fix(datasource): 修正混合数据源导入路径错误

- 修正 strategies.rotation.engine 中 hybrid_source 模块导入路径错误 - 新增 core.datasource 目录下多个数据源实现模块 - 增加 Akshare 数据源支持 A股指数数据拉取 - 实现数据缓存管理机制，支持本地数据缓存读写 - 新增 YFinance 数据源，支持通过 SSH 隧道访问美股和港股数据 - 实现混合数据源支持 A股/Tushare、港美股/YFinance、加密货币/CCXT 的统一访问 - 集成 SSH 隧道管理，支持 SOCKS5 转 HTTP 代理转发 - 新增 socks2http.py 代理转发工具，解决 CCXT 仅支持 HTTP 代理问题 - 修改 rotation.yaml 加密货币注释，明确使用 OKX 现货和 SSH->HTTP 代理访问 - 删除.gitignore中无用的 data/ 忽略规则，保留 test/ 文件夹忽略规则
2026-03-25 01:32:33 +08:00
parent c104fca693
commit 6454e6823f
10 changed files with 1083 additions and 4 deletions
--- a/.gitignore
+++ b/.gitignore
@@ -177,7 +177,6 @@ config_local.py
 *.backup


-data/
 test/

 # Cache and generated files
--- a/config/strategies/rotation.yaml
+++ b/config/strategies/rotation.yaml
@@ -34,8 +34,10 @@ code_list:
  "HSTECH": "恒生科技"      # 港股
  "NDX": "纳指100"      # 美股
  "GC=F": "黄金"             # 黄金期货 (COMEX)
-  "BTC": "比特币"           # 加密货币
-  "ETH": "以太坊"           # 加密货币
+  
+  # 加密货币 (使用 CCXT/OKX 现货) - 通过 SSH->HTTP 代理访问
+  "BTC": "比特币"           # OKX 现货
+  "ETH": "以太坊"           # OKX 现货

 # 主市场配置（用于确定交易日历）
 primary_market:
--- a/core/datasource/init.py
+++ b/core/datasource/init.py
--- a/core/datasource/akshare_source.py
+++ b/core/datasource/akshare_source.py
@@ -0,0 +1,128 @@
+"""
+akshare数据源实现（用于CCI筛选等场景）
+"""
+
+import time
+import pandas as pd
+import akshare as ak
+from typing import Optional
+
+from .base import DataSource
+
+
+class AkshareDataSource(DataSource):
+    """基于akshare的数据源"""
+
+    def __init__(self, delay: float = 3.0):
+        """
+        初始化akshare数据源
+
+        Args:
+            delay: 每次请求间隔秒数（避免触发限流）
+        """
+        self.delay = delay
+
+    def fetch_ohlcv(
+        self,
+        code: str,
+        start_date: str,
+        end_date: str,
+        fields: Optional[list] = None,
+    ) -> pd.DataFrame:
+        """
+        获取指数历史数据（使用akshare的东方财富接口）
+
+        Args:
+            code: 指数代码，如 '000300'（不带后缀）
+            start_date: 起始日期 'YYYY-MM-DD'
+            end_date: 结束日期 'YYYY-MM-DD'
+
+        Returns:
+            DataFrame，包含 date, open, high, low, close, volume
+        """
+        # 转换日期格式
+        sd = start_date.replace("-", "")
+        ed = end_date.replace("-", "")
+
+        # 去除后缀
+        symbol = code.replace(".SH", "").replace(".SZ", "")
+
+        time.sleep(self.delay)
+
+        try:
+            df = ak.index_zh_a_hist(
+                symbol=symbol,
+                period="daily",
+                start_date=sd,
+                end_date=ed,
+            )
+        except Exception as e:
+            raise RuntimeError(f"akshare查询失败 [{code}]: {e}")
+
+        if df is None or df.empty:
+            raise ValueError(f"akshare返回空数据: {code}")
+
+        # 统一列名
+        df = df.rename(
+            columns={
+                "日期": "date",
+                "开盘": "open",
+                "最高": "high",
+                "最低": "low",
+                "收盘": "close",
+                "成交量": "volume",
+            }
+        )
+        df["date"] = pd.to_datetime(df["date"])
+        df["code"] = code
+        df = df[["date", "code", "open", "high", "low", "close", "volume"]]
+        df = df.sort_values("date").reset_index(drop=True)
+
+        return df
+
+    def fetch_multiple(
+        self,
+        codes: list,
+        start_date: str,
+        end_date: str,
+    ) -> tuple[pd.DataFrame, list]:
+        """批量获取数据"""
+        df_list = []
+        failed = []
+
+        for code in codes:
+            try:
+                df = self.fetch_ohlcv(code, start_date, end_date)
+                df_list.append(df[["date", "code", "close"]].copy())
+            except Exception as e:
+                print(f"  ⚠ 跳过 {code}: {e}")
+                failed.append(code)
+
+        if not df_list:
+            raise RuntimeError("所有数据获取失败")
+
+        all_df = pd.concat(df_list, ignore_index=True)
+        data = all_df.pivot(index="date", columns="code", values="close")
+        data = data.sort_index()
+
+        return data, failed
+
+    def fetch_index_list(self) -> pd.DataFrame:
+        """
+        获取所有A股指数列表
+
+        Returns:
+            DataFrame with index info
+        """
+        sources = ["沪深重要指数", "上证系列指数", "深证系列指数", "中证系列指数"]
+        df_list = []
+
+        for source in sources:
+            try:
+                df = ak.stock_zh_index_spot_em(symbol=source)
+                df["source"] = source
+                df_list.append(df)
+            except Exception as e:
+                print(f"  ⚠ 获取 {source} 失败: {e}")
+
+        return pd.concat(df_list, ignore_index=True) if df_list else pd.DataFrame()
--- a/core/datasource/base.py
+++ b/core/datasource/base.py
@@ -0,0 +1,53 @@
+"""
+数据源抽象基类
+"""
+
+from abc import ABC, abstractmethod
+from typing import Optional
+import pandas as pd
+
+
+class DataSource(ABC):
+    """数据源抽象基类"""
+
+    @abstractmethod
+    def fetch_ohlcv(
+        self,
+        code: str,
+        start_date: str,
+        end_date: str,
+        fields: Optional[list] = None,
+    ) -> pd.DataFrame:
+        """
+        获取OHLCV数据
+
+        Args:
+            code: 标的代码
+            start_date: 开始日期 (YYYY-MM-DD)
+            end_date: 结束日期 (YYYY-MM-DD)
+            fields: 指定字段列表，None表示获取全部
+
+        Returns:
+            DataFrame with columns: date, open, high, low, close, volume
+        """
+        pass
+
+    @abstractmethod
+    def fetch_multiple(
+        self,
+        codes: list,
+        start_date: str,
+        end_date: str,
+    ) -> pd.DataFrame:
+        """
+        批量获取多只标的收盘价数据
+
+        Args:
+            codes: 标的代码列表
+            start_date: 开始日期
+            end_date: 结束日期
+
+        Returns:
+            DataFrame, index=日期, columns=代码, values=收盘价
+        """
+        pass
--- a/core/datasource/cache.py
+++ b/core/datasource/cache.py
@@ -0,0 +1,54 @@
+"""
+数据缓存管理模块
+"""
+
+import os
+import pandas as pd
+from pathlib import Path
+from typing import Optional
+
+
+class DataCache:
+    """CSV文件缓存管理器"""
+
+    def __init__(self, cache_dir: str = "data_cache"):
+        self.cache_dir = Path(cache_dir)
+        self.cache_dir.mkdir(exist_ok=True)
+
+    def _get_cache_path(self, code: str, start_date: str, end_date: str) -> Path:
+        """生成缓存文件路径"""
+        # 统一日期格式为 YYYYMMDD
+        sd = start_date.replace("-", "")
+        ed = end_date.replace("-", "")
+        safe_code = code.replace(".", "_")
+        return self.cache_dir / f"{safe_code}_{sd}_{ed}.csv"
+
+    def get(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
+        """
+        从缓存读取数据
+
+        Returns:
+            DataFrame or None（缓存不存在）
+        """
+        cache_path = self._get_cache_path(code, start_date, end_date)
+        if cache_path.exists():
+            df = pd.read_csv(cache_path)
+            df["date"] = pd.to_datetime(df["date"])
+            return df
+        return None
+
+    def set(self, code: str, start_date: str, end_date: str, df: pd.DataFrame) -> None:
+        """保存数据到缓存"""
+        cache_path = self._get_cache_path(code, start_date, end_date)
+        df.to_csv(cache_path, index=False)
+
+    def clear(self, code: str = None) -> None:
+        """清除缓存"""
+        if code:
+            # 清除指定代码的缓存
+            for f in self.cache_dir.glob(f"{code.replace('.', '_')}*.csv"):
+                f.unlink()
+        else:
+            # 清除所有缓存
+            for f in self.cache_dir.glob("*.csv"):
+                f.unlink()
--- a/core/datasource/hybrid_source.py
+++ b/core/datasource/hybrid_source.py
@@ -0,0 +1,481 @@
+"""
+混合数据源模块
+- 中国A股指数: Tushare
+- 港股/美股: YFinance (支持 SSH 隧道)
+- 加密货币: CCXT/OKX (支持 SSH->HTTP 代理)
+"""
+
+import os
+import sys
+import time
+import subprocess
+from pathlib import Path
+from typing import Optional, Tuple, Dict
+from datetime import datetime
+import pandas as pd
+import yfinance as yf
+import urllib3
+
+# 禁用 SSL 警告
+urllib3.disable_warnings(urllib3.exceptions.InsecureRequestWarning)
+
+
+class SSHTunnelManager:
+    """SSH 隧道管理器"""
+
+    def __init__(self, config: dict):
+        self.enabled = config.get("enabled", False)
+        self.host = config.get("host", "")
+        self.port = config.get("port", 22)
+        self.username = config.get("username", "")
+        self.local_port = config.get("local_port", 1080)
+        self._process: Optional[subprocess.Popen] = None
+
+        # 处理 key_path：如果是相对路径，转换为绝对路径
+        key_path = config.get("key_path", "")
+        if key_path and not os.path.isabs(key_path):
+            # 相对于项目根目录
+            project_root = Path(__file__).parent.parent.parent
+            key_path = str(project_root / key_path)
+        self.key_path = key_path
+        print(f"SSH 私钥路径: {self.key_path}")
+
+    def start(self) -> bool:
+        """启动 SSH 隧道"""
+        if not self.enabled:
+            return True
+
+        if not all([self.host, self.username, self.key_path]):
+            print("SSH 配置不完整，跳过隧道建立")
+            return False
+
+        print(f"建立 SSH 隧道: {self.host}:{self.port} -> 本地 SOCKS5 端口 {self.local_port}")
+
+        cmd = [
+            "ssh", "-N", "-D", f"127.0.0.1:{self.local_port}",
+            "-o", "StrictHostKeyChecking=no",
+            "-o", "UserKnownHostsFile=/dev/null",
+            "-i", self.key_path,
+            "-p", str(self.port),
+            f"{self.username}@{self.host}"
+        ]
+
+        try:
+            self._process = subprocess.Popen(cmd, stdout=subprocess.PIPE, stderr=subprocess.PIPE)
+            time.sleep(2)
+
+            if self._process.poll() is not None:
+                stdout, stderr = self._process.communicate()
+                print("✗ SSH 隧道建立失败")
+                if stderr:
+                    print(f"错误: {stderr.decode()}")
+                return False
+
+            # 设置代理环境变量
+            proxy_url = f"socks5://127.0.0.1:{self.local_port}"
+            os.environ["HTTP_PROXY"] = proxy_url
+            os.environ["HTTPS_PROXY"] = proxy_url
+            os.environ["ALL_PROXY"] = proxy_url
+
+            print(f"✓ SSH 隧道已建立: {proxy_url}")
+            time.sleep(1)
+            return True
+
+        except Exception as e:
+            print(f"✗ SSH 隧道异常: {e}")
+            return False
+
+    def stop(self):
+        """停止 SSH 隧道"""
+        if self._process:
+            self._process.terminate()
+            self._process.wait()
+            for key in ["HTTP_PROXY", "HTTPS_PROXY", "ALL_PROXY"]:
+                os.environ.pop(key, None)
+            print("SSH 隧道已关闭")
+
+    def __enter__(self):
+        self.start()
+        return self
+
+    def __exit__(self, exc_type, exc_val, exc_tb):
+        self.stop()
+
+
+class HybridDataSource:
+    """
+    混合数据源
+    - 中国A股指数 (SH/SZ): Tushare
+    - 港股/美股: YFinance
+    - 加密货币: CCXT/OKX (通过 SSH->HTTP 代理)
+    """
+
+    # YFinance 代码映射 (代码 -> YFinance格式)
+    YF_CODE_MAP = {
+        # 港股
+        "HSTECH": "3033.HK",      # 恒生科技指数 ETF
+        "HSI": "^HSI",            # 恒生指数
+        # 美股指数
+        "NDX": "^NDX",            # 纳斯达克100
+        "SPX": "^GSPC",           # 标普500
+        "DJI": "^DJI",            # 道琼斯
+        # 黄金
+        "GC=F": "GC=F",           # 黄金期货
+    }
+    
+    # CCXT 代码映射 (代码 -> CCXT格式)
+    CCXT_CODE_MAP = {
+        "BTC": "BTC/USDT",        # OKX 比特币现货
+        "ETH": "ETH/USDT",        # OKX 以太坊现货
+    }
+
+    def __init__(self, ssh_config: Optional[dict] = None, use_cache: bool = True):
+        self.ssh_config = ssh_config or {}
+        self.use_cache = use_cache
+        self._tunnel: Optional[SSHTunnelManager] = None
+        self._tushare_token: Optional[str] = None
+
+    def _is_china_index(self, code: str) -> bool:
+        """判断是否为中国A股指数"""
+        return code.endswith(".SH") or code.endswith(".SZ") or code.endswith(".SS")
+    
+    def _is_crypto(self, code: str) -> bool:
+        """判断是否为加密货币"""
+        return code in self.CCXT_CODE_MAP
+
+    def _get_tushare_token(self) -> str:
+        """获取 Tushare Token"""
+        if self._tushare_token is None:
+            import os
+            self._tushare_token = os.getenv("TUSHARE_TOKEN")
+            if not self._tushare_token:
+                raise ValueError("请设置环境变量 TUSHARE_TOKEN")
+        return self._tushare_token
+
+    def _fetch_tushare(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
+        """使用 Tushare 获取中国指数数据（不使用代理，直连国内服务器）"""
+        import os
+
+        # 临时清除代理环境变量（Tushare 是国内服务，不需要代理）
+        original_proxy = {}
+        for key in ["HTTP_PROXY", "HTTPS_PROXY", "ALL_PROXY", "http_proxy", "https_proxy", "all_proxy"]:
+            original_proxy[key] = os.environ.pop(key, None)
+
+        try:
+            import tushare as ts
+
+            pro = ts.pro_api(self._get_tushare_token())
+
+            # 转换代码格式 (000300.SS -> 000300.SH)
+            ts_code = code.replace(".SS", ".SH")
+
+            # 获取日线数据
+            df = pro.index_daily(
+                ts_code=ts_code,
+                start_date=start_date.replace("-", ""),
+                end_date=end_date.replace("-", "")
+            )
+
+            if df is None or len(df) == 0:
+                return None
+
+            # 标准化列名
+            df = df.rename(columns={
+                "trade_date": "date",
+                "open": "open",
+                "high": "high",
+                "low": "low",
+                "close": "close",
+                "vol": "volume",
+            })
+
+            # 转换日期格式
+            df["date"] = pd.to_datetime(df["date"])
+            df = df.set_index("date")
+            df = df.sort_index()
+
+            # 添加代码列
+            df["code"] = code
+
+            return df
+
+        except Exception as e:
+            print(f"Tushare 下载 {code} 失败: {e}")
+            return None
+
+        finally:
+            # 恢复代理环境变量
+            for key, value in original_proxy.items():
+                if value is not None:
+                    os.environ[key] = value
+
+    def _fetch_yfinance(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
+        """使用 YFinance 获取数据"""
+        import time
+
+        # 转换代码格式
+        yf_code = self.YF_CODE_MAP.get(code, code)
+
+        # 添加延迟以避免限流
+        time.sleep(0.5)
+
+        try:
+            ticker = yf.Ticker(yf_code)
+            data = ticker.history(start=start_date, end=end_date)
+
+            if len(data) == 0:
+                return None
+
+            # 标准化列名
+            data = data.rename(columns={
+                "Open": "open",
+                "High": "high",
+                "Low": "low",
+                "Close": "close",
+                "Volume": "volume",
+            })
+
+            # 添加代码列
+            data["code"] = code
+
+            return data
+
+        except Exception as e:
+            print(f"YFinance 下载 {code} ({yf_code}) 失败: {e}")
+            return None
+
+    def _fetch_ccxt(self, code: str, start_date: str, end_date: str, http_proxy: str = None) -> Optional[pd.DataFrame]:
+        """使用 CCXT/OKX 获取加密货币数据（支持 HTTP 代理）"""
+        import ccxt
+        
+        # 转换代码格式
+        ccxt_code = self.CCXT_CODE_MAP.get(code, code)
+        
+        # 配置 CCXT
+        config = {'enableRateLimit': True}
+        if http_proxy:
+            config['proxies'] = {'http': http_proxy, 'https': http_proxy}
+        
+        try:
+            exchange = ccxt.okx(config)
+            
+            # 获取日线数据
+            since = int(pd.Timestamp(start_date).timestamp() * 1000)
+            all_ohlcv = []
+            limit = 100
+            
+            while since < int(pd.Timestamp(end_date).timestamp() * 1000):
+                ohlcv = exchange.fetch_ohlcv(ccxt_code, '1d', since, limit)
+                if not ohlcv:
+                    break
+                all_ohlcv.extend(ohlcv)
+                since = ohlcv[-1][0] + 86400000
+            
+            if not all_ohlcv:
+                return None
+            
+            # 转换为 DataFrame
+            df = pd.DataFrame(all_ohlcv, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume'])
+            # 转换时间戳为日期索引
+            df.index = pd.DatetimeIndex(pd.to_datetime(df['timestamp'], unit='ms', utc=True)).tz_localize(None).normalize()
+            df.index.name = 'date'
+            df = df[['open', 'high', 'low', 'close', 'volume']]
+            # 过滤日期范围
+            start_ts = pd.Timestamp(start_date)
+            end_ts = pd.Timestamp(end_date)
+            df = df[(df.index >= start_ts) & (df.index <= end_ts)]
+            df['code'] = code
+            
+            return df
+            
+        except Exception as e:
+            print(f"CCXT 下载 {code} ({ccxt_code}) 失败: {e}")
+            return None
+
+    def fetch_single(self, code: str, start_date: str, end_date: str, http_proxy: str = None) -> Optional[pd.DataFrame]:
+        """获取单个标的的数据"""
+        if self._is_china_index(code):
+            return self._fetch_tushare(code, start_date, end_date)
+        elif self._is_crypto(code):
+            return self._fetch_ccxt(code, start_date, end_date, http_proxy)
+        else:
+            return self._fetch_yfinance(code, start_date, end_date)
+
+    def fetch_all(
+        self,
+        code_list,  # list[代码] 或 dict{代码: 名称}
+        benchmark_code: str,
+        start_date: str,
+        end_date: str,
+    ) -> Tuple[Optional[pd.DataFrame], Optional[pd.DataFrame], list]:
+        """
+        批量获取数据
+        注意：由于 Tushare(中国A股) 和 YFinance(美股/加密货币) 的交易日历不同，
+        这里返回的是长格式数据，由调用方分别处理各市场的数据
+
+        Returns:
+            (etf_data, benchmark_data, valid_codes)
+            etf_data: DataFrame with columns [code, close, source], index=date
+        """
+        all_data = []
+        valid_codes = []
+
+        # 兼容列表和字典格式
+        if isinstance(code_list, dict):
+            codes = list(code_list.keys())
+            code_name_map = code_list
+        else:
+            codes = code_list
+            code_name_map = {c: c for c in codes}
+
+        print(f"开始下载 {len(codes)} 只标的的数据...")
+        china_codes = [c for c in codes if self._is_china_index(c)]
+        global_codes = [c for c in codes if not self._is_china_index(c)]
+        print(f"  中国A股指数: {len(china_codes)} 只")
+        print(f"  港股/美股/加密货币: {len(global_codes)} 只")
+
+        # 检查是否需要启动 socks2http 代理（用于加密货币）
+        crypto_codes = [c for c in codes if self._is_crypto(c)]
+        http_proxy = None
+        socks2http_proc = None
+        
+        # 只有在 SSH 隧道已建立时才启动 socks2http
+        if crypto_codes and self._tunnel is not None:
+            import subprocess
+            import time
+            print(f"\n  启动 socks2http 代理服务（用于加密货币）...")
+            try:
+                # 启动 socks2http.py 作为子进程
+                socks2http_path = Path(__file__).parent / "socks2http.py"
+                socks2http_proc = subprocess.Popen(
+                    [sys.executable, str(socks2http_path)],
+                    stdout=subprocess.PIPE,
+                    stderr=subprocess.PIPE,
+                )
+                time.sleep(2)  # 等待代理启动
+                http_proxy = "http://127.0.0.1:8080"
+                print(f"  ✓ HTTP 代理已启动: {http_proxy}")
+            except Exception as e:
+                print(f"  ✗ 启动代理失败: {e}")
+        
+        # 分别下载数据
+        for code in codes:
+            if self._is_china_index(code):
+                source = "Tushare"
+            elif self._is_crypto(code):
+                source = "CCXT/OKX"
+            else:
+                source = "YFinance"
+            
+            name = code_name_map.get(code, code)
+            print(f"  下载 {code} ({name}) - {source}...", end=" ")
+
+            # 加密货币使用 HTTP 代理
+            proxy = http_proxy if self._is_crypto(code) else None
+            data = self.fetch_single(code, start_date, end_date, proxy)
+
+            if data is not None and len(data) > 0:
+                # 标准化数据格式
+                data = data.copy()
+                data['source'] = source
+                # 确保索引是日期格式且无时区，只保留日期部分（去掉时间）
+                data.index = pd.to_datetime(data.index, utc=True).tz_localize(None).normalize()
+                all_data.append(data[['code', 'close', 'source']])
+                valid_codes.append(code)
+                print(f"✓ {len(data)} 条")
+            else:
+                print("✗ 无数据")
+        
+        # 关闭 socks2http 代理
+        if socks2http_proc:
+            socks2http_proc.terminate()
+            socks2http_proc.wait()
+            print(f"\n  socks2http 代理已关闭")
+
+        if not all_data:
+            return None, None, []
+
+        # 检查数据源类型
+        sources = set(d['source'].iloc[0] for d in all_data)
+
+        if len(sources) == 1:
+            # 单一数据源：转换为宽格式（向后兼容）
+            all_df = pd.concat(all_data, ignore_index=False)
+            all_df = all_df.reset_index()
+            all_df['date'] = pd.to_datetime(all_df['date'], utc=True).dt.tz_localize(None)
+            etf_data = all_df.pivot_table(
+                index='date',
+                columns='code',
+                values='close',
+                aggfunc='first'
+            )
+            print(f"\n数据整理完成 (单一数据源 {list(sources)[0]}):")
+            print(f"  时间范围: {etf_data.index[0]} ~ {etf_data.index[-1]}")
+            print(f"  交易日数: {len(etf_data)}")
+            print(f"  有效标的: {len(etf_data.columns)} 只")
+        else:
+            # 多数据源：以主市场（Tushare/A股）为基准，其他市场数据前向填充
+            print(f"\n数据整理完成 (多数据源 - 以A股交易日为基准):")
+
+            # 合并所有数据（索引已经是标准化后的日期）
+            all_df = pd.concat(all_data, ignore_index=False)
+            all_df = all_df.reset_index()
+            # 重命名索引列为 date
+            if 'index' in all_df.columns:
+                all_df = all_df.rename(columns={'index': 'date'})
+            # 确保 date 列是日期格式（不含时间）
+            all_df['date'] = pd.to_datetime(all_df['date']).dt.normalize()
+
+            # 透视为宽格式
+            etf_data = all_df.pivot_table(
+                index='date',
+                columns='code',
+                values='close',
+                aggfunc='first'
+            )
+
+            # 获取主市场（Tushare）的交易日历
+            tushare_codes = [c for c in valid_codes if self._is_china_index(c)]
+            if tushare_codes:
+                # 使用第一个A股代码的日期作为主市场交易日
+                primary_dates = etf_data[tushare_codes[0]].dropna().index
+                print(f"  主市场交易日: {len(primary_dates)} 天")
+
+                # 重新索引到主市场交易日，使用前向填充
+                etf_data = etf_data.reindex(primary_dates)
+
+                # 对每个非主市场代码进行前向填充
+                yfinance_codes = [c for c in valid_codes if not self._is_china_index(c)]
+                for code in yfinance_codes:
+                    if code in etf_data.columns:
+                        # 前向填充：用最近的有效价格填充休市日的数据
+                        etf_data[code] = etf_data[code].ffill()
+                        # 对于开头的NaN，用后向填充
+                        etf_data[code] = etf_data[code].bfill()
+
+                print(f"  非主市场标的: {len(yfinance_codes)} 只 (已前向填充)")
+
+            print(f"  时间范围: {etf_data.index[0]} ~ {etf_data.index[-1]}")
+            print(f"  交易日数: {len(etf_data)}")
+            print(f"  有效标的: {len(etf_data.columns)} 只")
+
+        # 获取基准数据
+        benchmark_data = self.fetch_single(benchmark_code, start_date, end_date)
+        if benchmark_data is not None:
+            # 标准化日期索引（无时区，只保留日期部分）
+            benchmark_data.index = pd.to_datetime(benchmark_data.index, utc=True).tz_localize(None).normalize()
+            print(f"  ✓ 基准 {benchmark_code}: {len(benchmark_data)} 条")
+
+        return etf_data, benchmark_data, valid_codes
+
+    def __enter__(self):
+        """上下文管理器入口"""
+        if self.ssh_config.get("enabled"):
+            self._tunnel = SSHTunnelManager(self.ssh_config)
+            self._tunnel.start()
+        return self
+
+    def __exit__(self, exc_type, exc_val, exc_tb):
+        """上下文管理器出口"""
+        if self._tunnel:
+            self._tunnel.stop()
--- a/core/datasource/socks2http.py
+++ b/core/datasource/socks2http.py
@@ -0,0 +1,168 @@
+#!/usr/bin/env python3
+"""
+SOCKS5 转 HTTP 代理转发工具
+将 SSH 隧道的 SOCKS5 代理 (1080) 转为 HTTP 代理 (8080)
+供 CCXT 等只支持 HTTP 代理的库使用
+"""
+
+import socket
+import threading
+import select
+import sys
+from urllib.parse import urlparse
+
+
+class Socks2Http:
+    def __init__(self, socks_host='127.0.0.1', socks_port=1080, http_port=8080):
+        self.socks_host = socks_host
+        self.socks_port = socks_port
+        self.http_port = http_port
+        self.server = None
+        self.running = False
+        
+    def start(self):
+        """启动 HTTP 代理服务器"""
+        self.server = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
+        self.server.setsockopt(socket.SOL_SOCKET, socket.SO_REUSEADDR, 1)
+        self.server.bind(('127.0.0.1', self.http_port))
+        self.server.listen(5)
+        self.running = True
+        
+        print(f"HTTP 代理已启动: http://127.0.0.1:{self.http_port}")
+        print(f"转发到 SOCKS5: {self.socks_host}:{self.socks_port}")
+        
+        while self.running:
+            try:
+                client, addr = self.server.accept()
+                thread = threading.Thread(target=self._handle_client, args=(client,))
+                thread.daemon = True
+                thread.start()
+            except Exception as e:
+                if self.running:
+                    print(f"接受连接错误: {e}")
+                    
+    def stop(self):
+        """停止代理服务器"""
+        self.running = False
+        if self.server:
+            self.server.close()
+        print("HTTP 代理已停止")
+        
+    def _handle_client(self, client):
+        """处理客户端连接"""
+        try:
+            # 读取 HTTP 请求
+            request = client.recv(4096)
+            if not request:
+                client.close()
+                return
+                
+            # 解析 CONNECT 请求
+            first_line = request.split(b'\r\n')[0].decode('utf-8', errors='ignore')
+            
+            if first_line.startswith('CONNECT'):
+                # HTTPS 代理
+                parts = first_line.split()
+                if len(parts) >= 2:
+                    target = parts[1]
+                    host, port = target.rsplit(':', 1)
+                    port = int(port)
+                    
+                    # 连接到 SOCKS5 代理
+                    remote = self._connect_via_socks5(host, port)
+                    if remote:
+                        client.send(b'HTTP/1.1 200 Connection established\r\n\r\n')
+                        self._relay(client, remote)
+                    else:
+                        client.send(b'HTTP/1.1 502 Bad Gateway\r\n\r\n')
+            else:
+                # HTTP 代理
+                lines = first_line.split()
+                if len(lines) >= 2:
+                    url = lines[1]
+                    parsed = urlparse(url)
+                    host = parsed.hostname
+                    port = parsed.port or 80
+                    
+                    # 连接到 SOCKS5 代理
+                    remote = self._connect_via_socks5(host, port)
+                    if remote:
+                        # 修改请求，去掉完整 URL
+                        new_request = request.replace(
+                            f'{lines[0]} {url} '.encode(),
+                            f'{lines[0]} {parsed.path or "/"}{"?" + parsed.query if parsed.query else ""} '.encode()
+                        )
+                        remote.send(new_request)
+                        self._relay(client, remote)
+                        
+        except Exception as e:
+            print(f"处理客户端错误: {e}")
+        finally:
+            client.close()
+            
+    def _connect_via_socks5(self, host, port):
+        """通过 SOCKS5 代理连接目标服务器"""
+        try:
+            # 连接到 SOCKS5 代理
+            sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
+            sock.settimeout(30)
+            sock.connect((self.socks_host, self.socks_port))
+            
+            # SOCKS5 握手
+            # 1. 发送认证方法
+            sock.send(b'\x05\x01\x00')  # VER=5, NMETHODS=1, METHOD=0 (无认证)
+            resp = sock.recv(2)
+            if resp[0] != 0x05 or resp[1] != 0x00:
+                sock.close()
+                return None
+                
+            # 2. 发送连接请求
+            req = b'\x05\x01\x00\x03'  # VER=5, CMD=CONNECT, RSV=0, ATYP=DOMAIN
+            req += bytes([len(host)]) + host.encode()
+            req += bytes([(port >> 8) & 0xFF, port & 0xFF])
+            sock.send(req)
+            
+            # 3. 读取响应
+            resp = sock.recv(10)
+            if len(resp) < 4 or resp[1] != 0x00:
+                sock.close()
+                return None
+                
+            return sock
+            
+        except Exception as e:
+            print(f"SOCKS5 连接错误: {e}")
+            return None
+            
+    def _relay(self, client, remote):
+        """双向转发数据"""
+        try:
+            while True:
+                readable, _, _ = select.select([client, remote], [], [], 60)
+                if not readable:
+                    break
+                    
+                if client in readable:
+                    data = client.recv(4096)
+                    if not data:
+                        break
+                    remote.send(data)
+                    
+                if remote in readable:
+                    data = remote.recv(4096)
+                    if not data:
+                        break
+                    client.send(data)
+        except:
+            pass
+        finally:
+            client.close()
+            remote.close()
+
+
+if __name__ == '__main__':
+    proxy = Socks2Http(socks_port=1080, http_port=8080)
+    try:
+        proxy.start()
+    except KeyboardInterrupt:
+        proxy.stop()
--- a/core/datasource/yfinance_source.py
+++ b/core/datasource/yfinance_source.py
@@ -0,0 +1,194 @@
+"""
+YFinance 数据源模块
+支持通过 SSH 隧道访问（用于绕过网络限制）
+"""
+
+import os
+import time
+import subprocess
+from typing import Optional, Tuple
+from datetime import datetime
+import pandas as pd
+import yfinance as yf
+import urllib3
+
+# 禁用 SSL 警告
+urllib3.disable_warnings(urllib3.exceptions.InsecureRequestWarning)
+
+
+class SSHTunnelManager:
+    """SSH 隧道管理器"""
+
+    def __init__(self, config: dict):
+        from pathlib import Path
+
+        self.enabled = config.get("enabled", False)
+        self.host = config.get("host", "")
+        self.port = config.get("port", 22)
+        self.username = config.get("username", "")
+        self.local_port = config.get("local_port", 1080)
+        self._process: Optional[subprocess.Popen] = None
+
+        # 处理 key_path：如果是相对路径，转换为绝对路径
+        key_path = config.get("key_path", "")
+        if key_path and not os.path.isabs(key_path):
+            # 相对于项目根目录
+            project_root = Path(__file__).parent.parent.parent
+            key_path = str(project_root / key_path)
+        self.key_path = key_path
+
+    def start(self) -> bool:
+        """启动 SSH 隧道"""
+        if not self.enabled:
+            return True
+
+        if not all([self.host, self.username, self.key_path]):
+            print("SSH 配置不完整，跳过隧道建立")
+            return False
+
+        print(f"建立 SSH 隧道: {self.host}:{self.port} -> 本地 SOCKS5 端口 {self.local_port}")
+
+        cmd = [
+            "ssh",
+            "-N",
+            "-D", f"127.0.0.1:{self.local_port}",
+            "-o", "StrictHostKeyChecking=no",
+            "-o", "UserKnownHostsFile=/dev/null",
+            "-i", self.key_path,
+            "-p", str(self.port),
+            f"{self.username}@{self.host}"
+        ]
+
+        try:
+            self._process = subprocess.Popen(
+                cmd,
+                stdout=subprocess.PIPE,
+                stderr=subprocess.PIPE,
+            )
+            time.sleep(2)
+
+            if self._process.poll() is not None:
+                stdout, stderr = self._process.communicate()
+                print("✗ SSH 隧道建立失败")
+                if stderr:
+                    print(f"错误: {stderr.decode()}")
+                return False
+
+            # 设置代理环境变量
+            proxy_url = f"socks5://127.0.0.1:{self.local_port}"
+            os.environ["HTTP_PROXY"] = proxy_url
+            os.environ["HTTPS_PROXY"] = proxy_url
+            os.environ["ALL_PROXY"] = proxy_url
+
+            print(f"✓ SSH 隧道已建立: {proxy_url}")
+            time.sleep(1)
+            return True
+
+        except Exception as e:
+            print(f"✗ SSH 隧道异常: {e}")
+            return False
+
+    def stop(self):
+        """停止 SSH 隧道"""
+        if self._process:
+            self._process.terminate()
+            self._process.wait()
+            # 清理环境变量
+            for key in ["HTTP_PROXY", "HTTPS_PROXY", "ALL_PROXY"]:
+                os.environ.pop(key, None)
+            print("SSH 隧道已关闭")
+
+    def __enter__(self):
+        self.start()
+        return self
+
+    def __exit__(self, exc_type, exc_val, exc_tb):
+        self.stop()
+
+
+class YFinanceDataSource:
+    """YFinance 数据源"""
+
+    def __init__(self, ssh_config: Optional[dict] = None, use_cache: bool = True):
+        self.ssh_config = ssh_config or {}
+        self.use_cache = use_cache
+        self._tunnel: Optional[SSHTunnelManager] = None
+
+    def fetch_single(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
+        """获取单个 ETF 数据"""
+        try:
+            ticker = yf.Ticker(code)
+            data = ticker.history(start=start_date, end=end_date)
+
+            if len(data) == 0:
+                return None
+
+            # 标准化列名
+            data = data.rename(columns={
+                "Open": "open",
+                "High": "high",
+                "Low": "low",
+                "Close": "close",
+                "Volume": "volume",
+            })
+
+            # 添加代码列
+            data["code"] = code
+
+            return data
+
+        except Exception as e:
+            print(f"下载 {code} 失败: {e}")
+            return None
+
+    def fetch_all(
+        self,
+        code_list: list,
+        benchmark_code: str,
+        start_date: str,
+        end_date: str,
+    ) -> Tuple[Optional[pd.DataFrame], Optional[pd.DataFrame], list]:
+        """
+        批量获取 ETF 数据和基准数据
+
+        Returns:
+            (etf_data, benchmark_data, valid_codes)
+        """
+        all_data = []
+        valid_codes = []
+
+        print(f"开始下载 {len(code_list)} 只 ETF 数据...")
+
+        for code in code_list:
+            data = self.fetch_single(code, start_date, end_date)
+            if data is not None and len(data) > 0:
+                all_data.append(data)
+                valid_codes.append(code)
+                print(f"  ✓ {code}: {len(data)} 条")
+            else:
+                print(f"  ✗ {code}: 无数据")
+
+        if not all_data:
+            return None, None, []
+
+        # 合并数据
+        etf_data = pd.concat(all_data, ignore_index=False)
+
+        # 获取基准数据
+        benchmark_data = self.fetch_single(benchmark_code, start_date, end_date)
+        if benchmark_data is not None:
+            print(f"  ✓ 基准 {benchmark_code}: {len(benchmark_data)} 条")
+
+        return etf_data, benchmark_data, valid_codes
+
+    def __enter__(self):
+        """上下文管理器入口"""
+        if self.ssh_config.get("enabled"):
+            self._tunnel = SSHTunnelManager(self.ssh_config)
+            self._tunnel.start()
+        return self
+
+    def __exit__(self, exc_type, exc_val, exc_tb):
+        """上下文管理器出口"""
+        if self._tunnel:
+            self._tunnel.stop()
--- a/strategies/rotation/engine.py
+++ b/strategies/rotation/engine.py
@@ -10,7 +10,7 @@ import numpy as np
 from typing import Optional

 from strategies.base import BacktestStrategy
-from core.data.hybrid_source import HybridDataSource
+from core.datasource.hybrid_source import HybridDataSource
 from core.factors.momentum import compute_factors, calculate_daily_return