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fix: Forex data source improvements and Tiingo subscription hints

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TIANHE
2026-01-12 04:28:42 +08:00
parent bd5db753df
commit 43523d4796
7 changed files with 157 additions and 17 deletions
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backend_api_python/app/data_sources/forex.py
+133 -10
View File
@@ -20,17 +20,18 @@ class ForexDataSource(BaseDataSource):
name = "Forex/Tiingo"
# Tiingo resampleFreq 映射
# Tiingo 支持: 1min, 5min, 15min, 30min, 1hour, 4hour, 1day 等
# Tiingo 免费账户支持: 5min, 15min, 30min, 1hour, 4hour, 1day
# 注意: 1min 需要付费订阅, 1week/1month 不被 Tiingo FX API 支持
TIMEFRAME_MAP = {
'1m': '1min',
'1m': '1min', # 需要付费订阅
'5m': '5min',
'15m': '15min',
'30m': '30min',
'1H': '1hour',
'4H': '4hour',
'1D': '1day',
'1W': '1week',
'1M': '1month'
'1W': None, # Tiingo 不支持，需要聚合
'1M': None # Tiingo 不支持，需要聚合
}
# 外汇对映射 (Tiingo 使用标准 ticker，如 eurusd, audusd)
@@ -89,10 +90,31 @@ class ForexDataSource(BaseDataSource):
# 2. 解析 Resolution (resampleFreq)
resample_freq = self.TIMEFRAME_MAP.get(timeframe)
# 特殊处理：1W/1M 需要用日线聚合
aggregate_to_weekly = (timeframe == '1W')
aggregate_to_monthly = (timeframe == '1M')
original_limit = limit # 保存原始请求数量
if aggregate_to_weekly or aggregate_to_monthly:
# 用日线数据聚合
resample_freq = '1day'
# 限制周线/月线的最大请求数量（Tiingo 免费 API 有数据量限制）
# 周线最多请求 100 周 = 700 天 ≈ 2年
# 月线最多请求 36 月 = 1080 天 ≈ 3年
max_limit = 100 if aggregate_to_weekly else 36
original_limit = min(original_limit, max_limit)
# 需要更多日线数据来聚合（周线需要7天，月线需要30天）
limit = original_limit * (7 if aggregate_to_weekly else 30)
if not resample_freq:
logger.warning(f"Tiingo does not support timeframe: {timeframe}")
return []
# 1分钟数据需要付费订阅提示
if timeframe == '1m':
logger.info(f"Note: Tiingo 1-minute forex data requires a paid subscription")
# 3. 计算时间范围
if before_time:
end_dt = datetime.fromtimestamp(before_time)
@@ -100,9 +122,19 @@ class ForexDataSource(BaseDataSource):
end_dt = datetime.now()
# 根据周期和数量计算开始时间
tf_seconds = self._get_timeframe_seconds(timeframe)
# 多取一些缓冲时间
start_dt = end_dt - timedelta(seconds=limit * tf_seconds * 2)
# 注意：聚合模式下使用日线秒数计算
if aggregate_to_weekly or aggregate_to_monthly:
tf_seconds = 86400 # 日线秒数
else:
tf_seconds = self._get_timeframe_seconds(timeframe)
# 多取一些缓冲时间（1.5倍，外汇周末不交易）
start_dt = end_dt - timedelta(seconds=limit * tf_seconds * 1.5)
# Tiingo 免费 API 最多支持约 5 年数据，限制最大时间范围
max_days = 365 * 3 # 最多 3 年
if (end_dt - start_dt).days > max_days:
start_dt = end_dt - timedelta(days=max_days)
logger.info(f"Tiingo: Limited date range to {max_days} days")
# 格式化日期为 YYYY-MM-DD (Tiingo 支持该格式)
start_date_str = start_dt.strftime('%Y-%m-%d')
@@ -175,9 +207,17 @@ class ForexDataSource(BaseDataSource):
# 按时间排序
klines.sort(key=lambda x: x['time'])
# 过滤
if len(klines) > limit:
klines = klines[-limit:]
# 如果需要聚合到周线或月线
if aggregate_to_weekly:
klines = self._aggregate_to_weekly(klines)
logger.debug(f"Aggregated {len(klines)} weekly candles from daily data")
elif aggregate_to_monthly:
klines = self._aggregate_to_monthly(klines)
logger.debug(f"Aggregated {len(klines)} monthly candles from daily data")
# 过滤到原始请求数量
if len(klines) > original_limit:
klines = klines[-original_limit:]
# logger.info(f"获取到 {len(klines)} 条 Tiingo 外汇数据")
return klines
@@ -188,3 +228,86 @@ class ForexDataSource(BaseDataSource):
except Exception as e:
logger.error(f"Failed to process Tiingo data: {e}")
return []
def _aggregate_to_weekly(self, daily_klines: List[Dict[str, Any]]) -> List[Dict[str, Any]]:
"""将日线数据聚合为周线"""
if not daily_klines:
return []
weekly_klines = []
current_week = None
week_data = None
for kline in daily_klines:
dt = datetime.fromtimestamp(kline['time'])
# 获取该日期所在周的周一
week_start = dt - timedelta(days=dt.weekday())
week_key = week_start.strftime('%Y-%W')
if week_key != current_week:
# 保存上一周的数据
if week_data:
weekly_klines.append(week_data)
# 开始新的一周
current_week = week_key
week_data = {
'time': int(week_start.timestamp()),
'open': kline['open'],
'high': kline['high'],
'low': kline['low'],
'close': kline['close'],
'volume': kline['volume']
}
else:
# 更新本周数据
week_data['high'] = max(week_data['high'], kline['high'])
week_data['low'] = min(week_data['low'], kline['low'])
week_data['close'] = kline['close']
week_data['volume'] += kline['volume']
# 添加最后一周
if week_data:
weekly_klines.append(week_data)
return weekly_klines
def _aggregate_to_monthly(self, daily_klines: List[Dict[str, Any]]) -> List[Dict[str, Any]]:
"""将日线数据聚合为月线"""
if not daily_klines:
return []
monthly_klines = []
current_month = None
month_data = None
for kline in daily_klines:
dt = datetime.fromtimestamp(kline['time'])
month_key = dt.strftime('%Y-%m')
if month_key != current_month:
# 保存上个月的数据
if month_data:
monthly_klines.append(month_data)
# 开始新的一月
current_month = month_key
month_start = dt.replace(day=1, hour=0, minute=0, second=0)
month_data = {
'time': int(month_start.timestamp()),
'open': kline['open'],
'high': kline['high'],
'low': kline['low'],
'close': kline['close'],
'volume': kline['volume']
}
else:
# 更新本月数据
month_data['high'] = max(month_data['high'], kline['high'])
month_data['low'] = min(month_data['low'], kline['low'])
month_data['close'] = kline['close']
month_data['volume'] += kline['volume']
# 添加最后一月
if month_data:
monthly_klines.append(month_data)
return monthly_klines
backend_api_python/app/routes/kline.py
+9 -2
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@@ -60,10 +60,17 @@ def get_kline():
)
if not klines:
# 针对特定情况给出更详细的提示
msg = 'No data found'
if market == 'Forex' and timeframe == '1m':
msg = 'Forex 1-minute data requires Tiingo paid subscription'
elif market == 'Forex' and timeframe in ('1W', '1M'):
msg = 'No weekly/monthly data available for this period'
return jsonify({
'code': 0,
'msg': 'No data found',
'data': []
'msg': msg,
'data': [],
'hint': 'tiingo_subscription' if (market == 'Forex' and timeframe == '1m') else None
})
return jsonify({
backend_api_python/app/routes/settings.py
+1 -1
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@@ -317,7 +317,7 @@ CONFIG_SCHEMA = {
'required': False,
'link': 'https://www.tiingo.com/account/api/token',
'link_text': 'settings.link.getToken',
'description': 'Tiingo API key for US stock data (free tier available)'
'description': 'Tiingo API key for Forex/Metals data (free tier does not support 1-minute data)'
},
{
'key': 'TIINGO_TIMEOUT',