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cfdaily
2026-05-03 12:52:27 +08:00
parent b1c3fbb262
commit 970b396ef4
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data_platform/daily_all_update.py
+269 -57
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@@ -9,20 +9,32 @@
设计原则：
- 增量更新，不重复下载
- 失败不影响其他股票
- 进度持久化，支持断点续传
- 限频保护
- 日志完整
- 进度持久化，支持断点续传（日线+15min均有进度文件）
- 限频保护 + 全局源不可用检测
- DB轮转备份（保留7天）
- 日志完整 + 失败率告警
用法：
python3 daily_all_update.py # 全量更新（日线+15min）
python3 daily_all_update.py --skip-daily # 只更新15min
python3 daily_all_update.py --skip-15min # 只更新日线
变更记录：
v1.1 (2026-05-03) - 司马懿评审后修改：
- interval "1m" → "15m"
- 15min增量改为严格按日期追加（不再用drop_duplicates keep=last）
- 日线增加进度文件
- 全局源不可用检测（连续30只首次失败→终止）
- DB轮转备份（保留7天）
- 失败率>5%告警
"""
import argparse
import glob
import json
import os
import re
import shutil
import sqlite3
import sys
import time
@@ -48,7 +60,10 @@ REQUEST_INTERVAL = 0.3
MAX_RETRIES = 3
CONSECUTIVE_FAIL_PAUSE = 60
MAX_CONSECUTIVE_FAILS = 10
DB_BATCH_SIZE = 50000
# 全局源不可用检测：连续N只股票首次请求就失败，判定源不可用
GLOBAL_FAIL_THRESHOLD = 30
# DB轮转备份数
DB_BACKUP_KEEP_DAYS = 7
HEADERS = {"User-Agent": "Mozilla/5.0 (Macintosh; Intel Mac OS X 10_15_7)"}
@@ -97,6 +112,91 @@ def nas_mounted() -> bool:
return DAILY_DIR.exists() and MINUTE_15_DIR.exists()
# ======================== DB备份 ========================
def rotate_db_backup():
"""轮转备份vnpy DB，保留最近N天"""
backup_dir = VNPY_DB_PATH.parent
today = datetime.now().strftime("%Y%m%d")
backup_file = backup_dir / f"quant_trading_{today}.db.bak"
# 如果今天已备份过，跳过
if backup_file.exists():
logger.info("DB今日已备份: %s", backup_file)
return
logger.info("开始DB备份: %s → %s", VNPY_DB_PATH.name, backup_file.name)
try:
shutil.copy2(str(VNPY_DB_PATH), str(backup_file))
logger.info("✅ DB备份完成 (%.1f MB)", backup_file.stat().st_size / 1024 / 1024)
except Exception as e:
logger.error("❌ DB备份失败: %s", e)
return
# 清理过期备份
cutoff = datetime.now() - timedelta(days=DB_BACKUP_KEEP_DAYS)
for f in backup_dir.glob("quant_trading_*.db.bak"):
try:
# 从文件名提取日期
date_str = f.stem.split("_")[-1] # quant_trading_20260503.db.bak → 20260503
file_date = datetime.strptime(date_str, "%Y%m%d")
if file_date < cutoff:
f.unlink()
logger.info("清理过期备份: %s", f.name)
except (ValueError, OSError):
pass
# ======================== 进度文件 ========================
def load_progress(name: str) -> set:
"""加载进度文件，返回已完成的代码集合"""
progress_file = PROGRESS_DIR / f"{name}_progress.json"
PROGRESS_DIR.mkdir(parents=True, exist_ok=True)
if progress_file.exists():
try:
return set(json.loads(progress_file.read_text()).get("done", []))
except Exception:
pass
return set()
def save_progress(name: str, done_set: set):
"""保存进度文件"""
progress_file = PROGRESS_DIR / f"{name}_progress.json"
progress_file.write_text(json.dumps({
"done": sorted(list(done_set)),
"ts": datetime.now().isoformat(),
}))
# ======================== 全局源不可用检测 ========================
class SourceHealthMonitor:
"""监控数据源健康状态，连续N只首次请求失败则判定源不可用"""
def __init__(self, threshold: int = GLOBAL_FAIL_THRESHOLD):
self.threshold = threshold
self.consecutive_first_fail = 0
def report(self, code: str, first_attempt_failed: bool) -> bool:
"""
报告单只股票的首次请求结果
返回True表示源仍健康，False表示源不可用应终止
"""
if first_attempt_failed:
self.consecutive_first_fail += 1
if self.consecutive_first_fail >= self.threshold:
logger.error(
"⚠️ 全局源不可用检测触发：连续 %d 只股票首次请求失败，终止本次更新",
self.consecutive_first_fail,
)
return False
else:
self.consecutive_first_fail = 0
return True
# ======================== 日线更新 ========================
def fetch_tencent_daily(code: str, start_date: str, end_date: str) -> Optional[pd.DataFrame]:
@@ -129,7 +229,6 @@ def fetch_tencent_daily(code: str, start_date: str, end_date: str) -> Optional[p
for c in ["open", "close", "high", "low", "volume", "amount"]:
df[c] = pd.to_numeric(df[c], errors="coerce").fillna(0)
df["date"] = pd.to_datetime(df["date"]).dt.strftime("%Y-%m-%d")
# 确保date为字符串比较
df["date"] = df["date"].astype(str)
mask = (df["date"] >= start_date) & (df["date"] <= end_date)
result = df.loc[mask, ["date", "open", "high", "low", "close", "volume", "amount"]]
@@ -142,7 +241,6 @@ def update_daily_parquet(code: str, new_data: pd.DataFrame) -> int:
year = datetime.now().year
parquet_path = DAILY_DIR / str(year) / f"{prefix}{clean}_daily.parquet"
# 确保date为字符串类型，避免和已有parquet的datetime.date冲突
new_data = new_data.copy()
new_data["date"] = new_data["date"].astype(str)
@@ -186,38 +284,67 @@ def run_daily_update(codes: List[str]) -> dict:
stats = {"updated": 0, "skipped": 0, "failed": 0, "records": 0, "db_records": 0}
all_db_values = []
consecutive_fails = 0
source_aborted = False
# 进度文件（硬伤1修复）
done_set = load_progress("daily")
todo = [c for c in codes if c not in done_set]
logger.info("待更新: %d（已完成: %d）", len(todo), len(done_set))
# 全局源健康监控（硬伤2修复）
health = SourceHealthMonitor()
for i, code in enumerate(todo):
if source_aborted:
break
for i, code in enumerate(codes):
if i > 0:
time.sleep(REQUEST_INTERVAL)
last_date = get_daily_last_date(code)
if not last_date:
stats["skipped"] += 1
done_set.add(code)
continue
next_day = (pd.Timestamp(last_date) + timedelta(days=1)).strftime("%Y-%m-%d")
if next_day > today:
stats["skipped"] += 1
done_set.add(code)
continue
data = None
first_attempt_failed = False
for attempt in range(MAX_RETRIES):
try:
data = fetch_tencent_daily(code, next_day, today)
if data is not None:
break
if attempt == 0:
first_attempt_failed = True
except Exception as e:
if attempt == 0:
first_attempt_failed = True
if attempt < MAX_RETRIES - 1:
time.sleep(1)
else:
logger.debug("日线 %s 失败: %s", code, e)
# 全局源不可用检测
if not health.report(code, first_attempt_failed and data is None):
source_aborted = True
logger.error("❌ 腾讯日线源不可用，终止日线更新")
break
if data is None or data.empty:
stats["skipped"] += 1
done_set.add(code)
continue
# 校验
if (data[["open", "high", "low", "close"]] <= 0).any().any():
stats["failed"] += 1
consecutive_fails += 1
done_set.add(code)
continue
try:
@@ -242,18 +369,27 @@ def run_daily_update(codes: List[str]) -> dict:
consecutive_fails += 1
logger.warning("日线写入失败 %s: %s", code, e)
done_set.add(code)
if consecutive_fails >= MAX_CONSECUTIVE_FAILS:
logger.error("连续失败 %d 次，暂停 %d 秒", consecutive_fails, CONSECUTIVE_FAIL_PAUSE)
time.sleep(CONSECUTIVE_FAIL_PAUSE)
consecutive_fails = 0
if (i + 1) % 500 == 0:
logger.info("日线进度: %d/%d updated=%d", i + 1, len(codes), stats["updated"])
logger.info("日线进度: %d/%d updated=%d failed=%d", i + 1, len(todo), stats["updated"], stats["failed"])
save_progress("daily", done_set)
# 写vnpy DB
if all_db_values:
_write_vnpy_db(all_db_values, "日线")
# 保存最终进度
save_progress("daily", done_set)
if source_aborted:
stats["source_aborted"] = True
logger.info("日线完成: %s", json.dumps(stats, ensure_ascii=False))
return stats
@@ -284,8 +420,24 @@ def try_sina_15min(symbol: str, datalen: int = 800) -> Optional[pd.DataFrame]:
return df[cols]
def update_15min_parquet(code: str) -> Tuple[str, int]:
"""增量下载并合并15分钟线"""
def get_15min_last_date(parquet_path: Path) -> str:
"""获取15min Parquet中最后一条的时间戳"""
if not parquet_path.exists():
return ""
try:
df = pd.read_parquet(parquet_path, columns=["day"])
if not df.empty:
return str(df["day"].max())
except Exception:
pass
return ""
def update_15min_parquet(code: str) -> Tuple[str, int, list]:
"""
增量下载并合并15分钟线（阻塞项2修复：严格按日期追加）
返回: (status, new_rows, db_values)
"""
prefix, clean = get_market_prefix(code)
symbol = f"{prefix}{clean}"
parquet_path = MINUTE_15_DIR / f"{prefix}{clean}_15min.parquet"
@@ -301,7 +453,7 @@ def update_15min_parquet(code: str) -> Tuple[str, int]:
time.sleep(1)
if df_new is None or df_new.empty:
return "failed", 0
return "failed", 0, []
# 数据校验
for col in ["open", "high", "low", "close"]:
@@ -317,27 +469,62 @@ def update_15min_parquet(code: str) -> Tuple[str, int]:
if bad_ohlc.any():
df_new = df_new[~bad_ohlc]
if df_new.empty:
return "failed", 0
return "failed", 0, []
# 转回object类型
df_new["volume"] = df_new["volume"].astype(str)
df_new["amount"] = df_new["amount"].astype(str)
df_new["day"] = df_new["day"].astype(str)
if parquet_path.exists():
# 获取已有数据最后日期
last_date = get_15min_last_date(parquet_path)
if last_date:
# 严格追加：只保留 day > last_date 的新数据（阻塞项2修复）
df_increment = df_new[df_new["day"] > last_date].copy()
if df_increment.empty:
# 没有新数据，不需要写入
return "ok", 0, []
# 缺口检测：API返回的最早数据比last_date晚超过1根K线（15min）
api_first = df_new["day"].min()
expected_next = str(pd.Timestamp(last_date) + pd.Timedelta(minutes=15))
if api_first > expected_next:
logger.warning(
"⚠️ 15min数据缺口 %s: last=%s, api_first=%s (expected=%s)",
code, last_date, api_first, expected_next,
)
# 合并
existing = pd.read_parquet(parquet_path)
old_len = len(existing)
combined = pd.concat([existing, df_new], ignore_index=True)
combined = combined.drop_duplicates(subset=["day"], keep="last")
existing["day"] = existing["day"].astype(str)
combined = pd.concat([existing, df_increment], ignore_index=True)
combined = combined.sort_values("day").reset_index(drop=True)
new_rows = len(combined) - old_len
new_rows = len(df_increment)
else:
combined = df_new
# 无已有数据，直接写入全部
combined = df_new.sort_values("day").reset_index(drop=True)
df_increment = df_new
new_rows = len(df_new)
# 原子写入
tmp = parquet_path.with_suffix(".tmp")
combined.to_parquet(tmp, index=False)
tmp.rename(parquet_path)
return "ok", new_rows
# 构建DB写入数据（interval="15m"，阻塞项1修复）
exchange = "SSE" if prefix == "sh" else "SZSE"
db_values = []
for _, row in df_increment.iterrows():
db_values.append((
clean, exchange, str(row["day"]), "15m",
float(row.get("volume", 0)), float(row.get("amount", 0)), 0.0,
float(row.get("open", 0)), float(row.get("high", 0)),
float(row.get("low", 0)), float(row.get("close", 0)),
))
return "ok", new_rows, db_values
def run_15min_update(codes: List[str]) -> dict:
@@ -348,55 +535,43 @@ def run_15min_update(codes: List[str]) -> dict:
stats = {"updated": 0, "skipped": 0, "failed": 0, "records": 0, "db_records": 0}
all_db_values = []
consecutive_fails = 0
source_aborted = False
# 加载进度（支持断点续传）
progress_file = PROGRESS_DIR / "15min_progress.json"
PROGRESS_DIR.mkdir(parents=True, exist_ok=True)
done_set = set()
if progress_file.exists():
try:
done_set = set(json.loads(progress_file.read_text()).get("done", []))
except Exception:
pass
# 进度文件
done_set = load_progress("15min")
todo = [c for c in codes if c not in done_set]
logger.info("待更新: %d（已完成: %d）", len(todo), len(done_set))
# 全局源健康监控
health = SourceHealthMonitor()
for i, code in enumerate(todo):
if source_aborted:
break
if i > 0:
time.sleep(REQUEST_INTERVAL)
try:
status, new_rows = update_15min_parquet(code)
status, new_rows, db_values = update_15min_parquet(code)
first_attempt_failed = (status == "failed")
except Exception as e:
status, new_rows = "failed", 0
status, new_rows, db_values = "failed", 0, []
first_attempt_failed = True
logger.debug("15min %s 异常: %s", code, e)
# 全局源不可用检测
if not health.report(code, first_attempt_failed):
source_aborted = True
logger.error("❌ 新浪15min源不可用，终止15min更新")
break
if status == "ok":
stats["updated"] += 1
stats["records"] += new_rows
stats["db_records"] += len(db_values)
all_db_values.extend(db_values)
consecutive_fails = 0
# 收集vnpy DB数据
prefix, clean = get_market_prefix(code)
parquet_path = MINUTE_15_DIR / f"{prefix}{clean}_15min.parquet"
if parquet_path.exists() and new_rows > 0:
df = pd.read_parquet(parquet_path)
# 只取最新的增量部分
if len(df) > new_rows:
df_new_part = df.iloc[-new_rows:]
else:
df_new_part = df
exchange = "SSE" if prefix == "sh" else "SZSE"
for _, row in df_new_part.iterrows():
all_db_values.append((
clean, exchange, str(row["day"]), "1m",
float(row.get("volume", 0)), float(row.get("amount", 0)), 0.0,
float(row.get("open", 0)), float(row.get("high", 0)),
float(row.get("low", 0)), float(row.get("close", 0)),
))
stats["db_records"] += len(df_new_part)
else:
stats["failed"] += 1
consecutive_fails += 1
@@ -410,15 +585,18 @@ def run_15min_update(codes: List[str]) -> dict:
if (i + 1) % 500 == 0:
logger.info("15min进度: %d/%d updated=%d failed=%d", i + 1, len(todo), stats["updated"], stats["failed"])
# 保存进度
progress_file.write_text(json.dumps({"done": list(done_set), "ts": datetime.now().isoformat()}))
save_progress("15min", done_set)
# 写vnpy DB
if all_db_values:
_write_vnpy_db(all_db_values, "15min")
# 保存最终进度
progress_file.write_text(json.dumps({"done": list(done_set), "ts": datetime.now().isoformat()}))
save_progress("15min", done_set)
if source_aborted:
stats["source_aborted"] = True
logger.info("15min完成: %s", json.dumps(stats, ensure_ascii=False))
return stats
@@ -449,7 +627,7 @@ def _write_vnpy_db(values: list, label: str):
conn = sqlite3.connect(str(VNPY_DB_PATH), timeout=120)
c = conn.cursor()
c.execute("PRAGMA journal_mode=WAL")
c.execute(f"ATTACH DATABASE ? AS tmpdb", (local_tmp,))
c.execute("ATTACH DATABASE ? AS tmpdb", (local_tmp,))
c.execute("INSERT OR REPLACE INTO main.dbbardata SELECT * FROM tmpdb.dbbardata")
conn.commit()
c.execute("DETACH DATABASE tmpdb")
@@ -470,6 +648,27 @@ def _write_vnpy_db(values: list, label: str):
os.remove(local_tmp)
# ======================== 告警与报告 ========================
def check_failure_rate(stats: dict, label: str) -> bool:
"""检查失败率，返回True表示异常"""
total = stats.get("updated", 0) + stats.get("failed", 0) + stats.get("skipped", 0)
failed = stats.get("failed", 0)
if total == 0:
return False
rate = failed / total
if rate > 0.05:
logger.error(
"❌ 数据更新异常 [%s]：失败率 %.1f%% (%d/%d)",
label, rate * 100, failed, total,
)
return True
if stats.get("source_aborted"):
logger.error("❌ [%s] 源不可用导致终止", label)
return True
return False
# ======================== 主入口 ========================
def main():
@@ -488,17 +687,30 @@ def main():
t_start = time.time()
report = {}
has_alert = False
# DB备份（硬伤3修复）
rotate_db_backup()
if not args.skip_daily:
report["daily"] = run_daily_update(codes)
if check_failure_rate(report["daily"], "日线"):
has_alert = True
if not args.skip_15min:
report["15min"] = run_15min_update(codes)
if check_failure_rate(report["15min"], "15min"):
has_alert = True
elapsed = time.time() - t_start
report["elapsed_sec"] = round(elapsed, 1)
report["has_alert"] = has_alert
logger.info("=" * 60)
logger.info("全部完成，耗时 %.1f 秒", elapsed)
if has_alert:
logger.error("⚠️ 本次更新存在异常，请检查日志")
else:
logger.info("✅ 全部完成，耗时 %.1f 秒", elapsed)
logger.info(json.dumps(report, ensure_ascii=False, indent=2))
# 写入报告