feat(scripts): 迁移轮动策略定时调度器
新增文件: - scripts/daily_scheduler.py: 定时调度器，支持交易日判断、回测执行、OSS上传、钉钉推送 - scripts/run_rotation.py: 回测入口脚本，支持Flask API和本地数据源切换 - config/settings.py: 配置管理模块，支持钉钉多群配置 功能: 1. 每天15:30自动检查交易日 2. 交易日执行策略回测生成报告 3. 上传报告图片到OSS 4. 发送图片链接到钉钉群 修复: - 添加oss2库SyntaxWarning过滤（Python 3.12兼容） - 钉钉消息精简为标题+图片格式
This commit is contained in:
93
config/settings.py
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93
config/settings.py
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"""
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配置管理模块
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从环境变量读取配置信息
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"""
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import os
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from typing import Dict, List, Optional
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# 默认基准
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DEFAULT_BENCHMARK_CODE = "000300.SH"
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DEFAULT_BENCHMARK_NAME = "沪深300指数"
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# 默认代码名称映射
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DEFAULT_CODE_NAME_MAP = {
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"000300.SH": "沪深300",
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"000905.SH": "中证500",
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"000852.SH": "中证1000",
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}
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def get_dingtalk_config() -> Dict[str, str]:
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"""
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获取钉钉机器人配置（第一个群）
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Returns:
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dict: 包含 webhook 和 secret
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"""
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webhook = os.getenv("DINGTALK_WEBHOOK", "")
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secret = os.getenv("DINGTALK_SECRET", "")
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return {
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"webhook": webhook,
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"secret": secret,
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}
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def get_all_dingtalk_configs() -> List[Dict[str, str]]:
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"""
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获取所有钉钉机器人配置（支持多群）
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环境变量格式:
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DINGTALK_WEBHOOK_1=xxx
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DINGTALK_SECRET_1=xxx
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DINGTALK_WEBHOOK_2=xxx
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DINGTALK_SECRET_2=xxx
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...
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如果没有编号配置，则使用 DINGTALK_WEBHOOK 和 DINGTALK_SECRET
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Returns:
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list: 配置列表，每项包含 webhook 和 secret
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"""
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configs = []
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# 查找编号配置
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i = 1
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while True:
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webhook = os.getenv(f"DINGTALK_WEBHOOK_{i}", "")
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secret = os.getenv(f"DINGTALK_SECRET_{i}", "")
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if not webhook:
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break
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configs.append({
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"webhook": webhook,
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"secret": secret,
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})
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i += 1
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# 如果没有编号配置，使用默认配置
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if not configs:
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default_config = get_dingtalk_config()
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if default_config["webhook"]:
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configs.append(default_config)
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return configs
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def get_db_config() -> Dict[str, str]:
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"""
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获取数据库配置
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Returns:
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dict: 数据库配置
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"""
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return {
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"host": os.getenv("DB_HOST", "localhost"),
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"port": os.getenv("DB_PORT", "5432"),
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"user": os.getenv("DB_USER", ""),
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"password": os.getenv("DB_PASSWORD", ""),
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"database": os.getenv("DB_NAME", ""),
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}
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314
scripts/daily_scheduler.py
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scripts/daily_scheduler.py
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@@ -0,0 +1,314 @@
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#!/usr/bin/env python3
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"""
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ETF轮动策略定时调度器
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功能:
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1. 每天15:30检查是否为交易日
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2. 如果是交易日，执行策略回测生成报告
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3. 上传报告图片到OSS
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4. 发送图片链接到钉钉群
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用法:
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python scripts/daily_scheduler.py --time 15:30 # 后台定时模式
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python scripts/daily_scheduler.py --now # 立即执行一次
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python scripts/daily_scheduler.py --no-daemon # 非后台模式
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"""
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import warnings
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# 抑制oss2库的SyntaxWarning（无效转义序列'\&'）
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warnings.filterwarnings('ignore', category=SyntaxWarning, module='oss2')
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import os
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import sys
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import time
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import subprocess
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import argparse
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from datetime import datetime
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from pathlib import Path
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# 添加项目根目录
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project_root = Path(__file__).parent.parent
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sys.path.insert(0, str(project_root))
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# 添加归档模块路径（使用原有的 notify 和 oss_utils）
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archive_path = project_root / 'archive' / 'legacy_core'
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sys.path.insert(0, str(archive_path))
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# 加载环境变量
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from dotenv import load_dotenv
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load_dotenv()
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from loguru import logger
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import schedule
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import tushare as ts
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# 导入原有的通知和OSS模块
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try:
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from core.common.notify import DingTalkBot, send_to_all_groups
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from core.common.oss_utils import upload_image_to_oss
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HAS_NOTIFY_MODULE = True
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except ImportError as e:
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logger.warning(f"无法导入通知模块: {e}")
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HAS_NOTIFY_MODULE = False
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# 配置日志
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log_path = project_root / "logs" / "scheduler_{time}.log"
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logger.add(
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str(log_path),
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rotation="1 day",
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retention="7 days",
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level="INFO"
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)
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def is_trade_day(date_str: str = None) -> bool:
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"""
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判断指定日期是否为交易日
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Args:
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date_str: 日期字符串 (YYYYMMDD)，默认今天
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Returns:
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bool: 是否为交易日
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"""
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if date_str is None:
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date_str = datetime.now().strftime("%Y%m%d")
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try:
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token = os.getenv('TUSHARE_TOKEN')
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if not token:
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logger.error("TUSHARE_TOKEN 未设置")
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return True # 失败时默认执行（避免错过交易日）
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pro = ts.pro_api(token)
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df = pro.trade_cal(
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exchange='SSE',
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start_date=date_str,
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end_date=date_str,
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is_open='1'
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)
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is_open = len(df) > 0 and df.iloc[0]["is_open"] == 1
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logger.info(f"日期 {date_str} 是否为交易日: {is_open}")
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return is_open
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except Exception as e:
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logger.error(f"检查交易日失败: {e}")
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return True # 失败时默认执行
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def run_strategy(config_path: str = "strategies/rotation/config.yaml") -> dict:
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"""
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执行策略回测并生成报告
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使用 generate_legacy_report.py 生成原引擎格式报告
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Args:
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config_path: 配置文件路径
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Returns:
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dict: 执行结果，包含报告路径等信息
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"""
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logger.info("开始执行策略回测...")
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try:
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# 使用 generate_legacy_report.py 生成报告
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# 输出文件: results/rotation_legacy_chart.png
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cmd = [
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sys.executable,
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str(project_root / "scripts" / "generate_legacy_report.py")
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]
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logger.info(f"执行命令: {' '.join(cmd)}")
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# 执行策略
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result = subprocess.run(
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cmd,
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capture_output=True,
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text=True,
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cwd=project_root,
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timeout=300 # 5分钟超时
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)
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if result.returncode != 0:
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logger.error(f"策略执行失败:\n{result.stderr}")
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return {"success": False, "error": result.stderr}
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logger.info("策略执行成功")
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logger.debug(result.stdout)
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# 查找生成的报告图片（固定路径）
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chart_path = project_root / "results" / "rotation_legacy_chart.png"
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return {
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"success": True,
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"stdout": result.stdout,
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"chart_path": str(chart_path) if chart_path.exists() else None,
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}
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except subprocess.TimeoutExpired:
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logger.error("策略执行超时")
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return {"success": False, "error": "timeout"}
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except Exception as e:
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logger.error(f"策略执行异常: {e}")
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return {"success": False, "error": str(e)}
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def send_report_to_dingtalk(chart_path: str, summary_text: str = "") -> bool:
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"""
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上传报告到OSS并发送图片链接到钉钉
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Args:
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chart_path: 图片文件路径
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summary_text: 摘要文本
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Returns:
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bool: 是否发送成功
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"""
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logger.info("开始发送报告到钉钉...")
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if not HAS_NOTIFY_MODULE:
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logger.warning("通知模块未加载，无法发送")
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return False
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try:
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today_str = datetime.now().strftime("%Y-%m-%d")
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title = f"ETF轮动策略调仓日报 ({today_str})"
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# 使用原有的 send_to_all_groups 发送图片
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# 该方法会自动：上传到OSS → 发送Markdown消息带图片链接
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success = send_to_all_groups(
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"send_image_via_oss",
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image_path=chart_path,
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title=title,
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text=summary_text,
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expire_days=7
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)
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if success:
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logger.info("报告发送成功")
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else:
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logger.error("报告发送失败")
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return success
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except Exception as e:
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logger.error(f"发送报告异常: {e}")
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return False
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def setup_schedule(target_time: str = "15:30", config_path: str = "strategies/rotation/config.yaml"):
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"""
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设置定时任务
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Args:
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target_time: 执行时间 (HH:MM)
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config_path: 配置文件路径
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"""
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logger.info(f"设置定时任务: 每天 {target_time} 执行")
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# 清除已有任务
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schedule.clear()
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# 添加每日任务
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schedule.every().day.at(target_time).do(daily_task, config_path=config_path)
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logger.info("定时任务设置完成，等待执行...")
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def daily_task(config_path: str = "strategies/rotation/config.yaml"):
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"""
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每日任务主流程
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Args:
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config_path: 配置文件路径
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"""
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today_str = datetime.now().strftime("%Y-%m-%d")
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logger.info("=" * 60)
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logger.info(f"开始执行每日任务: {today_str}")
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logger.info("=" * 60)
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# 1. 检查是否为交易日
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if not is_trade_day():
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logger.info("今天不是交易日，跳过执行")
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return
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# 2. 执行策略
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result = run_strategy(config_path)
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if not result["success"]:
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logger.error(f"策略执行失败: {result.get('error', '未知错误')}")
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return
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# 3. 发送报告
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if result.get("chart_path"):
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# 只发送标题和图片，不附带文字摘要
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send_report_to_dingtalk(
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chart_path=result["chart_path"],
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summary_text="" # 空字符串，只显示标题和图片
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)
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else:
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logger.warning("未找到报告文件")
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logger.info("每日任务执行完成")
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def run_scheduler_loop():
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"""运行调度循环"""
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logger.info("启动调度器，按 Ctrl+C 停止")
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try:
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while True:
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schedule.run_pending()
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time.sleep(1)
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except KeyboardInterrupt:
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logger.info("调度器已停止")
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def main():
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parser = argparse.ArgumentParser(description='ETF策略定时调度器')
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parser.add_argument(
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'--time',
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type=str,
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default='15:30',
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help='执行时间 (HH:MM)，默认 15:30'
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)
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parser.add_argument(
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'--config',
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type=str,
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default='strategies/rotation/config.yaml',
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help='配置文件路径'
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)
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parser.add_argument(
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'--now',
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action='store_true',
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help='立即执行一次并退出（不启动定时）'
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)
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parser.add_argument(
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'--no-daemon',
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action='store_true',
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help='非后台模式：执行一次后进入定时循环（测试用）'
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)
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args = parser.parse_args()
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# 创建日志目录
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(project_root / "logs").mkdir(exist_ok=True)
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if args.now:
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# 立即执行一次并退出
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daily_task(args.config)
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elif args.no_daemon:
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# 非后台模式：执行一次后进入定时循环
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setup_schedule(args.time, args.config)
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logger.info("执行一次测试...")
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daily_task(args.config)
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logger.info("测试完成，启动定时任务循环（Ctrl+C 停止）...")
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run_scheduler_loop()
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else:
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# 默认：后台定时模式
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setup_schedule(args.time, args.config)
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run_scheduler_loop()
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if __name__ == '__main__':
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main()
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115
scripts/run_rotation.py
Normal file
115
scripts/run_rotation.py
Normal file
@@ -0,0 +1,115 @@
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#!/usr/bin/env python3
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"""
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轮动策略回测入口脚本
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用法:
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python scripts/run_rotation.py --config strategies/rotation/config.yaml
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python scripts/run_rotation.py --config strategies/rotation/config.yaml --save-path results/report
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"""
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import sys
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import argparse
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from pathlib import Path
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from datetime import datetime
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# 添加项目根目录到路径
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project_root = Path(__file__).parent.parent
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sys.path.insert(0, str(project_root))
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# 加载环境变量
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from dotenv import load_dotenv
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load_dotenv()
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from strategies.rotation.strategy import RotationStrategy
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def load_config(config_path: str) -> dict:
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"""加载配置"""
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import yaml
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with open(config_path, 'r', encoding='utf-8') as f:
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return yaml.safe_load(f)
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def main():
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parser = argparse.ArgumentParser(description='ETF轮动策略回测')
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parser.add_argument(
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'--config',
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type=str,
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default='strategies/rotation/config.yaml',
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help='配置文件路径'
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)
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parser.add_argument(
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'--save-path',
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type=str,
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default=None,
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help='报告保存路径前缀'
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)
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parser.add_argument(
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'--no-api',
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action='store_true',
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help='不使用Flask API，使用本地数据源'
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)
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args = parser.parse_args()
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start_time = datetime.now()
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print("=" * 60)
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print(" ETF轮动策略 回测系统")
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print("=" * 60)
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# 加载配置
|
||||
print(f"\n加载配置: {args.config}")
|
||||
config = load_config(args.config)
|
||||
|
||||
# 显示配置摘要
|
||||
code_list = list(config.get('code_list', {}).keys())
|
||||
print(f"候选标的: {len(code_list)} 只")
|
||||
print(f"回测区间: {config.get('start_date', 'N/A')} ~ {config.get('end_date', 'N/A')}")
|
||||
print(f"因子类型: {config.get('factor_type', 'momentum')}")
|
||||
print(f"窗口天数: {config.get('n_days', 25)}")
|
||||
print(f"选股数量: {config.get('select_num', 3)}")
|
||||
print(f"调仓周期: {config.get('rebalance_days', 1)} 天")
|
||||
print(f"交易成本: {config.get('trade_cost', 0.001):.2%}")
|
||||
|
||||
# 初始化策略
|
||||
print("\n初始化策略...")
|
||||
strategy = RotationStrategy.from_yaml(args.config)
|
||||
|
||||
# 设置保存路径
|
||||
if args.save_path is None:
|
||||
report_date = datetime.now().strftime('%Y%m%d')
|
||||
args.save_path = f"results/report_{report_date}"
|
||||
|
||||
# 执行回测
|
||||
print("\n" + "=" * 60)
|
||||
print("开始回测...")
|
||||
print("=" * 60)
|
||||
|
||||
# 使用Flask API或本地数据源
|
||||
use_flask_api = not args.no_api
|
||||
data = strategy.get_data(use_flask_api=use_flask_api)
|
||||
|
||||
result = strategy.run_backtest(data=data, save_path=args.save_path)
|
||||
|
||||
# 输出结果
|
||||
if result.get('result') is not None:
|
||||
final_nav = result['result']['策略净值'].iloc[-1]
|
||||
total_return = (final_nav - 1) * 100
|
||||
|
||||
print("\n" + "=" * 60)
|
||||
print("回测完成!")
|
||||
print("=" * 60)
|
||||
print(f"最终净值: {final_nav:.4f}")
|
||||
print(f"累计收益: {total_return:.2f}%")
|
||||
print(f"调仓次数: {len(result.get('rebalance_events', []))} 次")
|
||||
print(f"报告保存: {args.save_path}_*.csv")
|
||||
|
||||
elapsed = datetime.now() - start_time
|
||||
print(f"\n总耗时: {elapsed.total_seconds():.1f}秒")
|
||||
|
||||
return result
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
main()
|
||||
Reference in New Issue
Block a user