creat

Signed-off-by: TIANHE <TIANHE@GMAIL.COM>
2025-12-29 03:06:49 +08:00
commit f43312a858
292 changed files with 103739 additions and 0 deletions
@@ -0,0 +1,154 @@
+"""
+数据源基类
+定义统一的数据源接口
+"""
+from abc import ABC, abstractmethod
+from typing import Dict, List, Any, Optional
+from datetime import datetime, timedelta
+
+from app.utils.logger import get_logger
+
+logger = get_logger(__name__)
+
+
+# K线周期映射（秒数）
+TIMEFRAME_SECONDS = {
+    '1m': 60,
+    '5m': 300,
+    '15m': 900,
+    '30m': 1800,
+    '1H': 3600,
+    '4H': 14400,
+    '1D': 86400,
+    '1W': 604800
+}
+
+
+class BaseDataSource(ABC):
+    """数据源基类"""
+    
+    name: str = "base"
+    
+    @abstractmethod
+    def get_kline(
+        self,
+        symbol: str,
+        timeframe: str,
+        limit: int,
+        before_time: Optional[int] = None
+    ) -> List[Dict[str, Any]]:
+        """
+        获取K线数据
+        
+        Args:
+            symbol: 交易对/股票代码
+            timeframe: 时间周期 (1m, 5m, 15m, 30m, 1H, 4H, 1D, 1W)
+            limit: 数据条数
+            before_time: 获取此时间之前的数据（Unix时间戳，秒）
+            
+        Returns:
+            K线数据列表，格式:
+            [{"time": int, "open": float, "high": float, "low": float, "close": float, "volume": float}, ...]
+        """
+        pass
+
+    def get_ticker(self, symbol: str) -> Dict[str, Any]:
+        """
+        Get latest ticker for a symbol (best-effort).
+
+        This is an optional interface used by the strategy executor for fetching current price.
+        Implementations may return a dict compatible with CCXT `fetch_ticker` shape (e.g. {'last': ...}).
+        """
+        raise NotImplementedError("get_ticker is not implemented for this data source")
+    
+    def format_kline(
+        self,
+        timestamp: int,
+        open_price: float,
+        high: float,
+        low: float,
+        close: float,
+        volume: float
+    ) -> Dict[str, Any]:
+        """格式化单条K线数据"""
+        return {
+            'time': timestamp,
+            'open': round(float(open_price), 4),
+            'high': round(float(high), 4),
+            'low': round(float(low), 4),
+            'close': round(float(close), 4),
+            'volume': round(float(volume), 2)
+        }
+    
+    def calculate_time_range(
+        self,
+        timeframe: str,
+        limit: int,
+        buffer_ratio: float = 1.2
+    ) -> int:
+        """
+        计算获取指定数量K线所需的时间范围（秒）
+        
+        Args:
+            timeframe: 时间周期
+            limit: K线数量
+            buffer_ratio: 缓冲系数
+            
+        Returns:
+            时间范围（秒）
+        """
+        seconds_per_candle = TIMEFRAME_SECONDS.get(timeframe, 86400)
+        return int(seconds_per_candle * limit * buffer_ratio)
+    
+    def filter_and_limit(
+        self,
+        klines: List[Dict[str, Any]],
+        limit: int,
+        before_time: Optional[int] = None
+    ) -> List[Dict[str, Any]]:
+        """
+        过滤和限制K线数据
+        
+        Args:
+            klines: K线数据列表
+            limit: 最大数量
+            before_time: 过滤此时间之后的数据
+            
+        Returns:
+            处理后的K线数据
+        """
+        # 按时间排序
+        klines.sort(key=lambda x: x['time'])
+        
+        # 过滤时间
+        if before_time:
+            klines = [k for k in klines if k['time'] < before_time]
+        
+        # 限制数量（取最新的）
+        if len(klines) > limit:
+            klines = klines[-limit:]
+        
+        return klines
+    
+    def log_result(
+        self,
+        symbol: str,
+        klines: List[Dict[str, Any]],
+        timeframe: str
+    ):
+        """记录获取结果日志"""
+        if klines:
+            latest_time = datetime.fromtimestamp(klines[-1]['time'])
+            time_diff = (datetime.now() - latest_time).total_seconds()
+            # logger.info(
+            #     f"{self.name}: {symbol} 获取 {len(klines)} 条数据, "
+            #     f"最新时间: {latest_time}, 延迟: {time_diff:.0f}秒"
+            # )
+            
+            # 检查数据是否过旧
+            max_diff = TIMEFRAME_SECONDS.get(timeframe, 3600) * 2
+            if time_diff > max_diff:
+                logger.warning(f"Warning: {symbol} data is delayed ({time_diff:.0f}s)")
+        else:
+            logger.warning(f"{self.name}: no data for {symbol}")
+