feat(hub): add macro calendar for pre-release risk alerts
Manual FOMC/CPI/employment entries in settings drive ±1h monitor banners without touching exchange instances. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
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"""中控宏观关键数据日历：手动录入 FOMC / CPI / 非农档发布时间，±1h 风控前置窗口。"""
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from __future__ import annotations
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import os
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import sqlite3
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import time
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from datetime import datetime
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from pathlib import Path
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from typing import Any
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from zoneinfo import ZoneInfo
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from hub_symbol_archive_lib import parse_wall_clock_ms
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DISPLAY_TZ = ZoneInfo(os.getenv("APP_TIMEZONE", "Asia/Shanghai"))
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MACRO_EVENT_TYPES = ("fomc", "cpi", "employment")
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MACRO_EVENT_LABELS: dict[str, str] = {
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"fomc": "FOMC 联邦基金利率",
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"cpi": "美国 CPI 通胀",
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"employment": "就业与劳工数据",
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}
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WINDOW_BEFORE_MS = int(os.getenv("HUB_MACRO_WINDOW_BEFORE_SEC", str(3600))) * 1000
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WINDOW_AFTER_MS = int(os.getenv("HUB_MACRO_WINDOW_AFTER_SEC", str(3600))) * 1000
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IMMINENT_BEFORE_MS = int(os.getenv("HUB_MACRO_IMMINENT_BEFORE_SEC", str(1800))) * 1000
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LIST_FUTURE_DAYS = int(os.getenv("HUB_MACRO_LIST_FUTURE_DAYS", "60"))
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def default_db_path() -> Path:
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raw = (os.getenv("HUB_MACRO_CALENDAR_DB_PATH") or "").strip()
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if raw:
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return Path(raw)
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hub_dir = Path(__file__).resolve().parent / "manual_trading_hub" / "data"
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hub_dir.mkdir(parents=True, exist_ok=True)
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return hub_dir / "hub_macro_calendar.db"
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def _connect(db_path: Path | None = None) -> sqlite3.Connection:
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path = db_path or default_db_path()
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path.parent.mkdir(parents=True, exist_ok=True)
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conn = sqlite3.connect(str(path), timeout=30, isolation_level=None)
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conn.row_factory = sqlite3.Row
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conn.execute("PRAGMA journal_mode=WAL")
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conn.execute("PRAGMA synchronous=NORMAL")
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return conn
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def init_db(db_path: Path | None = None) -> None:
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conn = _connect(db_path)
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try:
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conn.execute(
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"""
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CREATE TABLE IF NOT EXISTS macro_events (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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event_type TEXT NOT NULL,
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event_at_ms INTEGER NOT NULL,
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note TEXT NOT NULL DEFAULT '',
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created_at_ms INTEGER NOT NULL,
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updated_at_ms INTEGER NOT NULL
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)
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"""
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)
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conn.execute(
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"CREATE INDEX IF NOT EXISTS idx_macro_events_at ON macro_events(event_at_ms)"
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)
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finally:
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conn.close()
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def normalize_event_type(raw: str) -> str:
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key = (raw or "").strip().lower()
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if key not in MACRO_EVENT_TYPES:
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raise ValueError(f"事件类型须为: {', '.join(MACRO_EVENT_LABELS.values())}")
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return key
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def parse_event_at_ms(raw: Any) -> int:
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ms = parse_wall_clock_ms(raw, tz=DISPLAY_TZ)
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if ms is None:
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raise ValueError("发布时间格式错误，请使用 YYYY-MM-DD HH:MM 或 YYYY-MM-DDTHH:MM")
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return int(ms)
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def format_event_at(ms: int) -> str:
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dt = datetime.fromtimestamp(ms / 1000, tz=DISPLAY_TZ)
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return dt.strftime("%Y-%m-%d %H:%M")
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def _row_to_dict(row: sqlite3.Row) -> dict[str, Any]:
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ms = int(row["event_at_ms"])
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et = str(row["event_type"])
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return {
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"id": int(row["id"]),
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"event_type": et,
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"event_type_label": MACRO_EVENT_LABELS.get(et, et),
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"event_at_ms": ms,
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"event_at": format_event_at(ms),
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"note": str(row["note"] or ""),
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"created_at_ms": int(row["created_at_ms"]),
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"updated_at_ms": int(row["updated_at_ms"]),
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}
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def _window_bounds(event_at_ms: int) -> tuple[int, int]:
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start = int(event_at_ms) - WINDOW_BEFORE_MS
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end = int(event_at_ms) + WINDOW_AFTER_MS
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return start, end
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def enrich_alert(row: dict[str, Any], now_ms: int | None = None) -> dict[str, Any] | None:
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now = int(now_ms if now_ms is not None else time.time() * 1000)
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event_at_ms = int(row["event_at_ms"])
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window_start, window_end = _window_bounds(event_at_ms)
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if now < window_start or now > window_end:
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return None
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imminent = now >= (event_at_ms - IMMINENT_BEFORE_MS) and now <= window_end
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mins_to_event = max(0, int((event_at_ms - now) / 60000))
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mins_from_event = max(0, int((now - event_at_ms) / 60000))
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return {
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**row,
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"window_start_ms": window_start,
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"window_end_ms": window_end,
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"window_start": format_event_at(window_start),
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"window_end": format_event_at(window_end),
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"phase": "imminent" if imminent else "window",
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"phase_label": "即将发布" if imminent and now < event_at_ms else "高波动窗口",
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"minutes_to_event": mins_to_event if now < event_at_ms else 0,
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"minutes_from_event": mins_from_event if now >= event_at_ms else 0,
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}
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def list_events(
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*,
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now_ms: int | None = None,
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include_expired_hours: int = 24,
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db_path: Path | None = None,
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) -> list[dict[str, Any]]:
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init_db(db_path)
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now = int(now_ms if now_ms is not None else time.time() * 1000)
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horizon = now + LIST_FUTURE_DAYS * 86400 * 1000
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expired_cutoff = now - max(0, int(include_expired_hours)) * 3600 * 1000 - WINDOW_AFTER_MS
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conn = _connect(db_path)
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try:
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rows = conn.execute(
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"""
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SELECT * FROM macro_events
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WHERE event_at_ms >= ? AND event_at_ms <= ?
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ORDER BY event_at_ms ASC, id ASC
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""",
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(expired_cutoff, horizon),
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).fetchall()
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return [_row_to_dict(r) for r in rows]
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finally:
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conn.close()
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def get_event(event_id: int, db_path: Path | None = None) -> dict[str, Any] | None:
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init_db(db_path)
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conn = _connect(db_path)
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try:
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row = conn.execute("SELECT * FROM macro_events WHERE id=?", (int(event_id),)).fetchone()
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return _row_to_dict(row) if row else None
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finally:
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conn.close()
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def _assert_no_duplicate(
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conn: sqlite3.Connection,
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event_type: str,
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event_at_ms: int,
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*,
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exclude_id: int | None = None,
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) -> None:
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if exclude_id is None:
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row = conn.execute(
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"SELECT id FROM macro_events WHERE event_type=? AND event_at_ms=? LIMIT 1",
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(event_type, int(event_at_ms)),
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).fetchone()
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else:
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row = conn.execute(
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"""
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SELECT id FROM macro_events
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WHERE event_type=? AND event_at_ms=? AND id<>?
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LIMIT 1
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""",
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(event_type, int(event_at_ms), int(exclude_id)),
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).fetchone()
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if row:
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raise ValueError("同类型、同发布时间的记录已存在")
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def create_event(
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event_type: str,
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event_at: Any,
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*,
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note: str = "",
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db_path: Path | None = None,
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) -> dict[str, Any]:
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init_db(db_path)
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et = normalize_event_type(event_type)
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event_at_ms = parse_event_at_ms(event_at)
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note_s = str(note or "").strip()[:500]
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now_ms = int(time.time() * 1000)
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conn = _connect(db_path)
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try:
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_assert_no_duplicate(conn, et, event_at_ms)
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cur = conn.execute(
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"""
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INSERT INTO macro_events (event_type, event_at_ms, note, created_at_ms, updated_at_ms)
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VALUES (?, ?, ?, ?, ?)
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""",
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(et, event_at_ms, note_s, now_ms, now_ms),
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)
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eid = int(cur.lastrowid)
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finally:
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conn.close()
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row = get_event(eid, db_path=db_path)
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assert row is not None
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return row
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def update_event(
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event_id: int,
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*,
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event_type: str | None = None,
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event_at: Any | None = None,
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note: str | None = None,
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db_path: Path | None = None,
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) -> dict[str, Any] | None:
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init_db(db_path)
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existing = get_event(event_id, db_path=db_path)
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if not existing:
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return None
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et = normalize_event_type(event_type if event_type is not None else existing["event_type"])
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event_at_ms = (
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parse_event_at_ms(event_at) if event_at is not None else int(existing["event_at_ms"])
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)
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note_s = existing["note"] if note is None else str(note or "").strip()[:500]
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now_ms = int(time.time() * 1000)
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conn = _connect(db_path)
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try:
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_assert_no_duplicate(conn, et, event_at_ms, exclude_id=int(event_id))
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conn.execute(
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"""
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UPDATE macro_events
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SET event_type=?, event_at_ms=?, note=?, updated_at_ms=?
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WHERE id=?
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""",
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(et, event_at_ms, note_s, now_ms, int(event_id)),
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)
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finally:
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conn.close()
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return get_event(event_id, db_path=db_path)
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def delete_event(event_id: int, db_path: Path | None = None) -> bool:
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init_db(db_path)
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conn = _connect(db_path)
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try:
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cur = conn.execute("DELETE FROM macro_events WHERE id=?", (int(event_id),))
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return cur.rowcount > 0
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finally:
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conn.close()
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def list_active_alerts(
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now_ms: int | None = None,
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db_path: Path | None = None,
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) -> list[dict[str, Any]]:
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now = int(now_ms if now_ms is not None else time.time() * 1000)
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lookback = now - WINDOW_BEFORE_MS - IMMINENT_BEFORE_MS
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lookahead = now + WINDOW_AFTER_MS
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init_db(db_path)
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conn = _connect(db_path)
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try:
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rows = conn.execute(
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"""
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SELECT * FROM macro_events
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WHERE event_at_ms >= ? AND event_at_ms <= ?
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ORDER BY event_at_ms ASC, id ASC
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""",
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(lookback, lookahead),
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).fetchall()
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finally:
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conn.close()
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alerts: list[dict[str, Any]] = []
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for row in rows:
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item = enrich_alert(_row_to_dict(row), now_ms=now)
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if item:
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alerts.append(item)
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return alerts
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def build_banner_message(alert: dict[str, Any], *, has_positions: bool) -> str:
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label = alert.get("event_type_label") or alert.get("event_type") or "宏观数据"
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phase = alert.get("phase") or "window"
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if has_positions:
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if phase == "imminent" and int(alert.get("minutes_to_event") or 0) > 0:
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return (
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f"「{label}」即将发布（约 {alert['minutes_to_event']} 分钟），"
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"注意仓位风险：勿加仓，检查止损/减仓"
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)
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return f"「{label}」高波动窗口（±1h），注意仓位风险：勿加仓，检查止损/减仓"
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if phase == "imminent" and int(alert.get("minutes_to_event") or 0) > 0:
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return (
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f"「{label}」即将发布（约 {alert['minutes_to_event']} 分钟），"
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"建议等待，避免新开仓"
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)
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return f"「{label}」高波动窗口（±1h），建议等待，避免新开仓"
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