feat: 创建数据源模块 datasource/

核心功能:
- ssh_tunnel.py: SSH隧道管理器(连接香港ECS)
- tushare_source.py: A股数据获取(指数、ETF、期货)
- yfinance_source.py: 境外数据获取(港股、美股)
- hybrid_source.py: 混合数据源(整合所有)

使用方式:
  from datasource import HybridDataSource

  source = HybridDataSource.from_yaml('config/strategies/rotation.yaml')
  result = source.fetch_all()

更新 RotationStrategy 使用新数据源模块
This commit is contained in:
2026-05-12 00:03:25 +08:00
parent e6b2c8cfb7
commit e56bd39400
6 changed files with 781 additions and 14 deletions

View File

@@ -0,0 +1,112 @@
"""
YFinance数据源
获取港股、美股数据通过SSH隧道
"""
import os
import time
from typing import Optional
from datetime import datetime, timedelta
import pandas as pd
import urllib3
# 禁用SSL警告
urllib3.disable_warnings(urllib3.exceptions.InsecureRequestWarning)
class YFinanceSource:
"""YFinance数据源"""
# 代码映射(项目代码 -> YFinance格式
CODE_MAP = {
# 港股
"HSTECH.HK": "3033.HK", # 恒生科技指数
"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
# 日本/欧洲
"N225": "^N225", # 日经225
"GDAXI": "^GDAXI", # 德国DAX
# 商品
"CL.NYM": "CL=F", # WTI原油期货
}
def __init__(self, use_ssh_tunnel: bool = False):
"""
初始化YFinance数据源
Args:
use_ssh_tunnel: 是否使用SSH隧道需先启动SSHTunnelManager
"""
self.use_ssh_tunnel = use_ssh_tunnel
self._delay = 0.5 # 请求延迟(避免限流)
def fetch(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
"""
获取数据
Args:
code: 代码(如 'NDX', 'N225', 'HSI'
start_date: 开始日期 'YYYY-MM-DD'
end_date: 结束日期 'YYYY-MM-DD'
Returns:
DataFrame with columns: date, open, high, low, close, volume
"""
import yfinance as yf
# 添加延迟避免限流
time.sleep(self._delay)
# 转换代码格式
yf_code = self.CODE_MAP.get(code, code)
try:
ticker = yf.Ticker(yf_code)
# end_date 需要加一天yfinance的end是排他的
end_dt = datetime.strptime(end_date, "%Y-%m-%d") + timedelta(days=1)
# auto_adjust=False 获取不复权价格
df = ticker.history(
start=start_date,
end=end_dt.strftime("%Y-%m-%d"),
auto_adjust=False
)
if df is None or len(df) == 0:
return None
# 标准化列名
df = df.rename(columns={
"Open": "open",
"High": "high",
"Low": "low",
"Close": "close",
"Volume": "volume",
})
# 确保索引是日期格式
df.index = pd.to_datetime(df.index, utc=True).tz_localize(None).normalize()
df.index.name = "date"
# 添加代码列
df["code"] = code
return df[['code', 'open', 'high', 'low', 'close', 'volume']]
except Exception as e:
print(f"YFinance下载 {code} ({yf_code}) 失败: {e}")
return None
def is_yfinance_code(self, code: str) -> bool:
"""判断是否需要YFinance获取"""
# 非A股代码
china_suffixes = ['.SH', '.SZ', '.SS', '.CSI']
futures_suffixes = ['.SHF', '.NYM', '.DCE', '.CZC']
# A股或期货用Tushare其他用YFinance
return not any(code.endswith(s) for s in china_suffixes + futures_suffixes)