#!/usr/bin/env python3 """baostock 15min 下载(NAS 容器跑,本机零负载)。 为何 baostock:新浪 stock_zh_a_minute 15min 历史仅半年;baostock 5.5 年 + 复权齐全 (实测浦发 2021-01-04 起 21328 行;除权日 raw -5.9% vs qfq -0.7% 平滑)。 双源:qfq(adjustflag=2) + raw(adjustflag=3)。断点续传(skip 已存在,扩范围重下)。 数据落 NAS 本地盘(容器挂载 /volume1/stock → /stock,最快,不经网络写入)。 约束:单线程 + SLEEP 限速(baostock 服务器温和限频,避免封)。 用法(NAS 容器,本机编排): /var/packages/Docker/target/usr/bin/docker run --rm -d --name dl15 \\ --memory=512m -v /volume1/stock:/stock \\ sanguo_vnpy_v2:with-sqlite \\ sh -c "pip install baostock -q && python /stock/sanguo_vnpy/scripts/baostock_download.py --all --adjust both --start 2021-01-01" env: DL_DIR 输出根(默认 /stock/A股数据/minute_kline) STOCK_LIST 全市场 csv(默认 NAS stock_info csv) SLEEP 每只每源间隔秒(默认 0.3) """ import argparse import csv import logging import os import sys import time import pandas as pd import baostock as bs logging.basicConfig(level=logging.INFO, format="%(asctime)s %(levelname)s %(message)s") log = logging.getLogger("dl_15min") DL_DIR = os.environ.get("DL_DIR", "/stock/A股数据/minute_kline") SLEEP = float(os.environ.get("SLEEP", "0.3")) DEFAULT_STOCK_LIST = "/stock/A股数据/stock_info/stock_basic_info_raw_20260326_113530.csv" def prefix(code: str) -> str: return "sh" if code.startswith(("60", "68", "51", "56", "58")) else "sz" def bs_symbol(code: str) -> str: return f"{prefix(code)}.{code}" def out_path(code: str, adjust: str) -> str: d = os.path.join(DL_DIR, f"15min_{adjust}") os.makedirs(d, exist_ok=True) return os.path.join(d, f"{prefix(code)}{code}_15min.parquet") def exists(code: str, adjust: str, start_year: int) -> bool: """断点续传:文件存在且含 start_year 数据(扩范围 start 更早 → 重下覆盖)。""" f = out_path(code, adjust) if not os.path.exists(f): return False try: df = pd.read_parquet(f, columns=["date"]) return str(start_year) in df["date"].astype(str).str[:4].unique() except Exception: return False def reconnect() -> bool: """baostock 断连后重连(限流/broken pipe 恢复)。""" try: bs.logout() except Exception: # noqa: BLE001 pass return bs.login().error_code == "0" def download_one(code: str, start: str, end: str, adjustflag: str, max_retries: int = 3): """baostock 15min,返回 (df, None) 或 (None, err)。断连/限流自动 re-login retry。""" last_err = "" for attempt in range(max_retries): try: rs = bs.query_history_k_data_plus( bs_symbol(code), "date,time,open,high,low,close,volume,amount", start_date=start, end_date=end, frequency="15", adjustflag=adjustflag, ) rows, fields = [], rs.fields while (rs.error_code == "0") & rs.next(): rows.append(rs.get_row_data()) if not rows: last_err = rs.error_msg or "empty" # 空可能是限流("接收数据异常")→ re-login 重试 if attempt < max_retries - 1: reconnect() time.sleep(2) continue return None, last_err df = pd.DataFrame(rows, columns=fields) for c in ("open", "high", "low", "close", "volume", "amount"): df[c] = pd.to_numeric(df[c], errors="coerce") t = df["time"].astype(str) df["datetime"] = pd.to_datetime( df["date"] + " " + t.str[8:10] + ":" + t.str[10:12], errors="coerce" ) df = df.dropna(subset=["close", "datetime"]).sort_values("datetime") return df, None except Exception as e: # noqa: BLE001 broken pipe 等 last_err = f"{type(e).__name__}: {str(e)[:80]}" if attempt < max_retries - 1: reconnect() time.sleep(2) continue return None, last_err return None, last_err def save_one(code, df, adjust): df.to_parquet(out_path(code, adjust)) return len(df) def load_all_codes(stock_list): codes = [] with open(stock_list, encoding="utf-8", errors="replace") as f: for row in csv.DictReader(f): for k in ("code", "symbol", "ts_code", "代码", "股票代码", "成分券代码"): if k in row and row[k]: c = str(row[k]).strip().split(".")[0] if c.isdigit() and len(c) == 6: codes.append(c) break return codes def main(): ap = argparse.ArgumentParser() ap.add_argument("--symbols") ap.add_argument("--all", action="store_true") ap.add_argument("--start", default="2021-01-01") ap.add_argument("--end", default=None) ap.add_argument("--adjust", default="qfq", help="qfq / raw / both") ap.add_argument("--force", action="store_true") args = ap.parse_args() end = args.end or time.strftime("%Y-%m-%d") start_year = int(args.start[:4]) adjusts = ["qfq", "raw"] if args.adjust == "both" else [args.adjust] flag = {"qfq": "2", "raw": "3"} if args.symbols: codes = [c.strip() for c in args.symbols.split(",") if c.strip()] elif args.all: sl = os.environ.get("STOCK_LIST", DEFAULT_STOCK_LIST) if not os.path.exists(sl): log.error("STOCK_LIST 不存在: %s", sl) sys.exit(1) codes = load_all_codes(sl) log.info("--all 读到 %d 只", len(codes)) else: ap.error("需 --symbols 或 --all") lg = bs.login() log.info("baostock login: %s %s", lg.error_code, lg.error_msg) ok = fail = rows = skipped = 0 for i, code in enumerate(codes, 1): for adj in adjusts: if not args.force and exists(code, adj, start_year): skipped += 1 continue df, err = download_one(code, args.start, end, flag[adj]) if df is None or df.empty: fail += 1 if i <= 20 or i % 100 == 0: log.warning("[%d/%d] %s %s empty %s", i, len(codes), code, adj, err) else: try: n = save_one(code, df, adj) ok += 1 rows += n if i <= 20 or i % 100 == 0: log.info("[%d/%d] %s %s ok %d", i, len(codes), code, adj, n) except Exception as e: # noqa: BLE001 fail += 1 log.error("save %s %s: %s", code, adj, e) time.sleep(SLEEP) bs.logout() log.info("=== 完成 ok=%d skip=%d fail=%d rows=%d dir=%s ===", ok, skipped, fail, rows, DL_DIR) if __name__ == "__main__": main()