aszerW
798a316ad5
核心变更:
- TushareSource: _fetch_etf_adj() 支持 qfq 和 hfq 双模式
* 后复权(hfq): close × adj_factor
* 前复权(qfq): close × adj_factor / latest_factor
- UniversalDataFetcher: VALID_ADJ_BY_TYPE 更新
* CHINA_ETF: ['raw', 'hfq'] → ['raw', 'qfq', 'hfq']
复权公式验证:
- 纳指ETF(513100.SH): HFQ / QFQ = latest_factor (5.0020) ✅
- 5/5 个交易日全部通过验证
技术实现:
- fetch_etf_adj(): 公共接口支持 adj='qfq' 或 'hfq'
- _fetch_etf_adj(): 内部实现根据 adj 参数分支计算
- 前复权使用全量最新复权因子确保准确性
698 lines
24 KiB
Python
698 lines
24 KiB
Python
"""
|
||
统一数据获取器
|
||
|
||
分层架构：对外统一接口，对内按资产类型独立实现
|
||
支持：A股指数/ETF、港股指数、美股指数、期货、加密货币
|
||
|
||
用法:
|
||
from datasource import UniversalDataFetcher
|
||
|
||
fetcher = UniversalDataFetcher()
|
||
|
||
# 单标的获取（自动识别类型）
|
||
df = fetcher.fetch("000300.SH", "2024-01-01", "2024-12-31")
|
||
|
||
# ETF获取（含净值，从 df.attrs 提取）
|
||
df = fetcher.fetch_etf("513100.SH", "2024-01-01", "2024-12-31")
|
||
nav_df = df.attrs.get('nav')
|
||
premium_series = df.attrs.get('premium')
|
||
|
||
# 批量获取
|
||
results = fetcher.fetch_batch(["000300.SH", "NDX", "N225"], "2024-01-01", "2024-12-31")
|
||
"""
|
||
|
||
import os
|
||
import time
|
||
from typing import Optional, Dict, List, Tuple, Union
|
||
from datetime import datetime
|
||
import pandas as pd
|
||
|
||
from .tushare_source import TushareSource
|
||
from .yfinance_source import YFinanceSource
|
||
from .ssh_tunnel import SSHTunnelManager
|
||
from .asset_type_detector import AssetTypeDetector, AssetType
|
||
from .ccxt_source import CCXTSource, get_crypto_source
|
||
|
||
try:
|
||
import pandas_market_calendars as mcal
|
||
HAS_PANDAS_MARKET_CALENDARS = True
|
||
except ImportError:
|
||
HAS_PANDAS_MARKET_CALENDARS = False
|
||
|
||
|
||
class UniversalDataFetcher:
|
||
"""
|
||
统一数据获取器
|
||
|
||
分层架构：
|
||
- 对外：统一 fetch() 接口，自动路由
|
||
- 对内：各资产类型独立方法，职责单一
|
||
"""
|
||
|
||
@staticmethod
|
||
def get_ssh_config_from_env() -> Optional[Dict]:
|
||
"""
|
||
从环境变量获取 SSH 配置
|
||
|
||
Returns:
|
||
SSH 配置字典或 None
|
||
"""
|
||
enabled = os.getenv('SSH_ENABLED', 'false').lower() == 'true'
|
||
|
||
if not enabled:
|
||
return None
|
||
|
||
return {
|
||
"enabled": True,
|
||
"host": os.getenv('SSH_HOST', ''),
|
||
"port": int(os.getenv('SSH_PORT', '22')),
|
||
"username": os.getenv('SSH_USERNAME', ''),
|
||
"key_path": os.getenv('SSH_KEY_PATH', 'hk_ecs.pem'),
|
||
"local_port": int(os.getenv('SSH_LOCAL_PORT', '1080')),
|
||
}
|
||
|
||
@classmethod
|
||
def from_env(cls, **kwargs) -> 'UniversalDataFetcher':
|
||
"""
|
||
从环境变量创建实例
|
||
|
||
Args:
|
||
**kwargs: 其他初始化参数（use_cache, cache_dir 等）
|
||
|
||
Returns:
|
||
UniversalDataFetcher 实例
|
||
"""
|
||
ssh_config = cls.get_ssh_config_from_env()
|
||
return cls(ssh_config=ssh_config, **kwargs)
|
||
|
||
def __init__(
|
||
self,
|
||
ssh_config: Optional[Dict] = None,
|
||
use_cache: bool = True,
|
||
cache_dir: str = "data/etf_cache/daily"
|
||
):
|
||
"""
|
||
初始化
|
||
|
||
Args:
|
||
ssh_config: SSH隧道配置（用于港美股）
|
||
use_cache: 是否使用本地缓存
|
||
cache_dir: 缓存目录
|
||
"""
|
||
self.ssh_config = ssh_config or {}
|
||
self.use_cache = use_cache
|
||
self.cache_dir = cache_dir
|
||
|
||
# 数据源实例
|
||
self._tushare = TushareSource()
|
||
self._yfinance = YFinanceSource()
|
||
|
||
# SSH隧道（延迟初始化）
|
||
self._tunnel: Optional[SSHTunnelManager] = None
|
||
self._tunnel_started = False
|
||
|
||
# 加密货币数据源（延迟初始化）
|
||
self._crypto: Optional[CCXTSource] = None
|
||
|
||
def __enter__(self):
|
||
"""上下文管理器入口"""
|
||
self._start_tunnel()
|
||
return self
|
||
|
||
def __exit__(self, exc_type, exc_val, exc_tb):
|
||
"""上下文管理器退出"""
|
||
self._stop_tunnel()
|
||
|
||
# ============================================================
|
||
# SSH隧道管理
|
||
# ============================================================
|
||
|
||
def _start_tunnel(self) -> bool:
|
||
"""启动SSH隧道"""
|
||
if self._tunnel_started:
|
||
return True
|
||
|
||
if self.ssh_config.get('enabled'):
|
||
self._tunnel = SSHTunnelManager(self.ssh_config)
|
||
if self._tunnel.start():
|
||
self._tunnel_started = True
|
||
return True
|
||
return False
|
||
return True
|
||
|
||
def _stop_tunnel(self):
|
||
"""停止SSH隧道"""
|
||
if self._tunnel:
|
||
self._tunnel.stop()
|
||
self._tunnel = None
|
||
self._tunnel_started = False
|
||
|
||
def get_ssh_status(self) -> Dict:
|
||
"""
|
||
获取 SSH 隧道状态
|
||
|
||
Returns:
|
||
SSH 状态信息字典
|
||
"""
|
||
enabled = self.ssh_config.get('enabled', False)
|
||
return {
|
||
"status": "enabled" if enabled else "disabled",
|
||
"host": self.ssh_config.get('host', '') if enabled else '',
|
||
"port": self.ssh_config.get('port', 22) if enabled else None,
|
||
"tunnel_started": self._tunnel_started,
|
||
"required_types": [t.value for t in self.SSH_REQUIRED_TYPES],
|
||
"description": "港美股/加密货币数据获取需要 SSH 隧道",
|
||
}
|
||
|
||
# ============================================================
|
||
# 统一入口（自动路由）
|
||
# ============================================================
|
||
|
||
# 各资产类型支持的 adj 参数
|
||
VALID_ADJ_BY_TYPE = {
|
||
AssetType.CHINA_INDEX: ['raw'], # 指数无复权
|
||
AssetType.CHINA_ETF: ['raw', 'qfq', 'hfq'], # ETF 支持前复权/后复权
|
||
AssetType.CHINA_STOCK: ['raw', 'qfq', 'hfq'],
|
||
AssetType.US_INDEX: ['raw'], # 指数无复权
|
||
AssetType.US_STOCK: ['raw', 'qfq', 'hfq'],
|
||
AssetType.HK_INDEX: ['raw'], # 指数无复权
|
||
AssetType.HK_STOCK: ['raw', 'qfq', 'hfq'],
|
||
AssetType.FUTURES: ['raw'], # 期货无复权
|
||
AssetType.CRYPTO: ['raw'], # 加密货币无复权
|
||
}
|
||
|
||
# 需要 SSH 隧道的资产类型（港美股/加密货币）
|
||
SSH_REQUIRED_TYPES = {
|
||
AssetType.US_INDEX, # 美股指数
|
||
AssetType.US_STOCK, # 美股股票
|
||
AssetType.HK_INDEX, # 港股指数
|
||
AssetType.HK_STOCK, # 港股股票
|
||
AssetType.CRYPTO, # 加密货币
|
||
}
|
||
|
||
def fetch(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str,
|
||
adj: str = 'raw',
|
||
retry: int = 3,
|
||
timeframe: str = '1d'
|
||
) -> Optional[pd.DataFrame]:
|
||
"""
|
||
统一数据获取入口（支持 adj 参数）
|
||
|
||
自动识别资产类型并路由到对应方法
|
||
|
||
Args:
|
||
code: 标的代码
|
||
start_date: 开始日期 'YYYY-MM-DD'
|
||
end_date: 结束日期 'YYYY-MM-DD'
|
||
adj: 复权类型 'raw'(原始) / 'qfq'(前复权) / 'hfq'(后复权)，默认 'raw'
|
||
retry: 重试次数
|
||
timeframe: K线周期（仅加密货币需要，默认1d）
|
||
|
||
Returns:
|
||
DataFrame with columns: date, open, high, low, close, volume
|
||
adj='hfq' 时 A股 ETF 会额外返回 adj_factor, close_hfq
|
||
|
||
示例:
|
||
# 原始价格
|
||
df = fetcher.fetch("000300.SH", "2020-01-01", "2024-12-31")
|
||
|
||
# A股股票后复权
|
||
df = fetcher.fetch("000001.SZ", "2020-01-01", "2024-12-31", adj='hfq')
|
||
|
||
# 美股股票前复权
|
||
df = fetcher.fetch("AAPL", "2020-01-01", "2024-12-31", adj='qfq')
|
||
"""
|
||
# 校验 adj 参数
|
||
if adj not in ['raw', 'qfq', 'hfq']:
|
||
raise ValueError(f"adj 参数必须是 'raw', 'qfq' 或 'hfq'，当前: {adj}")
|
||
|
||
asset_type = AssetTypeDetector.detect(code)
|
||
|
||
# 校验 adj 是否适用于该资产类型
|
||
valid_adj = self.VALID_ADJ_BY_TYPE.get(asset_type, ['raw'])
|
||
if adj not in valid_adj:
|
||
raise ValueError(
|
||
f"adj='{adj}' 不适用于 {asset_type.value}，支持的类型: {valid_adj}"
|
||
)
|
||
|
||
# 统一启动 SSH 隧道（港美股/加密货币需要）
|
||
if asset_type in self.SSH_REQUIRED_TYPES:
|
||
self._start_tunnel()
|
||
|
||
for attempt in range(retry):
|
||
try:
|
||
# 路由到具体方法（无需重复调用 _start_tunnel）
|
||
if asset_type == AssetType.CHINA_INDEX:
|
||
return self._tushare.fetch(code, start_date, end_date, adj)
|
||
elif asset_type == AssetType.CHINA_ETF:
|
||
return self._tushare.fetch(code, start_date, end_date, adj)
|
||
elif asset_type == AssetType.CHINA_STOCK:
|
||
return self._tushare.fetch(code, start_date, end_date, adj)
|
||
elif asset_type == AssetType.US_INDEX:
|
||
return self._yfinance.fetch(code, start_date, end_date, adj)
|
||
elif asset_type == AssetType.US_STOCK:
|
||
return self._yfinance.fetch(code, start_date, end_date, adj)
|
||
elif asset_type == AssetType.HK_INDEX:
|
||
return self._yfinance.fetch(code, start_date, end_date, adj)
|
||
elif asset_type == AssetType.HK_STOCK:
|
||
return self._yfinance.fetch(code, start_date, end_date, adj)
|
||
elif asset_type == AssetType.FUTURES:
|
||
return self._fetch_futures(code, start_date, end_date, adj)
|
||
elif asset_type == AssetType.CRYPTO:
|
||
return self._fetch_crypto(code, start_date, end_date, adj, timeframe)
|
||
else:
|
||
print(f"⚠️ 未知资产类型: {code} -> {asset_type}")
|
||
return None
|
||
|
||
except Exception as e:
|
||
if attempt < retry - 1:
|
||
time.sleep(2)
|
||
else:
|
||
print(f"✗ 获取 {code} adj={adj} 失败 (尝试 {attempt+1}/{retry}): {e}")
|
||
return None
|
||
|
||
return None
|
||
|
||
# ============================================================
|
||
# 分层实现：各资产类型独立方法
|
||
# ============================================================
|
||
|
||
def _fetch_china_index(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str
|
||
) -> Optional[pd.DataFrame]:
|
||
"""
|
||
获取A股指数
|
||
|
||
特点：Tushare API，无需SSH隧道
|
||
"""
|
||
return self._tushare.fetch_index(code, start_date, end_date)
|
||
|
||
def _fetch_china_etf(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str
|
||
) -> Optional[pd.DataFrame]:
|
||
"""
|
||
获取A股ETF价格
|
||
|
||
特点：Tushare fund_daily接口
|
||
"""
|
||
return self._tushare.fetch_etf(code, start_date, end_date)
|
||
|
||
def fetch_etf_with_nav(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str
|
||
) -> Tuple[Optional[pd.DataFrame], Optional[pd.DataFrame], Optional[pd.Series]]:
|
||
"""
|
||
获取ETF价格 + 净值 + 溢价率序列（⚠️ DEPRECATED 兼容旧接口）
|
||
|
||
⚠️ 推荐使用新接口：
|
||
df = fetcher.fetch_etf(code, start_date, end_date, adj='raw')
|
||
nav_df = df.attrs.get('nav')
|
||
premium_series = df.attrs.get('premium')
|
||
|
||
Args:
|
||
code: ETF代码
|
||
start_date: 开始日期
|
||
end_date: 结束日期
|
||
|
||
Returns:
|
||
(price_df, nav_df, premium_series)
|
||
- price_df: ETF价格数据 (OHLCV)
|
||
- nav_df: ETF净值数据（来自 df.attrs['nav']）
|
||
- premium_series: 溢价率序列（来自 df.attrs['premium']）
|
||
"""
|
||
import warnings
|
||
warnings.warn(
|
||
"fetch_etf_with_nav() is deprecated. "
|
||
"Use fetch_etf(code, start, end, adj='raw') and access df.attrs['nav'] and df.attrs['premium'] instead.",
|
||
DeprecationWarning,
|
||
stacklevel=2
|
||
)
|
||
|
||
# 调用统一的 fetch_etf() 方法
|
||
df = self._tushare.fetch_etf(code, start_date, end_date, adj='raw')
|
||
|
||
if df is None:
|
||
return None, None, None
|
||
|
||
# 从 attrs 提取元数据
|
||
nav_df = df.attrs.get('nav')
|
||
premium_series = df.attrs.get('premium')
|
||
|
||
return df, nav_df, premium_series
|
||
|
||
# ============================================================
|
||
# 内部方法：特殊资产类型（保留）
|
||
# ============================================================
|
||
|
||
def _fetch_futures(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str,
|
||
adj: str = 'raw'
|
||
) -> Optional[pd.DataFrame]:
|
||
"""
|
||
获取期货数据
|
||
|
||
特点：
|
||
- 中国期货(.SHF/.DCE/.CZC): Tushare
|
||
- NYMEX(.NYM): YFinance
|
||
- 期货不支持复权（adj 只能为 'raw'）
|
||
"""
|
||
# 期货不支持复权
|
||
if adj != 'raw':
|
||
raise ValueError(f"期货不支持复权，adj='{adj}' 仅适用于股票/ETF")
|
||
|
||
if code.endswith('.NYM'):
|
||
# NYMEX期货走YFinance
|
||
self._start_tunnel()
|
||
return self._yfinance.fetch(code, start_date, end_date, adj='raw')
|
||
else:
|
||
# 中国期货走Tushare
|
||
return self._tushare.fetch_futures(code, start_date, end_date)
|
||
|
||
def _fetch_crypto(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str,
|
||
adj: str = 'raw',
|
||
timeframe: str = '1d'
|
||
) -> Optional[pd.DataFrame]:
|
||
"""
|
||
获取加密货币
|
||
|
||
特点：
|
||
- 使用 CCXT + OKX
|
||
- 需要通过 socks2http 将 SOCKS5 转 HTTP 代理
|
||
- 必须指定 timeframe
|
||
- 不缓存（每次实时下载）
|
||
- 加密货币仅支持 adj='raw'（无复权）
|
||
|
||
Args:
|
||
code: 加密货币代码（BTC, ETH）
|
||
start_date: 开始日期
|
||
end_date: 结束日期
|
||
adj: 复权类型（仅支持 'raw'）
|
||
timeframe: K线周期（1d, 1h, 4h, 15m, 1m）
|
||
"""
|
||
# 延迟初始化加密货币数据源
|
||
if self._crypto is None:
|
||
# 使用 SSH 隧道的 SOCKS5 端口
|
||
socks_port = self.ssh_config.get('local_port', 1080)
|
||
self._crypto = get_crypto_source(socks_port=socks_port)
|
||
|
||
return self._crypto.fetch(code, start_date, end_date, adj, timeframe)
|
||
|
||
# ============================================================
|
||
# 批量获取
|
||
# ============================================================
|
||
|
||
def fetch_batch(
|
||
self,
|
||
codes: List[str],
|
||
start_date: str,
|
||
end_date: str,
|
||
retry: int = 3
|
||
) -> Dict[str, Optional[pd.DataFrame]]:
|
||
"""
|
||
批量获取多只标的数据
|
||
|
||
Args:
|
||
codes: 代码列表
|
||
start_date: 开始日期
|
||
end_date: 结束日期
|
||
|
||
Returns:
|
||
{code: DataFrame}
|
||
"""
|
||
results = {}
|
||
|
||
# 按资产类型分组
|
||
grouped = AssetTypeDetector.group_by_type(codes)
|
||
|
||
print(f"开始获取 {len(codes)} 只标的...")
|
||
for asset_type, code_list in grouped.items():
|
||
print(f" {asset_type.value}: {len(code_list)} 只")
|
||
|
||
# 无需单独启动隧道，每个 fetch() 会自动处理
|
||
|
||
for code in codes:
|
||
results[code] = self.fetch(code, start_date, end_date, retry)
|
||
|
||
return results
|
||
|
||
# ============================================================
|
||
# 辅助方法
|
||
# ============================================================
|
||
|
||
def get_asset_type(self, code: str) -> AssetType:
|
||
"""获取资产类型"""
|
||
return AssetTypeDetector.detect(code)
|
||
|
||
def is_supported(self, code: str) -> bool:
|
||
"""判断是否支持该代码"""
|
||
return AssetTypeDetector.detect(code) != AssetType.UNKNOWN
|
||
|
||
# ============================================================
|
||
# 扩展层：资产类型特有方法（复权/净值/溢价率）
|
||
# ============================================================
|
||
|
||
def fetch_etf_adj(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str
|
||
) -> Optional[pd.DataFrame]:
|
||
"""
|
||
获取 A股 ETF 后复权价格（兼容旧接口）
|
||
|
||
内部调用统一的 fetch_etf(adj='hfq') 方法
|
||
|
||
Args:
|
||
code: ETF代码，如 '159915.SZ', '513100.SH'
|
||
start_date: 开始日期 'YYYY-MM-DD'
|
||
end_date: 结束日期 'YYYY-MM-DD'
|
||
|
||
Returns:
|
||
DataFrame with columns: date, open, close, adj_factor, close_hfq
|
||
DataFrame.attrs['nav']: 净值 DataFrame
|
||
DataFrame.attrs['premium']: 溢价率 Series（基于原始价格计算）
|
||
"""
|
||
return self._tushare.fetch_etf(code, start_date, end_date, adj='hfq')
|
||
|
||
def fetch_us_adj(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str,
|
||
adj: str = 'qfq'
|
||
) -> Optional[pd.DataFrame]:
|
||
"""
|
||
获取美股复权价格
|
||
|
||
使用 YFinance，支持前复权(qfq)和后复权(hfq)
|
||
- 消除拆分(split)和分红(dividend)对价格的影响
|
||
- 适用于美股股票/ETF
|
||
|
||
Args:
|
||
code: 美股代码，如 'AAPL', 'TSLA', 'QQQ'
|
||
start_date: 开始日期 'YYYY-MM-DD'
|
||
end_date: 结束日期 'YYYY-MM-DD'
|
||
adj: 复权类型 'qfq'(前复权) 或 'hfq'(后复权)，默认 'qfq'
|
||
|
||
Returns:
|
||
DataFrame with columns: date, open, high, low, close, volume (复权后)
|
||
|
||
示例:
|
||
# 苹果复权价格（包含分红和拆分调整）
|
||
df = fetcher.fetch_us_adj("AAPL", "2020-01-01", "2024-12-31", adj='qfq')
|
||
"""
|
||
# 直接调用 fetch()，自动处理 SSH 隧道
|
||
return self.fetch(code, start_date, end_date, adj)
|
||
|
||
def fetch_hk_adj(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str,
|
||
adj: str = 'qfq'
|
||
) -> Optional[pd.DataFrame]:
|
||
"""
|
||
获取港股股票复权价格
|
||
|
||
使用 YFinance，支持前复权(qfq)和后复权(hfq)
|
||
|
||
Args:
|
||
code: 港股代码，如 '00700.HK', '00941.HK'
|
||
start_date: 开始日期 'YYYY-MM-DD'
|
||
end_date: 结束日期 'YYYY-MM-DD'
|
||
adj: 复权类型 'qfq'(前复权) 或 'hfq'(后复权)，默认 'qfq'
|
||
|
||
Returns:
|
||
DataFrame with columns: date, open, high, low, close, volume (复权后)
|
||
"""
|
||
# 直接调用 fetch()，自动处理 SSH 隧道
|
||
return self.fetch(code, start_date, end_date, adj)
|
||
|
||
def fetch_stock_adj(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str,
|
||
adj: str = 'hfq'
|
||
) -> Optional[pd.DataFrame]:
|
||
"""
|
||
获取 A股股票复权价格
|
||
|
||
使用 Tushare pro_bar 接口，支持前复权(qfq)和后复权(hfq)
|
||
|
||
Args:
|
||
code: A股股票代码，如 '000001.SZ', '600000.SH'
|
||
start_date: 开始日期 'YYYY-MM-DD'
|
||
end_date: 结束日期 'YYYY-MM-DD'
|
||
adj: 复权类型 'qfq'(前复权) 或 'hfq'(后复权)，默认 'hfq'
|
||
|
||
Returns:
|
||
DataFrame with columns: date, open, high, low, close, volume, adj_factor
|
||
"""
|
||
return self._tushare.fetch_stock_adj(code, start_date, end_date, adj)
|
||
|
||
# ============================================================
|
||
# 交易日历获取
|
||
# ============================================================
|
||
|
||
def get_trading_calendar(
|
||
self,
|
||
market: str,
|
||
start_date: str,
|
||
end_date: str
|
||
) -> pd.DatetimeIndex:
|
||
"""
|
||
获取交易日历（支持 A股、美股、港股）
|
||
|
||
Args:
|
||
market: 市场代码
|
||
- 'A' 或 'china': A股（上交所/深交所，交易日历一致）
|
||
- 'US' 或 'us': 美股（NYSE）
|
||
- 'HK' 或 'hk': 港股（HKEX）
|
||
start_date: 开始日期 'YYYY-MM-DD'
|
||
end_date: 结束日期 'YYYY-MM-DD'
|
||
|
||
Returns:
|
||
DatetimeIndex: 交易日日期序列
|
||
|
||
示例:
|
||
# A股
|
||
cal = fetcher.get_trading_calendar('A', '2024-01-01', '2024-12-31')
|
||
|
||
# 美股
|
||
cal = fetcher.get_trading_calendar('US', '2024-01-01', '2024-12-31')
|
||
|
||
# 港股
|
||
cal = fetcher.get_trading_calendar('HK', '2024-01-01', '2024-12-31')
|
||
"""
|
||
if not HAS_PANDAS_MARKET_CALENDARS:
|
||
raise ImportError(
|
||
"需要安装 pandas_market_calendars: pip install pandas_market_calendars"
|
||
)
|
||
|
||
market_lower = market.lower()
|
||
|
||
# 直接调用 mcal，根据市场选择日历
|
||
if market_lower in ['a', 'china']:
|
||
# A股：上交所/深交所交易日历一致，统一使用 SSE
|
||
cal = mcal.get_calendar('SSE')
|
||
elif market_lower in ['us', 'usa', 'america']:
|
||
# 美股：NYSE
|
||
cal = mcal.get_calendar('NYSE')
|
||
elif market_lower in ['hk', 'hongkong']:
|
||
# 港股：HKEX
|
||
cal = mcal.get_calendar('HKEX')
|
||
else:
|
||
raise ValueError(f"不支持的市场: {market}，支持: A/US/HK")
|
||
|
||
schedule = cal.schedule(start_date=start_date, end_date=end_date)
|
||
return pd.DatetimeIndex(schedule.index)
|
||
|
||
def get_calendar_info(self) -> Dict:
|
||
"""
|
||
获取交易日历支持信息
|
||
|
||
Returns:
|
||
支持的市场和交易所信息
|
||
"""
|
||
return {
|
||
"supported_markets": {
|
||
"A": {
|
||
"name": "A股",
|
||
"method": "pandas_market_calendars",
|
||
"exchanges": ["SSE"],
|
||
"default_exchange": "SSE",
|
||
"note": "上交所和深交所交易日历完全一致，统一使用SSE",
|
||
},
|
||
"US": {
|
||
"name": "美股",
|
||
"method": "pandas_market_calendars",
|
||
"exchanges": ["NYSE", "NASDAQ"],
|
||
"default_exchange": "NYSE",
|
||
},
|
||
"HK": {
|
||
"name": "港股",
|
||
"method": "pandas_market_calendars",
|
||
"exchanges": ["HKEX"],
|
||
"default_exchange": "HKEX",
|
||
},
|
||
},
|
||
"pandas_market_calendars_installed": HAS_PANDAS_MARKET_CALENDARS,
|
||
"tushare_available": False, # 不再使用 Tushare
|
||
}
|
||
|
||
# ============================================================
|
||
# 统一复权入口（简化版，直接调用 fetch）
|
||
# ============================================================
|
||
|
||
def fetch_with_adj(
|
||
self,
|
||
code: str,
|
||
start_date: str,
|
||
end_date: str,
|
||
adj: str = 'raw',
|
||
retry: int = 3
|
||
) -> Optional[pd.DataFrame]:
|
||
"""
|
||
统一复权入口（简化版）
|
||
|
||
直接调用 fetch(adj=adj)，无需重复实现路由逻辑。
|
||
|
||
Args:
|
||
code: 标的代码
|
||
start_date: 开始日期 'YYYY-MM-DD'
|
||
end_date: 结束日期 'YYYY-MM-DD'
|
||
adj: 复权类型，默认 'raw'
|
||
retry: 重试次数
|
||
|
||
Returns:
|
||
DataFrame，结构因资产类型和 adj 参数略有不同
|
||
|
||
示例:
|
||
# A股股票后复权
|
||
df = fetcher.fetch_with_adj("000001.SZ", "2020-01-01", "2024-12-31", adj='hfq')
|
||
|
||
# 美股股票前复权
|
||
df = fetcher.fetch_with_adj("AAPL", "2020-01-01", "2024-12-31", adj='qfq')
|
||
"""
|
||
# 直接调用 fetch，传递 adj 参数
|
||
return self.fetch(code, start_date, end_date, adj, retry) |