81 lines
3.0 KiB
Python
81 lines
3.0 KiB
Python
#!/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
|