dekun
26bc19f047
For each settlement day, also compute H-L over start minus one day through 16:00 (e.g. 25 16:00 to 27 16:00). Co-authored-by: Cursor <cursoragent@cursor.com>
889 lines
31 KiB
Python
889 lines
31 KiB
Python
"""中控振幅统计:OKX 指数(可降级永续)按时段切窗,点数口径.
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仅只读行情;不触及下单链路.
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"""
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from __future__ import annotations
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import csv
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import io
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import statistics
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import time
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from datetime import date, datetime, timedelta
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from typing import Any, Callable, Optional
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from zoneinfo import ZoneInfo
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import httpx
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APP_TZ = ZoneInfo("Asia/Shanghai")
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END_HOUR = 16
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EXCHANGE = "okx"
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TIMEFRAME = "1H"
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SYMBOLS: dict[str, dict[str, str]] = {
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"eth": {
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"label": "ETH",
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"index_inst": "ETH-USD",
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"swap_inst": "ETH-USDT-SWAP",
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},
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"btc": {
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"label": "BTC",
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"index_inst": "BTC-USD",
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"swap_inst": "BTC-USDT-SWAP",
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},
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}
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PERIOD_DAYS: dict[str, int] = {
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"1m": 30,
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"2m": 60,
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"3m": 90,
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"6m": 180,
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"1y": 365,
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}
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OKX_INDEX_CANDLES = "https://www.okx.com/api/v5/market/index-candles"
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OKX_HISTORY_INDEX_CANDLES = "https://www.okx.com/api/v5/market/history-index-candles"
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OKX_SWAP_CANDLES = "https://www.okx.com/api/v5/market/candles"
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OKX_HISTORY_SWAP_CANDLES = "https://www.okx.com/api/v5/market/history-candles"
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def normalize_symbol(raw: str) -> str:
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s = (raw or "").strip().lower()
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if s in ("eth", "ethereum"):
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return "eth"
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if s in ("btc", "bitcoin"):
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return "btc"
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raise ValueError("symbol 仅支持 eth / btc")
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def resolve_sample_days(period: str, custom_days: Any = None) -> int:
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p = (period or "2m").strip().lower()
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if p == "custom":
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try:
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n = int(custom_days)
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except (TypeError, ValueError):
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raise ValueError("自定义天数无效") from None
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return max(7, min(400, n))
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if p not in PERIOD_DAYS:
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raise ValueError("周期无效")
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return PERIOD_DAYS[p]
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def window_bounds_for_settlement(
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settlement: date,
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start_hour: int,
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*,
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span_days: int = 1,
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) -> tuple[datetime, datetime]:
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"""返回 [start, end) 的本地时刻;end 为结算日 16:00.
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span_days=1: 与现口径相同(如 26日16:00→27日16:00)
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span_days=2: 再往前推 1 天(如 25日16:00→27日16:00)
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"""
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if not (0 <= int(start_hour) <= 23):
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raise ValueError("起点须为 0-23 整点")
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span = max(1, int(span_days or 1))
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end = datetime(settlement.year, settlement.month, settlement.day, END_HOUR, 0, 0, tzinfo=APP_TZ)
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sh = int(start_hour)
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if sh >= END_HOUR:
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prev = settlement - timedelta(days=1)
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start = datetime(prev.year, prev.month, prev.day, sh, 0, 0, tzinfo=APP_TZ)
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else:
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start = datetime(settlement.year, settlement.month, settlement.day, sh, 0, 0, tzinfo=APP_TZ)
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if span > 1:
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start = start - timedelta(days=span - 1)
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return start, end
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def list_settlement_dates(*, sample_days: int, now: Optional[datetime] = None) -> list[date]:
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"""最近 sample_days 个已收窗结算日(不含进行中的今天未到 16:00)."""
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now = now or datetime.now(APP_TZ)
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if now.tzinfo is None:
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now = now.replace(tzinfo=APP_TZ)
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else:
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now = now.astimezone(APP_TZ)
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today = now.date()
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today_end = datetime(today.year, today.month, today.day, END_HOUR, 0, 0, tzinfo=APP_TZ)
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latest = today if now >= today_end else today - timedelta(days=1)
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return [latest - timedelta(days=i) for i in range(int(sample_days))]
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def _safe_float(v: Any) -> Optional[float]:
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try:
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if v is None or v == "":
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return None
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return float(v)
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except (TypeError, ValueError):
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return None
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def bars_to_map(bars: list[dict[str, Any]]) -> dict[int, dict[str, float]]:
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"""open_time_ms -> {o,h,l,c}."""
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m: dict[int, dict[str, float]] = {}
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for b in bars or []:
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if not isinstance(b, dict):
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continue
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ts = b.get("ts")
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if ts is None:
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ts = b.get("open_time_ms")
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try:
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ts_i = int(ts)
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except (TypeError, ValueError):
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continue
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o = _safe_float(b.get("o") if "o" in b else b.get("open"))
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h = _safe_float(b.get("h") if "h" in b else b.get("high"))
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l = _safe_float(b.get("l") if "l" in b else b.get("low"))
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c = _safe_float(b.get("c") if "c" in b else b.get("close"))
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if None in (o, h, l, c):
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continue
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m[ts_i] = {"o": float(o), "h": float(h), "l": float(l), "c": float(c)}
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return m
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def _ohlc_window_metrics(
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start: datetime,
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end: datetime,
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bar_map: dict[int, dict[str, float]],
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) -> Optional[dict[str, Any]]:
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"""在 [start, end) 上算开高低收与开→高/开→低/振幅/涨跌."""
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start_ms = int(start.timestamp() * 1000)
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# 1H 棒覆盖 [T, T+1h);窗终点 16:00 用 15:00 棒的 close
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last_bar_ms = int((end - timedelta(hours=1)).timestamp() * 1000)
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if start_ms not in bar_map or last_bar_ms not in bar_map:
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return None
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opens = bar_map[start_ms]["o"]
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close = bar_map[last_bar_ms]["c"]
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hi = bar_map[start_ms]["h"]
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lo = bar_map[start_ms]["l"]
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t = start_ms
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while t <= last_bar_ms:
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b = bar_map.get(t)
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if b:
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hi = max(hi, b["h"])
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lo = min(lo, b["l"])
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t += 3600 * 1000
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up = hi - opens
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down = opens - lo
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amp = hi - lo
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change = close - opens
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return {
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"window_start": start.strftime("%Y-%m-%d %H:%M"),
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"window_end": end.strftime("%Y-%m-%d %H:%M"),
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"open": round(opens, 4),
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"high": round(hi, 4),
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"low": round(lo, 4),
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"close": round(close, 4),
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"up_points": round(up, 4),
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"down_points": round(down, 4),
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"amplitude": round(amp, 4),
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"change": round(change, 4),
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}
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def compute_day_row(
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settlement: date,
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start_hour: int,
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bar_map: dict[int, dict[str, float]],
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) -> Optional[dict[str, Any]]:
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start, end = window_bounds_for_settlement(settlement, start_hour, span_days=1)
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m1 = _ohlc_window_metrics(start, end, bar_map)
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if m1 is None:
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return None
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start2, end2 = window_bounds_for_settlement(settlement, start_hour, span_days=2)
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m2 = _ohlc_window_metrics(start2, end2, bar_map)
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wd = settlement.weekday() # Mon=0 … Sun=6
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is_we = wd >= 5
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row: dict[str, Any] = {
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"settlement_day": settlement.isoformat(),
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"weekday": wd,
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"weekday_label": "六" if wd == 5 else ("日" if wd == 6 else ""),
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"is_weekend": is_we,
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**m1,
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}
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if m2 is None:
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row.update(
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{
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"window2_start": start2.strftime("%Y-%m-%d %H:%M"),
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"window2_end": end2.strftime("%Y-%m-%d %H:%M"),
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"open_2d": None,
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"high_2d": None,
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"low_2d": None,
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"close_2d": None,
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"up_points_2d": None,
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"down_points_2d": None,
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"amplitude_2d": None,
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"change_2d": None,
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}
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)
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else:
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row.update(
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{
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"window2_start": m2["window_start"],
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"window2_end": m2["window_end"],
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"open_2d": m2["open"],
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"high_2d": m2["high"],
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"low_2d": m2["low"],
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"close_2d": m2["close"],
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"up_points_2d": m2["up_points"],
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"down_points_2d": m2["down_points"],
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"amplitude_2d": m2["amplitude"],
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"change_2d": m2["change"],
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}
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)
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return row
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def normalize_move_points(raw: Any) -> Optional[float]:
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"""对照波动点数.空/≤0 表示不做点数达标对照."""
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if raw is None or raw == "":
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return None
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try:
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v = float(raw)
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except (TypeError, ValueError):
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raise ValueError("波动点数须为数字") from None
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if v <= 0:
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return None
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return v
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def normalize_weekend_filter(raw: Any) -> str:
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"""all | exclude | only;默认全部."""
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s = (str(raw) if raw is not None else "all").strip().lower()
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if s in ("", "all", "全部"):
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return "all"
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if s in ("exclude", "exclude_weekend", "no_weekend", "排除周末"):
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return "exclude"
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if s in ("only", "weekend_only", "only_weekend", "仅周末"):
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return "only"
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raise ValueError("周末筛选须为 all / exclude / only")
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def filter_weekend_rows(rows: list[dict[str, Any]], weekend_filter: Any = "all") -> list[dict[str, Any]]:
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mode = normalize_weekend_filter(weekend_filter)
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if mode == "all":
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return list(rows or [])
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out: list[dict[str, Any]] = []
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for r in rows or []:
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is_we = bool(r.get("is_weekend"))
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if "is_weekend" not in r and r.get("settlement_day"):
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try:
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is_we = date.fromisoformat(str(r["settlement_day"])).weekday() >= 5
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except ValueError:
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is_we = False
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if mode == "exclude" and is_we:
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continue
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if mode == "only" and not is_we:
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continue
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out.append(r)
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return out
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def _ensure_weekend_flags(item: dict[str, Any]) -> None:
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if "is_weekend" in item:
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return
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if not item.get("settlement_day"):
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item.setdefault("weekday_label", "")
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item.setdefault("is_weekend", False)
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return
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try:
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wd = date.fromisoformat(str(item["settlement_day"])).weekday()
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item["weekday"] = wd
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item["weekday_label"] = "六" if wd == 5 else ("日" if wd == 6 else "")
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item["is_weekend"] = wd >= 5
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except ValueError:
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item.setdefault("weekday_label", "")
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item.setdefault("is_weekend", False)
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def enrich_rows(
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rows: list[dict[str, Any]],
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*,
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move_points: Any = None,
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) -> list[dict[str, Any]]:
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"""为日表附加周末标注,以及相对波动点数的两边达标."""
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mp = normalize_move_points(move_points)
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out: list[dict[str, Any]] = []
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for r in rows or []:
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item = dict(r)
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_ensure_weekend_flags(item)
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up = float(item.get("up_points") or 0)
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down = float(item.get("down_points") or 0)
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amp = float(item.get("amplitude") or 0)
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hit_up = bool(mp is not None and up >= mp)
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hit_down = bool(mp is not None and down >= mp)
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amp_hit = bool(mp is not None and amp >= mp)
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amp2 = item.get("amplitude_2d")
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amp2_v = float(amp2) if amp2 is not None and amp2 != "" else None
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amp_hit_2d = bool(mp is not None and amp2_v is not None and amp2_v >= mp)
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item["move_points"] = mp
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item["hit_up"] = hit_up
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item["hit_down"] = hit_down
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item["hit_either"] = hit_up or hit_down
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item["hit_both"] = hit_up and hit_down
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item["amp_hit"] = amp_hit
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item["amp_hit_2d"] = amp_hit_2d
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out.append(item)
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return out
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# 兼容旧调用名
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def enrich_rows_pnl(rows: list[dict[str, Any]], **kwargs: Any) -> list[dict[str, Any]]:
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return enrich_rows(rows, move_points=kwargs.get("move_points"))
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def move_points_stats(rows: list[dict[str, Any]], move_points: float) -> dict[str, Any]:
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"""波动点数达标汇总:开→高/开→低两边."""
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mp = float(move_points)
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if mp <= 0:
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raise ValueError("波动点数须 > 0")
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work = enrich_rows(rows, move_points=mp)
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n = len(work)
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empty = {
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"move_points": round(mp, 4),
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"sample_count": n,
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"up_hit_days": 0,
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"up_hit_ratio": None,
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"down_hit_days": 0,
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"down_hit_ratio": None,
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"either_hit_days": 0,
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"either_hit_ratio": None,
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"both_hit_days": 0,
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"both_hit_ratio": None,
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"amp_hit_days": 0,
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"amp_hit_ratio": None,
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"amp_2d_hit_days": 0,
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"amp_2d_hit_ratio": None,
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"abs_change_hit_days": 0,
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"abs_change_hit_ratio": None,
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}
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if n <= 0:
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return empty
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up_hit = sum(1 for r in work if r.get("hit_up"))
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down_hit = sum(1 for r in work if r.get("hit_down"))
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either = sum(1 for r in work if r.get("hit_either"))
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both = sum(1 for r in work if r.get("hit_both"))
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amp_hit = sum(1 for r in work if r.get("amp_hit"))
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amp2_rows = [r for r in work if r.get("amplitude_2d") is not None]
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amp2_hit = sum(1 for r in work if r.get("amp_hit_2d"))
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n2 = len(amp2_rows)
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abs_hit = sum(1 for r in work if abs(float(r.get("change") or 0)) >= mp)
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empty.update(
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{
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"up_hit_days": up_hit,
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"up_hit_ratio": round(up_hit / n, 4),
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"down_hit_days": down_hit,
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"down_hit_ratio": round(down_hit / n, 4),
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"either_hit_days": either,
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"either_hit_ratio": round(either / n, 4),
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"both_hit_days": both,
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"both_hit_ratio": round(both / n, 4),
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"amp_hit_days": amp_hit,
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"amp_hit_ratio": round(amp_hit / n, 4),
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"amp_2d_hit_days": amp2_hit,
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"amp_2d_hit_ratio": round(amp2_hit / n2, 4) if n2 else None,
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"abs_change_hit_days": abs_hit,
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"abs_change_hit_ratio": round(abs_hit / n, 4),
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}
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)
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return empty
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def summarize_rows(
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rows: list[dict[str, Any]],
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*,
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move_points: Any = None,
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) -> dict[str, Any]:
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mp = normalize_move_points(move_points)
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empty_2d = {
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"max_amplitude_2d": None,
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"max_amplitude_2d_day": None,
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"avg_amplitude_2d": None,
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"median_amplitude_2d": None,
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}
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if not rows:
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out = {
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"sample_count": 0,
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"max_amplitude": None,
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"max_amplitude_day": None,
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"avg_amplitude": None,
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"median_amplitude": None,
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"max_up_points": None,
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"avg_up_points": None,
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"max_down_points": None,
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"avg_down_points": None,
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"up_day_ratio": None,
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"down_day_ratio": None,
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**empty_2d,
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"move_points_stats": None,
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}
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if mp is not None:
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out["move_points_stats"] = move_points_stats([], mp)
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return out
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amps = [float(r["amplitude"]) for r in rows]
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ups = [float(r["up_points"]) for r in rows]
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downs = [float(r["down_points"]) for r in rows]
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max_amp = max(amps)
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max_amp_day = next(r["settlement_day"] for r in rows if float(r["amplitude"]) == max_amp)
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up_days = sum(1 for r in rows if float(r["change"]) > 0)
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down_days = sum(1 for r in rows if float(r["change"]) < 0)
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n = len(rows)
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amps2 = [float(r["amplitude_2d"]) for r in rows if r.get("amplitude_2d") is not None]
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out: dict[str, Any] = {
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"sample_count": n,
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"max_amplitude": round(max_amp, 4),
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"max_amplitude_day": max_amp_day,
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"avg_amplitude": round(statistics.fmean(amps), 4),
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"median_amplitude": round(statistics.median(amps), 4),
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"max_up_points": round(max(ups), 4),
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"avg_up_points": round(statistics.fmean(ups), 4),
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"max_down_points": round(max(downs), 4),
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"avg_down_points": round(statistics.fmean(downs), 4),
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"up_day_ratio": round(up_days / n, 4),
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"down_day_ratio": round(down_days / n, 4),
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**empty_2d,
|
|
"move_points_stats": None,
|
|
}
|
|
if amps2:
|
|
max_a2 = max(amps2)
|
|
out["max_amplitude_2d"] = round(max_a2, 4)
|
|
out["max_amplitude_2d_day"] = next(
|
|
r["settlement_day"] for r in rows if r.get("amplitude_2d") is not None and float(r["amplitude_2d"]) == max_a2
|
|
)
|
|
out["avg_amplitude_2d"] = round(statistics.fmean(amps2), 4)
|
|
out["median_amplitude_2d"] = round(statistics.median(amps2), 4)
|
|
if mp is not None:
|
|
out["move_points_stats"] = move_points_stats(rows, mp)
|
|
return out
|
|
|
|
|
|
def _parse_okx_candle_row(row: list) -> Optional[dict[str, Any]]:
|
|
if not row or len(row) < 5:
|
|
return None
|
|
try:
|
|
ts = int(row[0])
|
|
o, h, l, c = float(row[1]), float(row[2]), float(row[3]), float(row[4])
|
|
except (TypeError, ValueError, IndexError):
|
|
return None
|
|
return {"ts": ts, "o": o, "h": h, "l": l, "c": c}
|
|
|
|
|
|
def _okx_get_json(
|
|
client: httpx.Client,
|
|
url: str,
|
|
params: dict[str, str],
|
|
*,
|
|
retries: int = 8,
|
|
) -> dict[str, Any]:
|
|
"""GET OKX 公共行情;遇 429 指数退避重试."""
|
|
last_err: Optional[BaseException] = None
|
|
for attempt in range(max(1, int(retries))):
|
|
try:
|
|
r = client.get(url, params=params)
|
|
if r.status_code == 429:
|
|
wait = min(12.0, 0.7 * (2**attempt))
|
|
time.sleep(wait)
|
|
last_err = httpx.HTTPStatusError(
|
|
f"429 Too Many Requests for url '{r.url}'",
|
|
request=r.request,
|
|
response=r,
|
|
)
|
|
continue
|
|
r.raise_for_status()
|
|
body = r.json()
|
|
if not isinstance(body, dict):
|
|
raise RuntimeError("OKX 返回非对象 JSON")
|
|
return body
|
|
except httpx.HTTPStatusError as exc:
|
|
status = exc.response.status_code if exc.response is not None else None
|
|
if status == 429 and attempt + 1 < retries:
|
|
wait = min(12.0, 0.7 * (2**attempt))
|
|
time.sleep(wait)
|
|
last_err = exc
|
|
continue
|
|
raise
|
|
except httpx.TransportError as exc:
|
|
if attempt + 1 < retries:
|
|
time.sleep(min(8.0, 0.5 * (2**attempt)))
|
|
last_err = exc
|
|
continue
|
|
raise
|
|
if last_err is not None:
|
|
raise last_err
|
|
raise RuntimeError("OKX 请求失败")
|
|
|
|
|
|
def fetch_okx_candles(
|
|
*,
|
|
url: str,
|
|
inst_id: str,
|
|
since_ms: int,
|
|
until_ms: int,
|
|
bar: str = "1H",
|
|
client: Optional[httpx.Client] = None,
|
|
timeout: float = 30.0,
|
|
history_url: Optional[str] = None,
|
|
max_pages: int = 200,
|
|
page_pause_sec: float = 0.12,
|
|
history_page_pause_sec: float = 0.22,
|
|
) -> list[dict[str, Any]]:
|
|
"""拉取 [since_ms, until_ms] 覆盖的 K 线(含边界).
|
|
|
|
OKX 近期接口约仅 1440 根;更早需 history_* 端点续拉.
|
|
分页带间隔,429 自动退避重试.
|
|
"""
|
|
own = client is None
|
|
client = client or httpx.Client(
|
|
timeout=timeout,
|
|
trust_env=False,
|
|
headers={"User-Agent": "crypto_monitor-amp-stats/1.0"},
|
|
)
|
|
try:
|
|
out: dict[int, dict[str, Any]] = {}
|
|
after: Optional[str] = None
|
|
active_url = url
|
|
switched_history = False
|
|
for page_i in range(max(20, int(max_pages))):
|
|
if page_i > 0:
|
|
pause = history_page_pause_sec if switched_history or "history" in active_url else page_pause_sec
|
|
if pause > 0:
|
|
time.sleep(pause)
|
|
params: dict[str, str] = {"instId": inst_id, "bar": bar, "limit": "100"}
|
|
if after:
|
|
params["after"] = after
|
|
body = _okx_get_json(client, active_url, params)
|
|
if str(body.get("code") or "") not in ("0", "0.0", ""):
|
|
raise RuntimeError(body.get("msg") or f"OKX error {body.get('code')}")
|
|
data = body.get("data") or []
|
|
if not data:
|
|
# 近期接口到头 → 切历史端点再试
|
|
if history_url and not switched_history and after is not None:
|
|
active_url = history_url
|
|
switched_history = True
|
|
time.sleep(max(history_page_pause_sec, 0.35))
|
|
continue
|
|
break
|
|
oldest_ts = None
|
|
for row in data:
|
|
parsed = _parse_okx_candle_row(row)
|
|
if not parsed:
|
|
continue
|
|
ts = int(parsed["ts"])
|
|
oldest_ts = ts if oldest_ts is None else min(oldest_ts, ts)
|
|
if ts < since_ms - 3600 * 1000:
|
|
continue
|
|
if ts > until_ms + 3600 * 1000:
|
|
continue
|
|
out[ts] = parsed
|
|
if oldest_ts is None:
|
|
break
|
|
if oldest_ts <= since_ms:
|
|
break
|
|
# 无新进度时避免死循环
|
|
if after is not None and str(oldest_ts) == after:
|
|
if history_url and not switched_history:
|
|
active_url = history_url
|
|
switched_history = True
|
|
time.sleep(max(history_page_pause_sec, 0.35))
|
|
continue
|
|
break
|
|
after = str(oldest_ts)
|
|
# 近期接口返回变少且仍未覆盖 since → 切历史
|
|
if (
|
|
history_url
|
|
and not switched_history
|
|
and len(data) < 100
|
|
and oldest_ts > since_ms
|
|
):
|
|
active_url = history_url
|
|
switched_history = True
|
|
time.sleep(max(history_page_pause_sec, 0.35))
|
|
return [out[k] for k in sorted(out.keys())]
|
|
finally:
|
|
if own:
|
|
client.close()
|
|
|
|
|
|
def fetch_symbol_bars(
|
|
symbol: str,
|
|
*,
|
|
since_ms: int,
|
|
until_ms: int,
|
|
fetch_fn: Optional[Callable[..., list[dict[str, Any]]]] = None,
|
|
) -> tuple[list[dict[str, Any]], str, str]:
|
|
"""返回 (bars, price_source_label, inst_id)."""
|
|
key = normalize_symbol(symbol)
|
|
meta = SYMBOLS[key]
|
|
if fetch_fn:
|
|
bars = fetch_fn(inst_id=meta["index_inst"], since_ms=since_ms, until_ms=until_ms)
|
|
return bars, f"okx_index:{meta['index_inst']}", meta["index_inst"]
|
|
|
|
index_err: Optional[BaseException] = None
|
|
try:
|
|
bars = fetch_okx_candles(
|
|
url=OKX_INDEX_CANDLES,
|
|
history_url=OKX_HISTORY_INDEX_CANDLES,
|
|
inst_id=meta["index_inst"],
|
|
since_ms=since_ms,
|
|
until_ms=until_ms,
|
|
)
|
|
if bars:
|
|
return bars, f"okx_index:{meta['index_inst']}", meta["index_inst"]
|
|
except Exception as exc:
|
|
index_err = exc
|
|
# 指数侧已触发限频时先冷却,再降级永续,避免连环 429
|
|
time.sleep(1.2)
|
|
|
|
try:
|
|
bars = fetch_okx_candles(
|
|
url=OKX_SWAP_CANDLES,
|
|
history_url=OKX_HISTORY_SWAP_CANDLES,
|
|
inst_id=meta["swap_inst"],
|
|
since_ms=since_ms,
|
|
until_ms=until_ms,
|
|
)
|
|
except Exception as exc:
|
|
detail = f"index={index_err}; swap={exc}" if index_err else str(exc)
|
|
raise RuntimeError(f"OKX K线拉取失败({detail})") from exc
|
|
if not bars:
|
|
detail = f"index={index_err}" if index_err else "empty"
|
|
raise RuntimeError(f"OKX 指数与永续 K 线均无数据({detail})")
|
|
return bars, f"okx_swap:{meta['swap_inst']}", meta["swap_inst"]
|
|
|
|
|
|
def compute_amp_stats(
|
|
*,
|
|
symbol: str = "eth",
|
|
start_hour: int = 16,
|
|
period: str = "2m",
|
|
custom_days: Any = None,
|
|
move_points: Any = None,
|
|
weekend_filter: Any = "all",
|
|
now: Optional[datetime] = None,
|
|
fetch_fn: Optional[Callable[..., list[dict[str, Any]]]] = None,
|
|
) -> dict[str, Any]:
|
|
key = normalize_symbol(symbol)
|
|
sh = int(start_hour)
|
|
if sh < 0 or sh > 23:
|
|
raise ValueError("起点须为 0-23 整点")
|
|
mp = normalize_move_points(move_points)
|
|
we_mode = normalize_weekend_filter(weekend_filter)
|
|
sample_days = resolve_sample_days(period, custom_days)
|
|
settlements = list_settlement_dates(sample_days=sample_days, now=now)
|
|
if not settlements:
|
|
raise RuntimeError("无可用结算日")
|
|
# 最远窗起点(含两日振幅,多拉 1 天)
|
|
oldest = settlements[-1]
|
|
newest = settlements[0]
|
|
start0, _ = window_bounds_for_settlement(oldest, sh, span_days=2)
|
|
_, end1 = window_bounds_for_settlement(newest, sh, span_days=1)
|
|
since_ms = int(start0.timestamp() * 1000)
|
|
until_ms = int(end1.timestamp() * 1000)
|
|
bars, price_source, inst_id = fetch_symbol_bars(
|
|
key, since_ms=since_ms, until_ms=until_ms, fetch_fn=fetch_fn
|
|
)
|
|
bar_map = bars_to_map(bars)
|
|
rows_all: list[dict[str, Any]] = []
|
|
missing: list[str] = []
|
|
for d in settlements:
|
|
row = compute_day_row(d, sh, bar_map)
|
|
if row is None:
|
|
missing.append(d.isoformat())
|
|
continue
|
|
rows_all.append(row)
|
|
return build_amp_result(
|
|
rows_all=rows_all,
|
|
symbol_key=key,
|
|
start_hour=sh,
|
|
period=period,
|
|
sample_days=sample_days,
|
|
move_points=mp,
|
|
weekend_filter=we_mode,
|
|
price_source=price_source,
|
|
inst_id=inst_id,
|
|
missing=missing,
|
|
)
|
|
|
|
|
|
def build_amp_result(
|
|
*,
|
|
rows_all: list[dict[str, Any]],
|
|
symbol_key: str,
|
|
start_hour: int,
|
|
period: str,
|
|
sample_days: int,
|
|
move_points: Any = None,
|
|
weekend_filter: Any = "all",
|
|
price_source: str = "",
|
|
inst_id: str = "",
|
|
missing: Optional[list[str]] = None,
|
|
) -> dict[str, Any]:
|
|
mp = normalize_move_points(move_points)
|
|
we_mode = normalize_weekend_filter(weekend_filter)
|
|
filtered = filter_weekend_rows(rows_all, we_mode)
|
|
rows = enrich_rows(filtered, move_points=mp)
|
|
summary = summarize_rows(rows, move_points=mp)
|
|
if period == "custom" or str(period).startswith("custom:"):
|
|
period_label = period if str(period).startswith("custom:") else f"custom:{sample_days}"
|
|
else:
|
|
period_label = str(period)
|
|
miss = missing or []
|
|
return {
|
|
"ok": True,
|
|
"exchange": EXCHANGE,
|
|
"symbol": symbol_key,
|
|
"symbol_label": SYMBOLS[symbol_key]["label"],
|
|
"start_hour": start_hour,
|
|
"end_hour": END_HOUR,
|
|
"period": period_label,
|
|
"sample_days_requested": sample_days,
|
|
"move_points": mp,
|
|
"weekend_filter": we_mode,
|
|
"timeframe": TIMEFRAME,
|
|
"price_source": price_source,
|
|
"inst_id": inst_id,
|
|
"timezone": "Asia/Shanghai",
|
|
"rows_all": rows_all,
|
|
"rows": rows,
|
|
"summary": summary,
|
|
"missing_days": miss[:30],
|
|
"missing_count": len(miss),
|
|
}
|
|
|
|
|
|
def reframe_amp_stats(
|
|
*,
|
|
rows_all: list[dict[str, Any]],
|
|
symbol: str = "eth",
|
|
start_hour: int = 16,
|
|
period: str = "2m",
|
|
sample_days: int = 60,
|
|
move_points: Any = None,
|
|
weekend_filter: Any = "all",
|
|
price_source: str = "",
|
|
inst_id: str = "",
|
|
missing: Optional[list[str]] = None,
|
|
) -> dict[str, Any]:
|
|
"""已有日表上改周末/波动点数,不拉 K 线."""
|
|
key = normalize_symbol(symbol)
|
|
return build_amp_result(
|
|
rows_all=list(rows_all or []),
|
|
symbol_key=key,
|
|
start_hour=int(start_hour),
|
|
period=period,
|
|
sample_days=int(sample_days or 60),
|
|
move_points=move_points,
|
|
weekend_filter=weekend_filter,
|
|
price_source=price_source,
|
|
inst_id=inst_id,
|
|
missing=missing,
|
|
)
|
|
|
|
|
|
def rows_page(rows: list[dict[str, Any]], *, page: int = 1, page_size: int = 20) -> dict[str, Any]:
|
|
page = max(1, int(page or 1))
|
|
page_size = max(5, min(100, int(page_size or 20)))
|
|
total = len(rows)
|
|
start = (page - 1) * page_size
|
|
chunk = rows[start : start + page_size]
|
|
return {
|
|
"page": page,
|
|
"page_size": page_size,
|
|
"total": total,
|
|
"total_pages": max(1, (total + page_size - 1) // page_size) if total else 1,
|
|
"rows": chunk,
|
|
}
|
|
|
|
|
|
def build_export_csv(payload: dict[str, Any]) -> str:
|
|
buf = io.StringIO()
|
|
# Excel 友好 BOM
|
|
buf.write("\ufeff")
|
|
w = csv.writer(buf)
|
|
s = payload.get("summary") or {}
|
|
w.writerow(["【统计摘要】"])
|
|
w.writerow(["交易所", payload.get("exchange")])
|
|
w.writerow(["标的", payload.get("symbol_label")])
|
|
w.writerow(["价源", payload.get("price_source")])
|
|
w.writerow(["起点整点", f"{payload.get('start_hour')}:00"])
|
|
w.writerow(["终点", f"{payload.get('end_hour')}:00"])
|
|
w.writerow(["周期", payload.get("period")])
|
|
w.writerow(["周末筛选", payload.get("weekend_filter")])
|
|
w.writerow(["样本数", s.get("sample_count")])
|
|
w.writerow(["最大振幅", s.get("max_amplitude"), "日期", s.get("max_amplitude_day")])
|
|
w.writerow(["振幅均值", s.get("avg_amplitude"), "中位数", s.get("median_amplitude")])
|
|
w.writerow(["两日最大振幅", s.get("max_amplitude_2d"), "日期", s.get("max_amplitude_2d_day")])
|
|
w.writerow(["两日振幅均值", s.get("avg_amplitude_2d"), "中位数", s.get("median_amplitude_2d")])
|
|
w.writerow(["开→高最大", s.get("max_up_points"), "均值", s.get("avg_up_points")])
|
|
w.writerow(["开→低最大", s.get("max_down_points"), "均值", s.get("avg_down_points")])
|
|
w.writerow(["上涨窗占比", s.get("up_day_ratio"), "下跌窗占比", s.get("down_day_ratio")])
|
|
mp = s.get("move_points_stats") or {}
|
|
if mp:
|
|
w.writerow([])
|
|
w.writerow(["【波动点数·振幅占比】", mp.get("move_points")])
|
|
w.writerow(["振幅≥点数天数", mp.get("amp_hit_days"), "占比", mp.get("amp_hit_ratio")])
|
|
w.writerow(["两日振幅≥点数天数", mp.get("amp_2d_hit_days"), "占比", mp.get("amp_2d_hit_ratio")])
|
|
w.writerow(["开→高≥点数天数", mp.get("up_hit_days"), "占比", mp.get("up_hit_ratio")])
|
|
w.writerow(["开→低≥点数天数", mp.get("down_hit_days"), "占比", mp.get("down_hit_ratio")])
|
|
w.writerow(["|涨跌|≥点数天数", mp.get("abs_change_hit_days"), "占比", mp.get("abs_change_hit_ratio")])
|
|
w.writerow([])
|
|
w.writerow(["【日表明细】"])
|
|
w.writerow(
|
|
[
|
|
"结算日",
|
|
"星期",
|
|
"周末",
|
|
"窗起点",
|
|
"窗终点",
|
|
"开盘",
|
|
"最高",
|
|
"最低",
|
|
"收盘",
|
|
"开→高",
|
|
"开→低",
|
|
"振幅",
|
|
"涨跌值",
|
|
"两日窗起点",
|
|
"两日窗终点",
|
|
"两日振幅",
|
|
"两日开→高",
|
|
"两日开→低",
|
|
"对照点数",
|
|
"振幅达标",
|
|
"两日振幅达标",
|
|
]
|
|
)
|
|
for r in payload.get("rows") or []:
|
|
w.writerow(
|
|
[
|
|
r.get("settlement_day"),
|
|
r.get("weekday_label") or "",
|
|
"是" if r.get("is_weekend") else "否",
|
|
r.get("window_start"),
|
|
r.get("window_end"),
|
|
r.get("open"),
|
|
r.get("high"),
|
|
r.get("low"),
|
|
r.get("close"),
|
|
r.get("up_points"),
|
|
r.get("down_points"),
|
|
r.get("amplitude"),
|
|
r.get("change"),
|
|
r.get("window2_start"),
|
|
r.get("window2_end"),
|
|
r.get("amplitude_2d"),
|
|
r.get("up_points_2d"),
|
|
r.get("down_points_2d"),
|
|
r.get("move_points") if r.get("move_points") is not None else "",
|
|
"是" if r.get("amp_hit") else ("否" if r.get("move_points") is not None else ""),
|
|
"是" if r.get("amp_hit_2d") else ("否" if r.get("move_points") is not None and r.get("amplitude_2d") is not None else ""),
|
|
]
|
|
)
|
|
return buf.getvalue()
|
|
|
|
|
|
def export_filename(payload: dict[str, Any]) -> str:
|
|
sym = (payload.get("symbol") or "eth").lower()
|
|
sh = int(payload.get("start_hour") or 16)
|
|
period = str(payload.get("period") or "2m").replace(":", "")
|
|
day = datetime.now(APP_TZ).strftime("%Y%m%d")
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return f"okx_{sym}_amp_{sh}to16_{period}_{day}.csv"
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