refactor: 工具函数抽取公共模块——indicators.py(指标)+market_data.py(数据),mr/s2扫描器改为公共模块import(消除策略扫描器互import)

2026-08-11 08:20:09 +08:00
parent af7419bc77
commit 0ef84d34d5
4 changed files with 171 additions and 138 deletions
@@ -0,0 +1,80 @@
+#!/usr/bin/env python3
+"""market_data.py — 通用行情数据获取库（2026-08-11 从 mr_scanner 抽取）
+
+背景：fetch_tx_klines/get_stock_pool 原定义在 mr_scanner.py，
+被 s2_scanner.py import 复用 —— 策略扫描器互相 import 数据函数是坏味道。
+抽取到公共模块，供所有策略扫描器（mr/s2/accumulation/p_oversold）共用。
+"""
+
+import json
+import sqlite3
+import urllib.request
+from pathlib import Path
+
+DB_PATH = Path("/home/hmo/MoFin/data/mofin.db")
+UA = "Mozilla/5.0"
+
+
+def fetch_tx_klines(code, datalen=120):
+    """腾讯前复权日K（qfq），与 stock_daily 数据零偏差，返回 [{date,open,close,high,low,volume}]"""
+    raw = str(code).strip()
+    if raw.startswith(("6", "9")):
+        prefix = "sh"
+    elif raw.startswith(("0", "3")):
+        prefix = "sz"
+    else:
+        return None
+    url = f"http://ifzq.gtimg.cn/appstock/app/fqkline/get?param={prefix}{raw},day,,,{datalen},qfq"
+    try:
+        req = urllib.request.Request(url, headers={"User-Agent": UA})
+        opener = urllib.request.build_opener(urllib.request.ProxyHandler({}))
+        with opener.open(req, timeout=8) as r:
+            text = r.read().decode("utf-8", errors="replace").strip()
+        data = json.loads(text)
+        node = data.get("data", {}).get(f"{prefix}{raw}", {})
+        bars = node.get("qfqday") or node.get("day") or []
+        if not bars or len(bars) < 70:
+            return None
+        result = []
+        for b in bars:
+            if len(b) < 6:
+                continue
+            result.append({
+                "date": b[0][:10],
+                "open": float(b[1]),
+                "close": float(b[2]),
+                "high": float(b[3]),
+                "low": float(b[4]),
+                "volume": float(b[5]),  # 手
+            })
+        return result
+    except Exception:
+        return None
+
+
+# 兼容别名（供外部引用）
+fetch_sina_klines = fetch_tx_klines
+
+
+def get_stock_pool():
+    """待扫描股票池：stock_daily 的 distinct code（与回测 run_mr_backtest 完全同口径）
+
+    回测股票池 = SELECT DISTINCT sd.code FROM stock_daily（4266只，含300/688，
+    不含301新创业板——数据源未收录）。实盘扫描用同一口径，保证信号
+    覆盖的股票都是回测验证过的。
+    """
+    conn = sqlite3.connect(str(DB_PATH), timeout=5)
+    try:
+        existing = set()
+        for r in conn.execute("SELECT code FROM holding_strategies WHERE status='active'"):
+            existing.add(str(r[0]))
+        for r in conn.execute("SELECT code FROM holdings WHERE is_active=1"):
+            existing.add(str(r[0]))
+        # 与回测完全一致：stock_daily 有K线的股票（回测 universe='a' 排除5位港股）
+        all_stocks = [str(r[0]) for r in
+                      conn.execute("SELECT DISTINCT code FROM stock_daily").fetchall()]
+    finally:
+        conn.close()
+    # 只留 A 股（6位数字），排除港股（5位0开头）—— 与回测 is_hk_code 逻辑一致
+    a_stocks = [c for c in all_stocks if len(c) == 6 and c.isdigit()]
+    return a_stocks, existing