cfdaily
255 lines
7.4 KiB
Python
255 lines
7.4 KiB
Python
#!/usr/bin/env python3
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"""
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下载 510300.SSE 数据并转换到vn.py数据库
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使用赵云将军的AKShare-vnpy适配器
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"""
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import sys
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import os
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import sqlite3
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from datetime import datetime
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# 添加赵云的数据脚本路径
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sys.path.insert(0, '/Users/chufeng/.openclaw/workspace-zhaoyun/sanguo_quant_live/zhaoyun-data/scripts/common_tools')
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from akshare_vnpy_adapter import AKShareDataAdapter
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def create_vnpy_database(db_path: str):
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"""创建vn.py数据库结构"""
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print(f"🔧 创建vn.py数据库: {db_path}")
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os.makedirs(os.path.dirname(db_path), exist_ok=True)
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# 如果数据库已存在，先删除
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if os.path.exists(db_path):
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os.remove(db_path)
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print(" 删除旧数据库")
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# 创建新数据库
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conn = sqlite3.connect(db_path)
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cursor = conn.cursor()
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# 创建vn.py标准表结构
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# dbbardata - K线数据表
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cursor.execute("""
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CREATE TABLE dbbardata (
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symbol TEXT NOT NULL,
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exchange TEXT,
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interval TEXT NOT NULL,
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datetime INTEGER NOT NULL,
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open REAL NOT NULL,
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high REAL NOT NULL,
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low REAL NOT NULL,
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close REAL NOT NULL,
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volume INTEGER NOT NULL,
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open_interest REAL,
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turnover REAL,
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PRIMARY KEY (symbol, interval, datetime)
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);
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""")
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# 创建索引
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cursor.execute("CREATE INDEX ix_dbbardata_symbol ON dbbardata(symbol);")
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cursor.execute("CREATE INDEX ix_dbbardata_symbol_interval ON dbbardata(symbol, interval);")
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cursor.execute("CREATE INDEX ix_dbbardata_datetime ON dbbardata(datetime);")
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# dbtickdata - Tick数据表（暂时不需要）
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cursor.execute("""
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CREATE TABLE dbtickdata (
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symbol TEXT NOT NULL,
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exchange TEXT,
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datetime INTEGER NOT NULL,
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last_price REAL NOT NULL,
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volume INTEGER NOT NULL,
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turnover REAL NOT NULL,
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open_interest REAL NOT NULL,
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bid_price_1 REAL NOT NULL,
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bid_volume_1 INTEGER NOT NULL,
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ask_price_1 REAL NOT NULL,
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ask_volume_1 INTEGER NOT NULL,
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PRIMARY KEY (symbol, datetime)
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);
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""")
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# sqlite_sequence表（sqlite自动维护）
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conn.commit()
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conn.close()
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print("✅ 数据库结构创建完成")
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return True
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def download_510300_data():
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"""下载510300.SSE数据"""
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print("🚀 开始下载 510300.SSE (沪深300ETF) 日线数据...")
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# 创建适配器
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adapter = AKShareDataAdapter()
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# 下载数据 - 最近10年
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end_date = datetime.now().strftime('%Y%m%d')
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start_date = '20160101'
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print(f" 时间范围: {start_date} - {end_date}")
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# 注意：AKShare中，需要YYYYMMDD格式
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print(f" 使用日期格式: {start_date} - {end_date} (YYYYMMDD)")
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# 注意：AKShare中，510300的代码是 510300，不需要后缀
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try:
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# 尝试获取指数数据
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# 510300是ETF，使用股票数据接口
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df = adapter.get_stock_daily(
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symbol='510300',
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start_date=start_date,
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end_date=end_date
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)
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except Exception as e:
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print(f" 使用股票接口失败: {e}，尝试指数接口")
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df = adapter.get_index_daily(
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index_symbol='510300',
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start_date=start_date.replace('%m%d', '').replace('%Y', '').replace('%d', ''),
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end_date=end_date.replace('%Y%m%d', '')
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)
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if df.empty:
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print("❌ 获取数据失败")
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return None
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print(f"✅ 获取数据成功: {len(df)} 行")
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print("\n数据预览:")
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print(df.head())
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print("\n数据统计:")
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print(df.describe())
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return df
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def import_to_vnpy_database(df, symbol: str, db_path: str):
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"""导入数据到vn.py数据库"""
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print(f"\n📥 导入数据到vn.py数据库...")
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print(f" 标的: {symbol}")
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print(f" 数据库: {db_path}")
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# 连接数据库
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conn = sqlite3.connect(db_path)
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cursor = conn.cursor()
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# 统计导入行数
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imported = 0
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# 遍历DataFrame并插入
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for _, row in df.iterrows():
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# 转换日期为unix时间戳（vn.py使用整数时间戳）
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# AKShare返回的日期格式是字符串或datetime
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date_val = row['date']
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if hasattr(date_val, 'timestamp'):
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# datetime对象
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dt = date_val
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else:
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# 字符串，尝试解析
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from datetime import datetime
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try:
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dt = datetime.strptime(str(date_val), '%Y-%m-%d')
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except:
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dt = datetime.strptime(str(date_val), '%Y%m%d')
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timestamp = int(dt.timestamp())
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# 插入数据
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# vn.py标准dbbardata结构
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cursor.execute("""
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INSERT INTO dbbardata (
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symbol, exchange, interval, datetime,
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open, high, low, close, volume, turnover
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) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
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""", (
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symbol,
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'SSE', # 交易所
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'1d', # 日线
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timestamp,
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float(row['open']),
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float(row['high']),
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float(row['low']),
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float(row['close']),
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int(row.get('volume', 0)),
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float(row.get('amount', row.get('volume', 0)))
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))
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imported += 1
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# 提交
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conn.commit()
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# 验证
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cursor.execute("SELECT COUNT(*) FROM dbbardata WHERE symbol = ?", (symbol,))
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count = cursor.fetchone()[0]
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conn.close()
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print(f"✅ 导入完成: {imported} 行")
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print(f" 验证: 数据库中共有 {count} 行数据")
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return True
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def main():
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"""主函数"""
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print("🚀 下载并导入 510300.SSE 数据到vn.py数据库")
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print("="*60)
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# 配置
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symbol = "510300.SSE"
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db_path = "/Users/chufeng/.openclaw/workspace-zhaoyun/zhaoyun-data/data/database_test.db"
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print(f"目标标的: {symbol}")
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print(f"目标数据库: {db_path}")
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# 1. 创建数据库
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if not create_vnpy_database(db_path):
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print("❌ 创建数据库失败")
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return False
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# 2. 下载数据
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df = download_510300_data()
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if df is None or df.empty:
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print("❌ 下载数据失败")
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return False
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# 3. 导入到数据库
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if not import_to_vnpy_database(df, symbol, db_path):
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print("❌ 导入数据失败")
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return False
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# 4. 验证结果
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print("\n" + "="*60)
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print("验证结果:")
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conn = sqlite3.connect(db_path)
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cursor = conn.cursor()
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cursor.execute("SELECT COUNT(*) FROM dbbardata WHERE symbol = ?", (symbol,))
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count = cursor.fetchone()[0]
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cursor.execute("SELECT MIN(datetime), MAX(datetime) FROM dbbardata WHERE symbol = ?", (symbol,))
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min_ts, max_ts = cursor.fetchone()
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from datetime import datetime
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min_dt = datetime.fromtimestamp(min_ts).strftime('%Y-%m-%d') if min_ts else 'N/A'
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max_dt = datetime.fromtimestamp(max_ts).strftime('%Y-%m-%d') if max_ts else 'N/A'
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conn.close()
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print(f"✅ 标的 {symbol} 数据已成功导入")
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print(f" 数据行数: {count}")
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print(f" 时间范围: {min_dt} -> {max_dt}")
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print("\n" + "="*60)
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print("🎯 完成！")
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print("下一步:")
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print("1. 配置回测API使用这个数据库路径")
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print("2. 重启API服务")
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print("3. 关羽将军重新回测")
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print("="*60)
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return True
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if __name__ == "__main__":
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main() |