From a75e094e7d97f0a29ae560ab05145a5ce5b27ee5 Mon Sep 17 00:00:00 2001
From: claude_dev <claude-dev@sanguo.local>
Date: Wed, 15 Jul 2026 22:59:32 +0800
Subject: [PATCH] =?UTF-8?q?feat(data):=20build=5Fdaily=5Ffrom=5Fxtdata=20?=
 =?UTF-8?q?=E5=85=A8=E5=B8=82=E5=9C=BA=E6=97=A5=E7=BA=BF=E4=BB=8Extdata?=
 =?UTF-8?q?=E9=87=8D=E5=BB=BA=E5=88=B0staging?=
MIME-Version: 1.0
Content-Type: text/plain; charset=UTF-8
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miniQMT的xtdata作源(已证价格与parquet一致/T+0/深历史),重建VPS全市场日线。
- 只写 staging(DATA/_staging_xtdata),不动主库,验后再swap
- download一次raw,读两次(dividend_type none=raw/front=qfq,复权读时应用)
- volume×100(手→股),列 date/open/high/low/close/volume 对齐 datareader
- 单线程paced(分批200+sleep),per-stock写不全量进内存,避全市场崩
- 布局 {raw,qfq}/<year>/{sh|sz}{sym}_daily.parquet,沪深A股~5201只
---
 .../data_platform/build_daily_from_xtdata.py  | 108 ++++++++++++++++++
 1 file changed, 108 insertions(+)
 create mode 100644 scripts/data_platform/build_daily_from_xtdata.py

diff --git a/scripts/data_platform/build_daily_from_xtdata.py b/scripts/data_platform/build_daily_from_xtdata.py
new file mode 100644
index 0000000..d2cbc8c
--- /dev/null
+++ b/scripts/data_platform/build_daily_from_xtdata.py
@@ -0,0 +1,108 @@
+#!/usr/bin/env python3
+# -*- coding: utf-8 -*-
+"""全市场日线：从 xtdata(miniQMT) 重建到 **staging**（不动主库）。
+
+VPS 跑（需 miniQMT 常驻 + xtquant）。单线程 paced、per-stock 写、内存安全
+（不全量 load 进内存，逐只写盘——避 macOS Jetsman 那种全市场崩）。
+
+输出：DATA/_staging_xtdata/{raw,qfq}/<year>/{sh|sz}{symbol}_daily.parquet
+列：date,open,high,low,close,volume（datareader::_row_to_bar 只读这 6 列）。
+volume ×100（xtdata 按"手"，parquet 按"股"）。
+下载策略：download_history_data2 下一次(raw 1d)，get_market_data_ex 读两次
+  (dividend_type=none→raw / front→qfq，复权是读时应用)。
+
+跑完人工验 staging（count/日期/抽样），再单独 swap 进 data/{raw,qfq}。
+"""
+import os
+import sys
+import time
+import pandas as pd
+
+ROOT = r"C:\sanguo_vnpy_v2"
+DATA = os.path.join(ROOT, "data")
+STAGING = os.path.join(DATA, "_staging_xtdata")
+START, END = "20100101", "20260715"
+
+from xtquant import xtdata as xd
+
+T0 = time.time()
+
+
+def log(m):
+    print(f"[BUILD {time.time()-T0:.0f}s] {m}", flush=True)
+
+
+def prefix_of(sym):
+    return "sh" if sym[:2] in ("60", "68", "51", "56", "58") else "sz"
+
+
+log("start")
+u = xd.get_stock_list_in_sector("沪深A股") or []
+log(f"universe={len(u)} sample={u[:3]}")
+
+# 1. 下载一次（raw 日线），分批 paced（别猛打券商后端）
+BATCH = 200
+for i in range(0, len(u), BATCH):
+    chunk = u[i:i + BATCH]
+    try:
+        xd.download_history_data2(chunk, "1d", START, END, lambda d, p: None)
+    except Exception as e:  # noqa: BLE001
+        log(f"dl batch@{i} err: {e}")
+    time.sleep(1.0)
+    if i % 1000 == 0:
+        log(f"download {i}/{len(u)}")
+log("download phase done")
+
+
+def fetch(code, dt):
+    r = xd.get_market_data_ex([], [code], period="1d", start_time=START, end_time=END, dividend_type=dt)
+    return r.get(code) if r else None
+
+
+def write_series(code, dt, kind):
+    sym = code.split(".")[0]
+    prefix = prefix_of(sym)
+    df = fetch(code, dt)
+    if df is None or not len(df):
+        return 0
+    pdf = pd.DataFrame({
+        "date": pd.to_datetime([str(i)[:8] for i in df.index]),
+        "open": df["open"].astype(float).values,
+        "high": df["high"].astype(float).values,
+        "low": df["low"].astype(float).values,
+        "close": df["close"].astype(float).values,
+        "volume": (df["volume"].astype(float) * 100).values,  # 手→股
+    })
+    pdf["_y"] = pdf["date"].dt.year
+    for yr, sub in pdf.groupby("_y"):
+        d = os.path.join(STAGING, kind, str(int(yr)))
+        os.makedirs(d, exist_ok=True)
+        sub.drop(columns=["_y"]).to_parquet(
+            os.path.join(d, f"{prefix}{sym}_daily.parquet"), index=False)
+    return len(pdf)
+
+
+# 2. 读两次（raw/qfq）逐只写 staging
+ok = fail = 0
+nraw = nqfq = 0
+for i, code in enumerate(u):
+    try:
+        nr = write_series(code, "none", "raw")
+        nq = write_series(code, "front", "qfq")
+        nraw += nr
+        nqfq += nq
+        if nr or nq:
+            ok += 1
+        else:
+            fail += 1
+    except Exception as e:  # noqa: BLE001
+        fail += 1
+        if fail <= 5:
+            log(f"write err {code}: {e}")
+    if (i + 1) % 500 == 0:
+        log(f"write {i+1}/{len(u)} ok={ok} fail={fail}")
+
+log(f"DONE stocks_ok={ok} fail={fail} raw_bars={nraw} qfq_bars={nqfq}")
+log(f"staging={STAGING}")
+sys.stdout.flush()
+os._exit(0)