claude_dev
c6b19f4244
用户要模拟=回测准确: raw除权缺口致MA假信号, 必须双源。
- data_source: qfq→qfq_dir(干净qfq), raw→raw_dir; _check_adjust_cfg(cfg提供才校验)
- engine 双bar流: step(raw_bars,qfq_bars)撮合/盯市raw+策略on_bar qfq; run zip(raw,qfq)
- live_orchestrator: warmup用qfq(信号am); 去adjust参数(双源固定)
- raw_redownload --adjust(''raw/'qfq'); config qfq_dir
- 113/113通过
146 lines
5.4 KiB
Python
146 lines
5.4 KiB
Python
#!/usr/bin/env python3
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"""raw 日线重下（task #79）：akshare 新浪源 adjust="" 真实价。
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根因：daily_dir 历史数据是 mixed-adjust（hfq bulk + akshare raw tail 拼接），
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3-30 类单日 -94% 假跌。本脚本从头重下**单一 raw** 到 raw_dir，与 daily_dir 同构
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（{prefix}{symbol}_daily.parquet，按 year 分目录），datareader 直接读。
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**约束（用户反馈，见 memory/feedback-data-download-constraints）**：
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- 直连不走代理（unset proxy env + NO_PROXY=*）
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- 单线程 + SLEEP 间隔限速（不并发猛打，防数据源封 IP）
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用法：
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# 验证单只/几只
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python3 raw_redownload.py --symbols 600000,000001 --start 2024-01-01
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# 全市场（读 STOCK_LIST csv，后台跑）
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python3 raw_redownload.py --all --start 2024-01-01
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env:
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RAW_DIR 本地 raw 根（默认 /tmp/stock_dl/A股数据/日线数据/raw）
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SLEEP 每只请求间隔秒（默认 1.0，限速防封）
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STOCK_LIST stock_basic_info csv 路径（--all 读，默认拉到本地的 csv）
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"""
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import argparse
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import csv
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import logging
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import os
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import sys
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import time
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# 直连：进程级 unset 代理（用户约束）
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for _k in ["HTTP_PROXY", "HTTPS_PROXY", "http_proxy", "https_proxy", "ALL_PROXY", "all_proxy"]:
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os.environ.pop(_k, None)
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os.environ["NO_PROXY"] = "*"
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os.environ["no_proxy"] = "*"
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import pandas as pd # noqa: E402
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logging.basicConfig(level=logging.INFO, format="%(asctime)s %(levelname)s %(message)s")
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log = logging.getLogger("raw_redl")
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RAW_DIR = os.environ.get("RAW_DIR", "/tmp/stock_dl/A股数据/日线数据/raw")
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SLEEP = float(os.environ.get("SLEEP", "1.0"))
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DEFAULT_STOCK_LIST = "/tmp/stock_dl/A股数据/stock_info/stock_basic_info_raw_20260326_113530.csv"
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def prefix_for(code: str) -> str:
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"""sh/sz 前缀（与 datareader.guess_exchange 一致）。"""
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return "sh" if code.startswith(("60", "68", "51", "56", "58")) else "sz"
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def download_one(ak, code: str, start: str, end: str, adjust: str = ""):
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"""新浪源拉日线（adjust="" raw / "qfq" 前复权），返回 (df, None) 或 (None, err)。"""
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sym = f"{prefix_for(code)}{code}"
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try:
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df = ak.stock_zh_a_daily(
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symbol=sym,
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start_date=start.replace("-", ""),
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end_date=end.replace("-", ""),
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adjust=adjust,
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)
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except Exception as e: # noqa: BLE001
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return None, f"{type(e).__name__}: {str(e)[:100]}"
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if df is None or df.empty:
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return None, "empty"
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df["date"] = pd.to_datetime(df["date"])
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df["year"] = df["date"].dt.year
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return df, None
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def save_one(code: str, df) -> int:
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"""按 year 分组写 parquet（与 daily_dir 同构），返回写入行数。"""
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n = 0
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for year, g in df.groupby("year"):
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ydir = os.path.join(RAW_DIR, str(int(year)))
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os.makedirs(ydir, exist_ok=True)
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out = os.path.join(ydir, f"{prefix_for(code)}{code}_daily.parquet")
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g.drop(columns=["year"]).to_parquet(out)
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n += len(g)
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return n
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def load_all_codes(stock_list: str) -> list[str]:
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"""从 stock_basic_info csv 读代码列表（容错列名）。"""
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codes = []
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with open(stock_list, encoding="utf-8", errors="replace") as f:
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reader = csv.DictReader(f)
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for row in reader:
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for k in ("code", "symbol", "ts_code", "代码", "股票代码"):
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if k in row and row[k]:
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c = str(row[k]).strip().split(".")[0]
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if c.isdigit() and len(c) == 6:
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codes.append(c)
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break
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return codes
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def main():
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ap = argparse.ArgumentParser()
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ap.add_argument("--symbols", help="逗号分隔代码，如 600000,000001")
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ap.add_argument("--all", action="store_true", help="全市场（读 STOCK_LIST csv）")
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ap.add_argument("--start", default="2024-01-01")
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ap.add_argument("--end", default=None, help="默认今天")
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ap.add_argument("--adjust", default="", help="复权: '' raw / 'qfq' 前复权（双源用）")
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args = ap.parse_args()
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end = args.end or time.strftime("%Y-%m-%d")
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if args.symbols:
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codes = [c.strip() for c in args.symbols.split(",") if c.strip()]
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elif args.all:
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sl = os.environ.get("STOCK_LIST", DEFAULT_STOCK_LIST)
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if not os.path.exists(sl):
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log.error("STOCK_LIST 不存在: %s（先跑 run_daily_update.sh 拉取）", sl)
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sys.exit(1)
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codes = load_all_codes(sl)
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log.info("--all 从 %s 读到 %d 只", sl, len(codes))
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else:
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ap.error("需指定 --symbols 或 --all")
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import akshare as ak
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import warnings
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warnings.filterwarnings("ignore")
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ok = fail = rows = 0
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for i, code in enumerate(codes, 1):
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df, err = download_one(ak, code, args.start, end, args.adjust)
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if df is None:
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fail += 1
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log.warning("[%d/%d] %s FAIL %s", i, len(codes), code, err)
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else:
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try:
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n = save_one(code, df)
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ok += 1
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rows += n
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log.info("[%d/%d] %s ok %d rows", i, len(codes), code, n)
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except Exception as e: # noqa: BLE001
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fail += 1
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log.error("[%d/%d] %s SAVE FAIL %s", i, len(codes), code, e)
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time.sleep(SLEEP) # 限速（用户约束）
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log.info("=== 完成: ok=%d fail=%d rows=%d，raw_dir=%s ===", ok, fail, rows, RAW_DIR)
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if __name__ == "__main__":
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main()
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