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Chan/chan/analysis/ChanPY.py
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PorterandCursor 2c1232555e refactor: 缠论引擎迁入 chan/ 分层解耦，指标外置 
将核心结构、指标与分析拆到 chan/{core,indicators,analysis,pipeline}；
根目录保留兼容 shim；strategies 改为从 chan 包导入；买卖点经 bsp_macd 与 MACD 接合。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-03 14:47:13 +08:00

479 lines
14 KiB
Python
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import sys
import os
from typing import Dict, List
from functools import reduce
from pandas import DataFrame
from datetime import datetime, timedelta, timezone
# 外部 chan.py 与本仓库包名 `chan` 在 macOS 大小写不敏感磁盘上冲突。
# 临时卸下本包后再导入上游，再恢复本包。
_EXT_ROOT = os.path.abspath("/Users/jack/Project/chan.py")
def _load_external_chan():
saved = {}
for key in list(sys.modules):
low = key.lower()
if low == "chan" or low.startswith("chan."):
saved[key] = sys.modules.pop(key)
inserted = False
if _EXT_ROOT not in sys.path:
sys.path.insert(0, _EXT_ROOT)
inserted = True
try:
from Chan import CChan as _CChan
from BuySellPoint.BS_Point import CBS_Point as _CBS_Point
from ChanConfig import CChanConfig as _CChanConfig
from Common.CEnum import (
AUTYPE as _AUTYPE,
DATA_SRC as _DATA_SRC,
KL_TYPE as _KL_TYPE,
DATA_FIELD as _DATA_FIELD,
BSP_TYPE as _BSP_TYPE,
FX_TYPE as _FX_TYPE,
BI_DIR as _BI_DIR,
KLINE_DIR as _KLINE_DIR,
SEG_DIR as _SEG_DIR,
)
from KLine.KLine_Unit import CKLine_Unit as _CKLine_Unit
from Common.CTime import CTime as _CTime
from Common.func_util import kltype_lt_day as _kltype_lt_day, str2float as _str2float
from Bi.Bi import CBi as _CBi
return {
"CChan": _CChan,
"CBS_Point": _CBS_Point,
"CChanConfig": _CChanConfig,
"AUTYPE": _AUTYPE,
"DATA_SRC": _DATA_SRC,
"KL_TYPE": _KL_TYPE,
"DATA_FIELD": _DATA_FIELD,
"BSP_TYPE": _BSP_TYPE,
"FX_TYPE": _FX_TYPE,
"BI_DIR": _BI_DIR,
"KLINE_DIR": _KLINE_DIR,
"SEG_DIR": _SEG_DIR,
"CKLine_Unit": _CKLine_Unit,
"CTime": _CTime,
"kltype_lt_day": _kltype_lt_day,
"str2float": _str2float,
"CBi": _CBi,
}
finally:
# 清除上游以 Chan/chan 注册的模块，避免污染本包
for key in list(sys.modules):
low = key.lower()
if low == "chan" or low.startswith("chan."):
sys.modules.pop(key, None)
sys.modules.update(saved)
if inserted and _EXT_ROOT in sys.path:
try:
sys.path.remove(_EXT_ROOT)
except ValueError:
pass
_ext = _load_external_chan()
CChan = _ext["CChan"]
CBS_Point = _ext["CBS_Point"]
CChanConfig = _ext["CChanConfig"]
AUTYPE = _ext["AUTYPE"]
DATA_SRC = _ext["DATA_SRC"]
KL_TYPE = _ext["KL_TYPE"]
DATA_FIELD = _ext["DATA_FIELD"]
BSP_TYPE = _ext["BSP_TYPE"]
FX_TYPE = _ext["FX_TYPE"]
BI_DIR = _ext["BI_DIR"]
KLINE_DIR = _ext["KLINE_DIR"]
SEG_DIR = _ext["SEG_DIR"]
CKLine_Unit = _ext["CKLine_Unit"]
CTime = _ext["CTime"]
kltype_lt_day = _ext["kltype_lt_day"]
str2float = _ext["str2float"]
CBi = _ext["CBi"]
def GetColumnNameFromFieldList(fileds: str):
_dict = {
"time": DATA_FIELD.FIELD_TIME,
"open": DATA_FIELD.FIELD_OPEN,
"high": DATA_FIELD.FIELD_HIGH,
"low": DATA_FIELD.FIELD_LOW,
"close": DATA_FIELD.FIELD_CLOSE,
"volume": DATA_FIELD.FIELD_VOLUME
}
return [_dict[x] for x in fileds.split(",")]
class ChanPY():
k_type = KL_TYPE.K_5M
config = CChanConfig({
"bi_strict": True,
"bi_algo": "normal",
"trigger_step": True,
"skip_step": 0,
"divergence_rate": float("inf"),
"bsp2_follow_1": False,
"bsp3_follow_1": False,
"min_zs_cnt": 1,
"bs1_peak": False,
"macd_algo": "peak",
"bs_type": '1,2,3a,1p,2s,3b',
"print_warning": True,
"zs_algo": "normal",
})
chan = CChan(
code="BTC/USDT:USDT",
data_src=DATA_SRC.CCXT,
lv_list=[k_type],
config=config,
autype=AUTYPE.QFQ,
)
klu_list = []
bsps = []
chanIn = True
#def __init__(self, dataframe):
#self.klu_list = self.get_kl_data(dataframe)
#for klu in self.klu_list:
#self.chan.trigger_load({self.k_type: [klu]})
def add_klu(self, klu):
if klu:
self.chan.trigger_load({self.k_type: [klu]})
self.klu_list.append(klu)
def add_klu_from_dataframe(self, dataframe):
if len(dataframe) > len(self.klu_list) and len(dataframe) - len(self.klu_list) == 1:
klu = self.get_last_klu(dataframe)
self.chan.trigger_load({self.k_type: [klu]})
self.klu_list.append(klu)
def parse_time_column(self, inp):
if len(inp) == 10:
year = int(inp[:4])
month = int(inp[5:7])
day = int(inp[8:10])
hour = minute = 0
elif len(inp) == 17:
year = int(inp[:4])
month = int(inp[4:6])
day = int(inp[6:8])
hour = int(inp[8:10])
minute = int(inp[10:12])
elif len(inp) == 19:
year = int(inp[:4])
month = int(inp[5:7])
day = int(inp[8:10])
hour = int(inp[11:13])
minute = int(inp[14:16])
else:
raise Exception(f"unknown time column from TradingView:{inp}")
return CTime(year, month, day, hour, minute, auto=not kltype_lt_day(self.k_type))
def create_item_dict(self, data, column_name):
for i in range(len(data)):
data[i] = self.parse_time_column(data[i]) if i == 0 else str2float(data[i])
return dict(zip(column_name, data))
def get_last_klu(self, dataframe:DataFrame):
fields = "time,open,high,low,close,volume"
item = dataframe.iloc[-1]
date = item['date']
o = item['open']
h = item['high']
l = item['low']
c = item['close']
v = item['volume']
#time_obj = date.fromtimestamp(date)
time_str = date.strftime('%Y-%m-%d %H:%M:%S')
item_data = [
time_str,
o,
h,
l,
c,
v
]
klu = CKLine_Unit(self.create_item_dict(item_data, GetColumnNameFromFieldList(fields)), autofix=True)
klu.set_idx(len(dataframe)-1)
return klu
def get_kl_data(self, dataframe:DataFrame):
fields = "time,open,high,low,close,volume"
klu_list = []
for i in range(0, len(dataframe)):
item = dataframe.iloc[i]
date = item['date']
o = item['open']
h = item['high']
l = item['low']
c = item['close']
v = item['volume']
#time_obj = date.fromtimestamp(date)
time_str = date.strftime('%Y-%m-%d %H:%M:%S')
item_data = [
time_str,
o,
h,
l,
c,
v
]
klu = CKLine_Unit(self.create_item_dict(item_data, GetColumnNameFromFieldList(fields)), autofix=True)
klu.set_idx(i)
klu_list.append(klu)
return klu_list
def get_bsp_type(self, bsp_type, is_buy):
if is_buy:
if bsp_type == BSP_TYPE.T1:
return 1
if bsp_type == BSP_TYPE.T1P:
return 2
if bsp_type == BSP_TYPE.T2:
return 3
if bsp_type == BSP_TYPE.T2S:
return 4
if bsp_type == BSP_TYPE.T3A:
return 5
if bsp_type == BSP_TYPE.T3B:
return 6
else:
if bsp_type == BSP_TYPE.T1:
return -1
if bsp_type == BSP_TYPE.T1P:
return -2
if bsp_type == BSP_TYPE.T2:
return -3
if bsp_type == BSP_TYPE.T2S:
return -4
if bsp_type == BSP_TYPE.T3A:
return -5
if bsp_type == BSP_TYPE.T3B:
return -6
def get_bsps(self, dataframe:DataFrame):
fields = "time,open,high,low,close,volume"
bsps = []
updown = []
bi_sure = []
if self.chanIn:
kl_data = self.get_kl_data(dataframe)
bsp_list = []
bsp_list_pre_len = 0
last_bsp_value = 0
last_updown = -1
bi_list_pre_len = 0
pre_bi = None
zs_list_pre_len = 0
pre_zs = None
for klu in kl_data: # 获取单根K线
self.chan.trigger_load({self.k_type: [klu]}) # 喂给CChan新增k线
self.last_kline = klu
bsp_list = self.chan.get_bsp()
kl_datas = self.chan.kl_datas[self.k_type]
bi_list = kl_datas.bi_list
lst = kl_datas.lst
if len(bsp_list) > 0:
last_bsp = bsp_list[-1]
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value, lst[-2].fx, bi_list[-1].dir, bi_list[-1].is_sure,klu.close)
if bsp_list_pre_len > len(bsp_list):
if abs(last_bsp_value) == 1 or abs(last_bsp_value) == 2:
bsps.append(1)
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value, 98)
else:
bsps.append(99)
else:
if bsp_list_pre_len == len(bsp_list):
if klu.idx == last_bsp.klu.idx:
last_bsp_value = self.get_bsp_type(last_bsp.type[0], last_bsp.is_buy)
bsps.append(last_bsp_value)
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value)
else:
bsps.append(0)
else:
last_bsp_value = self.get_bsp_type(last_bsp.type[0], last_bsp.is_buy)
bsps.append(last_bsp_value)
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value)
else:
bsps.append(0)
bsp_list_pre_len = len(bsp_list)
#Check zs -----------------------------------
zs_list = kl_datas.zs_list
if len(zs_list) > 0:
zs = zs_list[-1]
#if zs_list_pre_len > len(zs_list):
#print("No zs", zs.begin.time)
#if len(zs_list) > zs_list_pre_len:
#print(zs.begin.time, zs.end.time, zs.end.idx, zs.high, zs.low, zs.peak_high, zs.peak_low)
zs_list_pre_len = len(zs_list)
pre_zs = zs
#Check Bi -----------------------------------
if len(bi_list) > 0:
last_bi = bi_list[-1]
if len(bi_list) == 1:
if last_bi.dir == BI_DIR.UP:
updown.append(1)
last_updown = 1
else:
updown.append(-1)
last_updown = -1
else:
if last_updown == 1:
if last_bi.dir == BI_DIR.UP:
updown.append(0)
else:
updown.append(-1)
last_updown = -1
else:
if last_bi.dir == BI_DIR.DOWN:
updown.append(0)
else:
updown.append(1)
last_updown = 1
else:
updown.append(0)
bi_list = kl_datas.bi_list
if len(bi_list) > 0:
last_bi = bi_list[-1]
#if bi_list_pre_len > len(bi_list):
#print("Bi ", klu.time, pre_bi.idx, pre_bi.is_sure, bi_list[-1].idx, bi_list[-1].is_sure)
if last_bi.is_sure:
bi_sure.append(1)
#print(klu.time, last_bi.is_sure)
else:
bi_sure.append(0)
pre_bi = bi_list[-1]
bi_list_pre_len = len(bi_list)
else:
bi_sure.append(0)
#if bsps[-1] != 0 or updown[-1] != 0:
#print(klu.time, bsps[-1], updown[-1], bi_list[-1].is_sure)
self.chanIn = False
else:
klu = self.get_last_klu(dataframe)
if self.last_kline.time < klu.time:
self.chan.trigger_load({self.k_type: [klu]}) # 喂给CChan新增k线
self.last_kline = klu
for index in range(0, len(bsps)):
if not (abs(bsps[index]) == 1 or abs(bsps[index]) == 2):
bsps[index] = 0
else:
if bsps[index] == 2:
bsps[index] = 1
else:
if bsps[index] == -2:
bsps[index] = -1
else:
bsps[index] = 0
#print(bsps)
#print(updown)
kl_datas = self.chan.kl_datas[self.k_type]
#for zs in kl_datas.zs_list:
#print(zs.begin.time, zs.end.time)
return bsps, updown, bi_sure
def get_bsp_state1(self, dataframe:DataFrame):
fields = "time,open,high,low,close,volume"
bsps = []
if self.chanIn:
kl_data = self.get_kl_data(dataframe)
self.chan.trigger_load({self.k_type: kl_data})
bsp_list = self.chan.get_bsp()
bsp_index = 0
for klu in kl_data:
if bsp_index >= len(bsp_list):
bsp_index = len(bsp_list) - 1
bsp = bsp_list[bsp_index]
if klu.idx == bsp.klu.idx:
bsp_type = self.get_bsp_type(bsp.type[0], bsp.is_buy)
if abs(bsp_type) == 1 or abs(bsp_type) == 10:
bsps.append(1)
else:
bsps.append(0)
bsp_index = bsp_index + 1
else:
bsps.append(0)
self.chanIn = False
else:
klu = CKLine_Unit(self.create_item_dict(self.get_last_item_data(dataframe), GetColumnNameFromFieldList(fields)), autofix=True)
if self.last_kline.time < klu.time:
self.chan.trigger_load({self.k_type: [klu]}) # 喂给CChan新增k线
self.last_kline = klu
return bsps
def get_bsp_state(self, dataframe:DataFrame):
fields = "time,open,high,low,close,volume"
if self.chanIn:
kl_data = self.get_kl_data(dataframe)
bsp_list = []
bsp_list_pre_len = 0
last_bsp_value = 0
last_bsp_index = 0
for klu in kl_data: # 获取单根K线
self.chan.trigger_load({self.k_type: [klu]}) # 喂给CChan新增k线
self.last_kline = klu
bsp_list = self.chan.get_bsp()
kl_datas = self.chan.kl_datas[self.k_type]
bi_list = kl_datas.bi_list
lst = kl_datas.lst
if len(bsp_list) > 0:
last_bsp = bsp_list[-1]
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value, lst[-2].fx, bi_list[-1].dir, bi_list[-1].is_sure,klu.close)
if bsp_list_pre_len > len(bsp_list):
if abs(last_bsp_value) == 1:
self.bsps.append(1)
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value, 98)
else:
self.bsps.append(99)
else:
if bsp_list_pre_len == len(bsp_list):
if klu.idx == last_bsp.klu.idx:
if last_bsp.klu.idx - last_bsp_index > 3:
last_bsp_value = self.get_bsp_type(last_bsp.type[0], last_bsp.is_buy)
self.bsps.append(last_bsp_value)
else:
self.bsps.append(0)
last_bsp_index = last_bsp.klu.idx
#if abs(last_bsp_value) == 1 or abs(last_bsp_value) == 2:
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value, "Knonw")
else:
self.bsps.append(0)
else:
if klu.idx == last_bsp.klu.idx:
if last_bsp.klu.idx - last_bsp_index > 3:
last_bsp_value = self.get_bsp_type(last_bsp.type[0], last_bsp.is_buy)
self.bsps.append(last_bsp_value)
else:
self.bsps.append(0)
last_bsp_index = last_bsp.klu.idx
#if abs(last_bsp_value) == 1 or abs(last_bsp_value) == 2:
#print(klu.time, klu.idx, last_bsp.klu.time, last_bsp.klu.idx, last_bsp_value, "Knonw")
else:
self.bsps.append(0)
else:
self.bsps.append(0)
bsp_list_pre_len = len(bsp_list)
self.chanIn = False
else:
klu = self.get_last_klu(dataframe)
if self.last_kline.time < klu.time:
self.chan.trigger_load({self.k_type: [klu]}) # 喂给CChan新增k线
self.last_kline = klu
bsp_list = self.chan.get_bsp()
last_bsp = bsp_list[-1]
if last_bsp.klu.idx == klu.idx:
self.bsps.append(self.get_bsp_type(last_bsp.type[0], last_bsp.is_buy))
else:
self.bsps.append(0)
for index in range(0, len(self.bsps)):
if not (abs(self.bsps[index]) == 1 or abs(self.bsps[index]) == 2):
self.bsps[index] = 0
else:
if self.bsps[index] == 2:
self.bsps[index] = 10
else:
if self.bsps[index] == -2:
self.bsps[index] = -10
else:
if self.bsps[index] == 1:
self.bsps[index] = 1
else:
if self.bsps[index] == -1:
self.bsps[index] = -1
else:
self.bsps[index] = 0
return self.bsps
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