""" 外汇数据源 使用 Tiingo 获取外汇数据 """ from typing import Dict, List, Any, Optional from datetime import datetime, timedelta import time import requests import threading from app.data_sources.base import BaseDataSource, TIMEFRAME_SECONDS from app.utils.logger import get_logger from app.config import TiingoConfig, APIKeys logger = get_logger(__name__) # 全局缓存 - 减少 Tiingo API 调用 _forex_cache: Dict[str, Dict[str, Any]] = {} _forex_cache_lock = threading.Lock() _FOREX_CACHE_TTL = 60 # 外汇价格缓存 60 秒 (Tiingo 免费 API 限制严格) class ForexDataSource(BaseDataSource): """外汇数据源 (Tiingo)""" name = "Forex/Tiingo" # Tiingo resampleFreq 映射 # 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', # 需要付费订阅 '5m': '5min', '15m': '15min', '30m': '30min', '1H': '1hour', '4H': '4hour', '1D': '1day', '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) # 大写也可以，Tiingo 通常不区分大小写，但建议统一 SYMBOL_MAP = { # 贵金属 (Tiingo 不一定支持所有 OANDA 格式的贵金属，通常是 XAUUSD) 'XAUUSD': 'xauusd', 'XAGUSD': 'xagusd', # 主要货币对 'EURUSD': 'eurusd', 'GBPUSD': 'gbpusd', 'USDJPY': 'usdjpy', 'AUDUSD': 'audusd', 'USDCAD': 'usdcad', 'USDCHF': 'usdchf', 'NZDUSD': 'nzdusd', } def __init__(self): self.base_url = TiingoConfig.BASE_URL if not APIKeys.TIINGO_API_KEY: logger.warning("Tiingo API key is not configured; FX data will be unavailable") def get_ticker(self, symbol: str) -> Dict[str, Any]: """ 获取外汇实时报价 使用 Tiingo FX Top-of-Book API 获取实时报价 带有 60 秒缓存以避免频繁触发 Tiingo 速率限制 Returns: dict: { 'last': 当前价格 (mid price), 'bid': 买价, 'ask': 卖价, 'change': 涨跌额, 'changePercent': 涨跌幅 } """ api_key = APIKeys.TIINGO_API_KEY if not api_key: logger.warning("Tiingo API key not configured") return {'last': 0, 'symbol': symbol} # 检查缓存 cache_key = f"ticker_{symbol}" with _forex_cache_lock: cached = _forex_cache.get(cache_key) if cached: cache_time = cached.get('_cache_time', 0) if time.time() - cache_time < _FOREX_CACHE_TTL: logger.debug(f"Using cached forex ticker for {symbol}") return cached try: # 解析 symbol tiingo_symbol = self.SYMBOL_MAP.get(symbol) if not tiingo_symbol: tiingo_symbol = symbol.lower() # Tiingo FX Top-of-Book API # https://api.tiingo.com/tiingo/fx/top?tickers=eurusd&token=... url = f"{self.base_url}/fx/top" params = { 'tickers': tiingo_symbol, 'token': api_key } # 重试逻辑：处理 429 速率限制 for attempt in range(3): response = requests.get(url, params=params, timeout=TiingoConfig.TIMEOUT) if response.status_code == 429: wait_time = 2 * (attempt + 1) logger.warning(f"Tiingo rate limit (429), waiting {wait_time}s before retry ({attempt+1}/3)") time.sleep(wait_time) continue break if response.status_code == 429: logger.warning("Tiingo rate limit exceeded for ticker request") logger.info("Note: Tiingo 1-minute forex data requires a paid subscription") # 返回缓存数据（如果有的话，即使已过期） with _forex_cache_lock: if cache_key in _forex_cache: logger.info(f"Returning stale cache for {symbol} due to rate limit") return _forex_cache[cache_key] return {'last': 0, 'symbol': symbol} response.raise_for_status() data = response.json() if data and isinstance(data, list) and len(data) > 0: item = data[0] # Tiingo FX top returns: ticker, quoteTimestamp, bidPrice, bidSize, askPrice, askSize, midPrice bid = float(item.get('bidPrice', 0) or 0) ask = float(item.get('askPrice', 0) or 0) mid = float(item.get('midPrice', 0) or 0) # 如果没有 midPrice，计算中间价 if not mid and bid and ask: mid = (bid + ask) / 2 last_price = mid or bid or ask # 获取前一天收盘价来计算涨跌（需要额外请求日线数据） prev_close = 0 change = 0 change_pct = 0 try: # 获取昨日收盘价 yesterday = (datetime.now() - timedelta(days=2)).strftime('%Y-%m-%d') today = datetime.now().strftime('%Y-%m-%d') price_url = f"{self.base_url}/fx/{tiingo_symbol}/prices" price_params = { 'startDate': yesterday, 'endDate': today, 'resampleFreq': '1day', 'token': api_key } price_resp = requests.get(price_url, params=price_params, timeout=TiingoConfig.TIMEOUT) if price_resp.status_code == 200: price_data = price_resp.json() if price_data and len(price_data) > 0: prev_close = float(price_data[-1].get('close', 0) or 0) if prev_close and last_price: change = last_price - prev_close change_pct = (change / prev_close) * 100 except Exception: pass # 涨跌计算失败不影响主要功能 result = { 'last': round(last_price, 5), 'bid': round(bid, 5), 'ask': round(ask, 5), 'change': round(change, 5), 'changePercent': round(change_pct, 2), 'previousClose': round(prev_close, 5) if prev_close else 0, '_cache_time': time.time() } # 缓存结果 with _forex_cache_lock: _forex_cache[cache_key] = result return result except Exception as e: logger.error(f"Failed to get forex ticker for {symbol}: {e}") return {'last': 0, 'symbol': symbol} def _get_timeframe_seconds(self, timeframe: str) -> int: """获取时间周期对应的秒数""" return TIMEFRAME_SECONDS.get(timeframe, 86400) def get_kline( self, symbol: str, timeframe: str, limit: int, before_time: Optional[int] = None ) -> List[Dict[str, Any]]: """ 获取外汇K线数据 Args: symbol: 外汇对代码（如 XAUUSD, EURUSD） timeframe: 时间周期 limit: 数据条数 before_time: 结束时间戳 """ # 动态获取 API Key api_key = APIKeys.TIINGO_API_KEY if not api_key: logger.error("Tiingo API key is not configured") return [] try: # 1. 解析 Symbol tiingo_symbol = self.SYMBOL_MAP.get(symbol) if not tiingo_symbol: # 尝试智能转换: EURUSD -> eurusd tiingo_symbol = symbol.lower() # 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) else: end_dt = datetime.now() # 根据周期和数量计算开始时间 # 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') end_date_str = end_dt.strftime('%Y-%m-%d') # 4. API 请求（带重试逻辑） # URL: https://api.tiingo.com/tiingo/fx/{ticker}/prices url = f"{self.base_url}/fx/{tiingo_symbol}/prices" params = { 'startDate': start_date_str, 'endDate': end_date_str, 'resampleFreq': resample_freq, 'token': api_key, 'format': 'json' } # logger.info(f"Tiingo Request: {url} params={params}") # 重试逻辑：处理 429 速率限制 max_retries = 3 retry_delay = 2 # 秒 response = None for attempt in range(max_retries): try: response = requests.get(url, params=params, timeout=TiingoConfig.TIMEOUT) if response.status_code == 429: # 速率限制，等待后重试 wait_time = retry_delay * (attempt + 1) logger.warning(f"Tiingo rate limit (429), waiting {wait_time}s before retry ({attempt + 1}/{max_retries})") time.sleep(wait_time) continue break # 成功或其他错误，退出重试循环 except requests.exceptions.Timeout: if attempt < max_retries - 1: logger.warning(f"Tiingo request timeout, retrying ({attempt + 1}/{max_retries})") time.sleep(retry_delay) continue raise if response is None: logger.error("Tiingo API request failed after all retries") return [] if response.status_code == 429: logger.error("Tiingo API rate limit exceeded. Please wait a moment before retrying.") return [] if response.status_code == 403: logger.error("Tiingo API permission error (403): check whether your API key is valid and has access to this dataset.") return [] response.raise_for_status() data = response.json() # 5. 处理响应 # Tiingo returns a list of dicts: # [ # { # "date": "2023-01-01T00:00:00.000Z", # "ticker": "eurusd", # "open": 1.07, # "high": 1.08, # "low": 1.06, # "close": 1.07 # "mid": ... (optional, depends on settings, usually OHLC are bid or mid) # }, ... # ] # Note: Tiingo FX prices objects keys: date, open, high, low, close. if not isinstance(data, list): logger.warning(f"Tiingo response is not a list: {data}") return [] klines = [] for item in data: # 解析时间: "2023-01-01T00:00:00.000Z" dt_str = item.get('date') # Tiingo 返回的是 UTC 时间 ISO 格式，需要正确处理时区 # 将 UTC 时间转换为本地时间戳 if dt_str.endswith('Z'): dt_str = dt_str[:-1] + '+00:00' # 替换 Z 为 +00:00 表示 UTC dt = datetime.fromisoformat(dt_str) ts = int(dt.timestamp()) # 现在会正确处理 UTC 时区 klines.append({ 'time': ts, 'open': float(item.get('open')), 'high': float(item.get('high')), 'low': float(item.get('low')), 'close': float(item.get('close')), 'volume': 0.0 # Tiingo FX 通常没有 volume }) # 按时间排序 klines.sort(key=lambda x: x['time']) # 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 except requests.exceptions.RequestException as e: logger.error(f"Tiingo API request failed: {e}") return [] 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