TIANHE
479 lines
19 KiB
Python
479 lines
19 KiB
Python
"""
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外汇数据源
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使用 Tiingo 获取外汇数据
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"""
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from typing import Dict, List, Any, Optional
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from datetime import datetime, timedelta
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import time
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import requests
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import threading
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from app.data_sources.base import BaseDataSource, TIMEFRAME_SECONDS
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from app.utils.logger import get_logger
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from app.config import TiingoConfig, APIKeys
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logger = get_logger(__name__)
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# 全局缓存 - 减少 Tiingo API 调用
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_forex_cache: Dict[str, Dict[str, Any]] = {}
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_forex_cache_lock = threading.Lock()
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_FOREX_CACHE_TTL = 60 # 外汇价格缓存 60 秒 (Tiingo 免费 API 限制严格)
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class ForexDataSource(BaseDataSource):
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"""外汇数据源 (Tiingo)"""
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name = "Forex/Tiingo"
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# Tiingo resampleFreq 映射
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# Tiingo 免费账户支持: 5min, 15min, 30min, 1hour, 4hour, 1day
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# 注意: 1min 需要付费订阅, 1week/1month 不被 Tiingo FX API 支持
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TIMEFRAME_MAP = {
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'1m': '1min', # 需要付费订阅
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'5m': '5min',
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'15m': '15min',
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'30m': '30min',
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'1H': '1hour',
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'4H': '4hour',
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'1D': '1day',
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'1W': None, # Tiingo 不支持，需要聚合
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'1M': None # Tiingo 不支持，需要聚合
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}
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# 外汇对映射 (Tiingo 使用标准 ticker，如 eurusd, audusd)
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# 大写也可以，Tiingo 通常不区分大小写，但建议统一
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SYMBOL_MAP = {
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# 贵金属 (Tiingo 不一定支持所有 OANDA 格式的贵金属，通常是 XAUUSD)
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'XAUUSD': 'xauusd',
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'XAGUSD': 'xagusd',
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# 主要货币对
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'EURUSD': 'eurusd',
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'GBPUSD': 'gbpusd',
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'USDJPY': 'usdjpy',
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'AUDUSD': 'audusd',
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'USDCAD': 'usdcad',
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'USDCHF': 'usdchf',
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'NZDUSD': 'nzdusd',
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}
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def __init__(self):
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self.base_url = TiingoConfig.BASE_URL
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if not APIKeys.TIINGO_API_KEY:
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logger.warning("Tiingo API key is not configured; FX data will be unavailable")
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def get_ticker(self, symbol: str) -> Dict[str, Any]:
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"""
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获取外汇实时报价
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使用 Tiingo FX Top-of-Book API 获取实时报价
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带有 60 秒缓存以避免频繁触发 Tiingo 速率限制
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Returns:
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dict: {
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'last': 当前价格 (mid price),
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'bid': 买价,
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'ask': 卖价,
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'change': 涨跌额,
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'changePercent': 涨跌幅
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}
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"""
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api_key = APIKeys.TIINGO_API_KEY
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if not api_key:
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logger.warning("Tiingo API key not configured")
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return {'last': 0, 'symbol': symbol}
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# 检查缓存
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cache_key = f"ticker_{symbol}"
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with _forex_cache_lock:
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cached = _forex_cache.get(cache_key)
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if cached:
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cache_time = cached.get('_cache_time', 0)
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if time.time() - cache_time < _FOREX_CACHE_TTL:
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logger.debug(f"Using cached forex ticker for {symbol}")
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return cached
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try:
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# 解析 symbol
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tiingo_symbol = self.SYMBOL_MAP.get(symbol)
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if not tiingo_symbol:
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tiingo_symbol = symbol.lower()
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# Tiingo FX Top-of-Book API
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# https://api.tiingo.com/tiingo/fx/top?tickers=eurusd&token=...
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url = f"{self.base_url}/fx/top"
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params = {
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'tickers': tiingo_symbol,
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'token': api_key
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}
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# 重试逻辑：处理 429 速率限制
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for attempt in range(3):
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response = requests.get(url, params=params, timeout=TiingoConfig.TIMEOUT)
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if response.status_code == 429:
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wait_time = 2 * (attempt + 1)
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logger.warning(f"Tiingo rate limit (429), waiting {wait_time}s before retry ({attempt+1}/3)")
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time.sleep(wait_time)
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continue
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break
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if response.status_code == 429:
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logger.warning("Tiingo rate limit exceeded for ticker request")
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logger.info("Note: Tiingo 1-minute forex data requires a paid subscription")
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# 返回缓存数据（如果有的话，即使已过期）
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with _forex_cache_lock:
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if cache_key in _forex_cache:
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logger.info(f"Returning stale cache for {symbol} due to rate limit")
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return _forex_cache[cache_key]
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return {'last': 0, 'symbol': symbol}
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response.raise_for_status()
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data = response.json()
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if data and isinstance(data, list) and len(data) > 0:
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item = data[0]
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# Tiingo FX top returns: ticker, quoteTimestamp, bidPrice, bidSize, askPrice, askSize, midPrice
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bid = float(item.get('bidPrice', 0) or 0)
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ask = float(item.get('askPrice', 0) or 0)
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mid = float(item.get('midPrice', 0) or 0)
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# 如果没有 midPrice，计算中间价
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if not mid and bid and ask:
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mid = (bid + ask) / 2
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last_price = mid or bid or ask
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# 获取前一天收盘价来计算涨跌（需要额外请求日线数据）
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prev_close = 0
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change = 0
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change_pct = 0
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try:
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# 获取昨日收盘价
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yesterday = (datetime.now() - timedelta(days=2)).strftime('%Y-%m-%d')
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today = datetime.now().strftime('%Y-%m-%d')
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price_url = f"{self.base_url}/fx/{tiingo_symbol}/prices"
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price_params = {
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'startDate': yesterday,
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'endDate': today,
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'resampleFreq': '1day',
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'token': api_key
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}
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price_resp = requests.get(price_url, params=price_params, timeout=TiingoConfig.TIMEOUT)
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if price_resp.status_code == 200:
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price_data = price_resp.json()
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if price_data and len(price_data) > 0:
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prev_close = float(price_data[-1].get('close', 0) or 0)
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if prev_close and last_price:
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change = last_price - prev_close
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change_pct = (change / prev_close) * 100
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except Exception:
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pass # 涨跌计算失败不影响主要功能
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result = {
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'last': round(last_price, 5),
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'bid': round(bid, 5),
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'ask': round(ask, 5),
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'change': round(change, 5),
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'changePercent': round(change_pct, 2),
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'previousClose': round(prev_close, 5) if prev_close else 0,
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'_cache_time': time.time()
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}
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# 缓存结果
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with _forex_cache_lock:
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_forex_cache[cache_key] = result
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return result
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except Exception as e:
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logger.error(f"Failed to get forex ticker for {symbol}: {e}")
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return {'last': 0, 'symbol': symbol}
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def _get_timeframe_seconds(self, timeframe: str) -> int:
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"""获取时间周期对应的秒数"""
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return TIMEFRAME_SECONDS.get(timeframe, 86400)
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def get_kline(
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self,
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symbol: str,
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timeframe: str,
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limit: int,
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before_time: Optional[int] = None
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) -> List[Dict[str, Any]]:
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"""
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获取外汇K线数据
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Args:
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symbol: 外汇对代码（如 XAUUSD, EURUSD）
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timeframe: 时间周期
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limit: 数据条数
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before_time: 结束时间戳
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"""
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# 动态获取 API Key
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api_key = APIKeys.TIINGO_API_KEY
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if not api_key:
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logger.error("Tiingo API key is not configured")
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return []
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try:
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# 1. 解析 Symbol
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tiingo_symbol = self.SYMBOL_MAP.get(symbol)
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if not tiingo_symbol:
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# 尝试智能转换: EURUSD -> eurusd
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tiingo_symbol = symbol.lower()
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# 2. 解析 Resolution (resampleFreq)
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resample_freq = self.TIMEFRAME_MAP.get(timeframe)
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# 特殊处理：1W/1M 需要用日线聚合
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aggregate_to_weekly = (timeframe == '1W')
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aggregate_to_monthly = (timeframe == '1M')
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original_limit = limit # 保存原始请求数量
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if aggregate_to_weekly or aggregate_to_monthly:
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# 用日线数据聚合
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resample_freq = '1day'
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# 限制周线/月线的最大请求数量（Tiingo 免费 API 有数据量限制）
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# 周线最多请求 100 周 = 700 天 ≈ 2年
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# 月线最多请求 36 月 = 1080 天 ≈ 3年
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max_limit = 100 if aggregate_to_weekly else 36
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original_limit = min(original_limit, max_limit)
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# 需要更多日线数据来聚合（周线需要7天，月线需要30天）
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limit = original_limit * (7 if aggregate_to_weekly else 30)
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if not resample_freq:
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logger.warning(f"Tiingo does not support timeframe: {timeframe}")
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return []
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# 1分钟数据需要付费订阅提示
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if timeframe == '1m':
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logger.info(f"Note: Tiingo 1-minute forex data requires a paid subscription")
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# 3. 计算时间范围
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if before_time:
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end_dt = datetime.fromtimestamp(before_time)
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else:
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end_dt = datetime.now()
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# 根据周期和数量计算开始时间
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# 注意：聚合模式下使用日线秒数计算
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if aggregate_to_weekly or aggregate_to_monthly:
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tf_seconds = 86400 # 日线秒数
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else:
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tf_seconds = self._get_timeframe_seconds(timeframe)
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# 多取一些缓冲时间（1.5倍，外汇周末不交易）
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start_dt = end_dt - timedelta(seconds=limit * tf_seconds * 1.5)
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# Tiingo 免费 API 最多支持约 5 年数据，限制最大时间范围
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max_days = 365 * 3 # 最多 3 年
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if (end_dt - start_dt).days > max_days:
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start_dt = end_dt - timedelta(days=max_days)
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logger.info(f"Tiingo: Limited date range to {max_days} days")
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# 格式化日期为 YYYY-MM-DD (Tiingo 支持该格式)
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start_date_str = start_dt.strftime('%Y-%m-%d')
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end_date_str = end_dt.strftime('%Y-%m-%d')
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# 4. API 请求（带重试逻辑）
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# URL: https://api.tiingo.com/tiingo/fx/{ticker}/prices
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url = f"{self.base_url}/fx/{tiingo_symbol}/prices"
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params = {
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'startDate': start_date_str,
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'endDate': end_date_str,
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'resampleFreq': resample_freq,
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'token': api_key,
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'format': 'json'
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}
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# logger.info(f"Tiingo Request: {url} params={params}")
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# 重试逻辑：处理 429 速率限制
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max_retries = 3
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retry_delay = 2 # 秒
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response = None
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for attempt in range(max_retries):
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try:
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response = requests.get(url, params=params, timeout=TiingoConfig.TIMEOUT)
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if response.status_code == 429:
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# 速率限制，等待后重试
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wait_time = retry_delay * (attempt + 1)
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logger.warning(f"Tiingo rate limit (429), waiting {wait_time}s before retry ({attempt + 1}/{max_retries})")
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time.sleep(wait_time)
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continue
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break # 成功或其他错误，退出重试循环
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except requests.exceptions.Timeout:
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if attempt < max_retries - 1:
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logger.warning(f"Tiingo request timeout, retrying ({attempt + 1}/{max_retries})")
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time.sleep(retry_delay)
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continue
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raise
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if response is None:
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logger.error("Tiingo API request failed after all retries")
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return []
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if response.status_code == 429:
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logger.error("Tiingo API rate limit exceeded. Please wait a moment before retrying.")
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return []
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if response.status_code == 403:
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logger.error("Tiingo API permission error (403): check whether your API key is valid and has access to this dataset.")
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return []
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response.raise_for_status()
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data = response.json()
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# 5. 处理响应
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# Tiingo returns a list of dicts:
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# [
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# {
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# "date": "2023-01-01T00:00:00.000Z",
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# "ticker": "eurusd",
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# "open": 1.07,
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# "high": 1.08,
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# "low": 1.06,
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# "close": 1.07
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# "mid": ... (optional, depends on settings, usually OHLC are bid or mid)
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# }, ...
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# ]
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# Note: Tiingo FX prices objects keys: date, open, high, low, close.
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if not isinstance(data, list):
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logger.warning(f"Tiingo response is not a list: {data}")
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return []
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klines = []
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for item in data:
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# 解析时间: "2023-01-01T00:00:00.000Z"
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dt_str = item.get('date')
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# Tiingo 返回的是 UTC 时间 ISO 格式，需要正确处理时区
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# 将 UTC 时间转换为本地时间戳
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if dt_str.endswith('Z'):
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dt_str = dt_str[:-1] + '+00:00' # 替换 Z 为 +00:00 表示 UTC
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dt = datetime.fromisoformat(dt_str)
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ts = int(dt.timestamp()) # 现在会正确处理 UTC 时区
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klines.append({
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'time': ts,
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'open': float(item.get('open')),
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'high': float(item.get('high')),
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'low': float(item.get('low')),
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'close': float(item.get('close')),
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'volume': 0.0 # Tiingo FX 通常没有 volume
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})
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# 按时间排序
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klines.sort(key=lambda x: x['time'])
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# 如果需要聚合到周线或月线
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if aggregate_to_weekly:
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klines = self._aggregate_to_weekly(klines)
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logger.debug(f"Aggregated {len(klines)} weekly candles from daily data")
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elif aggregate_to_monthly:
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klines = self._aggregate_to_monthly(klines)
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logger.debug(f"Aggregated {len(klines)} monthly candles from daily data")
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# 过滤到原始请求数量
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if len(klines) > original_limit:
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klines = klines[-original_limit:]
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# logger.info(f"获取到 {len(klines)} 条 Tiingo 外汇数据")
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return klines
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except requests.exceptions.RequestException as e:
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logger.error(f"Tiingo API request failed: {e}")
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return []
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except Exception as e:
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logger.error(f"Failed to process Tiingo data: {e}")
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return []
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def _aggregate_to_weekly(self, daily_klines: List[Dict[str, Any]]) -> List[Dict[str, Any]]:
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"""将日线数据聚合为周线"""
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if not daily_klines:
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return []
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weekly_klines = []
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current_week = None
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week_data = None
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for kline in daily_klines:
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dt = datetime.fromtimestamp(kline['time'])
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# 获取该日期所在周的周一
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week_start = dt - timedelta(days=dt.weekday())
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week_key = week_start.strftime('%Y-%W')
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if week_key != current_week:
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# 保存上一周的数据
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if week_data:
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weekly_klines.append(week_data)
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# 开始新的一周
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current_week = week_key
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week_data = {
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'time': int(week_start.timestamp()),
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'open': kline['open'],
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'high': kline['high'],
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'low': kline['low'],
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'close': kline['close'],
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'volume': kline['volume']
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}
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else:
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# 更新本周数据
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week_data['high'] = max(week_data['high'], kline['high'])
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week_data['low'] = min(week_data['low'], kline['low'])
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week_data['close'] = kline['close']
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week_data['volume'] += kline['volume']
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# 添加最后一周
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if week_data:
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weekly_klines.append(week_data)
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return weekly_klines
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def _aggregate_to_monthly(self, daily_klines: List[Dict[str, Any]]) -> List[Dict[str, Any]]:
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"""将日线数据聚合为月线"""
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if not daily_klines:
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return []
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monthly_klines = []
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current_month = None
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month_data = None
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for kline in daily_klines:
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dt = datetime.fromtimestamp(kline['time'])
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month_key = dt.strftime('%Y-%m')
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if month_key != current_month:
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# 保存上个月的数据
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if month_data:
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monthly_klines.append(month_data)
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# 开始新的一月
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current_month = month_key
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month_start = dt.replace(day=1, hour=0, minute=0, second=0)
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month_data = {
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'time': int(month_start.timestamp()),
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'open': kline['open'],
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'high': kline['high'],
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'low': kline['low'],
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'close': kline['close'],
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'volume': kline['volume']
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}
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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
|