添加新币对和优化拉取

2025-11-13 01:50:12 +08:00
parent ac845ccfd0
commit 602e37f695
8 changed files with 391 additions and 102 deletions
@@ -9,10 +9,10 @@ COPY requirements.txt /app/requirements.txt
 RUN pip install -r /app/requirements.txt

 COPY app /app/app
+COPY pairs.json /app/pairs.json

 ENV DATA_DIR=/data \
    EXCHANGE=binance \
-    SYMBOLS=BTC/USDT:USDT,ETH/USDT:USDT \
    TIMEFRAMES=1m,1h,1d,1w,1M \
    START_FROM=2022-01-01 \
    POLL_FACTOR=0.5
@@ -17,10 +17,11 @@
 | --- | --- | --- |
 | `DATA_DIR` | 本地 Parquet 存储目录 | `/data` |
 | `EXCHANGE` | 交易所标识（目前支持 binance） | `binance` |
-| `SYMBOLS` | 逗号分隔的交易对列表 | `BTC/USDT:USDT,ETH/USDT:USDT` |
 | `TIMEFRAMES` | 基础抓取周期，逗号分隔 | `1m,1h,1d,1w,1M` |
 | `START_FROM` | 首次启动回补的起始 UTC 时间（ISO 字符串或毫秒时间戳） | `2022-01-01` |
 | `POLL_FACTOR` | 拉取间隔因子，实际间隔 = 周期毫秒 × factor | `0.5` |
+| `REST_MAX_CONCURRENCY` | REST 历史拉取并发数 | `4` |
+| `VERIFY_MAX_CONCURRENCY` | 校验请求并发数 | `2` |
 | `BACKOFF_BASE / BACKOFF_MAX` | 异常重试的指数退避参数 | `2.0 / 30.0` |

 > 衍生周期列表由程序自动推导，无需手动写入 `TIMEFRAMES`。
@@ -40,7 +41,6 @@ docker compose down           # 关闭
 ### 2.2 本地运行（无 Docker）
 ```bash
 export DATA_DIR=./data
-export SYMBOLS="BTC/USDT:USDT"
 export TIMEFRAMES="1m,1h,1d"

 cd /Users/jack/Project/freqtrade
@@ -134,7 +134,8 @@ ws://localhost:8000/ws?symbol=ETH/USDT:USDT&tf=15m&since=1700000000000
   确认该周期在 `TIMEFRAMES` 或自动聚合列表中；若是衍生周期，需要确保对应基础周期已在运行。

 3. **如何新增交易对/周期**  
-   修改环境变量或 docker-compose 配置后，重启服务即可；Parquet 文件会按需生成。
+   - 交易对：编辑 `pairs.json`，每行一个字符串，保存后重启服务。  
+   - 周期：修改 `TIMEFRAMES` 环境变量（Docker 或本地启动命令）后重启。

 ---

@@ -5,11 +5,13 @@ import logging
 from contextlib import suppress
 from dataclasses import dataclass, field
 from datetime import datetime, timedelta
+from pathlib import Path
 from typing import Dict, List, Optional, Tuple, Union

 import ccxt
 import ccxt.async_support as ccxt_async
 import pandas as pd
+import websockets
 from fastapi import FastAPI, WebSocket, WebSocketDisconnect, Query, HTTPException, status
 from fastapi.responses import JSONResponse
 from fastapi.middleware.cors import CORSMiddleware
@@ -24,6 +26,7 @@ from .storage import (
    read_candles,
    upsert_candles,
    get_last_timestamp,
+    read_candle_exact,
 )


@@ -33,9 +36,16 @@ logging.basicConfig(
    format="%(asctime)s %(levelname)s [%(name)s] %(message)s",
 )
 logger = logging.getLogger("datasvc")
+BASE_DIR = Path(__file__).resolve().parent.parent
+DEFAULT_PAIRS_FILE = BASE_DIR / "pairs.json"
 RESAMPLE_AVAILABLE = resample_to_interval is not None
 RESAMPLE_WARNING_EMITTED = False

+REST_MAX_CONCURRENCY = int(os.environ.get("REST_MAX_CONCURRENCY", "4"))
+VERIFY_MAX_CONCURRENCY = int(os.environ.get("VERIFY_MAX_CONCURRENCY", "2"))
+REST_FETCH_SEMAPHORE = asyncio.Semaphore(max(1, REST_MAX_CONCURRENCY))
+VERIFY_FETCH_SEMAPHORE = asyncio.Semaphore(max(1, VERIFY_MAX_CONCURRENCY))
+
 AGGREGATION_PLAN: Dict[str, List[str]] = {
    "1m": ["2m", "3m", "4m", "5m", "10m", "15m", "20m", "25m", "30m"],
    "1h": ["2h", "3h", "4h", "6h", "8h", "12h", "16h"],
@@ -61,6 +71,37 @@ def _unique_preserve(values: List[str]) -> List[str]:
    return ordered


+def _load_symbols() -> List[str]:
+    path = DEFAULT_PAIRS_FILE
+    if not path.is_file():
+        default_symbols = ["BTC/USDT:USDT"]
+        logger.warning("交易对配置文件不存在，使用默认值", extra={"file": str(path), "symbols": default_symbols})
+        return default_symbols
+    try:
+        content = path.read_text(encoding="utf-8")
+        data = json.loads(content)
+    except Exception:
+        default_symbols = ["BTC/USDT:USDT"]
+        logger.exception("读取交易对配置文件失败，使用默认值", extra={"file": str(path), "symbols": default_symbols})
+        return default_symbols
+
+    raw_symbols: List[str] = []
+    if isinstance(data, list):
+        raw_symbols = [str(item).strip() for item in data if isinstance(item, str) and item.strip()]
+    elif isinstance(data, dict):
+        candidates = data.get("symbols") or data.get("pairs")
+        if isinstance(candidates, list):
+            raw_symbols = [str(item).strip() for item in candidates if isinstance(item, str) and item.strip()]
+    if not raw_symbols:
+        default_symbols = ["BTC/USDT:USDT"]
+        logger.warning("交易对配置文件未提供有效列表，使用默认值", extra={"file": str(path), "symbols": default_symbols})
+        return default_symbols
+
+    symbols = _unique_preserve(raw_symbols)
+    logger.info("已从配置文件载入交易对", extra={"file": str(path), "symbols": symbols})
+    return symbols
+
+
 def timeframe_to_minutes(tf: str) -> Optional[int]:
    if not tf:
        return None
@@ -80,11 +121,24 @@ def timeframe_to_minutes(tf: str) -> Optional[int]:
        return None
    return value * multiplier

+
+def binance_stream_symbol(symbol: str) -> str:
+    try:
+        base, rest = symbol.split("/", 1)
+    except ValueError:
+        cleaned = symbol.replace("/", "").split(":")[0]
+        return cleaned.lower()
+    quote = rest.split(":")[0]
+    return f"{base}{quote}".lower()
+
+
+def build_stream_url(symbol: str, timeframe: str) -> str:
+    stream_symbol = binance_stream_symbol(symbol)
+    return f"{BINANCE_WS_BASE}/{stream_symbol}@kline_{timeframe}"
+
 DATA_DIR = os.environ.get("DATA_DIR", "/data")
 EXCHANGE = os.environ.get("EXCHANGE", "binance")
-SYMBOLS = _split_env_list(os.environ.get("SYMBOLS", "BTC/USDT:USDT,ETH/USDT:USDT"))
-if not SYMBOLS:
-    SYMBOLS = ["BTC/USDT:USDT"]
+SYMBOLS = _load_symbols()

 _default_timeframes = ["1m", "1h", "1d", "1w", "1M"]
 requested_timeframes = _split_env_list(os.environ.get("TIMEFRAMES", ",".join(_default_timeframes)))
@@ -104,6 +158,7 @@ START_FROM = os.environ.get("START_FROM", "2022-01-01")  # 首次启动拉取起
 POLL_FACTOR = float(os.environ.get("POLL_FACTOR", "0.5"))  # 轮询间隔 = tf_ms * factor
 BACKOFF_BASE = float(os.environ.get("BACKOFF_BASE", "2.0"))
 BACKOFF_MAX = float(os.environ.get("BACKOFF_MAX", "30.0"))
+BINANCE_WS_BASE = os.environ.get("BINANCE_WS_BASE", "wss://fstream.binance.com/ws").rstrip("/")

 VALID_SYMBOLS = set(SYMBOLS)
 VALID_TIMEFRAMES = set(AVAILABLE_TIMEFRAMES)
@@ -194,6 +249,7 @@ class Hub:
 hub = Hub()

 fetch_tasks: List[asyncio.Task] = []
+verification_queues: Dict[Tuple[str, str], asyncio.Queue[int]] = {}


 def resample_and_store(symbol: str, base_timeframe: str, derived_timeframes: List[str]) -> List[Tuple[str, List[CandleRow]]]:
@@ -227,14 +283,14 @@ def resample_and_store(symbol: str, base_timeframe: str, derived_timeframes: Lis
        if "timestamp" not in derived_df.columns:
            if "date" in derived_df.columns:
                dates = pd.to_datetime(derived_df["date"], utc=True, errors="coerce")
-                derived_df["timestamp"] = (dates.view("int64") // 1_000_000)
+                derived_df["timestamp"] = (dates.astype("int64") // 1_000_000)
            elif isinstance(derived_df.index, pd.DatetimeIndex):
                idx = derived_df.index
                if idx.tz is None:
                    idx = idx.tz_localize("UTC")
                else:
                    idx = idx.tz_convert("UTC")
-                derived_df["timestamp"] = (idx.view("int64") // 1_000_000)
+                derived_df["timestamp"] = (idx.astype("int64") // 1_000_000)
        if "timestamp" not in derived_df.columns:
            logger.warning(
                "聚合结果缺少 timestamp 列，已跳过",
@@ -280,6 +336,7 @@ class FetchState:
    last_candle_ts: Optional[int] = None
    consecutive_errors: int = 0
    last_error: Optional[str] = None
+    last_verified_ts: Optional[int] = None

    def to_payload(self) -> dict:
        def serialize_dt(dt: Optional[datetime]) -> Optional[str]:
@@ -295,20 +352,210 @@ class FetchState:
            "last_candle_ts": self.last_candle_ts,
            "consecutive_errors": self.consecutive_errors,
            "last_error": self.last_error,
+            "last_verified_ts": self.last_verified_ts,
        }


 fetch_states: Dict[Tuple[str, str], FetchState] = {}


+async def process_candles(
+    symbol: str,
+    timeframe: str,
+    candles: List[CandleRow],
+    derived_timeframes: List[str],
+    tf_ms: int,
+    schedule_verification: bool,
+) -> None:
+    if not candles:
+        return
+    state_key = (symbol, timeframe)
+    upsert_candles(DATA_DIR, symbol, timeframe, candles)
+    derived_updates: List[Tuple[str, List[CandleRow]]] = []
+    if derived_timeframes and RESAMPLE_AVAILABLE:
+        derived_updates = await asyncio.to_thread(
+            resample_and_store,
+            symbol,
+            timeframe,
+            derived_timeframes,
+        )
+    for row in candles[-3:]:
+        payload = {
+            "topic": f"candles.{symbol}.{timeframe}",
+            "type": "upsert",
+            "data": {
+                "t": row[0],
+                "o": row[1],
+                "h": row[2],
+                "l": row[3],
+                "c": row[4],
+                "v": row[5],
+            },
+        }
+        await hub.publish(symbol, timeframe, payload)
+    for target_tf, rows in derived_updates:
+        if not rows:
+            continue
+        for row in rows:
+            ts = int(row[0])
+            o, h, l, c, v = map(float, row[1:])
+            payload = {
+                "topic": f"candles.{symbol}.{target_tf}",
+                "type": "upsert",
+                "data": {
+                    "t": ts,
+                    "o": o,
+                    "h": h,
+                    "l": l,
+                    "c": c,
+                    "v": v,
+                },
+            }
+            await hub.publish(symbol, target_tf, payload)
+    state = fetch_states.get(state_key)
+    if state:
+        state.last_fetch_at = datetime.utcnow()
+        state.last_candle_ts = candles[-1][0]
+        state.consecutive_errors = 0
+        state.last_error = None
+        if schedule_verification:
+            queue = verification_queues.get(state_key)
+            if queue:
+                now_ms = int(datetime.utcnow().timestamp() * 1000)
+                latest_ts = candles[-1][0]
+                if now_ms - latest_ts <= 2 * tf_ms:
+                    verify_ts = latest_ts - tf_ms
+                    if verify_ts > 0 and (state.last_verified_ts is None or verify_ts > state.last_verified_ts):
+                        try:
+                            queue.put_nowait(verify_ts)
+                        except asyncio.QueueFull:
+                            logger.warning(
+                                "验证队列已满，丢弃此次校验请求",
+                                extra={"symbol": symbol, "timeframe": timeframe, "timestamp": verify_ts},
+                            )
+
+
+async def rest_catchup(
+    symbol: str,
+    timeframe: str,
+    derived_timeframes: List[str],
+    tf_ms: int,
+    start_since: int,
+) -> None:
+    state_key = (symbol, timeframe)
+    state = fetch_states[state_key]
+    exchange = build_exchange()
+    since = start_since
+    backoff = 1.0
+    logger.info("开始 REST 补齐历史", extra={"symbol": symbol, "timeframe": timeframe, "since": since})
+    try:
+        while True:
+            now_ms = int(datetime.utcnow().timestamp() * 1000)
+            if since >= now_ms - tf_ms:
+                break
+            try:
+                async with REST_FETCH_SEMAPHORE:
+                    candles = await exchange.fetch_ohlcv(symbol, timeframe, since=since, limit=1000)
+            except asyncio.CancelledError:
+                raise
+            except (ccxt.NetworkError, ccxt.ExchangeNotAvailable, ccxt.RequestTimeout) as exc:
+                logger.warning(
+                    "历史补齐网络异常，准备重试",
+                    extra={"symbol": symbol, "timeframe": timeframe, "error": str(exc)},
+                )
+                state.last_error = str(exc)
+                state.consecutive_errors += 1
+                backoff = min(backoff * BACKOFF_BASE, BACKOFF_MAX)
+                await asyncio.sleep(backoff)
+                continue
+            except Exception as exc:
+                logger.exception(
+                    "历史补齐发生异常，准备重试",
+                    extra={"symbol": symbol, "timeframe": timeframe},
+                )
+                state.last_error = str(exc)
+                state.consecutive_errors += 1
+                backoff = min(backoff * BACKOFF_BASE, BACKOFF_MAX)
+                await asyncio.sleep(backoff)
+                continue
+            if not candles:
+                break
+            await process_candles(symbol, timeframe, candles, derived_timeframes, tf_ms, schedule_verification=False)
+            since = candles[-1][0] + tf_ms
+            state.consecutive_errors = 0
+            state.last_error = None
+            backoff = 1.0
+
+            now_ms = int(datetime.utcnow().timestamp() * 1000)
+            lag = now_ms - since
+            if lag > tf_ms * 10:
+                await asyncio.sleep(0.2)
+            else:
+                await asyncio.sleep(max(1.0, tf_ms * POLL_FACTOR / 1000.0))
+    finally:
+        with suppress(Exception):
+            await exchange.close()
+    logger.info("REST 补齐完成", extra={"symbol": symbol, "timeframe": timeframe, "latest": state.last_candle_ts})
+
+
+async def stream_loop(symbol: str, timeframe: str, derived_timeframes: List[str], tf_ms: int):
+    state_key = (symbol, timeframe)
+    url = build_stream_url(symbol, timeframe)
+    while True:
+        try:
+            async with websockets.connect(url, ping_interval=20, ping_timeout=20) as ws:
+                logger.info("WebSocket 已连接", extra={"symbol": symbol, "timeframe": timeframe, "url": url})
+                async for message in ws:
+                    data = json.loads(message)
+                    kline = data.get("k")
+                    if not kline or not kline.get("x"):
+                        continue
+                    row: CandleRow = [
+                        int(kline["t"]),
+                        float(kline["o"]),
+                        float(kline["h"]),
+                        float(kline["l"]),
+                        float(kline["c"]),
+                        float(kline["v"]),
+                    ]
+                    await process_candles(symbol, timeframe, [row], derived_timeframes, tf_ms, schedule_verification=True)
+        except asyncio.CancelledError:
+            logger.info("取消 WebSocket 任务", extra={"symbol": symbol, "timeframe": timeframe})
+            raise
+        except Exception as exc:
+            logger.warning(
+                "WebSocket 连接异常，准备重连",
+                extra={"symbol": symbol, "timeframe": timeframe, "error": str(exc)},
+            )
+            state = fetch_states.get(state_key)
+            start_since = None
+            if state and state.last_candle_ts:
+                start_since = state.last_candle_ts + tf_ms
+            if start_since:
+                await rest_catchup(symbol, timeframe, derived_timeframes, tf_ms, start_since)
+            await asyncio.sleep(5.0)
+
+
 def build_exchange():
    if EXCHANGE.lower() == "binance":
-        return ccxt_async.binance({"enableRateLimit": True})
+        return ccxt_async.binance(
+            {
+                "enableRateLimit": True,
+                "timeout": 20_000,
+                "options": {
+                    "adjustForTimeDifference": True,
+                    "defaultType": "future",
+                    "defaultSubType": "linear",
+                    "defaultMarket": "future",
+                    "defaultSettle": "USDT",
+                },
+            }
+        )
    raise RuntimeError(f"Unsupported EXCHANGE: {EXCHANGE}")


 async def fetch_loop(symbol: str, timeframe: str):
-    """持续增量抓取并广播。"""
+    """初次通过 REST 补齐历史，随后转入 Binance WebSocket 拉取增量。"""
    derived_timeframes = AGGREGATION_TARGETS.get(timeframe, [])
    global RESAMPLE_WARNING_EMITTED
    if derived_timeframes and not RESAMPLE_AVAILABLE and not RESAMPLE_WARNING_EMITTED:
@@ -318,117 +565,124 @@ async def fetch_loop(symbol: str, timeframe: str):
        )
        RESAMPLE_WARNING_EMITTED = True

-    exchange = build_exchange()
    tf_ms = tf_to_ms(timeframe)
-    start_since = parse_start_from_ms(START_FROM)
-    last_ts = get_last_timestamp(DATA_DIR, symbol, timeframe)
-    since = max(start_since, (last_ts + tf_ms) if last_ts else start_since)
-    backoff = 1.0
    state_key = (symbol, timeframe)
+    last_ts = get_last_timestamp(DATA_DIR, symbol, timeframe)
    fetch_states[state_key] = FetchState(symbol=symbol, timeframe=timeframe, last_candle_ts=last_ts)
+    queue = verification_queues.get(state_key)
+    if queue is None:
+        queue = asyncio.Queue(maxsize=500)
+        verification_queues[state_key] = queue
+    if last_ts is not None:
+        try:
+            queue.put_nowait(last_ts)
+        except asyncio.QueueFull:
+            logger.warning(
+                "重启后无法排入校验任务，队列已满",
+                extra={"symbol": symbol, "timeframe": timeframe, "timestamp": last_ts},
+            )
+
+    start_since = parse_start_from_ms(START_FROM)
+    if last_ts is not None:
+        rewind_since = max(0, last_ts - tf_ms)
+        initial_since = max(start_since, rewind_since)
+    else:
+        initial_since = start_since

    logger.info("启动拉取任务", extra={"symbol": symbol, "timeframe": timeframe})

    try:
-        while True:
-            try:
-                candles = await exchange.fetch_ohlcv(symbol, timeframe, since=since, limit=1000)
-                if candles:
-                    upsert_candles(DATA_DIR, symbol, timeframe, candles)
-                    derived_updates: List[Tuple[str, List[CandleRow]]] = []
-                    if derived_timeframes and RESAMPLE_AVAILABLE:
-                        derived_updates = await asyncio.to_thread(
-                            resample_and_store,
-                            symbol,
-                            timeframe,
-                            derived_timeframes,
-                        )
-                    for row in candles[-3:]:
-                        payload = {
-                            "topic": f"candles.{symbol}.{timeframe}",
-                            "type": "upsert",
-                            "data": {
-                                "t": row[0],
-                                "o": row[1],
-                                "h": row[2],
-                                "l": row[3],
-                                "c": row[4],
-                                "v": row[5],
-                            },
-                        }
-                        await hub.publish(symbol, timeframe, payload)
-                    for target_tf, rows in derived_updates:
-                        if not rows:
-                            continue
-                        for row in rows:
-                            ts = int(row[0])
-                            o, h, l, c, v = map(float, row[1:])
-                            payload = {
-                                "topic": f"candles.{symbol}.{target_tf}",
-                                "type": "upsert",
-                                "data": {
-                                    "t": ts,
-                                    "o": o,
-                                    "h": h,
-                                    "l": l,
-                                    "c": c,
-                                    "v": v,
-                                },
-                            }
-                            await hub.publish(symbol, target_tf, payload)
-                    since = candles[-1][0] + tf_ms
-                    backoff = 1.0
-                    state = fetch_states[state_key]
-                    state.last_fetch_at = datetime.utcnow()
-                    state.last_candle_ts = candles[-1][0]
-                    state.consecutive_errors = 0
-                    state.last_error = None
-                await asyncio.sleep(max(1.0, tf_ms * POLL_FACTOR / 1000.0))
-            except asyncio.CancelledError:
-                raise
-            except (ccxt.NetworkError, ccxt.ExchangeNotAvailable, ccxt.RequestTimeout) as exc:
-                logger.warning(
-                    "网络异常，准备重试",
-                    extra={"symbol": symbol, "timeframe": timeframe, "error": str(exc)},
-                )
-                state = fetch_states[state_key]
-                state.last_error = str(exc)
-                state.consecutive_errors += 1
-                backoff = min(backoff * BACKOFF_BASE, BACKOFF_MAX)
-                await asyncio.sleep(backoff)
-            except Exception as exc:
-                logger.exception(
-                    "抓取循环发生异常，重建客户端后重试",
-                    extra={"symbol": symbol, "timeframe": timeframe},
-                )
-                state = fetch_states[state_key]
-                state.last_error = str(exc)
-                state.consecutive_errors += 1
-                await asyncio.sleep(backoff)
-                with suppress(Exception):
-                    await exchange.close()
-                exchange = build_exchange()
-                backoff = min(backoff * BACKOFF_BASE, BACKOFF_MAX)
+        await rest_catchup(symbol, timeframe, derived_timeframes, tf_ms, initial_since)
+        await stream_loop(symbol, timeframe, derived_timeframes, tf_ms)
    except asyncio.CancelledError:
        logger.info("取消拉取任务", extra={"symbol": symbol, "timeframe": timeframe})
        state = fetch_states.get(state_key)
        if state:
            state.last_error = "cancelled"
        raise
+    finally:
+        logger.info("拉取任务退出", extra={"symbol": symbol, "timeframe": timeframe})
+
+
+async def verification_worker(symbol: str, timeframe: str):
+    state_key = (symbol, timeframe)
+    queue = verification_queues.get(state_key)
+    if queue is None:
+        return
+    exchange = build_exchange()
+    try:
+        while True:
+            verify_ts = await queue.get()
+            try:
+                state = fetch_states.get(state_key)
+                if state and state.last_verified_ts is not None and verify_ts <= state.last_verified_ts:
+                    queue.task_done()
+                    continue
+                async with VERIFY_FETCH_SEMAPHORE:
+                    verification = await exchange.fetch_ohlcv(symbol, timeframe, since=verify_ts, limit=2)
+                target_rows = [row for row in verification if row and row[0] == verify_ts]
+                if not target_rows:
+                    logger.warning(
+                        "验证未获取到目标数据",
+                        extra={"symbol": symbol, "timeframe": timeframe, "timestamp": verify_ts},
+                    )
+                    queue.task_done()
+                    continue
+                candidate = target_rows[-1]
+                stored = read_candle_exact(DATA_DIR, symbol, timeframe, verify_ts)
+                needs_upsert = stored.empty
+                reason = "missing"
+                if not needs_upsert:
+                    stored_row = stored.iloc[0]
+                    open_diff = abs(float(stored_row["open"]) - float(candidate[1]))
+                    high_diff = abs(float(stored_row["high"]) - float(candidate[2]))
+                    low_diff = abs(float(stored_row["low"]) - float(candidate[3]))
+                    close_diff = abs(float(stored_row["close"]) - float(candidate[4]))
+                    volume_diff = abs(float(stored_row["volume"]) - float(candidate[5]))
+                    if any(diff > 1e-9 for diff in (open_diff, high_diff, low_diff, close_diff, volume_diff)):
+                        needs_upsert = True
+                        reason = "mismatch"
+                if needs_upsert:
+                    upsert_candles(DATA_DIR, symbol, timeframe, [candidate])
+                    logger.info(
+                        "验证回补完成",
+                        extra={"symbol": symbol, "timeframe": timeframe, "timestamp": verify_ts, "reason": reason},
+                    )
+                state = fetch_states.get(state_key)
+                if state:
+                    state.last_verified_ts = verify_ts
+                queue.task_done()
+            except asyncio.CancelledError:
+                queue.task_done()
+                raise
+            except Exception as exc:
+                logger.warning(
+                    "验证请求失败",
+                    extra={"symbol": symbol, "timeframe": timeframe, "timestamp": verify_ts, "error": str(exc)},
+                )
+                queue.task_done()
+                await asyncio.sleep(1.0)
+    except asyncio.CancelledError:
+        raise
    finally:
        with suppress(Exception):
            await exchange.close()
-        logger.info("拉取任务退出", extra={"symbol": symbol, "timeframe": timeframe})
+        logger.info("验证任务退出", extra={"symbol": symbol, "timeframe": timeframe})


@app.on_event("startup")
 async def on_start():
    ensure_storage(DATA_DIR)
    fetch_tasks.clear()
+    verification_queues.clear()
    for s in SYMBOLS:
        for tf in FETCH_TIMEFRAMES:
+            state_key = (s, tf)
+            verification_queues[state_key] = asyncio.Queue(maxsize=500)
            task = asyncio.create_task(fetch_loop(s, tf), name=f"fetch::{s}::{tf}")
            fetch_tasks.append(task)
+            verify_task = asyncio.create_task(verification_worker(s, tf), name=f"verify::{s}::{tf}")
+            fetch_tasks.append(verify_task)


@app.on_event("shutdown")
@@ -444,6 +698,7 @@ async def on_shutdown():
        if isinstance(result, Exception) and not isinstance(result, asyncio.CancelledError):
            logger.warning("任务停止时出现异常：%s", result)
    fetch_tasks.clear()
+    verification_queues.clear()


@app.get("/health")
@@ -3,6 +3,7 @@ import threading
 from typing import List, Optional

 import pandas as pd
+import pyarrow.dataset as ds


 _lock = threading.Lock()
@@ -55,3 +56,14 @@ def get_last_timestamp(base_dir: str, symbol: str, timeframe: str) -> Optional[i
    return int(df["timestamp"].iloc[-1])


+def read_candle_exact(base_dir: str, symbol: str, timeframe: str, timestamp: int) -> pd.DataFrame:
+    p = _path(base_dir, symbol, timeframe)
+    if not os.path.exists(p):
+        return pd.DataFrame(columns=["timestamp", "open", "high", "low", "close", "volume"])
+    dataset = ds.dataset(p, format="parquet")
+    table = dataset.to_table(filter=ds.field("timestamp") == int(timestamp))
+    if table.num_rows == 0:
+        return pd.DataFrame(columns=["timestamp", "open", "high", "low", "close", "volume"])
+    return table.to_pandas()
+
+
@@ -1,4 +1,3 @@
-version: "3.9"
 services:
  datasvc:
    build: .
@@ -6,7 +5,6 @@ services:
    restart: unless-stopped
    environment:
      - EXCHANGE=binance
-      - SYMBOLS=BTC/USDT:USDT,ETH/USDT:USDT
      - TIMEFRAMES=1m,1h,1d,1w,1M
      - START_FROM=2022-01-01
      - POLL_FACTOR=0.5
@@ -0,0 +1,22 @@
+[
+  "BTC/USDT:USDT",
+  "ETH/USDT:USDT",
+  "SOL/USDT:USDT",
+  "WIF/USDT:USDT",
+  "1000PEPE/USDT:USDT",
+  "DOGS/USDT:USDT",
+  "ORDI/USDT:USDT",
+  "AAVE/USDT:USDT",
+  "REEF/USDT:USDT",
+  "1000SATS/USDT:USDT",
+  "SUI/USDT:USDT",
+  "1INCH/USDT:USDT",
+  "DOGE/USDT:USDT",
+  "TON/USDT:USDT",
+  "UNI/USDT:USDT",
+  "XRP/USDT:USDT",
+  "SUN/USDT:USDT",
+  "NOT/USDT:USDT",
+  "RARE/USDT:USDT",
+  "RDNT/USDT:USDT"
+]
@@ -5,4 +5,5 @@ pandas==2.2.2
 pyarrow==16.1.0
 orjson==3.10.3
 technical==1.5.0
+websockets==12.0

@@ -221,7 +221,7 @@ def detect_symbol_type(symbol):
    else:
        return 'unknown'

-def get_kl_data(symbol, timeframe, limit=1000, start_time=None, end_time=None):
+def get_kl_data(symbol, timeframe, limit=100000, start_time=None, end_time=None):
    """获取K线数据，支持加密货币和A股"""
    symbol_type = detect_symbol_type(symbol)
    
@@ -232,7 +232,7 @@ def get_kl_data(symbol, timeframe, limit=1000, start_time=None, end_time=None):
    else:
        return None

-def _get_crypto_kl_data_via_ccxt(symbol, timeframe, limit=1000, start_time=None, end_time=None):
+def _get_crypto_kl_data_via_ccxt(symbol, timeframe, limit=100000, start_time=None, end_time=None):
    """获取加密货币K线数据，支持分页加载确保获取指定时间范围内的所有数据"""
    try:
        # 初始化参数
@@ -346,7 +346,7 @@ def _get_crypto_kl_data_via_ccxt(symbol, timeframe, limit=1000, start_time=None,
        return None


-def get_crypto_kl_data(symbol, timeframe, limit=1000, start_time=None, end_time=None):
+def get_crypto_kl_data(symbol, timeframe, limit=100000, start_time=None, end_time=None):
    """优先通过本地数据服务获取加密货币K线，失败时回退至交易所API。"""
    start_ms = _parse_time_input(start_time)
    end_ms = _parse_time_input(end_time)
@@ -369,7 +369,7 @@ def get_crypto_kl_data(symbol, timeframe, limit=1000, start_time=None, end_time=
    return _get_crypto_kl_data_via_ccxt(symbol, timeframe, limit, start_time, end_time)


-def get_a_stock_kl_data(symbol, timeframe, limit=1000, start_time=None, end_time=None):
+def get_a_stock_kl_data(symbol, timeframe, limit=100000, start_time=None, end_time=None):
    """获取A股K线数据"""
    try:
        # 处理时间戳参数转换为日期字符串