56 lines
2.6 KiB
Python
56 lines
2.6 KiB
Python
"""ETF 专用历史日线适配，不依赖或修改 QMT SDK。"""
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from datetime import date, datetime
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import math
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import re
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import httpx
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DAILY_URL = 'http://go.apinb.com/a/get_daily'
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def daily_bars(client: httpx.Client, code: str, today: date, count: int = 120) -> list[dict]:
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"""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。"""
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response = client.get(DAILY_URL, params={'code': code})
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response.raise_for_status()
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return parse_daily(response.json(), code, today, count)
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def parse_daily(payload: dict, code: str, today: date, count: int = 120) -> list[dict]:
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"""校验业务状态、证券归属和 OHLC，将 trade_date 转为指标需要的 date。"""
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if type(count) is not int or count <= 0:
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raise ValueError('日线数量必须为正整数')
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if not isinstance(payload, dict) or type(payload.get('code')) is not int or payload['code'] != 0:
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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"}')
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details = payload.get('details')
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if not isinstance(details, list) or not details:
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raise ValueError(f'{code} 日线接口未返回有效 details 列表')
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bars = {}
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for row in details:
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if not isinstance(row, dict) or row.get('ts_code') != code:
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raise ValueError(f'{code} 日线证券代码不一致')
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stamp = str(row.get('trade_date', ''))
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if not re.fullmatch(r'[0-9]{8}', stamp):
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raise ValueError(f'{code} 日线日期无效：{stamp}')
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day = datetime.strptime(stamp, '%Y%m%d').date()
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# 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。
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if day >= today:
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continue
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if stamp in bars:
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raise ValueError(f'{code} 日线日期重复：{stamp}')
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values = {}
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for key in ('open', 'high', 'low', 'close'):
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value = row.get(key)
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if isinstance(value, bool) or not isinstance(value, (int, float, str)):
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raise ValueError(f'{code} 日线 {key} 无效')
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value = float(value)
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if not math.isfinite(value) or value <= 0:
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raise ValueError(f'{code} 日线 {key} 非有限正数')
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values[key] = value
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if not (values['low'] <= values['open'] <= values['high']
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and values['low'] <= values['close'] <= values['high']):
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raise ValueError(f'{code} 日线 OHLC 关系异常')
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bars[stamp] = dict(date=stamp, **values)
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return [bars[stamp] for stamp in sorted(bars)[-count:]]
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