TIANHE
244 lines
8.0 KiB
Python
244 lines
8.0 KiB
Python
"""
|
||
期货数据源
|
||
支持：
|
||
1. 加密货币期货（Binance Futures via CCXT）
|
||
2. 传统期货（Yahoo Finance）
|
||
"""
|
||
from typing import Dict, List, Any, Optional
|
||
from datetime import datetime, timedelta
|
||
import ccxt
|
||
import yfinance as yf
|
||
|
||
from app.data_sources.base import BaseDataSource, TIMEFRAME_SECONDS
|
||
from app.utils.logger import get_logger
|
||
from app.config import CCXTConfig, APIKeys
|
||
|
||
logger = get_logger(__name__)
|
||
|
||
|
||
class FuturesDataSource(BaseDataSource):
|
||
"""期货数据源"""
|
||
|
||
name = "Futures"
|
||
|
||
# Yahoo Finance时间周期映射
|
||
YF_TIMEFRAME_MAP = {
|
||
'1m': '1m',
|
||
'5m': '5m',
|
||
'15m': '15m',
|
||
'30m': '30m',
|
||
'1H': '1h',
|
||
'4H': '4h',
|
||
'1D': '1d',
|
||
'1W': '1wk'
|
||
}
|
||
|
||
# CCXT时间周期映射
|
||
CCXT_TIMEFRAME_MAP = CCXTConfig.TIMEFRAME_MAP
|
||
|
||
# 传统期货合约代码（Yahoo Finance）
|
||
YF_SYMBOLS = {
|
||
'GC': 'GC=F', # 黄金期货
|
||
'SI': 'SI=F', # 白银期货
|
||
'CL': 'CL=F', # 原油期货
|
||
'NG': 'NG=F', # 天然气期货
|
||
'ZC': 'ZC=F', # 玉米期货
|
||
'ZW': 'ZW=F', # 小麦期货
|
||
}
|
||
|
||
def __init__(self):
|
||
# 初始化CCXT（用于加密货币期货）
|
||
config = {
|
||
'timeout': CCXTConfig.TIMEOUT,
|
||
'enableRateLimit': CCXTConfig.ENABLE_RATE_LIMIT,
|
||
'options': {
|
||
'defaultType': 'future'
|
||
}
|
||
}
|
||
|
||
if CCXTConfig.PROXY:
|
||
config['proxies'] = {
|
||
'http': CCXTConfig.PROXY,
|
||
'https': CCXTConfig.PROXY
|
||
}
|
||
|
||
self.exchange = ccxt.binance(config)
|
||
|
||
def get_ticker(self, symbol: str) -> Dict[str, Any]:
|
||
"""
|
||
Get latest ticker for futures symbol.
|
||
|
||
- For crypto futures, uses CCXT Binance futures client.
|
||
- For traditional futures (Yahoo Finance symbols), returns a minimal ticker shape with `last`.
|
||
"""
|
||
sym = (symbol or "").strip()
|
||
if sym in self.YF_SYMBOLS or sym.endswith("=F"):
|
||
try:
|
||
yf_symbol = self.YF_SYMBOLS.get(sym, sym)
|
||
if not yf_symbol.endswith("=F"):
|
||
yf_symbol = yf_symbol + "=F"
|
||
t = yf.Ticker(yf_symbol)
|
||
# Prefer fast_info if available, fall back to last close
|
||
last = None
|
||
try:
|
||
last = getattr(t, "fast_info", {}).get("last_price")
|
||
except Exception:
|
||
last = None
|
||
if last is None:
|
||
hist = t.history(period="2d", interval="1d")
|
||
if hist is not None and not hist.empty:
|
||
last = float(hist["Close"].iloc[-1])
|
||
return {"symbol": yf_symbol, "last": float(last or 0.0)}
|
||
except Exception:
|
||
return {"symbol": sym, "last": 0.0}
|
||
|
||
if ":" in sym:
|
||
sym = sym.split(":", 1)[0]
|
||
sym = sym.upper()
|
||
if "/" not in sym:
|
||
if sym.endswith("USDT") and len(sym) > 4:
|
||
sym = f"{sym[:-4]}/USDT"
|
||
elif sym.endswith("USD") and len(sym) > 3:
|
||
sym = f"{sym[:-3]}/USD"
|
||
return self.exchange.fetch_ticker(sym)
|
||
|
||
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]]:
|
||
"""
|
||
获取期货K线数据
|
||
|
||
Args:
|
||
symbol: 期货合约代码
|
||
timeframe: 时间周期
|
||
limit: 数据条数
|
||
before_time: 结束时间戳
|
||
"""
|
||
# 判断是传统期货还是加密货币期货
|
||
if symbol in self.YF_SYMBOLS or symbol.endswith('=F'):
|
||
return self._get_traditional_futures(symbol, timeframe, limit, before_time)
|
||
else:
|
||
return self._get_crypto_futures(symbol, timeframe, limit, before_time)
|
||
|
||
def _get_traditional_futures(
|
||
self,
|
||
symbol: str,
|
||
timeframe: str,
|
||
limit: int,
|
||
before_time: Optional[int] = None
|
||
) -> List[Dict[str, Any]]:
|
||
"""使用yfinance获取传统期货数据"""
|
||
try:
|
||
# 转换symbol格式
|
||
yf_symbol = self.YF_SYMBOLS.get(symbol, symbol)
|
||
if not yf_symbol.endswith('=F'):
|
||
yf_symbol = symbol + '=F'
|
||
|
||
# 转换时间周期
|
||
yf_interval = self.YF_TIMEFRAME_MAP.get(timeframe, '1d')
|
||
|
||
# logger.info(f"获取传统期货K线: {yf_symbol}, 周期: {yf_interval}, 条数: {limit}")
|
||
|
||
# 计算时间范围
|
||
if before_time:
|
||
end_time = datetime.fromtimestamp(before_time)
|
||
else:
|
||
end_time = datetime.now()
|
||
|
||
tf_seconds = self._get_timeframe_seconds(timeframe)
|
||
start_time = end_time - timedelta(seconds=tf_seconds * limit * 1.5)
|
||
|
||
# 获取数据
|
||
ticker = yf.Ticker(yf_symbol)
|
||
df = ticker.history(
|
||
start=start_time,
|
||
end=end_time,
|
||
interval=yf_interval
|
||
)
|
||
|
||
if df.empty:
|
||
logger.warning(f"No data: {yf_symbol}")
|
||
return []
|
||
|
||
# 转换格式
|
||
klines = []
|
||
for index, row in df.iterrows():
|
||
klines.append({
|
||
'time': int(index.timestamp()),
|
||
'open': float(row['Open']),
|
||
'high': float(row['High']),
|
||
'low': float(row['Low']),
|
||
'close': float(row['Close']),
|
||
'volume': float(row['Volume'])
|
||
})
|
||
|
||
klines.sort(key=lambda x: x['time'])
|
||
if len(klines) > limit:
|
||
klines = klines[-limit:]
|
||
|
||
# logger.info(f"获取到 {len(klines)} 条传统期货数据")
|
||
return klines
|
||
|
||
except Exception as e:
|
||
logger.error(f"Failed to fetch traditional futures data: {e}")
|
||
return []
|
||
|
||
def _get_crypto_futures(
|
||
self,
|
||
symbol: str,
|
||
timeframe: str,
|
||
limit: int,
|
||
before_time: Optional[int] = None
|
||
) -> List[Dict[str, Any]]:
|
||
"""使用CCXT获取加密货币期货数据"""
|
||
try:
|
||
# 确保symbol格式正确
|
||
ccxt_symbol = symbol if '/' in symbol else f"{symbol}/USDT"
|
||
ccxt_timeframe = self.CCXT_TIMEFRAME_MAP.get(timeframe, '1d')
|
||
|
||
# logger.info(f"获取加密货币期货K线: {ccxt_symbol}, 周期: {ccxt_timeframe}, 条数: {limit}")
|
||
|
||
# 获取数据
|
||
if before_time:
|
||
since_time = before_time - limit * self._get_timeframe_seconds(timeframe)
|
||
ohlcv = self.exchange.fetch_ohlcv(
|
||
ccxt_symbol,
|
||
ccxt_timeframe,
|
||
since=since_time * 1000,
|
||
limit=limit
|
||
)
|
||
else:
|
||
ohlcv = self.exchange.fetch_ohlcv(
|
||
ccxt_symbol,
|
||
ccxt_timeframe,
|
||
limit=limit
|
||
)
|
||
|
||
# 转换格式
|
||
klines = []
|
||
for candle in ohlcv:
|
||
klines.append({
|
||
'time': int(candle[0] / 1000),
|
||
'open': float(candle[1]),
|
||
'high': float(candle[2]),
|
||
'low': float(candle[3]),
|
||
'close': float(candle[4]),
|
||
'volume': float(candle[5])
|
||
})
|
||
|
||
# logger.info(f"获取到 {len(klines)} 条加密货币期货数据")
|
||
return klines
|
||
|
||
except Exception as e:
|
||
logger.error(f"Failed to fetch crypto futures data: {e}")
|
||
return []
|
||
|