feat(data): raw真实价数据源(task#79)—raw_dir+dir_key路由+新浪源重下

根因: daily_dir mixed-adjust(hfq bulk+akshare raw tail)致3-30 -94%假跌。
方案(Linus三问简化单raw, 除权留分期项#3):
- datareader read_parquet_daily/15min 加 dir_key 参数
- data_source iter_bars/fetch_day: adjust=raw→raw_dir(缺配置报错防混源), qfq→daily_dir
- engine PaperEngine 默认 adjust=raw
- config 加 raw_dir; scripts/raw_redownload.py 新浪源adjust='' 直连+单线程限速
- 验证: 浦发606行close 6.5/14.6 mean10.08 0跳变, 撮合成交价9.71-10.25真实
- 测试9/9+trader全量108/108通过
This commit is contained in:
2026-07-07 22:19:11 +08:00
parent fc39b549cf
commit 1ed7b72aca
10 changed files with 366 additions and 43 deletions
+19
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@@ -26,6 +26,25 @@ def test_read_parquet_daily_returns_bardata(tmp_path):
assert bars[0].open_price == 10.0
def test_read_parquet_daily_dir_key_raw(tmp_path):
"""dir_key='raw_dir':切换到 raw 目录读真实价(task #79 双源)。"""
raw_year = tmp_path / "2026"
raw_year.mkdir()
df = pd.DataFrame({
"date": ["2026-03-30"],
"open": [9.97], "high": [10.05], "low": [9.95],
"close": [10.01], "volume": [800000],
})
df.to_parquet(raw_year / "sh600000_daily.parquet") # 真实文件名:sh 前缀 + _daily
cfg = DataConfig(
data_paths={"raw_dir": str(tmp_path)},
data_sources={}, validation={}, performance={},
)
bars = read_parquet_daily("600000", "2026-01-01", "2026-12-31", cfg, dir_key="raw_dir")
assert len(bars) == 1
assert bars[0].close_price == 10.01
def test_guess_exchange_sh():
assert guess_exchange("600000").value == "SSE"