182 lines
6.4 KiB
Python
182 lines
6.4 KiB
Python
"""MT5 数据源（MetaTrader5 终端，需已登录运行）。
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NOTE: MT5 copy_rates_from_pos 返回的 'time' 字段使用经纪商服务器本地时间
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（如 UTC+2/+3），而非真正的 Unix 时间戳。本模块在返回 Bar 之前会自动检测
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并修正该偏移，将所有 ts 统一为真实 UTC epoch 秒，确保与 time.time() 一致。
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"""
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from __future__ import annotations
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import threading
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import time as _time
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from web.data_sources.base import Bar, DataSource, DataSourceUnavailable
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_TF = {
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"1m": "TIMEFRAME_M1",
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"5m": "TIMEFRAME_M5",
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"15m": "TIMEFRAME_M15",
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"30m": "TIMEFRAME_M30",
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"1h": "TIMEFRAME_H1",
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"4h": "TIMEFRAME_H4",
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"1d": "TIMEFRAME_D1",
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"1w": "TIMEFRAME_W1",
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"1M": "TIMEFRAME_MN1",
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}
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_PRESETS = [
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"XAUUSD", "XAGUSD", "EURUSD", "USDJPY", "GBPUSD",
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"US30.cash", "US100.cash", "US500.cash", "US2000.cash", "JP225.cash",
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]
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class MT5Source(DataSource):
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kind = "mt5"
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label = "MT5"
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def __init__(self) -> None:
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self._connected = False
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self._lock = threading.Lock()
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self._server_offset: int | None = None # broker_ts - real_utc (秒)
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def available(self) -> tuple[bool, str]:
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try:
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import MetaTrader5 # noqa: F401
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except ImportError:
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return (False, "未安装 MetaTrader5：pip install MetaTrader5")
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return (True, "需 MT5 终端已登录运行")
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def supported_timeframes(self) -> list[str]:
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return list(_TF.keys())
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def preset_symbols(self) -> list[str]:
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return list(_PRESETS)
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def connect(self) -> None:
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try:
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import MetaTrader5 as mt5
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except ImportError as exc:
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raise DataSourceUnavailable("未安装 MetaTrader5") from exc
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if self._connected:
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return
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if not mt5.initialize():
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raise DataSourceUnavailable(
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f"MT5 初始化失败 {mt5.last_error()}；请确认终端已打开并登录"
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)
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self._connected = True
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self._detect_server_offset(mt5)
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def _detect_server_offset(self, mt5) -> None:
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"""检测 MT5 经纪商服务器时间与真实 UTC 的偏移量。
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MT5 的 copy_rates / symbol_info_tick 返回的时间戳使用经纪商服务器
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本地时钟（常见 UTC+2 或 UTC+3），但以 Unix 时间戳格式呈现。
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通过比较 tick.time 与本机 time.time() 推算偏移。
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"""
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try:
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tick = mt5.symbol_info_tick("XAUUSD") or mt5.symbol_info_tick("EURUSD")
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if tick and tick.time:
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real_now = int(_time.time())
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# 偏移 = broker_ts - real_utc，四舍五入到最近整小时
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raw_offset = int(tick.time) - real_now
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# 容错：±30 分钟内的抖动忽略，round 到整小时
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self._server_offset = round(raw_offset / 3600) * 3600
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else:
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self._server_offset = 0
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except Exception:
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self._server_offset = 0
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def disconnect(self) -> None:
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if self._connected:
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try:
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import MetaTrader5 as mt5
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mt5.shutdown()
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except Exception:
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pass
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self._connected = False
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def _fallback_local_cache(
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self, symbol: str, timeframe: str, n: int, drop_forming: bool = True
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) -> list[Bar] | None:
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"""MT5 无实时数据时，从本地 K 线缓存（D:\\K线数据）读取。"""
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try:
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import pandas as pd
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from pathlib import Path
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cache_dir = Path(r"D:\K线数据")
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path = cache_dir / f"{symbol}_{timeframe.upper()}.parquet"
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if not path.exists():
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return None
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df = pd.read_parquet(path)
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if df.empty:
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return None
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rows = df.tail(n + (1 if drop_forming else 0)).to_dict("records")
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if drop_forming and len(rows) > 1:
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rows = rows[:-1]
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bars: list[Bar] = []
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offset = self._server_offset or 0
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for r in rows:
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vol = float(r.get("tick_volume", 0))
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bars.append(Bar(
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ts=int(r["time"]) - offset,
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open=float(r["open"]),
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high=float(r["high"]),
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low=float(r["low"]),
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close=float(r["close"]),
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volume=vol,
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))
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return bars if bars else None
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except Exception:
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return None
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def fetch_bars(
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self, symbol: str, timeframe: str, n: int, drop_forming: bool = True
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) -> list[Bar]:
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if timeframe not in _TF:
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raise DataSourceUnavailable(f"MT5 不支持周期 {timeframe}")
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try:
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import MetaTrader5 as mt5
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except ImportError as exc:
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raise DataSourceUnavailable("未安装 MetaTrader5") from exc
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with self._lock:
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self.connect()
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tf_const = getattr(mt5, _TF[timeframe])
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try:
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mt5.symbol_select(symbol, True)
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except Exception:
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pass
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fetch_n = n + 1 if drop_forming else n
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rates = mt5.copy_rates_from_pos(symbol, tf_const, 0, fetch_n)
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if rates is None or len(rates) == 0:
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# MT5 无数据时回退到本地 K 线缓存
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fallback = self._fallback_local_cache(symbol, timeframe, n, drop_forming)
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if fallback:
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return fallback
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raise DataSourceUnavailable(
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f"MT5 无法获取 {symbol} {timeframe} 数据 {mt5.last_error()}"
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)
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# copy_rates_from_pos 返回升序，最后一根为正在形成的 bar
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rows = list(rates)
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if drop_forming and len(rows) > 1:
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rows = rows[:-1]
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bars: list[Bar] = []
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offset = self._server_offset or 0
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for r in rows:
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try:
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vol = float(r["tick_volume"])
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except Exception:
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vol = float(r["real_volume"]) if "real_volume" in r.dtype.names else 0.0
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bars.append(
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Bar(
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ts=int(r["time"]) - offset, # 修正为真实 UTC epoch
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open=float(r["open"]),
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high=float(r["high"]),
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low=float(r["low"]),
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close=float(r["close"]),
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volume=vol,
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)
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)
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return bars
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