aszerW
209dd7fd83
Tushare是国内服务，不需要代理切换操作 移除内容: - _clear_proxy 方法 - _restore_proxy 方法 - 所有方法中的代理清除和恢复调用 代码精简37行，保持原有功能不变
335 lines
11 KiB
Python
335 lines
11 KiB
Python
"""
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Tushare数据源
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获取A股指数、ETF、期货数据
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"""
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import os
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from typing import Optional
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from datetime import datetime
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import pandas as pd
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class TushareSource:
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"""Tushare数据源"""
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def __init__(self, token: Optional[str] = None):
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"""
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初始化Tushare数据源
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Args:
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token: Tushare Token（可选，默认从环境变量读取）
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"""
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self._token = token or os.getenv("TUSHARE_TOKEN")
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if not self._token:
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raise ValueError("请设置环境变量 TUSHARE_TOKEN")
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def _get_pro_api(self):
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"""获取Tushare Pro API"""
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import tushare as ts
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return ts.pro_api(self._token)
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def fetch_index(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
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"""
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获取A股指数数据
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Args:
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code: 指数代码，如 '000300.SH', '399006.SZ', 'H30269.CSI'
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start_date: 开始日期 'YYYY-MM-DD'
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end_date: 结束日期 'YYYY-MM-DD'
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Returns:
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DataFrame with columns: date, open, high, low, close, volume
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"""
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try:
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pro = self._get_pro_api()
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# 转换代码格式 (.SS -> .SH)
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ts_code = code.replace(".SS", ".SH")
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df = pro.index_daily(
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ts_code=ts_code,
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start_date=start_date.replace("-", ""),
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end_date=end_date.replace("-", "")
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)
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if df is None or len(df) == 0:
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return None
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# 标准化列名
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df = df.rename(columns={
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"trade_date": "date",
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"vol": "volume",
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})
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# 转换日期格式
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df["date"] = pd.to_datetime(df["date"])
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df = df.set_index("date")
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df = df.sort_index()
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df["code"] = code
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return df[['code', 'open', 'high', 'low', 'close', 'volume']]
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except Exception as e:
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print(f"Tushare下载指数 {code} 失败: {e}")
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return None
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def fetch_futures(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
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"""
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获取期货数据
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Args:
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code: 期货代码，如 'AU.SHF', 'CU.SHF'
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start_date: 开始日期
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end_date: 结束日期
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"""
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try:
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pro = self._get_pro_api()
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# 使用 fut_daily 接口
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df = pro.fut_daily(
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ts_code=code,
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start_date=start_date.replace("-", ""),
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end_date=end_date.replace("-", "")
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)
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if df is None or len(df) == 0:
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return None
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# 标准化列名
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df = df.rename(columns={
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"trade_date": "date",
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"vol": "volume",
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})
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df["date"] = pd.to_datetime(df["date"])
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df = df.set_index("date")
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df = df.sort_index()
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df["code"] = code
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return df[['code', 'open', 'high', 'low', 'close', 'volume']]
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except Exception as e:
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print(f"Tushare下载期货 {code} 失败: {e}")
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return None
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def fetch_etf(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
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"""
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获取ETF价格数据
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Args:
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code: ETF代码，如 '159915.SZ', '518880.SH'
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"""
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try:
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pro = self._get_pro_api()
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ts_code = code.replace(".SS", ".SH")
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df = pro.fund_daily(
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ts_code=ts_code,
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start_date=start_date.replace("-", ""),
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end_date=end_date.replace("-", "")
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)
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if df is None or len(df) == 0:
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return None
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df = df.rename(columns={
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"trade_date": "date",
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"vol": "volume",
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})
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df["date"] = pd.to_datetime(df["date"])
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df = df.set_index("date")
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df = df.sort_index()
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df["code"] = code
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return df[['code', 'open', 'high', 'low', 'close', 'volume']]
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except Exception as e:
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print(f"Tushare下载ETF {code} 失败: {e}")
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return None
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def fetch_etf_nav(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
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"""
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获取ETF净值数据
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Args:
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code: ETF代码
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"""
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try:
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pro = self._get_pro_api()
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ts_code = code.replace(".SS", ".SH")
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df = pro.fund_nav(
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ts_code=ts_code,
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start_date=start_date.replace("-", ""),
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end_date=end_date.replace("-", "")
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)
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if df is None or len(df) == 0:
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return None
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df = df.rename(columns={
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"nav_date": "date",
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"unit_nav": "nav",
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})
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df["date"] = pd.to_datetime(df["date"])
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df = df.set_index("date")
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df = df.sort_index()
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df["code"] = code
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return df[['code', 'nav']]
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except Exception as e:
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print(f"Tushare下载ETF净值 {code} 失败: {e}")
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return None
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def is_china_index(self, code: str) -> bool:
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"""判断是否为A股指数"""
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return code.endswith(".SH") or code.endswith(".SZ") or code.endswith(".SS") or code.endswith(".CSI")
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def is_futures(self, code: str) -> bool:
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"""判断是否为中国期货（仅支持上期所、大商所、郑商所）"""
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# 只支持中国交易所期货（.SHF上期所、.DCE大商所、.CZC郑商所）
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# NYMEX (.NYM) 和 ICE (.ICE) 走 YFinance
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return ".SHF" in code or ".DCE" in code or ".CZC" in code
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def fetch(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
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"""
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通用数据获取（自动判断类型）
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Args:
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code: 代码
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start_date: 开始日期
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end_date: 结束日期
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"""
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if self.is_china_index(code):
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return self.fetch_index(code, start_date, end_date)
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elif self.is_futures(code):
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return self.fetch_futures(code, start_date, end_date)
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else:
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return None
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def fetch_etf_adj(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
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"""
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获取 ETF 后复权价格数据
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通过 fund_daily + fund_adj 手动计算后复权价格，消除份额折算（拆分）对收益率的影响。
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fund_adj 单次限 2000 条，按 5 年分段请求再拼接。
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Args:
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code: ETF代码，如 '159915.SZ', '518880.SH'
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start_date: 开始日期 'YYYY-MM-DD'
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end_date: 结束日期 'YYYY-MM-DD'
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Returns:
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DataFrame with columns: date, open, close, adj_factor, close_hfq
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"""
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try:
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pro = self._get_pro_api()
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ts_code = code.replace('.SS', '.SH')
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# 获取 fund_daily 数据
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df_daily = pro.fund_daily(
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ts_code=ts_code,
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start_date=start_date.replace('-', ''),
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end_date=end_date.replace('-', '')
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)
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if df_daily is None or len(df_daily) == 0:
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return None
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# 获取 fund_adj 数据（分段请求，单次限2000条）
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# 按5年分段
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start_dt = datetime.strptime(start_date, '%Y-%m-%d')
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end_dt = datetime.strptime(end_date, '%Y-%m-%d')
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adj_chunks = []
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chunk_start = start_dt
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while chunk_start < end_dt:
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chunk_end = min(chunk_start.replace(year=chunk_start.year + 5), end_dt)
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chunk_start_str = chunk_start.strftime('%Y%m%d')
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chunk_end_str = chunk_end.strftime('%Y%m%d')
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df_adj_chunk = pro.fund_adj(
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ts_code=ts_code,
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start_date=chunk_start_str,
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end_date=chunk_end_str
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)
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if df_adj_chunk is not None and len(df_adj_chunk) > 0:
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adj_chunks.append(df_adj_chunk)
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chunk_start = chunk_end
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if not adj_chunks:
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# 无复权因子，返回原始数据
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df = df_daily.rename(columns={'trade_date': 'date', 'vol': 'volume'})
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df['date'] = pd.to_datetime(df['date'])
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df = df.set_index('date').sort_index()
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df['adj_factor'] = 1.0
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df['close_hfq'] = df['close']
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df['code'] = code
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return df[['code', 'open', 'close', 'adj_factor', 'close_hfq']]
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# 合并所有复权因子
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df_adj = pd.concat(adj_chunks, ignore_index=True)
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df_adj = df_adj.rename(columns={'trade_date': 'date'})
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df_adj['date'] = pd.to_datetime(df_adj['date'])
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df_adj = df_adj.set_index('date').sort_index()
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# 合并 daily 和 adj
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df_daily = df_daily.rename(columns={'trade_date': 'date', 'vol': 'volume'})
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df_daily['date'] = pd.to_datetime(df_daily['date'])
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df_daily = df_daily.set_index('date').sort_index()
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# 复权因子对齐（用最新值）
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df_adj_aligned = df_adj.reindex(df_daily.index, method='ffill')
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df_adj_aligned['adj_factor'] = df_adj_aligned['adj_factor'].fillna(1.0)
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# 计算后复权价格
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df = df_daily.copy()
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df['adj_factor'] = df_adj_aligned['adj_factor']
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df['close_hfq'] = df['close'] * df['adj_factor']
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df['code'] = code
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return df[['code', 'open', 'close', 'adj_factor', 'close_hfq']]
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except Exception as e:
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print(f"Tushare下载ETF复权数据 {code} 失败: {e}")
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return None
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def fetch_trade_cal(self, start_date: str, end_date: str) -> pd.DatetimeIndex:
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"""
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获取 A 股（上交所 SSE）官方交易日历
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Args:
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start_date: 开始日期 'YYYY-MM-DD'
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end_date: 结束日期 'YYYY-MM-DD'
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Returns:
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DatetimeIndex: A股交易日日期序列
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"""
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try:
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pro = self._get_pro_api()
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df = pro.trade_cal(
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exchange='SSE',
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start_date=start_date.replace('-', ''),
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end_date=end_date.replace('-', ''),
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is_open='1'
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)
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if df is None or len(df) == 0:
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return pd.DatetimeIndex([])
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# 提取交易日并转换为 DatetimeIndex
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trade_dates = pd.to_datetime(df['cal_date'])
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return pd.DatetimeIndex(trade_dates.sort_values())
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except Exception as e:
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print(f"Tushare下载交易日历失败: {e}")
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return pd.DatetimeIndex([]) |