rebuild(stage-11): deliver deterministic heaven workflows
This commit is contained in:
leefer
@@ -0,0 +1,485 @@
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from __future__ import annotations
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import json
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from datetime import datetime, time
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from typing import Any
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from backend.data.contracts import MarketEntity, ProviderResult, SnapshotState, TradeContext
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from backend.data.providers.base import MarketDataProvider
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from backend.data.repository import MarketRepository
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from backend.data.sentiment import calculate_sentiment
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from backend.database.connection import Database
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def should_use_realtime(requested_date: str, context: TradeContext, clock: datetime) -> bool:
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today = clock.date().isoformat()
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if requested_date != today or clock.time() < time(9, 15):
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return False
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return not (
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context.actual_date == today
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and context.state in {SnapshotState.FINAL, SnapshotState.ARCHIVE}
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)
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def historical_payload(
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database: Database,
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repository: MarketRepository,
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stock: MarketEntity,
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trade_date: str,
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provider: MarketDataProvider,
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) -> dict[str, Any]:
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raw = provider.heaven_inputs(stock.identifier, trade_date)
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daily_rows = _rows(raw, "daily")
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basic_rows = _rows(raw, "daily_basic")
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member_rows = _rows(raw, "members")
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sector_rows = _rows(raw, "sector_daily")
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index_rows = _rows(raw, "indices")
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quote = next((row for row in daily_rows if row.get("ts_code") == stock.identifier), {})
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basic = next((row for row in basic_rows if row.get("ts_code") == stock.identifier), {})
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with database.read() as connection:
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summary_row = repository.latest_summary(connection, trade_date)
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history_rows = repository.summaries(connection, trade_date, 6)
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summary = json.loads(str(summary_row["payload_json"])) if summary_row else {}
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overview = summary.get("overview") or {}
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sentiment = summary.get("sentiment") or {}
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event = _stock_event(summary, stock.identifier)
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amount = _number(quote.get("amount"))
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member_changes = [_number(row.get("change")) for row in member_rows if bool(row.get("quoted"))]
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leader = max(
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(row for row in member_rows if bool(row.get("quoted"))),
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key=lambda row: _number(row.get("change")),
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default={},
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)
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sector_quote = sector_rows[0] if sector_rows else {}
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sector_name = str((member_rows[0] if member_rows else {}).get("sector_name") or "")
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return {
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"trade_date": trade_date,
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"mode": "historical",
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"stock": {
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"identifier": stock.identifier,
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"code": stock.code,
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"name": stock.name,
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"trade_date": _display_date(quote.get("trade_date")),
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"quote_kind": "daily",
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"change": _optional_number(quote.get("pct_chg")),
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"amount_billion": round(amount / 100_000, 4),
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"amount_percentile": _percentile_rank(
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amount, sorted(_number(row.get("amount")) for row in daily_rows)
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),
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"turnover_rate": _optional_number(basic.get("turnover_rate")),
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"seal_amount_million": _number(event.get("seal_amount")) / 1_000_000,
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"open_times": event.get("open_times", 0),
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"streak": event.get("streak", 0),
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"status": event.get("status", "普通"),
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},
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"sector": {
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"name": sector_name,
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"code": str((member_rows[0] if member_rows else {}).get("sector_code") or ""),
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"taxonomy": "申万二级" if sector_name else "",
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"trade_date": _display_date(sector_quote.get("trade_date")) or trade_date,
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"quote_kind": "daily",
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"change": _optional_number(sector_quote.get("pct_change")),
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"up_count": sum(value > 0 for value in member_changes),
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"down_count": sum(value < 0 for value in member_changes),
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"member_count": len(member_rows),
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"quoted_count": len(member_changes),
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"coverage": len(member_changes) / max(len(member_rows), 1),
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"member_equal_change": (
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sum(member_changes) / len(member_changes) if member_changes else None
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),
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"leader": str(leader.get("name") or ""),
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"leading_pct": _optional_number(leader.get("change")),
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},
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"market": _market(
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trade_date,
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"daily",
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overview,
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sentiment.get("score"),
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_history_amounts(history_rows[:-1]),
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),
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"indices": [
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{
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"identifier": str(row.get("ts_code") or ""),
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"trade_date": _display_date(row.get("trade_date")),
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"quote_kind": "daily",
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"change": _optional_number(row.get("pct_chg")),
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}
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for row in index_rows
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],
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}
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def realtime_payload(
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database: Database,
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repository: MarketRepository,
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stock: MarketEntity,
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trade_date: str,
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previous_trade_date: str,
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raw: dict[str, ProviderResult | None],
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clock: datetime,
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) -> dict[str, Any]:
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realtime_rows = [
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row
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for row in _rows(raw, "realtime")
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if _quote_date(row) == trade_date
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and _valid_quote(row)
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and (clock.time() < time(15) or _quote_time(row) >= "15:00:00")
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]
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quote_map = {str(row.get("ts_code") or ""): row for row in realtime_rows}
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quote = quote_map.get(stock.identifier, {})
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members = _rows(raw, "members")
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capital = {str(row.get("ts_code") or ""): row for row in _rows(raw, "capital")}
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limits = {str(row.get("ts_code") or ""): row for row in _rows(raw, "price_limits")}
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suspended = {str(row.get("ts_code") or "") for row in _rows(raw, "suspensions")}
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market_rows = [row for row in realtime_rows if str(row.get("ts_code") or "") in capital]
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market_turnover = _average(_turnovers(market_rows, capital))
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stock_turnover = _turnover(quote, capital.get(stock.identifier, {}))
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history_volumes = sorted(
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(
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(_display_date(row.get("trade_date")), _number(row.get("vol")))
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for row in _rows(raw, "stock_history")
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if _number(row.get("vol")) > 0
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),
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key=lambda item: item[0],
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)[-5:]
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average_volume = _average([value for _, value in history_volumes])
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activity = (
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_number(quote.get("vol")) / 100 / (average_volume * _session_progress(clock.time()))
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if average_volume
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else 0
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)
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with database.read() as connection:
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history_rows = repository.summaries(connection, previous_trade_date, 250)
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history = [json.loads(str(row["payload_json"])) for row in history_rows]
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prior = history[-1] if history else {}
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current_limits = _current_limits(market_rows, limits, prior)
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overview = _realtime_overview(market_rows, current_limits)
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yesterday = _yesterday(prior.get("limits") or [], quote_map, current_limits)
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sentiment = calculate_sentiment(
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{"overview": overview, "limits": current_limits["up"], "yesterday_limits": yesterday},
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history,
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)
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member_codes = [str(row.get("ts_code") or "") for row in members]
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member_quotes = [quote_map[code] for code in member_codes if code in quote_map]
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explained = len(member_quotes) + sum(code in suspended for code in member_codes)
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changes = [_quote_change(row) for row in member_quotes]
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leader = max(member_quotes, key=_quote_change, default={})
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sector_quote = next(
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(
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row
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for row in _rows(raw, "sector_realtime")
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if _quote_date(row) == trade_date
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and (clock.time() < time(15) or _quote_time(row) >= "15:00:00")
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),
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{},
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)
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sector_turnover = _average(_turnovers(member_quotes, capital))
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sector_name = str((members[0] if members else {}).get("sector_name") or "")
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amount = _number(quote.get("amount"))
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status, streak = _status(stock.identifier, quote, limits, prior)
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return {
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"trade_date": trade_date,
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"mode": "intraday",
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"stock": {
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"identifier": stock.identifier,
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"code": stock.code,
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"name": stock.name,
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"trade_date": _quote_date(quote),
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"quote_kind": "realtime",
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"change": _optional_number(_quote_change(quote)) if quote else None,
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"amount_billion": round(amount / 100_000_000, 4),
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"amount_percentile": _percentile_rank(
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amount, sorted(_number(row.get("amount")) for row in market_rows)
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),
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"turnover_rate": stock_turnover or None,
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"turnover_relative": stock_turnover / market_turnover if market_turnover else None,
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"volume_activity_ratio": activity or None,
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"seal_amount_million": 0,
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"open_times": 0,
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"streak": streak,
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"status": status,
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},
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"sector": {
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"name": sector_name,
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"code": str((members[0] if members else {}).get("sector_code") or ""),
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"taxonomy": "申万二级" if sector_name else "",
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"trade_date": _quote_date(sector_quote),
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"quote_kind": "realtime",
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"change": _optional_number(_quote_change(sector_quote)) if sector_quote else None,
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"up_count": sum(value > 0 for value in changes),
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"down_count": sum(value < 0 for value in changes),
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"member_count": len(member_codes),
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"quoted_count": explained,
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"coverage": explained / max(len(member_codes), 1),
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"member_equal_change": _average(changes) if changes else None,
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"relative_turnover": (sector_turnover / market_turnover if market_turnover else None),
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"leader": str(leader.get("name") or ""),
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"leading_pct": _optional_number(_quote_change(leader)) if leader else None,
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},
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"market": _market(
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trade_date,
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"realtime",
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overview,
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sentiment.get("score"),
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_history_amounts(history_rows),
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),
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"indices": [
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{
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"identifier": identifier,
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"trade_date": _quote_date(quote_map.get(identifier, {})),
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"quote_kind": "realtime",
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"change": (
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_optional_number(_quote_change(quote_map[identifier]))
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if identifier in quote_map
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else None
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),
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}
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for identifier in ("000001.SH", "399001.SZ", "399006.SZ")
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],
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}
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def _rows(values: dict[str, ProviderResult | None], key: str) -> tuple[dict[str, Any], ...]:
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result = values.get(key)
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return result.rows if isinstance(result, ProviderResult) else ()
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def _history_amounts(rows: tuple[Any, ...]) -> list[float]:
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return [
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_number((json.loads(str(row["payload_json"])).get("overview") or {}).get("amount"))
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for row in rows
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if row["payload_json"]
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]
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def _market(
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trade_date: str,
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quote_kind: str,
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overview: dict[str, Any],
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sentiment_score: Any,
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history_amounts: list[float],
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) -> dict[str, Any]:
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amount = _number(overview.get("amount"))
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average = _average(history_amounts[-5:]) if history_amounts else amount
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return {
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"trade_date": trade_date,
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"quote_kind": quote_kind,
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"sentiment_score": _optional_number(sentiment_score),
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"seal_rate": _optional_number(overview.get("seal_rate")),
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"amount_billion": amount / 100_000_000,
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"average_amount_billion": average / 100_000_000,
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"up_count": overview.get("up_count"),
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"down_count": overview.get("down_count"),
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"limit_up_count": overview.get("limit_up"),
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"limit_down_count": overview.get("limit_down"),
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}
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def _stock_event(summary: dict[str, Any], identifier: str) -> dict[str, Any]:
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for key in ("limits", "broken", "down_limits"):
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for row in summary.get(key) or []:
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if str(row.get("identifier") or "") == identifier:
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return dict(row)
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return {"status": "普通", "streak": 0, "open_times": 0, "seal_amount": 0}
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def _quote_date(row: dict[str, Any]) -> str:
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return _display_date(row.get("trade_time") or row.get("trade_date"))
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def _quote_time(row: dict[str, Any]) -> str:
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value = str(row.get("trade_time") or "")
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if " " in value:
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return value.split(" ", 1)[1][:8]
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compact = "".join(character for character in value if character.isdigit())
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return f"{compact[8:10]}:{compact[10:12]}:{compact[12:14]}" if len(compact) >= 14 else ""
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def _valid_quote(row: dict[str, Any]) -> bool:
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return _number(row.get("close")) > 0 and _number(row.get("pre_close")) > 0
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def _quote_change(row: dict[str, Any]) -> float:
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for key in ("pct_chg", "pct_change"):
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value = _optional_number(row.get(key))
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if value is not None:
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return value
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close = _number(row.get("close"))
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previous = _number(row.get("pre_close"))
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return (close / previous - 1) * 100 if close and previous else 0
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def _turnover(row: dict[str, Any], capital: dict[str, Any]) -> float:
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float_share = _number(capital.get("float_share"))
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return _number(row.get("vol")) / float_share / 100 if float_share else 0
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def _turnovers(rows: list[dict[str, Any]], capital: dict[str, dict[str, Any]]) -> list[float]:
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values = [_turnover(row, capital.get(str(row.get("ts_code") or ""), {})) for row in rows]
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return [value for value in values if value > 0]
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def _session_progress(current: time) -> float:
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if current <= time(9, 30):
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return 0.05
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if current <= time(11, 30):
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return max(0.05, min(0.5, (current.hour * 60 + current.minute - 570) / 240))
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if current < time(13):
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return 0.5
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if current <= time(15):
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return max(0.5, min(1.0, 0.5 + (current.hour * 60 + current.minute - 780) / 240))
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return 1.0
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def _at_price(value: Any, target: Any) -> bool:
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price = _number(value)
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limit = _number(target)
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return bool(limit and abs(price - limit) <= max(0.005, limit * 0.0002))
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def _prior_limits(summary: dict[str, Any]) -> dict[str, dict[str, Any]]:
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return {
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str(row.get("identifier") or ""): row
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for row in summary.get("limits") or []
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if row.get("identifier")
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}
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def _current_limits(
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market_rows: list[dict[str, Any]],
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price_limits: dict[str, dict[str, Any]],
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prior: dict[str, Any],
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) -> dict[str, list[dict[str, Any]]]:
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result: dict[str, list[dict[str, Any]]] = {"up": [], "down": [], "broken": []}
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prior_map = _prior_limits(prior)
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for quote in market_rows:
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identifier = str(quote.get("ts_code") or "")
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bounds = price_limits.get(identifier, {})
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is_up = _at_price(quote.get("close"), bounds.get("up_limit"))
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is_down = _at_price(quote.get("close"), bounds.get("down_limit"))
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touched = (
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_number(bounds.get("up_limit")) > 0
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and _number(quote.get("high")) >= _number(bounds.get("up_limit")) * 0.9998
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)
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previous_streak = int(_number(prior_map.get(identifier, {}).get("streak")))
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row = {
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"identifier": identifier,
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"code": identifier.split(".")[0],
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"name": str(quote.get("name") or "").strip(),
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"amount": _number(quote.get("amount")),
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"change": _quote_change(quote),
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"streak": previous_streak + 1 if is_up and previous_streak else 1 if is_up else 0,
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}
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if is_up:
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result["up"].append(row)
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elif is_down:
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result["down"].append(row)
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elif touched:
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result["broken"].append(row)
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return result
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def _realtime_overview(
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market_rows: list[dict[str, Any]], limit_rows: dict[str, list[dict[str, Any]]]
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) -> dict[str, Any]:
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changes = [_quote_change(row) for row in market_rows]
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up_count = sum(value > 0 for value in changes)
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down_count = sum(value < 0 for value in changes)
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limits = len(limit_rows["up"])
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broken = len(limit_rows["broken"])
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return {
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"up_count": up_count,
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"down_count": down_count,
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"flat_count": len(changes) - up_count - down_count,
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"limit_up": limits,
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"limit_down": len(limit_rows["down"]),
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"broken": broken,
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"seal_rate": round(limits / max(limits + broken, 1) * 100, 1),
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"amount": sum(_number(row.get("amount")) for row in market_rows),
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}
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def _yesterday(
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previous_limits: list[dict[str, Any]],
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quotes: dict[str, dict[str, Any]],
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current: dict[str, list[dict[str, Any]]],
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) -> list[dict[str, Any]]:
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up_codes = {str(row["identifier"]) for row in current["up"]}
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broken_codes = {str(row["identifier"]) for row in current["broken"]}
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down_codes = {str(row["identifier"]) for row in current["down"]}
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rows = []
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for previous in previous_limits:
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identifier = str(previous.get("identifier") or "")
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quote = quotes.get(identifier)
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if not quote:
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continue
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change = _quote_change(quote)
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outcome = (
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"晋级"
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if identifier in up_codes
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else "炸板"
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||||
if identifier in broken_codes
|
||||
else "跌停"
|
||||
if identifier in down_codes
|
||||
else "红盘"
|
||||
if change > 0
|
||||
else "断板"
|
||||
)
|
||||
rows.append({"identifier": identifier, "current_change": change, "outcome": outcome})
|
||||
return rows
|
||||
|
||||
|
||||
def _status(
|
||||
identifier: str,
|
||||
quote: dict[str, Any],
|
||||
price_limits: dict[str, dict[str, Any]],
|
||||
prior: dict[str, Any],
|
||||
) -> tuple[str, int]:
|
||||
if not quote:
|
||||
return "普通", 0
|
||||
bounds = price_limits.get(identifier, {})
|
||||
if _at_price(quote.get("close"), bounds.get("up_limit")):
|
||||
return "涨停", int(_number(_prior_limits(prior).get(identifier, {}).get("streak"))) + 1
|
||||
if _at_price(quote.get("close"), bounds.get("down_limit")):
|
||||
return "跌停", 0
|
||||
if (
|
||||
_number(bounds.get("up_limit"))
|
||||
and _number(quote.get("high")) >= _number(bounds.get("up_limit")) * 0.9998
|
||||
):
|
||||
return "炸板", 0
|
||||
return "普通", 0
|
||||
|
||||
|
||||
def _average(values: list[float]) -> float:
|
||||
return sum(values) / len(values) if values else 0
|
||||
|
||||
|
||||
def _number(value: Any) -> float:
|
||||
try:
|
||||
return float(value or 0)
|
||||
except (TypeError, ValueError):
|
||||
return 0.0
|
||||
|
||||
|
||||
def _optional_number(value: Any) -> float | None:
|
||||
if value is None or value == "":
|
||||
return None
|
||||
try:
|
||||
number = float(value)
|
||||
except (TypeError, ValueError):
|
||||
return None
|
||||
return number if number == number else None
|
||||
|
||||
|
||||
def _display_date(value: Any) -> str:
|
||||
compact = str(value or "").replace("-", "")[:8]
|
||||
if len(compact) != 8 or not compact.isdigit():
|
||||
return ""
|
||||
return f"{compact[:4]}-{compact[4:6]}-{compact[6:]}"
|
||||
|
||||
|
||||
def _percentile_rank(value: float, ordered: list[float]) -> float | None:
|
||||
valid = [item for item in ordered if item > 0]
|
||||
if value <= 0 or not valid:
|
||||
return None
|
||||
return round(sum(item <= value for item in valid) / len(valid) * 100, 2)
|
||||
Reference in New Issue
Block a user