195 lines
7.5 KiB
Python
195 lines
7.5 KiB
Python
# -*- coding: utf-8 -*-
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"""
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行情与参考位取数 (best-effort, 取不到一律返回 None 由上层降级)
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==============================================================
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现价: Redis db13 (SIGNAL_REDIS_DB_QUOTES), key `tushare:rt_min:1MIN:{600000.SH}`,
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值为当日分钟 K 线数组 —— 与 bionic_trader 既有读法完全一致, 不另立口径。
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参考位: 主口径取决策系统 strategy_daily_results 的支撑/压力; 日龄超 PMS_REF_STALE_TDAYS
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转兜底自算 (设计 §13): 支撑 = max(MA20, 近20日低点×1.01), 压力 = 近60日高点,
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止损 = 底仓成本 − N×ATR 与支撑取高。因子分表 gp_stock_factor_pro_YYYYMM 经 153 代理
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逐表单查 (跨分表 UNION 会被代理拒绝, 沿用 bionic 的踩坑结论)。
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"""
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from __future__ import annotations
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import json
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import logging
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import threading
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from datetime import datetime, timedelta
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from config.settings import settings
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from app.db.session import fetch_all
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from app.repo import downstream_repo
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from app.services import param_store
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logger = logging.getLogger("pms.market")
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_redis = None
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_lock = threading.Lock()
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QUOTE_KEY = "tushare:rt_min:1MIN:{code}"
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def _r():
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global _redis
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if _redis is not None:
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return _redis
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with _lock:
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if _redis is None:
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import redis
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_redis = redis.Redis(
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host=settings.SIGNAL_REDIS_HOST, port=settings.SIGNAL_REDIS_PORT,
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password=settings.SIGNAL_REDIS_PASSWORD or None,
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db=settings.SIGNAL_REDIS_DB_QUOTES, decode_responses=True,
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socket_timeout=settings.SIGNAL_REDIS_SOCKET_TIMEOUT)
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return _redis
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def _bars(code: str):
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try:
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raw = _r().get(QUOTE_KEY.format(code=code))
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if not raw:
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return None
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bars = json.loads(raw)
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return bars if isinstance(bars, list) and bars else None
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except Exception as e:
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logger.warning("实时行情读取失败 [%s]: %s", code, e)
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return None
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def get_price(ts_code: str):
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bars = _bars(ts_code)
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if not bars:
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return None
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try:
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px = float(bars[-1].get("close") or 0)
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return px if px > 0 else None
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except (TypeError, ValueError):
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return None
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def get_prices(codes) -> dict:
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"""批量取现价 (逐 key GET; 数量级为持仓数, 无需 pipeline 复杂化)。"""
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out = {}
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for c in codes or []:
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out[c] = get_price(c)
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return out
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def day_snapshot(ts_code: str) -> dict:
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"""当日分钟线聚合: 现价/开盘/最高/最低/均价(VWAP近似)/涨幅 —— 择时与不追高检查用。"""
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bars = _bars(ts_code)
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if not bars:
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return {}
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try:
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closes = [float(b.get("close") or 0) for b in bars if float(b.get("close") or 0) > 0]
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if not closes:
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return {}
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highs = [float(b.get("high") or b.get("close") or 0) for b in bars]
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lows = [float(b.get("low") or b.get("close") or 0) for b in bars if
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float(b.get("low") or b.get("close") or 0) > 0]
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opens = float(bars[0].get("open") or closes[0])
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vols = [float(b.get("vol") or 0) for b in bars]
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amt = sum(c * v for c, v in zip(closes, vols))
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vwap = (amt / sum(vols)) if sum(vols) > 0 else sum(closes) / len(closes)
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px = closes[-1]
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return {"price": px, "open": opens, "high": max(highs) if highs else px,
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"low": min(lows) if lows else px, "vwap": round(vwap, 3),
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"day_chg_from_open": (px / opens - 1) if opens else None,
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"bar_time": bars[-1].get("time"), "bars": len(bars)}
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except (TypeError, ValueError) as e:
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logger.warning("行情聚合失败 [%s]: %s", ts_code, e)
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return {}
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# ================================================================ 参考位
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def _shard_tables(months: int = 4) -> list:
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now = datetime.now()
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out, d = [], now
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for _ in range(max(1, months)):
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out.append(f"gp_stock_factor_pro_{d.strftime('%Y%m')}")
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d = (d.replace(day=1) - timedelta(days=1))
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return out
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def _factor_rows(ts_code: str, days: int = 70) -> list:
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"""逐分表单查 (代理要求单表), 合并后取最近 days 条。symbol 先点式后前缀式试。"""
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since = (datetime.now() - timedelta(days=int(days * 1.6))).strftime("%Y-%m-%d")
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rows = []
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for tbl in _shard_tables():
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for sym in (ts_code, downstream_repo.to_prefix(ts_code)):
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try:
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part = fetch_all(
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f"SELECT trade_date, close_qfq, high_qfq, low_qfq, atr_qfq FROM {tbl} "
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f"WHERE symbol = :sym AND trade_date >= :since", {"sym": sym, "since": since})
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except Exception:
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part = []
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if part:
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rows.extend(part)
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break
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rows = [r for r in rows if r.get("close_qfq")]
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rows.sort(key=lambda r: str(r.get("trade_date")))
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return rows[-days:]
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def self_calc_refs(ts_code: str, base_cost=None) -> dict:
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"""兜底自算参考位 (设计 §13)。数据不足返回 {}。"""
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rows = _factor_rows(ts_code)
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if len(rows) < 20:
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return {}
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close = [float(r["close_qfq"]) for r in rows]
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low = [float(r.get("low_qfq") or r["close_qfq"]) for r in rows]
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high = [float(r.get("high_qfq") or r["close_qfq"]) for r in rows]
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atr = None
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for r in reversed(rows):
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if r.get("atr_qfq"):
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atr = float(r["atr_qfq"])
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break
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ma20 = sum(close[-20:]) / 20
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support = max(ma20, min(low[-20:]) * 1.01)
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pressure = max(high[-60:]) if len(high) >= 60 else max(high)
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stop = None
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if base_cost and atr:
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stop = max(float(base_cost) - param_store.get_float("PMS_STOP_ATR_MULT", 2.0) * atr,
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support)
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elif atr:
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stop = max(close[-1] - param_store.get_float("PMS_STOP_ATR_MULT", 2.0) * atr, support)
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return {"support": round(support, 3), "pressure": round(pressure, 3),
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"stop": round(stop, 3) if stop else None, "atr": atr, "ma20": round(ma20, 3),
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"source": "self_calc", "bars": len(rows)}
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def get_refs(ts_code: str, *, base_cost=None) -> dict:
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"""参考位: 决策系统主口径 → 日龄超期/缺失时兜底自算 → 都拿不到返回 source=none。"""
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stale_days = param_store.get_int("PMS_REF_STALE_TDAYS", 3)
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try:
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r = downstream_repo.fetch_refs(ts_code)
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except Exception as e:
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logger.warning("读决策系统结论失败 [%s]: %s", ts_code, e)
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r = None
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if r and (r.get("support") or r.get("pressure")):
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age = _age_days(r.get("trade_date"))
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if age is not None and age <= stale_days * 2: # 自然日宽松换算交易日
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return {"support": r.get("support"), "pressure": r.get("pressure"),
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"stop": r.get("support"), "source": "bionic",
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"trade_date": str(r.get("trade_date")), "age_days": age}
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try:
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s = self_calc_refs(ts_code, base_cost=base_cost)
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except Exception as e:
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logger.warning("自算参考位失败 [%s]: %s", ts_code, e)
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s = {}
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if s:
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s["note"] = "兜底口径 (决策系统结论缺失或停更)"
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return s
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return {"support": None, "pressure": None, "stop": None, "source": "none",
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"note": "参考位不可用 —— 敞口无法计算, 相关动作按保守处理"}
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def _age_days(trade_date):
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if not trade_date:
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return None
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try:
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s = str(trade_date)[:10].replace("-", "")
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d = datetime.strptime(s, "%Y%m%d").date()
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return (datetime.now().date() - d).days
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except (ValueError, TypeError):
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return None
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