284 lines
8.6 KiB
Python
284 lines
8.6 KiB
Python
import time
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from collections import deque
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from datetime import date, datetime
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import pandas as pd
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import tushare as ts
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from sqlalchemy import text
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from sqlalchemy.exc import SQLAlchemyError
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from stock_config import TUSHARE_TOKEN, get_engine
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TABLE_NAME = "limit_list_d"
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LIMIT_TYPES = ("U", "D", "Z")
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TUSHARE_START_DATE = date(2020, 1, 1)
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MAX_CALLS_PER_MINUTE = 200
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FIELDS = (
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"trade_date,ts_code,industry,name,close,pct_chg,amount,limit_amount,"
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"float_mv,total_mv,turnover_ratio,fd_amount,first_time,last_time,"
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"open_times,up_stat,limit_times,limit"
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)
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class MinuteRateLimiter:
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def __init__(self, max_calls):
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self.max_calls = max_calls
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self.call_times = deque()
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def wait(self):
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now = time.monotonic()
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while self.call_times and now - self.call_times[0] >= 60:
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self.call_times.popleft()
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if len(self.call_times) >= self.max_calls:
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sleep_seconds = 60 - (now - self.call_times[0]) + 0.1
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print(f"⏳ Tushare 限流等待 {sleep_seconds:.1f} 秒。")
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time.sleep(sleep_seconds)
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now = time.monotonic()
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while self.call_times and now - self.call_times[0] >= 60:
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self.call_times.popleft()
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self.call_times.append(time.monotonic())
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def parse_date(value):
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value = str(value).strip()
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for fmt in ("%Y%m%d", "%Y-%m-%d"):
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try:
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return datetime.strptime(value, fmt).date()
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except ValueError:
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pass
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raise ValueError(f"日期格式错误: {value}，应为 YYYYMMDD 或 YYYY-MM-DD")
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def to_tushare_date(value):
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return value.strftime("%Y%m%d")
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def init_db(engine):
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sql = f"""
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CREATE TABLE IF NOT EXISTS `{TABLE_NAME}` (
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`id` BIGINT AUTO_INCREMENT PRIMARY KEY,
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`trade_date` DATE NOT NULL COMMENT '交易日期',
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`ts_code` VARCHAR(20) NOT NULL COMMENT '股票代码',
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`industry` VARCHAR(100) COMMENT '所属行业',
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`name` VARCHAR(50) COMMENT '股票名称',
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`close` DECIMAL(16, 4) COMMENT '收盘价',
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`pct_chg` DECIMAL(10, 4) COMMENT '涨跌幅',
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`amount` DECIMAL(24, 4) COMMENT '成交额',
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`limit_amount` DECIMAL(24, 4) COMMENT '板上成交金额',
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`float_mv` DECIMAL(24, 4) COMMENT '流通市值',
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`total_mv` DECIMAL(24, 4) COMMENT '总市值',
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`turnover_ratio` DECIMAL(10, 4) COMMENT '换手率',
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`fd_amount` DECIMAL(24, 4) COMMENT '封单金额',
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`first_time` VARCHAR(20) COMMENT '首次封板时间',
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`last_time` VARCHAR(20) COMMENT '最后封板时间',
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`open_times` INT COMMENT '打开次数',
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`up_stat` VARCHAR(50) COMMENT '涨停统计',
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`limit_times` INT COMMENT '连板数',
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`limit` VARCHAR(1) NOT NULL COMMENT 'D跌停 U涨停 Z炸板',
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UNIQUE KEY `uniq_trade_code_limit` (`trade_date`, `ts_code`, `limit`),
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KEY `idx_trade_date` (`trade_date`),
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KEY `idx_ts_code` (`ts_code`),
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KEY `idx_limit` (`limit`)
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) ENGINE=InnoDB DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_unicode_ci;
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"""
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with engine.begin() as conn:
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conn.execute(text(sql))
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print(f"✅ 表 {TABLE_NAME} 检查/创建完成。")
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def get_trade_dates(engine, start_date, end_date):
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try:
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query = text(
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"""
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SELECT cal_date
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FROM trade_calendar
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WHERE cal_date BETWEEN :start_date AND :end_date
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AND is_open = 1
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ORDER BY cal_date
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"""
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)
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df = pd.read_sql(
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query,
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engine,
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params={"start_date": start_date, "end_date": end_date},
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)
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if not df.empty:
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return [pd.to_datetime(value).date() for value in df["cal_date"]]
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except SQLAlchemyError as exc:
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print(f"⚠️ 读取 trade_calendar 失败，将按自然日尝试: {exc}")
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return [value.date() for value in pd.date_range(start_date, end_date, freq="D")]
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def clean_text(value):
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if pd.isna(value):
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return None
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return str(value).strip()
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def normalize_data(df):
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columns = [
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"trade_date",
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"ts_code",
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"industry",
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"name",
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"close",
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"pct_chg",
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"amount",
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"limit_amount",
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"float_mv",
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"total_mv",
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"turnover_ratio",
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"fd_amount",
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"first_time",
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"last_time",
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"open_times",
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"up_stat",
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"limit_times",
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"limit",
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]
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for column in columns:
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if column not in df.columns:
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df[column] = None
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result = df[columns].copy()
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result["trade_date"] = pd.to_datetime(
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result["trade_date"], format="%Y%m%d", errors="coerce"
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).dt.date
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for column in [
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"close",
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"pct_chg",
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"amount",
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"limit_amount",
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"float_mv",
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"total_mv",
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"turnover_ratio",
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"fd_amount",
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"open_times",
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"limit_times",
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]:
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result[column] = pd.to_numeric(result[column], errors="coerce")
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for column in [
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"ts_code",
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"industry",
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"name",
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"first_time",
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"last_time",
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"up_stat",
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"limit",
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]:
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result[column] = result[column].map(clean_text)
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result = result.dropna(subset=["trade_date", "ts_code", "limit"])
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return result.drop_duplicates(
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subset=["trade_date", "ts_code", "limit"],
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keep="first",
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)
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def fetch_limit_list_d(trade_dates):
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if not trade_dates:
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return pd.DataFrame()
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ts.set_token(TUSHARE_TOKEN)
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pro = ts.pro_api()
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frames = []
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rate_limiter = MinuteRateLimiter(MAX_CALLS_PER_MINUTE)
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total_calls = len(trade_dates) * len(LIMIT_TYPES)
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current_call = 0
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print(
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f"🔎 开始获取 Tushare limit_list_d：{len(trade_dates)} 个交易日，"
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f"{len(LIMIT_TYPES)} 类 limit_type，共 {total_calls} 次调用。"
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)
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for trade_date in trade_dates:
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tushare_date = to_tushare_date(trade_date)
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for limit_type in LIMIT_TYPES:
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current_call += 1
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print(f" [{current_call}/{total_calls}] {tushare_date} limit_type={limit_type}")
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rate_limiter.wait()
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try:
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df = pro.limit_list_d(
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trade_date=tushare_date,
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limit_type=limit_type,
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fields=FIELDS,
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)
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except Exception as exc:
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print(f"⚠️ 获取失败: {tushare_date} {limit_type}, 错误: {exc}")
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continue
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if df is None or df.empty:
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continue
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frames.append(normalize_data(df))
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if not frames:
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return pd.DataFrame()
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return pd.concat(frames, ignore_index=True).drop_duplicates(
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subset=["trade_date", "ts_code", "limit"],
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keep="first",
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)
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def save_data(engine, df, trade_dates):
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if not trade_dates:
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return 0
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with engine.begin() as conn:
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delete_params = {f"date_{idx}": value for idx, value in enumerate(trade_dates)}
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placeholders = ", ".join(f":date_{idx}" for idx in range(len(trade_dates)))
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delete_sql = text(f"DELETE FROM `{TABLE_NAME}` WHERE trade_date IN ({placeholders})")
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delete_result = conn.execute(delete_sql, delete_params)
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print(f"🧹 已清理旧数据 {delete_result.rowcount} 条。")
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if df.empty:
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print("ℹ️ 本次没有可写入的 limit_list_d 数据。")
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return 0
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df.to_sql(
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TABLE_NAME,
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conn,
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if_exists="append",
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index=False,
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chunksize=1000,
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method="multi",
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)
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return len(df)
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def run(start_date, end_date):
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start = parse_date(start_date)
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end = parse_date(end_date)
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if start > end:
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raise ValueError("开始日期不能大于结束日期")
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if end < TUSHARE_START_DATE:
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print(f"ℹ️ limit_list_d 接口从 {TUSHARE_START_DATE} 开始处理，当前区间无需同步。")
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return True
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if start < TUSHARE_START_DATE:
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print(f"ℹ️ start_date 早于 {TUSHARE_START_DATE}，已自动调整。")
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start = TUSHARE_START_DATE
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engine = get_engine()
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init_db(engine)
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trade_dates = get_trade_dates(engine, start, end)
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print(f"📅 需要处理 {len(trade_dates)} 个交易日/日期：{start} ~ {end}")
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if not trade_dates:
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return True
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df = fetch_limit_list_d(trade_dates)
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inserted = save_data(engine, df, trade_dates)
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print(f"✅ {TABLE_NAME} 同步完成，写入 {inserted} 条。")
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return True
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if __name__ == "__main__":
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START_DATE = "20260513" # 开始日期，格式 YYYYMMDD 或 YYYY-MM-DD
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END_DATE = "20260515" # 结束日期，格式 YYYYMMDD 或 YYYY-MM-DD
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run(START_DATE, END_DATE)
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