aszerW
aeb95a6f4c
迁移内容： - config/strategies/rotation.yaml → strategies/rotation/config.yaml 路径更新（核心文件）： - strategies/rotation/strategy.py（注释示例） - scripts/generate_legacy_report.py（config_path） - run_rotation.py（注释和默认参数） - datasource/hybrid_source.py（from_yaml示例和fetch_rotation_data） 保留： - config/strategies/cci.yaml（无对应策略目录，暂保留） 设计原则：策略模块自包含，配置与实现同目录，方便移植和复制 验证：策略加载成功（候选池11只，回测区间2019-01-01 ~ 2026-05-12）
301 lines
11 KiB
Python
301 lines
11 KiB
Python
"""
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混合数据源
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整合 Tushare（A股） + YFinance（境外）数据获取
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"""
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import os
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import time
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from typing import Optional, Tuple, Dict, List
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from datetime import datetime
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from pathlib import Path
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import pandas as pd
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from .ssh_tunnel import SSHTunnelManager
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from .tushare_source import TushareSource
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from .yfinance_source import YFinanceSource
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class HybridDataSource:
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"""
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混合数据源
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- A股指数/ETF/期货: Tushare
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- 港股/美股/商品: YFinance（通过SSH隧道）
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使用方式:
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from datasource import HybridDataSource
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source = HybridDataSource.from_yaml('strategies/rotation/config.yaml')
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result = source.fetch_all()
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"""
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def __init__(
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self,
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ssh_config: Optional[dict] = None,
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use_cache: bool = True,
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cache_dir: str = "data/etf_cache/daily"
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):
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"""
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初始化混合数据源
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Args:
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ssh_config: SSH隧道配置
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use_cache: 是否使用缓存
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cache_dir: 缓存目录
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"""
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self.ssh_config = ssh_config or {}
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self.use_cache = use_cache
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self.cache_dir = cache_dir
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# 数据源实例
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self._tushare = TushareSource()
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self._yfinance = YFinanceSource()
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# SSH隧道（延迟初始化）
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self._tunnel: Optional[SSHTunnelManager] = None
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@classmethod
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def from_yaml(cls, config_path: str) -> 'HybridDataSource':
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"""从YAML配置创建实例"""
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import yaml
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with open(config_path, 'r', encoding='utf-8') as f:
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config = yaml.safe_load(f)
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return cls(
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ssh_config=config.get('ssh_tunnel', {}),
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use_cache=config.get('use_cache', True)
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)
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def _start_tunnel(self) -> bool:
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"""启动SSH隧道"""
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if self._tunnel is None and self.ssh_config.get('enabled'):
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self._tunnel = SSHTunnelManager(self.ssh_config)
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return self._tunnel.start()
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return True
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def _stop_tunnel(self):
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"""停止SSH隧道"""
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if self._tunnel:
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self._tunnel.stop()
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self._tunnel = None
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def fetch_single(self, code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
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"""
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获取单个标的数据
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Args:
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code: 标的代码
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start_date: 开始日期
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end_date: 结束日期
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Returns:
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DataFrame with OHLCV data
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"""
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# 判断数据源
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if self._tushare.is_china_index(code) or self._tushare.is_futures(code):
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return self._tushare.fetch(code, start_date, end_date)
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else:
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# YFinance需要SSH隧道
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self._start_tunnel()
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return self._yfinance.fetch(code, start_date, end_date)
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def fetch_all(
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self,
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code_config: dict,
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benchmark_code: str = "000300.SH",
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start_date: str = "2019-01-01",
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end_date: str = None
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) -> Tuple[
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Optional[pd.DataFrame], # index_data: 指数收盘价（宽格式）
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Optional[pd.DataFrame], # etf_data: ETF价格（宽格式）
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Optional[pd.DataFrame], # etf_nav_data: ETF净值
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Optional[pd.DataFrame], # benchmark_data: 基准数据
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List[str], # valid_codes: 有效代码列表
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Dict[str, pd.DataFrame], # index_ohlcv_data: 原始OHLCV数据
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Dict[str, str] # etf_code_map: {指数代码: ETF代码} 映射
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]:
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"""
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批量获取数据
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Args:
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code_config: 标的配置 {代码: {name, etf, market}}
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benchmark_code: 基准代码
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start_date: 开始日期
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end_date: 结束日期
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Returns:
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(index_data, etf_data, etf_nav_data, benchmark_data, valid_codes, index_ohlcv_data, etf_code_map)
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"""
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if end_date is None:
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end_date = datetime.now().strftime('%Y-%m-%d')
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# 启动SSH隧道
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self._start_tunnel()
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index_codes = list(code_config.keys())
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etf_codes = {idx_code: cfg['etf'] for idx_code, cfg in code_config.items() if cfg.get('etf')}
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print(f"开始下载 {len(index_codes)} 只标的的数据...")
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print(f" 指数代码: {len(index_codes)} 只")
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print(f" ETF映射: {len(etf_codes)} 只")
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# 分类统计
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china_codes = [c for c in index_codes if self._tushare.is_china_index(c)]
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futures_codes = [c for c in index_codes if self._tushare.is_futures(c)]
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yf_codes = [c for c in index_codes if not self._tushare.is_china_index(c) and not self._tushare.is_futures(c)]
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print(f" 中国A股指数: {len(china_codes)} 只")
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print(f" 期货合约: {len(futures_codes)} 只")
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print(f" 港股/美股: {len(yf_codes)} 只")
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# 下载指数数据
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print("\n [1/2] 下载指数数据...")
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index_data_list = []
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index_ohlcv_data = {}
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valid_codes = []
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for code in index_codes:
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name = code_config[code].get('name', code)
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source = "Tushare" if self._tushare.is_china_index(code) or self._tushare.is_futures(code) else "YFinance"
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print(f" 下载 {code} ({name}) - {source}...", end=" ")
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data = self.fetch_single(code, start_date, end_date)
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if data is not None and len(data) > 0:
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# 标准化
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data = data.copy()
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data['source'] = source
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data['code'] = code
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data.index = pd.to_datetime(data.index, utc=True).tz_localize(None).normalize()
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index_ohlcv_data[code] = data.copy()
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index_data_list.append(data[['code', 'close', 'source']])
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valid_codes.append(code)
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print(f"✓ {len(data)} 条")
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else:
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print("✗ 无数据")
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# 下载ETF数据
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etf_data_list = []
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etf_nav_data_list = []
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if etf_codes:
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print("\n [2/2] 下载ETF数据...")
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for idx_code, etf_code in etf_codes.items():
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name = code_config[idx_code].get('name', idx_code)
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print(f" 下载ETF {etf_code} (对应指数 {idx_code})...", end=" ")
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# ETF价格
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etf_data = self._tushare.fetch_etf(etf_code, start_date, end_date)
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# ETF净值
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etf_nav = self._tushare.fetch_etf_nav(etf_code, start_date, end_date)
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if etf_data is not None and len(etf_data) > 0:
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etf_data.index = pd.to_datetime(etf_data.index, utc=True).tz_localize(None).normalize()
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etf_data_list.append(etf_data[['code', 'close']])
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price_count = len(etf_data)
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nav_count = len(etf_nav) if etf_nav is not None else 0
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print(f"✓ 价格{price_count}条 净值{nav_count}条")
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else:
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print("✗ 无数据")
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if etf_nav is not None and len(etf_nav) > 0:
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etf_nav.index = pd.to_datetime(etf_nav.index, utc=True).tz_localize(None).normalize()
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etf_nav_data_list.append(etf_nav[['code', 'nav']])
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# 整合数据
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index_data = None
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if index_data_list:
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index_data = pd.concat(index_data_list)
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if 'code' in index_data.columns and 'close' in index_data.columns:
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index_data = index_data.reset_index()
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if 'index' in index_data.columns:
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index_data = index_data.rename(columns={'index': 'date'})
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index_data['date'] = pd.to_datetime(index_data['date']).dt.normalize()
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index_data = index_data.pivot_table(index='date', columns='code', values='close')
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etf_data = None
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if etf_data_list:
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etf_data = pd.concat(etf_data_list)
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if 'code' in etf_data.columns and 'close' in etf_data.columns:
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etf_data = etf_data.reset_index()
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if 'index' in etf_data.columns:
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etf_data = etf_data.rename(columns={'index': 'date'})
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etf_data['date'] = pd.to_datetime(etf_data['date']).dt.normalize()
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etf_data = etf_data.pivot_table(index='date', columns='code', values='close')
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etf_nav_data = None
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if etf_nav_data_list:
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etf_nav_data = pd.concat(etf_nav_data_list)
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if 'code' in etf_nav_data.columns and 'nav' in etf_nav_data.columns:
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etf_nav_data = etf_nav_data.reset_index()
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if 'index' in etf_nav_data.columns:
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etf_nav_data = etf_nav_data.rename(columns={'index': 'date'})
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etf_nav_data['date'] = pd.to_datetime(etf_nav_data['date']).dt.normalize()
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etf_nav_data = etf_nav_data.pivot_table(index='date', columns='code', values='nav')
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# 基准数据
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benchmark_data = self._tushare.fetch_index(benchmark_code, start_date, end_date)
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if benchmark_data is not None:
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benchmark_data.index = pd.to_datetime(benchmark_data.index, utc=True).tz_localize(None).normalize()
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print(f"\n✓ 基准 {benchmark_code}: {len(benchmark_data)} 条")
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return index_data, etf_data, etf_nav_data, benchmark_data, valid_codes, index_ohlcv_data, etf_codes
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def __enter__(self):
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self._start_tunnel()
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return self
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def __exit__(self, exc_type, exc_val, exc_tb):
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self._stop_tunnel()
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# 简化接口
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def fetch_rotation_data(config_path: str = "strategies/rotation/config.yaml") -> dict:
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"""
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获取轮动策略数据（简化接口）
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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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{
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'index_data': 指数收盘价DataFrame,
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'etf_data': ETF价格DataFrame,
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'etf_nav_data': ETF净值DataFrame,
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'benchmark_data': 基准DataFrame,
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'valid_codes': 有效代码列表,
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'index_ohlcv_data': 原始OHLCV数据字典
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}
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"""
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import yaml
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with open(config_path, 'r', encoding='utf-8') as f:
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config = yaml.safe_load(f)
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source = HybridDataSource.from_yaml(config_path)
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index_data, etf_data, etf_nav_data, benchmark_data, valid_codes, index_ohlcv_data = \
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source.fetch_all(
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code_config=config.get('code_list', {}),
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benchmark_code=config.get('benchmark', {}).get('code', '000300.SH'),
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start_date=config.get('start_date', '2019-01-01'),
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end_date=config.get('end_date', datetime.now().strftime('%Y-%m-%d'))
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)
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return {
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'index_data': index_data,
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'etf_data': etf_data,
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'etf_nav_data': etf_nav_data,
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'benchmark_data': benchmark_data,
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'valid_codes': valid_codes,
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'index_ohlcv_data': index_ohlcv_data
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} |