claude_dev
339d85a927
Fix: read_db_daily 现在在调用 get_database() 前配置 vnpy SETTINGS， 指向 cfg.data_paths["vnpy_db"]（NAS quant_trading.db），修复端到端冒烟发现的读取 gap。
73 lines
2.5 KiB
Python
73 lines
2.5 KiB
Python
import sys
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import os
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from pathlib import Path
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# Add real vnpy source code to sys.path
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_VNPY_SRC = os.path.join(os.path.dirname(__file__), "..", "..", "vnpy_v4.4.0")
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_VNPY_SRC = os.path.abspath(_VNPY_SRC)
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if _VNPY_SRC not in sys.path:
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sys.path.insert(0, _VNPY_SRC)
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import pandas as pd
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from datetime import datetime
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from vnpy.trader.object import BarData
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from vnpy.trader.constant import Exchange, Interval
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from vnpy.trader.database import get_database
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from vnpy.trader.setting import SETTINGS
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def read_parquet_daily(symbol: str, start: str, end: str, cfg) -> list[BarData]:
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daily_dir = Path(cfg.data_paths["daily_dir"])
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start_dt = datetime.strptime(start, "%Y-%m-%d")
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end_dt = datetime.strptime(end, "%Y-%m-%d")
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bars: list[BarData] = []
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for year in range(start_dt.year, end_dt.year + 1):
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f = daily_dir / str(year) / f"{symbol}.parquet"
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if not f.exists():
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continue
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df = pd.read_parquet(f)
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for _, row in df.iterrows():
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d = pd.to_datetime(row["date"])
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if start_dt <= d <= end_dt:
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bars.append(_row_to_bar(symbol, row, Interval.DAILY))
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return bars
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def _row_to_bar(symbol: str, row, interval: Interval) -> BarData:
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return BarData(
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symbol=symbol,
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exchange=guess_exchange(symbol), # Task 4 已改为 guess_exchange
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datetime=pd.to_datetime(row["date"]).to_pydatetime(),
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interval=interval,
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open_price=float(row["open"]),
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high_price=float(row["high"]),
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low_price=float(row["low"]),
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close_price=float(row["close"]),
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volume=float(row["volume"]),
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gateway_name="DATA",
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)
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def guess_exchange(symbol: str) -> Exchange:
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"""按代码前缀判断交易所：6/68/5x→SSE，0/3/15x→SZSE"""
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if symbol.startswith(("60", "68", "51", "56", "58")):
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return Exchange.SSE
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if symbol.startswith(("00", "30", "15")):
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return Exchange.SZSE
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return Exchange.SSE
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def read_db_daily(symbol: str, start: str, end: str, cfg) -> list[BarData]:
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# Configure vnpy database SETTINGS before calling get_database()
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SETTINGS["database.name"] = "sqlite"
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SETTINGS["database.database"] = cfg.data_paths["vnpy_db"]
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db = get_database()
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start_dt = datetime.strptime(start, "%Y-%m-%d")
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end_dt = datetime.strptime(end, "%Y-%m-%d")
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return db.load_bar_data(
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symbol=symbol,
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exchange=guess_exchange(symbol),
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interval=Interval.DAILY,
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start=start_dt,
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end=end_dt,
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)
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