add etf

py-client/strategy/etf/data.py

@@ -0,0 +1,55 @@
+"""ETF 专用历史日线适配，不依赖或修改 QMT SDK。"""
+
+from datetime import date, datetime
+import math
+import re
+
+import httpx
+
+
+DAILY_URL = 'http://go.apinb.com/a/get_daily'
+
+
+def daily_bars(client: httpx.Client, code: str, today: date, count: int = 120) -> list[dict]:
+    """读取指定证券日线；只使用 code 参数，截取历史窗口在本地完成。"""
+    response = client.get(DAILY_URL, params={'code': code})
+    response.raise_for_status()
+    return parse_daily(response.json(), code, today, count)
+
+
+def parse_daily(payload: dict, code: str, today: date, count: int = 120) -> list[dict]:
+    """校验业务状态、证券归属和 OHLC，将 trade_date 转为指标需要的 date。"""
+    if type(count) is not int or count <= 0:
+        raise ValueError('日线数量必须为正整数')
+    if not isinstance(payload, dict) or type(payload.get('code')) is not int or payload['code'] != 0:
+        raise ValueError(f'日线接口业务失败：{payload.get("message", "状态无效") if isinstance(payload, dict) else "响应非对象"}')
+    details = payload.get('details')
+    if not isinstance(details, list) or not details:
+        raise ValueError(f'{code} 日线接口未返回有效 details 列表')
+    bars = {}
+    for row in details:
+        if not isinstance(row, dict) or row.get('ts_code') != code:
+            raise ValueError(f'{code} 日线证券代码不一致')
+        stamp = str(row.get('trade_date', ''))
+        if not re.fullmatch(r'[0-9]{8}', stamp):
+            raise ValueError(f'{code} 日线日期无效：{stamp}')
+        day = datetime.strptime(stamp, '%Y%m%d').date()
+        # 当前日及未来日线均不可用于盘中指标，先过滤再截取最近 count 根。
+        if day >= today:
+            continue
+        if stamp in bars:
+            raise ValueError(f'{code} 日线日期重复：{stamp}')
+        values = {}
+        for key in ('open', 'high', 'low', 'close'):
+            value = row.get(key)
+            if isinstance(value, bool) or not isinstance(value, (int, float, str)):
+                raise ValueError(f'{code} 日线 {key} 无效')
+            value = float(value)
+            if not math.isfinite(value) or value <= 0:
+                raise ValueError(f'{code} 日线 {key} 非有限正数')
+            values[key] = value
+        if not (values['low'] <= values['open'] <= values['high']
+                and values['low'] <= values['close'] <= values['high']):
+            raise ValueError(f'{code} 日线 OHLC 关系异常')
+        bars[stamp] = dict(date=stamp, **values)
+    return [bars[stamp] for stamp in sorted(bars)[-count:]]