Merge pull request #6 from Edanflame/main

添加夜盘数据注意事项并修改返回数据的顺序

README.md

@@ -37,6 +37,9 @@
 
 注意：需要使用相应的数据服务权限，可以通过[该页面](https://www.tushare.pro)注册使用。
 
+## 数据使用事项
+
+tushare数据源期货数据中，第一条夜盘k线数据是集合竞价数据，用户可以根据自己需求进行过滤或者合并。
 
 ## 安装
 

vnpy_tushare/tushare_datafeed.py

@@ -1,6 +1,6 @@
 from datetime import timedelta, datetime
 from pytz import timezone
-from typing import List, Optional
+from typing import Dict, List, Optional
 from copy import deepcopy
 
 import pandas as pd
@@ -9,35 +9,47 @@
 from vnpy.trader.setting import SETTINGS
 from vnpy.trader.datafeed import BaseDatafeed
 from vnpy.trader.constant import Exchange, Interval
-from vnpy.trader.object import BarData, TickData, HistoryRequest
+from vnpy.trader.object import BarData, HistoryRequest
 from vnpy.trader.utility import round_to
 
+# 数据频率映射
 INTERVAL_VT2TS = {
     Interval.MINUTE: "1min",
     Interval.HOUR: "60min",
     Interval.DAILY: "D",
 }
 
-ASSET_VT2TS = {
-    Exchange.CFFEX: "FT",
-    Exchange.SHFE: "FT",
-    Exchange.CZCE: "FT",
-    Exchange.DCE: "FT",
-    Exchange.INE: "FT",
-    Exchange.SSE: "E",
-    Exchange.SZSE: "E",
-    Exchange.BITMEX: "C",
-    Exchange.BITSTAMP: "C",
-    Exchange.OKEX: "C",
-    Exchange.HUOBI: "C",
-    Exchange.BITFINEX: "C",
-    Exchange.BINANCE: "C",
-    Exchange.BYBIT: "C",
-    Exchange.COINBASE: "C",
-    Exchange.DERIBIT: "C",
-    Exchange.GATEIO: "C",
-}
-
+# 股票支持列表
+STOCK_LIST = [
+    Exchange.SSE,
+    Exchange.SZSE,
+    Exchange.BSE,
+]
+
+# 期货支持列表
+FUTURE_LIST = [
+    Exchange.CFFEX,
+    Exchange.SHFE,
+    Exchange.CZCE,
+    Exchange.DCE,
+    Exchange.INE,
+]
+
+# 数字货币交易所支持列表
+CRYPTOCURRENCY_LIST = [
+    Exchange.BITMEX,
+    Exchange.BITSTAMP,
+    Exchange.OKEX,
+    Exchange.HUOBI,
+    Exchange.BITFINEX,
+    Exchange.BINANCE,
+    Exchange.BYBIT,
+    Exchange.COINBASE,
+    Exchange.DERIBIT,
+    Exchange.GATEIO,
+]
+
+# 交易所映射
 EXCHANGE_VT2TS = {
     Exchange.CFFEX: "CFX",
     Exchange.SHFE: "SHF",
@@ -48,48 +60,56 @@
     Exchange.SZSE: "SZ",
 }
 
+# 时间调整映射
 INTERVAL_ADJUSTMENT_MAP = {
     Interval.MINUTE: timedelta(minutes=1),
     Interval.HOUR: timedelta(hours=1),
     Interval.DAILY: timedelta()
 }
 
+# 中国上海时区
 CHINA_TZ = timezone("Asia/Shanghai")
 
 
 def to_ts_symbol(symbol, exchange) -> Optional[str]:
     """将交易所代码转换为tushare代码"""
     # 股票
-    if exchange in [Exchange.SSE, Exchange.SZSE]:
+    if exchange in STOCK_LIST:
         ts_symbol = f"{symbol}.{EXCHANGE_VT2TS[exchange]}"
     # 期货
-    elif exchange in [
-        Exchange.SHFE,
-        Exchange.CFFEX,
-        Exchange.DCE,
-        Exchange.CZCE,
-        Exchange.INE
-    ]:
+    elif exchange in FUTURE_LIST:
         ts_symbol = f"{symbol}.{EXCHANGE_VT2TS[exchange]}".upper()
     # 数字货币
-    elif exchange in [
-        Exchange.BITSTAMP,
-        Exchange.OKEX,
-        Exchange.HUOBI,
-        Exchange.BITFINEX,
-        Exchange.BINANCE,
-        Exchange.BYBIT,
-        Exchange.COINBASE,
-        Exchange.DERIBIT,
-        Exchange.BITSTAMP
-    ]:
+    elif exchange in CRYPTOCURRENCY_LIST:
         ts_symbol = symbol
     else:
         return None
 
     return ts_symbol
 
 
+def to_ts_asset(symbol, exchange) -> Optional[str]:
+    """生成tushare资产类别"""
+    # 股票
+    if exchange in STOCK_LIST:
+        if exchange is Exchange.SSE and symbol[0] == "6":
+            asset = "E"
+        elif exchange is Exchange.SZSE and symbol[0] == "0" or symbol[0] == "3":
+            asset = "E"
+        else:
+            asset = "I"
+    # 期货
+    elif exchange in FUTURE_LIST:
+        asset = "FT"
+    # 数字货币
+    elif exchange in CRYPTOCURRENCY_LIST:
+        asset = "C"
+    else:
+        return None
+
+    return asset
+
+
 class TushareDatafeed(BaseDatafeed):
     """TuShare数据服务接口"""
 
@@ -121,9 +141,14 @@ def query_bar_history(self, req: HistoryRequest) -> Optional[List[BarData]]:
         interval = req.interval
         start = req.start.strftime("%Y%m%d")
         end = req.end.strftime("%Y%m%d")
-        asset = ASSET_VT2TS[exchange]
 
         ts_symbol = to_ts_symbol(symbol, exchange)
+        if not ts_symbol:
+            return None
+
+        asset = to_ts_asset(symbol, exchange)
+        if not asset:
+            return None
 
         ts_interval = INTERVAL_VT2TS.get(interval)
         if not ts_interval:
@@ -190,8 +215,13 @@ def query_bar_history(self, req: HistoryRequest) -> Optional[List[BarData]]:
                 )
                 df = pd.concat([df[:-1], d1])
 
+        bar_keys: List[datetime] = []
+        bar_dict: Dict[datetime, BarData] = {}
         data: List[BarData] = []
 
+        # 处理原始数据中的NaN值
+        df.fillna(0, inplace=True)
+
         if df is not None:
             for ix, row in df.iterrows():
                 if row["open"] is None:
@@ -206,7 +236,7 @@ def query_bar_history(self, req: HistoryRequest) -> Optional[List[BarData]]:
 
                 dt = CHINA_TZ.localize(dt)
 
-                bar = BarData(
+                bar: BarData = BarData(
                     symbol=symbol,
                     exchange=exchange,
                     interval=interval,
@@ -221,6 +251,11 @@ def query_bar_history(self, req: HistoryRequest) -> Optional[List[BarData]]:
                     gateway_name="TS"
                 )
 
-                data.append(bar)
+                bar_dict[dt] = bar
+
+        bar_keys = bar_dict.keys()
+        bar_keys = sorted(bar_keys, reverse=False)
+        for i in bar_keys:
+            data.append(bar_dict[i])
 
         return data