feat(engine): 新增 Python 策略引擎模块
- config/settings.py：Pydantic 解析 env.yaml - data/db.py：asyncpg 连接池管理 - data/reader.py：KlineReader 只读查询 TimescaleDB - data/models.py：KlineRecord 等 Pydantic 模型，镜像 TypeORM 实体 - example/test_db.py：数据库查询验证示例 - README.md：引擎架构文档
This commit is contained in:
Rekey
@@ -0,0 +1,278 @@
|
||||
"""
|
||||
K 线数据读取器 —— 从 TimescaleDB 查询历史 K 线供策略分析和回测使用。
|
||||
|
||||
所有方法均为只读查询，对应 data 模块 Kline 实体的字段结构。
|
||||
参考：data/db/entities/kline.entity.ts
|
||||
"""
|
||||
|
||||
from datetime import datetime
|
||||
from typing import Optional, Sequence
|
||||
|
||||
import asyncpg
|
||||
|
||||
from engine.data.db import get_pool
|
||||
from engine.data.models import KlineRecord
|
||||
|
||||
|
||||
class KlineReader:
|
||||
"""TimescaleDB K 线只读查询器"""
|
||||
|
||||
def __init__(self):
|
||||
self._pool: Optional[asyncpg.Pool] = None
|
||||
|
||||
async def _ensure_pool(self) -> asyncpg.Pool:
|
||||
if self._pool is None:
|
||||
self._pool = await get_pool()
|
||||
return self._pool
|
||||
|
||||
async def get_klines(
|
||||
self,
|
||||
symbol: str,
|
||||
interval: str,
|
||||
start_time: datetime,
|
||||
end_time: datetime,
|
||||
exchange: str = "binance",
|
||||
limit: int = 1000,
|
||||
) -> list[KlineRecord]:
|
||||
"""
|
||||
查询指定时间范围内的 K 线数据，支持任意周期（1m / 5m / 15m / 1h / 4h / 1d 等）。
|
||||
|
||||
Args:
|
||||
symbol: 交易对（如 BTCUSDT）
|
||||
interval: K 线周期（1m / 5m / 15m / 30m / 1h / 4h / 1d 等）
|
||||
start_time: 起始时间（含）
|
||||
end_time: 结束时间（含）
|
||||
exchange: 交易所标识
|
||||
limit: 最大返回条数
|
||||
"""
|
||||
pool = await self._ensure_pool()
|
||||
|
||||
query = """
|
||||
SELECT
|
||||
time, exchange, symbol, interval,
|
||||
open, high, low, close, volume,
|
||||
quote_volume, taker_buy_base_vol, taker_buy_quote_vol,
|
||||
trade_count, is_closed, created_at, updated_at
|
||||
FROM klines
|
||||
WHERE exchange = $1
|
||||
AND symbol = $2
|
||||
AND interval = $3
|
||||
AND time >= $4
|
||||
AND time <= $5
|
||||
ORDER BY time ASC
|
||||
LIMIT $6
|
||||
"""
|
||||
|
||||
rows: Sequence[asyncpg.Record] = await pool.fetch(
|
||||
query,
|
||||
exchange,
|
||||
symbol,
|
||||
interval,
|
||||
start_time,
|
||||
end_time,
|
||||
limit,
|
||||
)
|
||||
|
||||
return [KlineRecord.from_record(row) for row in rows]
|
||||
|
||||
async def get_latest_klines(
|
||||
self,
|
||||
symbol: str,
|
||||
interval: str,
|
||||
exchange: str = "binance",
|
||||
limit: int = 500,
|
||||
) -> list[KlineRecord]:
|
||||
"""
|
||||
获取最近 N 根已闭合的 K 线（策略启动时快速预热）。
|
||||
|
||||
仅查询 is_closed = TRUE 的 K 线，避免使用未闭合的不完整数据。
|
||||
"""
|
||||
pool = await self._ensure_pool()
|
||||
|
||||
query = """
|
||||
SELECT
|
||||
time, exchange, symbol, interval,
|
||||
open, high, low, close, volume,
|
||||
quote_volume, taker_buy_base_vol, taker_buy_quote_vol,
|
||||
trade_count, is_closed, created_at, updated_at
|
||||
FROM klines
|
||||
WHERE exchange = $1
|
||||
AND symbol = $2
|
||||
AND interval = $3
|
||||
AND is_closed = TRUE
|
||||
ORDER BY time DESC
|
||||
LIMIT $4
|
||||
"""
|
||||
|
||||
rows = await pool.fetch(query, exchange, symbol, interval, limit)
|
||||
|
||||
records = [KlineRecord.from_record(row) for row in rows]
|
||||
records.reverse()
|
||||
return records
|
||||
|
||||
async def get_klines_by_count(
|
||||
self,
|
||||
symbol: str,
|
||||
interval: str,
|
||||
count: int = 100,
|
||||
exchange: str = "binance",
|
||||
before_time: Optional[datetime] = None,
|
||||
) -> list[KlineRecord]:
|
||||
"""
|
||||
获取最新的 N 根 K 线（按时间倒序取 N 条再正序返回）。
|
||||
|
||||
适合策略运行时获取最近 N 根 K 线做指标计算，不关心特定时间范围。
|
||||
|
||||
Args:
|
||||
symbol: 交易对
|
||||
interval: K 线周期
|
||||
count: 需要获取的 K 线数量
|
||||
exchange: 交易所标识
|
||||
before_time: 可选，只获取该时间之前的 K 线
|
||||
"""
|
||||
pool = await self._ensure_pool()
|
||||
|
||||
if before_time:
|
||||
query = """
|
||||
SELECT
|
||||
time, exchange, symbol, interval,
|
||||
open, high, low, close, volume,
|
||||
quote_volume, taker_buy_base_vol, taker_buy_quote_vol,
|
||||
trade_count, is_closed, created_at, updated_at
|
||||
FROM klines
|
||||
WHERE exchange = $1
|
||||
AND symbol = $2
|
||||
AND interval = $3
|
||||
AND time <= $4
|
||||
ORDER BY time DESC
|
||||
LIMIT $5
|
||||
"""
|
||||
rows = await pool.fetch(query, exchange, symbol, interval, before_time, count)
|
||||
else:
|
||||
query = """
|
||||
SELECT
|
||||
time, exchange, symbol, interval,
|
||||
open, high, low, close, volume,
|
||||
quote_volume, taker_buy_base_vol, taker_buy_quote_vol,
|
||||
trade_count, is_closed, created_at, updated_at
|
||||
FROM klines
|
||||
WHERE exchange = $1
|
||||
AND symbol = $2
|
||||
AND interval = $3
|
||||
ORDER BY time DESC
|
||||
LIMIT $4
|
||||
"""
|
||||
rows = await pool.fetch(query, exchange, symbol, interval, count)
|
||||
|
||||
records = [KlineRecord.from_record(row) for row in rows]
|
||||
records.reverse()
|
||||
return records
|
||||
|
||||
async def get_ohlcv_array(
|
||||
self,
|
||||
symbol: str,
|
||||
interval: str,
|
||||
exchange: str = "binance",
|
||||
limit: int = 200,
|
||||
before_time: Optional[datetime] = None,
|
||||
) -> list[tuple[datetime, float, float, float, float, float]]:
|
||||
"""
|
||||
获取 OHLCV 元组数组，直接用于 pandas DataFrame 或 TA-Lib 计算。
|
||||
|
||||
返回格式: [(timestamp, open, high, low, close, volume), ...]
|
||||
时间升序排列。
|
||||
"""
|
||||
pool = await self._ensure_pool()
|
||||
|
||||
if before_time:
|
||||
query = """
|
||||
SELECT time, open, high, low, close, volume
|
||||
FROM klines
|
||||
WHERE exchange = $1
|
||||
AND symbol = $2
|
||||
AND interval = $3
|
||||
AND time <= $4
|
||||
ORDER BY time DESC
|
||||
LIMIT $5
|
||||
"""
|
||||
rows = await pool.fetch(query, exchange, symbol, interval, before_time, limit)
|
||||
else:
|
||||
query = """
|
||||
SELECT time, open, high, low, close, volume
|
||||
FROM klines
|
||||
WHERE exchange = $1
|
||||
AND symbol = $2
|
||||
AND interval = $3
|
||||
ORDER BY time DESC
|
||||
LIMIT $4
|
||||
"""
|
||||
rows = await pool.fetch(query, exchange, symbol, interval, limit)
|
||||
|
||||
return [
|
||||
(row["time"], float(row["open"]), float(row["high"]), float(row["low"]), float(row["close"]), float(row["volume"]))
|
||||
for row in reversed(rows)
|
||||
]
|
||||
|
||||
async def get_available_symbols(
|
||||
self,
|
||||
exchange: str = "binance",
|
||||
) -> list[str]:
|
||||
"""
|
||||
查询已激活的交易对列表。
|
||||
|
||||
从 trading_pairs 配置表读取（仅 active=TRUE 的记录），
|
||||
而非扫描 klines 时序表，避免全表扫描。
|
||||
对应 data/db/entities/trading-pair.entity.ts。
|
||||
"""
|
||||
pool = await self._ensure_pool()
|
||||
|
||||
rows = await pool.fetch(
|
||||
"""
|
||||
SELECT tp.symbol
|
||||
FROM trading_pairs tp
|
||||
JOIN exchanges e ON tp.exchange_id = e.id
|
||||
WHERE e.name = $1
|
||||
AND tp.active = TRUE
|
||||
ORDER BY tp.symbol
|
||||
""",
|
||||
exchange,
|
||||
)
|
||||
|
||||
return [row["symbol"] for row in rows]
|
||||
|
||||
async def get_available_intervals(
|
||||
self,
|
||||
symbol: str,
|
||||
exchange: str = "binance",
|
||||
) -> list[str]:
|
||||
"""
|
||||
查询某交易对配置的 K 线周期列表。
|
||||
|
||||
从 trading_pairs.kline_intervals 读取（逗号分隔字符串），
|
||||
而非扫描 klines 时序表，避免全表扫描。
|
||||
对应 data/db/entities/trading-pair.entity.ts: kline_intervals 字段。
|
||||
"""
|
||||
pool = await self._ensure_pool()
|
||||
|
||||
row = await pool.fetchrow(
|
||||
"""
|
||||
SELECT tp.kline_intervals
|
||||
FROM trading_pairs tp
|
||||
JOIN exchanges e ON tp.exchange_id = e.id
|
||||
WHERE e.name = $1
|
||||
AND tp.symbol = $2
|
||||
AND tp.active = TRUE
|
||||
""",
|
||||
exchange,
|
||||
symbol,
|
||||
)
|
||||
|
||||
if row is None or not row["kline_intervals"]:
|
||||
return []
|
||||
|
||||
# kline_intervals 格式: "1m,5m,15m,1h,4h,1d"
|
||||
return [
|
||||
interval.strip()
|
||||
for interval in row["kline_intervals"].split(",")
|
||||
if interval.strip()
|
||||
]
|
||||
Reference in New Issue
Block a user