TIANHE
714dd47c86
- Add get_ticker() method for real-time quotes across all markets - Add get_realtime_price() service with ticker/kline fallback chain - Fix yfinance end date issue for US stocks and futures - Fix forex timezone parsing for Tiingo UTC timestamps - Add retry mechanism with exponential backoff for Tiingo API - Add API rate limiting for portfolio (3 concurrent, 0.3s interval) - Add force refresh option to bypass price cache on manual refresh
247 lines
8.2 KiB
Python
247 lines
8.2 KiB
Python
"""
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期货数据源
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支持：
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1. 加密货币期货（Binance Futures via CCXT）
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2. 传统期货（Yahoo Finance）
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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 ccxt
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import yfinance as yf
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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 CCXTConfig, APIKeys
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logger = get_logger(__name__)
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class FuturesDataSource(BaseDataSource):
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"""期货数据源"""
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name = "Futures"
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# Yahoo Finance时间周期映射
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YF_TIMEFRAME_MAP = {
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'1m': '1m',
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'5m': '5m',
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'15m': '15m',
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'30m': '30m',
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'1H': '1h',
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'4H': '4h',
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'1D': '1d',
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'1W': '1wk'
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}
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# CCXT时间周期映射
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CCXT_TIMEFRAME_MAP = CCXTConfig.TIMEFRAME_MAP
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# 传统期货合约代码（Yahoo Finance）
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YF_SYMBOLS = {
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'GC': 'GC=F', # 黄金期货
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'SI': 'SI=F', # 白银期货
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'CL': 'CL=F', # 原油期货
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'NG': 'NG=F', # 天然气期货
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'ZC': 'ZC=F', # 玉米期货
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'ZW': 'ZW=F', # 小麦期货
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}
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def __init__(self):
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# 初始化CCXT（用于加密货币期货）
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config = {
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'timeout': CCXTConfig.TIMEOUT,
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'enableRateLimit': CCXTConfig.ENABLE_RATE_LIMIT,
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'options': {
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'defaultType': 'future'
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}
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}
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if CCXTConfig.PROXY:
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config['proxies'] = {
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'http': CCXTConfig.PROXY,
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'https': CCXTConfig.PROXY
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}
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self.exchange = ccxt.binance(config)
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def get_ticker(self, symbol: str) -> Dict[str, Any]:
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"""
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Get latest ticker for futures symbol.
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- For crypto futures, uses CCXT Binance futures client.
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- For traditional futures (Yahoo Finance symbols), returns a minimal ticker shape with `last`.
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"""
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sym = (symbol or "").strip()
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if sym in self.YF_SYMBOLS or sym.endswith("=F"):
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try:
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yf_symbol = self.YF_SYMBOLS.get(sym, sym)
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if not yf_symbol.endswith("=F"):
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yf_symbol = yf_symbol + "=F"
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t = yf.Ticker(yf_symbol)
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# Prefer fast_info if available, fall back to last close
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last = None
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try:
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last = getattr(t, "fast_info", {}).get("last_price")
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except Exception:
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last = None
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if last is None:
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hist = t.history(period="2d", interval="1d")
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if hist is not None and not hist.empty:
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last = float(hist["Close"].iloc[-1])
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return {"symbol": yf_symbol, "last": float(last or 0.0)}
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except Exception:
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return {"symbol": sym, "last": 0.0}
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if ":" in sym:
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sym = sym.split(":", 1)[0]
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sym = sym.upper()
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if "/" not in sym:
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if sym.endswith("USDT") and len(sym) > 4:
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sym = f"{sym[:-4]}/USDT"
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elif sym.endswith("USD") and len(sym) > 3:
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sym = f"{sym[:-3]}/USD"
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return self.exchange.fetch_ticker(sym)
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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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获取期货K线数据
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Args:
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symbol: 期货合约代码
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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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# 判断是传统期货还是加密货币期货
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if symbol in self.YF_SYMBOLS or symbol.endswith('=F'):
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return self._get_traditional_futures(symbol, timeframe, limit, before_time)
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else:
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return self._get_crypto_futures(symbol, timeframe, limit, before_time)
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def _get_traditional_futures(
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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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"""使用yfinance获取传统期货数据"""
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try:
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# 转换symbol格式
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yf_symbol = self.YF_SYMBOLS.get(symbol, symbol)
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if not yf_symbol.endswith('=F'):
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yf_symbol = symbol + '=F'
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# 转换时间周期
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yf_interval = self.YF_TIMEFRAME_MAP.get(timeframe, '1d')
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# logger.info(f"获取传统期货K线: {yf_symbol}, 周期: {yf_interval}, 条数: {limit}")
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# 计算时间范围
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if before_time:
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end_time = datetime.fromtimestamp(before_time)
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else:
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end_time = datetime.now()
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tf_seconds = self._get_timeframe_seconds(timeframe)
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start_time = end_time - timedelta(seconds=tf_seconds * limit * 1.5)
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# yfinance 的 end 参数是不包含的（exclusive），需要加一天
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end_time_inclusive = end_time + timedelta(days=1)
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# 获取数据
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ticker = yf.Ticker(yf_symbol)
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df = ticker.history(
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start=start_time,
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end=end_time_inclusive,
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interval=yf_interval
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)
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if df.empty:
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logger.warning(f"No data: {yf_symbol}")
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return []
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# 转换格式
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klines = []
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for index, row in df.iterrows():
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klines.append({
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'time': int(index.timestamp()),
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'open': float(row['Open']),
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'high': float(row['High']),
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'low': float(row['Low']),
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'close': float(row['Close']),
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'volume': float(row['Volume'])
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})
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klines.sort(key=lambda x: x['time'])
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if len(klines) > limit:
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klines = klines[-limit:]
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# logger.info(f"获取到 {len(klines)} 条传统期货数据")
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return klines
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except Exception as e:
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logger.error(f"Failed to fetch traditional futures data: {e}")
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return []
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def _get_crypto_futures(
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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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"""使用CCXT获取加密货币期货数据"""
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try:
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# 确保symbol格式正确
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ccxt_symbol = symbol if '/' in symbol else f"{symbol}/USDT"
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ccxt_timeframe = self.CCXT_TIMEFRAME_MAP.get(timeframe, '1d')
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# logger.info(f"获取加密货币期货K线: {ccxt_symbol}, 周期: {ccxt_timeframe}, 条数: {limit}")
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# 获取数据
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if before_time:
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since_time = before_time - limit * self._get_timeframe_seconds(timeframe)
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ohlcv = self.exchange.fetch_ohlcv(
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ccxt_symbol,
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ccxt_timeframe,
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since=since_time * 1000,
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limit=limit
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)
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else:
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ohlcv = self.exchange.fetch_ohlcv(
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ccxt_symbol,
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ccxt_timeframe,
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limit=limit
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)
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# 转换格式
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klines = []
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for candle in ohlcv:
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klines.append({
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'time': int(candle[0] / 1000),
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'open': float(candle[1]),
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'high': float(candle[2]),
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'low': float(candle[3]),
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'close': float(candle[4]),
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'volume': float(candle[5])
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})
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# logger.info(f"获取到 {len(klines)} 条加密货币期货数据")
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return klines
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except Exception as e:
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logger.error(f"Failed to fetch crypto futures data: {e}")
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return []
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