#!/usr/bin/env python3 # -*- coding: utf-8 -*- """bs_eod.py — sanguo-bs-eod (方案A schtask 18:05): baostock 个股 EOD 增量。 每日收盘后跑(VPS, baostock 日终更新就绪): - 个股日线(含退市, LOOKBACK 7 天) -> dbbardata('d') INSERT OR REPLACE (治幸存者偏差) - 个股 15min(LOOKBACK 7) -> dbbardata('15m') - 日线 pe/pb/turn/pctChg/isST -> data/valuation_baostock/.parquet 追加 - DAILY_LIMIT=48000 单进程单登录, sleep 0.3s, login 探针 graceful skip 预算: 5537股 × (1日线+1 15min) ≈ 11000 query/天 = 48000 的 23%, 安全。 退出码: 0=完成; 1=致命; 2=黑名单 graceful skip; 3=query 超限 graceful stop """ import argparse import datetime as dt import logging import os import socket import sys import time from pathlib import Path for _k in ("http_proxy", "https_proxy", "HTTP_PROXY", "HTTPS_PROXY", "all_proxy", "ALL_PROXY"): os.environ.pop(_k, None) socket.setdefaulttimeout(30) try: sys.stdout.reconfigure(line_buffering=True) except (AttributeError, ValueError): pass import baostock as bs import pandas as pd from dbbardata_utils import normalize_daily_dt BASE = Path(r"C:\sanguo_vnpy_v2") DB = BASE / "data" / "quant_trading.db" VAL_DIR = BASE / "data" / "valuation_baostock" LOOKBACK = int(os.environ.get("LOOKBACK_DAYS", "7")) DAILY_LIMIT = int(os.environ.get("BS_DAILY_LIMIT", "48000")) BS_INTERVAL = 0.3 QUERY_COUNT = 0 EXC_MAP = {"sh": "SSE", "sz": "SZSE"} DAILY_FIELDS = ("date,code,open,high,low,close,volume,amount,turn," "pctChg,peTTM,psTTM,pcfNcfTTM,pbMRQ,isST") M15_FIELDS = "date,time,code,open,high,low,close,volume,amount" logging.basicConfig(level=logging.INFO, format="%(asctime)s %(levelname)s %(message)s", handlers=[logging.StreamHandler(sys.stdout)]) log = logging.getLogger(__name__) def login_once(): try: lg = bs.login() if lg.error_code == "0": return True log.error("login fail: %s %s", lg.error_code, lg.error_msg) return False except Exception as e: log.error("login exc: %s", e) return False def relogin(): try: bs.logout() except Exception: pass if login_once(): return True time.sleep(2) try: bs.logout() except Exception: pass return login_once() def fetch_all_stocks(): """query_stock_basic() 无参 -> 全 A 含退市 (type=1)。返回 [(code, 'sh'/'sz')]。""" global QUERY_COUNT QUERY_COUNT += 1 rs = bs.query_stock_basic() if rs.error_code != "0": raise RuntimeError(f"query_stock_basic: {rs.error_code} {rs.error_msg}") fields = list(rs.fields) idx = {n: i for i, n in enumerate(fields)} out = [] while rs.next(): r = rs.get_row_data() if r[idx["type"]] != "1": continue bc = r[idx["code"]] if "." not in bc: continue prefix, num = bc.split(".", 1) if prefix in ("sh", "sz") and len(num) == 6 and num.isdigit(): out.append((num, prefix)) return out def fetch_k(bs_code, fields, freq, start, end): global QUERY_COUNT QUERY_COUNT += 1 rs = bs.query_history_k_data_plus(bs_code, fields, start_date=start, end_date=end, frequency=freq, adjustflag="3") if rs.error_code != "0": raise RuntimeError(f"{bs_code}: {rs.error_code} {rs.error_msg}") rows = [] while rs.next(): rows.append(rs.get_row_data()) return rows def upsert_daily(conn, code, prefix, rows): """日线 rows -> dbbardata('d') + valuation_baostock 当年 parquet 追加。""" if not rows: return 0 df = pd.DataFrame(rows, columns=DAILY_FIELDS.split(",")) for c in ["open", "high", "low", "close", "volume", "amount", "turn", "pctChg", "peTTM", "psTTM", "pcfNcfTTM", "pbMRQ"]: df[c] = pd.to_numeric(df[c], errors="coerce") exc = EXC_MAP[prefix] # OHLCV -> dbbardata('d') — datetime 归一纯日期 (dbbardata 双行根治方案A) db = pd.DataFrame({ "symbol": code, "exchange": exc, "datetime": df["date"].astype(str).map(normalize_daily_dt), "interval": "d", "volume": df["volume"], "turnover": df["amount"], "open_interest": 0.0, "open_price": df["open"], "high_price": df["high"], "low_price": df["low"], "close_price": df["close"], }) conn.executemany( "INSERT OR REPLACE INTO dbbardata " "(symbol,exchange,datetime,interval,volume,turnover,open_interest," "open_price,high_price,low_price,close_price) VALUES (?,?,?,?,?,?,?,?,?,?,?)", db.itertuples(index=False, name=None)) # pe/pb -> parquet 追加 (isST->int, 修 pyarrow ArrowTypeError) vdf = df[["date", "peTTM", "psTTM", "pcfNcfTTM", "pbMRQ", "turn", "pctChg", "isST"]].copy() vdf["isST"] = pd.to_numeric(vdf["isST"], errors="coerce").fillna(0).astype(int) vdf.insert(0, "symbol", code) vdf.insert(1, "exchange", exc) yr = dt.date.today().year p = VAL_DIR / f"{yr}.parquet" if p.exists(): try: old = pd.read_parquet(p) vdf = pd.concat([old, vdf]).drop_duplicates(["symbol", "date"], keep="last") except Exception: pass vdf.sort_values(["symbol", "date"]).to_parquet(p, index=False) return len(db) def _build_15m_dt(date_series, time_series): """baostock 15min datetime 拼接: date="2026-07-21"(带 -) + time="20260721094500000"(17 位)。 从 17 位 time 第 8-12 位提取 HHMM, date 直连(带 -)。 产出 'YYYY-MM-DD HH:MM:00' (符合 dbbardata GLOB 模式, 不被清理误删)。 bug 根因(2026-07-25): 原代码假设 date 纯数字 + time[:6] 取年月, 但 baostock 实测 date 带 -, time[:6]=YYYYMM, 产乱 datetime 致 15min 全市场停 7-17。 """ _t = time_series.astype(str) return (date_series.astype(str) + " " + _t.str.slice(8, 10) + ":" + _t.str.slice(10, 12) + ":00") def upsert_15m(conn, code, prefix, rows): if not rows: return 0 df = pd.DataFrame(rows, columns=M15_FIELDS.split(",")) for c in ["open", "high", "low", "close", "volume", "amount"]: df[c] = pd.to_numeric(df[c], errors="coerce") exc = EXC_MAP[prefix] dt_col = _build_15m_dt(df["date"], df["time"]) db = pd.DataFrame({ "symbol": code, "exchange": exc, "datetime": dt_col, "interval": "15m", "volume": df["volume"], "turnover": df["amount"], "open_interest": 0.0, "open_price": df["open"], "high_price": df["high"], "low_price": df["low"], "close_price": df["close"], }) conn.executemany( "INSERT OR REPLACE INTO dbbardata " "(symbol,exchange,datetime,interval,volume,turnover,open_interest," "open_price,high_price,low_price,close_price) VALUES (?,?,?,?,?,?,?,?,?,?,?)", db.itertuples(index=False, name=None)) return len(db) def main(): global QUERY_COUNT ap = argparse.ArgumentParser() ap.add_argument("--limit", type=int, default=0) ap.add_argument("--no-15m", action="store_true") ap.add_argument("--no-daily", action="store_true", help="跳日线, 只跑 15min(用于 15min 重灌快)") args = ap.parse_args() today = dt.date.today() end = today.strftime("%Y-%m-%d") start = (today - dt.timedelta(days=LOOKBACK)).strftime("%Y-%m-%d") log.info("bs_eod start window=%s~%s LOOKBACK=%d limit=%s", start, end, LOOKBACK, args.limit or "无") if not login_once(): log.error("[SKIP] baostock 黑名单/冷却, graceful exit 2") sys.exit(2) try: stocks = fetch_all_stocks() except Exception as e: log.error("[FATAL] fetch_all: %s", e) sys.exit(1) log.info("全 A 含退市: %d 只", len(stocks)) if args.limit: stocks = stocks[:args.limit] import sqlite3 VAL_DIR.mkdir(parents=True, exist_ok=True) conn = sqlite3.connect(str(DB), timeout=60) conn.execute("PRAGMA busy_timeout = 60000") conn.execute("PRAGMA journal_mode = WAL") stats = {"ok": 0, "empty": 0, "failed": 0, "db_rows": 0} limit_reached = False t0 = time.time() conn.execute("BEGIN") try: for i, (code, prefix) in enumerate(stocks): if QUERY_COUNT >= DAILY_LIMIT: log.warning("query %d 达防线 %d, graceful stop", QUERY_COUNT, DAILY_LIMIT) limit_reached = True break bs_code = f"{prefix}.{code}" try: n1 = 0 if not args.no_daily: d_rows = fetch_k(bs_code, DAILY_FIELDS, "d", start, end) n1 = upsert_daily(conn, code, prefix, d_rows) n2 = 0 if not args.no_15m: m_rows = fetch_k(bs_code, M15_FIELDS, "15", start, end) n2 = upsert_15m(conn, code, prefix, m_rows) stats["db_rows"] += n1 + n2 if n1 + n2: stats["ok"] += 1 else: stats["empty"] += 1 except Exception as e: stats["failed"] += 1 if stats["failed"] <= 5: log.warning("%s err: %s", code, e) if not relogin(): log.error("%s relogin 失败, 跳过", code) if (i + 1) % 500 == 0: log.info("进度 %d/%d ok=%d empty=%d failed=%d q=%d (%.0fs)", i + 1, len(stocks), stats["ok"], stats["empty"], stats["failed"], QUERY_COUNT, time.time() - t0) if i < len(stocks) - 1: time.sleep(BS_INTERVAL) conn.execute("COMMIT") except Exception as e: conn.execute("ROLLBACK") log.error("[FATAL] rollback: %s", e) sys.exit(1) finally: conn.close() try: bs.logout() except Exception: pass log.info("[DONE] ok=%d empty=%d failed=%d db_rows=%d query=%d 耗时%.0fs", stats["ok"], stats["empty"], stats["failed"], stats["db_rows"], QUERY_COUNT, time.time() - t0) sys.exit(3 if limit_reached else 0) if __name__ == "__main__": main()