks ok, {failed} failed"
|
||||
f" {freq.value} done: {total_records} records"
|
||||
)
|
||||
|
||||
def backfill_minute(
|
||||
@@ -485,7 +600,15 @@ class BackfillPipeline:
|
||||
|
||||
completed = 0
|
||||
failed = 0
|
||||
all_min_frames = []
|
||||
total_records = 0
|
||||
batch_frames = []
|
||||
|
||||
def _write_min_batch():
|
||||
nonlocal total_records
|
||||
if batch_frames:
|
||||
chunk = pd.concat(batch_frames, ignore_index=True)
|
||||
total_records += self.repo.write_klines(chunk, freq)
|
||||
batch_frames.clear()
|
||||
|
||||
def _backfill_min(symbol: str):
|
||||
try:
|
||||
@@ -512,22 +635,25 @@ class BackfillPipeline:
|
||||
try:
|
||||
df = future.result()
|
||||
if df is not None and not df.empty:
|
||||
all_min_frames.append(df)
|
||||
batch_frames.append(df)
|
||||
completed += 1
|
||||
except Exception:
|
||||
failed += 1
|
||||
|
||||
# Write batch every WRITE_BATCH stocks
|
||||
if len(batch_frames) >= WRITE_BATCH:
|
||||
_write_min_batch()
|
||||
|
||||
if (completed + failed) % 100 == 0:
|
||||
logger.info(
|
||||
f" {freq.value}: {completed + failed}/{len(symbols)} "
|
||||
f"({completed} ok, {failed} fail)"
|
||||
)
|
||||
|
||||
# Batch write all data for this frequency at once
|
||||
total_records = 0
|
||||
if all_min_frames:
|
||||
combined = pd.concat(all_min_frames, ignore_index=True)
|
||||
total_records = self.repo.write_klines(combined, freq)
|
||||
# Write remaining for this frequency
|
||||
if batch_frames:
|
||||
chunk = pd.concat(batch_frames, ignore_index=True)
|
||||
total_records += self.repo.write_klines(chunk, freq)
|
||||
|
||||
results[freq.value] = {
|
||||
"records": total_records,
|
||||
|
||||
@@ -75,3 +75,147 @@ async def health_check_job():
|
||||
|
||||
# Import at bottom to avoid circular
|
||||
from ashare_dp.core.models import Freq
|
||||
|
||||
|
||||
async def ema52_screening_job():
|
||||
"""EOD EMA52 screening: find stocks near EMA52 for 1d and 1w.
|
||||
|
||||
Triggered after EOD data pull. Scans all stocks, computes EMA52
|
||||
from close prices, and saves results to ema52_screening table.
|
||||
"""
|
||||
from ashare_dp.config import Settings
|
||||
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
from ashare_dp.storage.database import get_db
|
||||
|
||||
settings = Settings()
|
||||
threshold = settings.ema52_threshold
|
||||
db = get_db()
|
||||
|
||||
# Get all ts_codes and names
|
||||
stocks = db.query(
|
||||
"SELECT ts_code, name FROM stock_info ORDER BY ts_code"
|
||||
)
|
||||
symbols = [row[0] for row in stocks]
|
||||
symbol_names = {row[0]: row[1] for row in stocks}
|
||||
|
||||
logger.info(
|
||||
f"EMA52 screening: {len(symbols)} stocks, "
|
||||
f"threshold=±{threshold * 100:.1f}%"
|
||||
)
|
||||
|
||||
for freq, freq_label, bars_needed in [
|
||||
(Freq.d1, "1d", 100),
|
||||
(Freq.w1, "1w", 60),
|
||||
]:
|
||||
try:
|
||||
from ashare_dp.storage.partitioning import partition_glob
|
||||
glob = partition_glob(freq)
|
||||
# Get last N bars per stock using ROW_NUMBER()
|
||||
sql = f"""
|
||||
WITH ranked AS (
|
||||
SELECT *, ROW_NUMBER() OVER (
|
||||
PARTITION BY ts_code ORDER BY trade_time DESC
|
||||
) as rn
|
||||
FROM read_parquet('{glob}', hive_partitioning=true, union_by_name=true)
|
||||
)
|
||||
SELECT * FROM ranked WHERE rn <= {bars_needed}
|
||||
ORDER BY ts_code, trade_time ASC
|
||||
"""
|
||||
df = db.conn.execute(sql).fetchdf()
|
||||
if df.empty:
|
||||
logger.warning(f"EMA52: no data for {freq_label}")
|
||||
continue
|
||||
except Exception as e:
|
||||
logger.error(f"EMA52: failed to read {freq_label}: {e}")
|
||||
continue
|
||||
|
||||
df["trade_time"] = pd.to_datetime(df["trade_time"])
|
||||
df = df.sort_values(["ts_code", "trade_time"])
|
||||
|
||||
# Get last N bars per stock, compute EMA52
|
||||
results = []
|
||||
for ts_code, group in df.groupby("ts_code"):
|
||||
if ts_code not in symbol_names:
|
||||
continue
|
||||
group = group.tail(bars_needed)
|
||||
if len(group) < 26:
|
||||
continue
|
||||
|
||||
closes = group["close"].astype(float).values
|
||||
# Compute EMA52
|
||||
ema_values = _compute_ema(closes, 52)
|
||||
if len(ema_values) == 0:
|
||||
continue
|
||||
|
||||
latest_close = closes[-1]
|
||||
latest_ema = ema_values[-1]
|
||||
if latest_ema <= 0:
|
||||
continue
|
||||
distance = (latest_close - latest_ema) / latest_ema
|
||||
|
||||
# Compute daily amount in 亿 CNY
|
||||
latest_amount = float(group["amount"].iloc[-1])
|
||||
amount_yi = latest_amount / 100_000_000 # 元 → 亿
|
||||
|
||||
if abs(distance) <= threshold:
|
||||
results.append({
|
||||
"trade_date": group["trade_date"].iloc[-1],
|
||||
"ts_code": ts_code,
|
||||
"name": symbol_names[ts_code],
|
||||
"freq": freq_label,
|
||||
"close_price": round(latest_close, 2),
|
||||
"ema52": round(latest_ema, 2),
|
||||
"distance_pct": round(distance * 100, 2),
|
||||
"amount": round(amount_yi, 2),
|
||||
})
|
||||
|
||||
if results:
|
||||
# Sort by amount DESC (largest turnover first)
|
||||
results.sort(key=lambda r: r.get("amount", 0) or 0, reverse=True)
|
||||
# Upsert: delete old then insert
|
||||
try:
|
||||
db.conn.execute(
|
||||
"DELETE FROM ema52_screening WHERE freq = ?",
|
||||
[freq_label],
|
||||
)
|
||||
db.conn.executemany(
|
||||
"""INSERT INTO ema52_screening
|
||||
(trade_date, ts_code, name, freq, close_price, ema52, distance_pct, amount)
|
||||
VALUES (?, ?, ?, ?, ?, ?, ?, ?)
|
||||
ON CONFLICT (trade_date, ts_code, freq) DO UPDATE SET
|
||||
close_price=excluded.close_price,
|
||||
ema52=excluded.ema52,
|
||||
distance_pct=excluded.distance_pct,
|
||||
amount=excluded.amount,
|
||||
name=excluded.name,
|
||||
updated_at=now()""",
|
||||
[(r["trade_date"], r["ts_code"], r["name"],
|
||||
r["freq"], r["close_price"], r["ema52"], r["distance_pct"], r["amount"])
|
||||
for r in results],
|
||||
)
|
||||
except Exception as e:
|
||||
logger.error(f"EMA52: failed to save {freq_label}: {e}")
|
||||
continue
|
||||
|
||||
near = [r for r in results if abs(r["distance_pct"]) <= threshold * 100]
|
||||
logger.info(
|
||||
f"EMA52 {freq_label}: {len(results)} near "
|
||||
f"(±{threshold * 100:.1f}%), {len(near)} within threshold"
|
||||
)
|
||||
|
||||
logger.info("EMA52 screening complete")
|
||||
|
||||
|
||||
def _compute_ema(values: "np.ndarray", period: int) -> "np.ndarray":
|
||||
"""Compute EMA for a 1D array of values."""
|
||||
import numpy as np
|
||||
if len(values) < period:
|
||||
return np.array([])
|
||||
alpha = 2.0 / (period + 1)
|
||||
ema = np.zeros(len(values))
|
||||
ema[period - 1] = np.mean(values[:period])
|
||||
for i in range(period, len(values)):
|
||||
ema[i] = alpha * values[i] + (1 - alpha) * ema[i - 1]
|
||||
return ema
|
||||
|
||||
@@ -19,7 +19,7 @@ class Scheduler:
|
||||
|
||||
def start(self):
|
||||
"""Start the scheduler and register jobs."""
|
||||
from ashare_dp.scheduler.jobs import eod_pull_job, health_check_job
|
||||
from ashare_dp.scheduler.jobs import eod_pull_job, ema52_screening_job, health_check_job
|
||||
|
||||
# EOD job: 15:05 Beijing time, Mon-Fri
|
||||
self._scheduler.add_job(
|
||||
@@ -48,8 +48,22 @@ class Scheduler:
|
||||
replace_existing=True,
|
||||
)
|
||||
|
||||
# EMA52 screening: 15:10 Beijing time, Mon-Fri (after EOD pull)
|
||||
self._scheduler.add_job(
|
||||
ema52_screening_job,
|
||||
trigger=CronTrigger(
|
||||
day_of_week="mon-fri",
|
||||
hour=15,
|
||||
minute=10,
|
||||
timezone=BEIJING_TZ,
|
||||
),
|
||||
id="ema52_screening",
|
||||
name="EMA52 screening",
|
||||
replace_existing=True,
|
||||
)
|
||||
|
||||
self._scheduler.start()
|
||||
logger.info("Scheduler started with EOD (15:05 Mon-Fri) + health check (08:00 daily)")
|
||||
logger.info("Scheduler started with EOD (15:05) + EMA52 (15:10) + health check (08:00)")
|
||||
|
||||
def shutdown(self):
|
||||
"""Shut down the scheduler."""
|
||||
|
||||
@@ -1,14 +1,15 @@
|
||||
"""DuckDB connection management.
|
||||
|
||||
Uses a module-level connection. DuckDB connections are not thread-safe,
|
||||
so all operations are serialized through a threading lock for writes.
|
||||
Connections are short-lived: open, query, close. No persistent connection
|
||||
so that the API process (read-only) and EOD process (write) can coexist
|
||||
without lock contention.
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import threading
|
||||
from contextlib import contextmanager
|
||||
from pathlib import Path
|
||||
from typing import Optional
|
||||
from typing import Iterator, Optional
|
||||
|
||||
import duckdb
|
||||
from loguru import logger
|
||||
@@ -17,16 +18,14 @@ from ashare_dp.config import Settings
|
||||
|
||||
settings = Settings()
|
||||
|
||||
# Module-level lock for write serialization
|
||||
_write_lock = threading.Lock()
|
||||
|
||||
|
||||
class Database:
|
||||
"""Manages a persistent DuckDB connection."""
|
||||
"""Short-lived DuckDB connection. Use as context manager."""
|
||||
|
||||
def __init__(self, db_path: str | None = None):
|
||||
def __init__(self, db_path: str | None = None, read_only: bool = False):
|
||||
self.db_path = str(db_path or settings.duckdb_path)
|
||||
self._conn: Optional[duckdb.DuckDBPyConnection] = None
|
||||
self._read_only = read_only
|
||||
|
||||
@property
|
||||
def conn(self) -> duckdb.DuckDBPyConnection:
|
||||
@@ -35,11 +34,14 @@ class Database:
|
||||
self.connect()
|
||||
return self._conn
|
||||
|
||||
@property
|
||||
def read_only(self) -> bool:
|
||||
return self._read_only
|
||||
|
||||
def connect(self) -> duckdb.DuckDBPyConnection:
|
||||
"""Open a persistent connection to the DuckDB database."""
|
||||
"""Open a connection to the DuckDB database."""
|
||||
Path(self.db_path).parent.mkdir(parents=True, exist_ok=True)
|
||||
self._conn = duckdb.connect(self.db_path)
|
||||
logger.info(f"Connected to DuckDB: {self.db_path}")
|
||||
self._conn = duckdb.connect(self.db_path, read_only=self._read_only)
|
||||
return self._conn
|
||||
|
||||
def close(self):
|
||||
@@ -47,7 +49,6 @@ class Database:
|
||||
if self._conn is not None:
|
||||
self._conn.close()
|
||||
self._conn = None
|
||||
logger.info("DuckDB connection closed")
|
||||
|
||||
def execute(self, sql: str, params: tuple | None = None):
|
||||
"""Execute a SQL statement."""
|
||||
@@ -74,25 +75,27 @@ class Database:
|
||||
).fetchone()
|
||||
return result[0] > 0
|
||||
|
||||
def write_lock(self):
|
||||
"""Acquire the write lock (use as context manager)."""
|
||||
return _write_lock
|
||||
|
||||
def __enter__(self):
|
||||
self.connect()
|
||||
return self
|
||||
|
||||
def __exit__(self, *args):
|
||||
self.close()
|
||||
|
||||
|
||||
# Global database instance
|
||||
_db: Optional[Database] = None
|
||||
@contextmanager
|
||||
def get_db(read_only: bool = True) -> Iterator[Database]:
|
||||
"""Get a short-lived DuckDB connection.
|
||||
|
||||
Opens, yields, and closes. No persistent singleton.
|
||||
Use as context manager: `with get_db() as db: ...`
|
||||
|
||||
def get_db() -> Database:
|
||||
"""Get or create the global database instance."""
|
||||
global _db
|
||||
if _db is None:
|
||||
_db = Database()
|
||||
_db.connect()
|
||||
return _db
|
||||
Default read_only=True for API queries.
|
||||
Pass read_only=False for EOD/screening writes.
|
||||
"""
|
||||
db = Database(read_only=read_only)
|
||||
try:
|
||||
db.connect()
|
||||
yield db
|
||||
finally:
|
||||
db.close()
|
||||
|
||||
@@ -6,6 +6,7 @@ from datetime import date, datetime
|
||||
from pathlib import Path
|
||||
from typing import Optional
|
||||
|
||||
import duckdb
|
||||
import pandas as pd
|
||||
import pyarrow as pa
|
||||
import pyarrow.parquet as pq
|
||||
@@ -46,7 +47,17 @@ class KLineRepository:
|
||||
"""Read/write K-line data from/to Parquet files."""
|
||||
|
||||
def __init__(self):
|
||||
self._db = get_db()
|
||||
pass
|
||||
|
||||
def _query_parquet(self, sql: str, params: tuple | None = None) -> pd.DataFrame:
|
||||
"""Execute a SQL query against Parquet files using a transient DuckDB."""
|
||||
conn = duckdb.connect()
|
||||
try:
|
||||
if params:
|
||||
return conn.execute(sql, params).fetchdf()
|
||||
return conn.execute(sql).fetchdf()
|
||||
finally:
|
||||
conn.close()
|
||||
|
||||
# ---- Write ----
|
||||
|
||||
@@ -81,31 +92,21 @@ class KLineRepository:
|
||||
df = _standardize_df(df)
|
||||
|
||||
# Determine partition date
|
||||
if "trade_date" not in df.columns and partition_date is None:
|
||||
raise StorageError("DataFrame must have 'trade_date' column or partition_date must be provided")
|
||||
if partition_date is None:
|
||||
if "trade_date" not in df.columns:
|
||||
raise StorageError("No trade_date column and no partition_date provided")
|
||||
partition_date = pd.to_datetime(df["trade_date"].iloc[0]).date()
|
||||
|
||||
records_written = 0
|
||||
# Ensure partition directory
|
||||
pdir = ensure_partition_dir(freq, partition_date)
|
||||
fpath = pdir / "data.parquet"
|
||||
|
||||
if partition_date is not None:
|
||||
# Single date: all records go to one file
|
||||
partition_dir = ensure_partition_dir(freq, partition_date)
|
||||
file_path = partition_dir / "data.parquet"
|
||||
table = pa.Table.from_pandas(df, preserve_index=False)
|
||||
pq.write_table(table, str(file_path), **PARQUET_WRITE_OPTIONS)
|
||||
records_written = len(df)
|
||||
else:
|
||||
# Group by trade_date, one file per day
|
||||
df["_pd"] = pd.to_datetime(df["trade_date"]).dt.date
|
||||
for d, group in df.groupby("_pd"):
|
||||
group = group.drop(columns=["_pd"])
|
||||
partition_dir = ensure_partition_dir(freq, d)
|
||||
file_path = partition_dir / "data.parquet"
|
||||
table = pa.Table.from_pandas(group, preserve_index=False)
|
||||
pq.write_table(table, str(file_path), **PARQUET_WRITE_OPTIONS)
|
||||
records_written += len(group)
|
||||
# Write Parquet
|
||||
table = pa.Table.from_pandas(df)
|
||||
pq.write_table(table, str(fpath), **PARQUET_WRITE_OPTIONS)
|
||||
|
||||
logger.debug(f"Wrote {records_written} records to kline_{freq.storage_dir}")
|
||||
return records_written
|
||||
logger.debug(f"Wrote {len(df)} records to {fpath}")
|
||||
return len(df)
|
||||
|
||||
# ---- Read ----
|
||||
|
||||
@@ -118,25 +119,27 @@ class KLineRepository:
|
||||
limit: int = 10000,
|
||||
offset: int = 0,
|
||||
) -> pd.DataFrame:
|
||||
"""Read K-line data from Parquet files."""
|
||||
"""Read K-line data from Parquet files.
|
||||
|
||||
Uses DuckDB read_parquet() with Hive partitioning.
|
||||
For derived 2h freq, computes from 1h data.
|
||||
"""
|
||||
if freq == Freq.h2:
|
||||
return self._read_2h(ts_code, start_date, end_date, limit, offset)
|
||||
|
||||
glob = partition_glob(freq)
|
||||
parquet_path = Path(settings.parquet_dir) / f"kline_{freq.storage_dir}"
|
||||
if not parquet_path.exists():
|
||||
return pd.DataFrame(columns=STANDARD_COLS)
|
||||
|
||||
conditions = []
|
||||
params = []
|
||||
|
||||
if ts_code:
|
||||
conditions.append(f"ts_code = ${len(params) + 1}")
|
||||
conditions.append("ts_code = ?")
|
||||
params.append(ts_code)
|
||||
if start_date:
|
||||
conditions.append(f"trade_date >= ${len(params) + 1}")
|
||||
conditions.append("trade_date >= ?")
|
||||
params.append(start_date.isoformat())
|
||||
if end_date:
|
||||
conditions.append(f"trade_date <= ${len(params) + 1}")
|
||||
conditions.append("trade_date <= ?")
|
||||
params.append(end_date.isoformat())
|
||||
|
||||
where_clause = ""
|
||||
@@ -150,7 +153,7 @@ class KLineRepository:
|
||||
LIMIT {limit} OFFSET {offset}
|
||||
"""
|
||||
try:
|
||||
return self._db.conn.execute(sql, params).fetchdf()
|
||||
return self._query_parquet(sql, tuple(params) if params else None)
|
||||
except Exception as e:
|
||||
logger.warning(f"Query failed for freq={freq.value}: {e}")
|
||||
return pd.DataFrame(columns=STANDARD_COLS)
|
||||
@@ -203,19 +206,16 @@ class KLineRepository:
|
||||
freq: Freq,
|
||||
ts_code: str | None = None,
|
||||
) -> pd.DataFrame:
|
||||
"""Get the latest K-line data for the most recent trade date."""
|
||||
if freq == Freq.h2:
|
||||
return self._read_2h(ts_code, limit=100)
|
||||
"""Get the latest K-line for each stock (or one stock).
|
||||
|
||||
Uses DuckDB ROW_NUMBER() window function to get the last N bars per stock.
|
||||
"""
|
||||
glob = partition_glob(freq)
|
||||
parquet_path = Path(settings.parquet_dir) / f"kline_{freq.storage_dir}"
|
||||
if not parquet_path.exists():
|
||||
return pd.DataFrame(columns=STANDARD_COLS)
|
||||
|
||||
conditions = []
|
||||
params = []
|
||||
|
||||
if ts_code:
|
||||
conditions.append(f"ts_code = ${len(params) + 1}")
|
||||
conditions.append("ts_code = ?")
|
||||
params.append(ts_code)
|
||||
|
||||
where_clause = ""
|
||||
@@ -223,49 +223,67 @@ class KLineRepository:
|
||||
where_clause = "WHERE " + " AND ".join(conditions)
|
||||
|
||||
sql = f"""
|
||||
WITH latest AS (
|
||||
SELECT MAX(trade_date) AS max_date
|
||||
WITH ranked AS (
|
||||
SELECT *, ROW_NUMBER() OVER (
|
||||
PARTITION BY ts_code ORDER BY trade_time DESC
|
||||
) as rn
|
||||
FROM read_parquet('{glob}', hive_partitioning=true, union_by_name=true)
|
||||
)
|
||||
SELECT k.* FROM read_parquet('{glob}', hive_partitioning=true, union_by_name=true) k
|
||||
JOIN latest ON k.trade_date = latest.max_date
|
||||
{where_clause}
|
||||
ORDER BY k.ts_code
|
||||
)
|
||||
SELECT * FROM ranked WHERE rn = 1
|
||||
ORDER BY ts_code
|
||||
"""
|
||||
try:
|
||||
return self._db.conn.execute(sql, params).fetchdf()
|
||||
except Exception as e:
|
||||
logger.warning(f"get_latest failed for freq={freq.value}: {e}")
|
||||
return pd.DataFrame(columns=STANDARD_COLS)
|
||||
return self._query_parquet(sql, tuple(params) if params else None)
|
||||
|
||||
# ---- Stats ----
|
||||
|
||||
def get_date_range(self, freq: Freq) -> tuple[date | None, date | None]:
|
||||
"""Get the min and max trade_date for a given frequency."""
|
||||
parquet_path = Path(settings.parquet_dir) / f"kline_{freq.storage_dir}"
|
||||
if not parquet_path.exists():
|
||||
return None, None
|
||||
def get_latest_bars(
|
||||
self,
|
||||
freq: Freq,
|
||||
bars: int = 100,
|
||||
ts_code: str | None = None,
|
||||
) -> pd.DataFrame:
|
||||
"""Get the last N bars per stock."""
|
||||
glob = partition_glob(freq)
|
||||
try:
|
||||
row = self._db.conn.execute(f"""
|
||||
SELECT MIN(trade_date), MAX(trade_date)
|
||||
conditions = []
|
||||
params = []
|
||||
|
||||
if ts_code:
|
||||
conditions.append("ts_code = ?")
|
||||
params.append(ts_code)
|
||||
|
||||
where_clause = ""
|
||||
if conditions:
|
||||
where_clause = "WHERE " + " AND ".join(conditions)
|
||||
|
||||
sql = f"""
|
||||
WITH ranked AS (
|
||||
SELECT *, ROW_NUMBER() OVER (
|
||||
PARTITION BY ts_code ORDER BY trade_time DESC
|
||||
) as rn
|
||||
FROM read_parquet('{glob}', hive_partitioning=true, union_by_name=true)
|
||||
""").fetchone()
|
||||
return row[0], row[1]
|
||||
except Exception:
|
||||
return None, None
|
||||
{where_clause}
|
||||
)
|
||||
SELECT * FROM ranked WHERE rn <= {bars}
|
||||
ORDER BY ts_code, trade_time ASC
|
||||
"""
|
||||
return self._query_parquet(sql, tuple(params) if params else None)
|
||||
|
||||
def count_records(self, freq: Freq) -> int:
|
||||
"""Count total records for a given frequency."""
|
||||
parquet_path = Path(settings.parquet_dir) / f"kline_{freq.storage_dir}"
|
||||
if not parquet_path.exists():
|
||||
return 0
|
||||
"""Count total records for a frequency."""
|
||||
glob = partition_glob(freq)
|
||||
try:
|
||||
row = self._db.conn.execute(f"""
|
||||
SELECT count(*)
|
||||
result = self._query_parquet(
|
||||
f"SELECT COUNT(*) FROM read_parquet('{glob}', hive_partitioning=true, union_by_name=true)"
|
||||
)
|
||||
return int(result.iloc[0, 0]) if not result.empty else 0
|
||||
|
||||
def get_date_range(self, freq: Freq) -> tuple[str, str] | None:
|
||||
"""Get min/max trade_date for a frequency."""
|
||||
glob = partition_glob(freq)
|
||||
result = self._query_parquet(
|
||||
f"""
|
||||
SELECT MIN(trade_date) as min_date, MAX(trade_date) as max_date
|
||||
FROM read_parquet('{glob}', hive_partitioning=true, union_by_name=true)
|
||||
""").fetchone()
|
||||
return row[0]
|
||||
except Exception:
|
||||
return 0
|
||||
"""
|
||||
)
|
||||
if result.empty:
|
||||
return None
|
||||
return str(result.iloc[0, 0]), str(result.iloc[0, 1])
|
||||
|
||||
@@ -33,4 +33,29 @@ DDL_STATEMENTS = [
|
||||
month TINYINT NOT NULL
|
||||
)
|
||||
""",
|
||||
"""
|
||||
CREATE SEQUENCE IF NOT EXISTS seq_ema52_id
|
||||
""",
|
||||
"""
|
||||
CREATE TABLE IF NOT EXISTS ema52_screening (
|
||||
id BIGINT PRIMARY KEY DEFAULT nextval('seq_ema52_id'),
|
||||
trade_date DATE NOT NULL,
|
||||
ts_code VARCHAR(9) NOT NULL,
|
||||
name VARCHAR(40),
|
||||
freq VARCHAR(3) NOT NULL,
|
||||
close_price DOUBLE NOT NULL,
|
||||
ema52 DOUBLE NOT NULL,
|
||||
distance_pct DOUBLE NOT NULL,
|
||||
amount DOUBLE,
|
||||
updated_at TIMESTAMP DEFAULT CURRENT_TIMESTAMP,
|
||||
UNIQUE(trade_date, ts_code, freq)
|
||||
)
|
||||
""",
|
||||
"""
|
||||
CREATE INDEX IF NOT EXISTS idx_ema52_date ON ema52_screening(trade_date)
|
||||
""",
|
||||
# Migration: add amount column if upgrading from older schema
|
||||
"""
|
||||
ALTER TABLE ema52_screening ADD COLUMN IF NOT EXISTS amount DOUBLE
|
||||
""",
|
||||
]
|
||||
|
||||
Reference in New Issue
Block a user