Gahow Wang
cc1366b2dc
Strategies - BarStrategy protocol (close/open/high/low/volume bars; row d uses bars through d-1) and RobustMomentumStrategy: overnight_recovery_top10 (US), lowrisk_momentum_top15 and lowbeta_sharpe_mom_top20 (CN), top-N with rank hysteresis, 10-day rebalance, weights drift between rebalances. - trader: strategy_fields/strategy_bars/bar_session_weights; one signal path (_signals_for_sessions) replaces generate_target_weights. Live fixes - CSI 300 constituents come from China Securities Index's file; the Wikipedia table was 122 names off the real index. - S&P 500 change log moved to "Historical components of the S&P 500". - data_manager: tickers missing from a partial Yahoo batch are retried alone before being marked unavailable (CEG, GEV, SNDK ... were dropped). update() takes fields=[...] and stores high/low/volume panels. - Whole-lot orders go to the nearest lot within cash (CN books held ~62% cash); held names are resized only beyond RESIZE_BAND (10%), so books no longer pay a ticket fee to trade daily drift. Web backtests - backtest_runner.py replaces the duplicated bridge/precompute code: PIT membership in both markets (data/csi300_history.json), stock universe limited to index members (ETFs and benchmarks in the shared panel were pickable), and the book kept like the live trader (simulate_live_book: signal timing, drift, order floor, resize band, fees on orders placed). Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
441 lines
18 KiB
Python
441 lines
18 KiB
Python
"""
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Persistent local data store for price history.
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Layout:
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data/{market}.csv — adjusted close prices
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data/{market}_open.csv — adjusted open prices
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data/{market}_unavailable.json — tickers Yahoo returned no data for (retried weekly)
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Panels are stored raw: a date/ticker Yahoo has no bar for stays NaN, so a
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missing print is distinguishable from an unchanged price. ``load()`` and
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``update()`` forward-fill on read; ``load_raw()`` exposes the stored values.
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Every ``update()`` re-downloads a trailing ``REFRESH_DAYS`` window and
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overwrites it for the requested tickers. Partial intraday bars, late prints and
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rows that turn out not to be trading days are therefore corrected on the next
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run instead of being frozen. When Yahoo's split/dividend adjustment shifts the
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overlap, that ticker's older history is rescaled so returns stay continuous.
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"""
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import fcntl
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import json
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import os
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from contextlib import contextmanager
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from datetime import datetime, timedelta
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import numpy as np
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import pandas as pd
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import yfinance as yf
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DATA_DIR = "data"
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# Trailing calendar days re-downloaded and overwritten on every update.
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REFRESH_DAYS = 30
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# A row is kept only if at least this fraction of tickers alive on that date
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# have a bar. Drops e.g. US-holiday rows created by HK-listed tickers.
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MIN_ROW_COVERAGE = 0.5
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# A ticker counts as alive for this many rows after its last bar, so a newest
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# row printed by only a few tickers (late data) is still judged sparse.
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ALIVE_GRACE_ROWS = 10
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# Relative change in the adjusted-price overlap that triggers a rescale.
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RESCALE_TOLERANCE = 1e-3
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UNAVAILABLE_RETRY_DAYS = 7
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def _data_path(market: str, price_type: str = "close") -> str:
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suffix = "" if price_type == "close" else f"_{price_type}"
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return os.path.join(DATA_DIR, f"{market}{suffix}.csv")
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def load_raw(market: str, price_type: str = "close") -> pd.DataFrame | None:
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"""Load the stored panel without filling missing bars, or None if absent."""
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path = _data_path(market, price_type)
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if not os.path.exists(path):
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return None
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return pd.read_csv(path, index_col=0, parse_dates=True)
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def load(market: str, price_type: str = "close") -> pd.DataFrame | None:
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"""Load the stored panel with missing bars forward-filled."""
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raw = load_raw(market, price_type)
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return None if raw is None else raw.ffill()
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def _write_atomic(df: pd.DataFrame, path: str) -> None:
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tmp = f"{path}.tmp"
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df.to_csv(tmp)
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os.replace(tmp, path)
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@contextmanager
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def _panel_lock(market: str):
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"""Serialize updates of one market panel across processes (monitor, bridge, scripts)."""
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os.makedirs(DATA_DIR, exist_ok=True)
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with open(os.path.join(DATA_DIR, f".{market}.lock"), "w") as fh:
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fcntl.flock(fh, fcntl.LOCK_EX)
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try:
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yield
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finally:
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fcntl.flock(fh, fcntl.LOCK_UN)
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def _download(tickers: list[str], start: str, end: str | None = None,
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fields: list[str] | None = None) -> dict[str, pd.DataFrame]:
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"""
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Download price data from Yahoo Finance.
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Parameters
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----------
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fields : list of str, optional
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Price fields to extract, e.g. ["Close", "Open"].
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Defaults to ["Close"].
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Returns
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-------
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dict mapping field name to DataFrame (columns = tickers).
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"""
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if fields is None:
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fields = ["Close"]
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print(f"--- Downloading {len(tickers)} tickers from {start}{f' to {end}' if end else ''} ---")
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kwargs = dict(auto_adjust=True)
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if end:
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kwargs["end"] = end
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raw = yf.download(tickers, start=start, **kwargs)
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if raw.empty:
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return {f: pd.DataFrame() for f in fields}
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result = {}
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for field in fields:
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if field in raw.columns.get_level_values(0) if isinstance(raw.columns, pd.MultiIndex) else field in raw.columns:
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selected = raw[field]
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if isinstance(selected, pd.Series):
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result[field] = selected.to_frame(name=tickers[0])
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else:
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result[field] = selected
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else:
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result[field] = pd.DataFrame()
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return result
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def _clean_market_data(data: pd.DataFrame, field: str) -> pd.DataFrame:
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"""Clean market data while preserving volume gaps."""
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good = data.columns[data.notna().mean() > 0.5]
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dropped = set(data.columns) - set(good)
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if dropped:
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print(f"--- Dropped {len(dropped)} tickers with >50% missing data ---")
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data = data[good]
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if field == "volume":
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return data
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return data.ffill().dropna(how="all")
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def _merge_market_panel(existing: pd.DataFrame | None, new_data: pd.DataFrame) -> pd.DataFrame:
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"""Merge new data into an existing cached panel, preserving old columns and dates."""
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if existing is None or existing.empty:
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merged = new_data.copy()
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elif new_data.empty:
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merged = existing.copy()
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else:
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merged = existing.combine_first(new_data)
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merged.loc[new_data.index, new_data.columns] = new_data
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merged = merged.sort_index()
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merged = merged[~merged.index.duplicated(keep="last")]
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return merged
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def update_market_data(market: str, tickers: list[str], fields: list[str]) -> dict[str, pd.DataFrame]:
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"""Download, clean, persist, and return market data panels for requested Yahoo fields."""
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field_aliases = {
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"close": "Close",
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"open": "Open",
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"high": "High",
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"low": "Low",
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"volume": "Volume",
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}
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normalized_fields = []
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yahoo_fields = []
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for field in fields:
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normalized = field.lower()
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if normalized not in field_aliases:
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raise ValueError(f"Unsupported market data field: {field}")
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normalized_fields.append(normalized)
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yahoo_fields.append(field_aliases[normalized])
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os.makedirs(DATA_DIR, exist_ok=True)
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start = (datetime.now() - timedelta(days=365 * 10)).strftime("%Y-%m-%d")
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downloaded = _download(tickers, start=start, fields=yahoo_fields)
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cleaned = {}
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for normalized, yahoo_field in zip(normalized_fields, yahoo_fields):
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data = _clean_market_data(downloaded.get(yahoo_field, pd.DataFrame()), normalized)
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existing = load(market, normalized)
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data = _merge_market_panel(existing, data)
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path = _data_path(market, normalized)
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data.to_csv(path)
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print(f"--- Saved {data.shape[0]} days x {data.shape[1]} tickers to {path} ---")
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cleaned[normalized] = data
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return cleaned
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def _unavailable_path(market: str) -> str:
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return os.path.join(DATA_DIR, f"{market}_unavailable.json")
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def _load_unavailable(market: str) -> dict[str, str]:
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try:
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with open(_unavailable_path(market)) as f:
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return json.load(f)
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except (OSError, ValueError):
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return {}
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def _save_unavailable(market: str, unavailable: dict[str, str]) -> None:
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with open(_unavailable_path(market), "w") as f:
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json.dump(unavailable, f, indent=0, sort_keys=True)
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def _drop_sparse_rows(df: pd.DataFrame) -> pd.DataFrame:
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"""Drop rows where too few of the tickers alive on that date have a bar."""
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df = df.dropna(how="all")
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if df.empty:
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return df
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notna = df.notna().to_numpy()
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n = len(df)
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has_any = notna.any(axis=0)
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first = np.where(has_any, notna.argmax(axis=0), n)
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last = np.where(has_any, n - 1 - notna[::-1].argmax(axis=0), -1)
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pos = np.arange(n)[:, None]
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alive = (pos >= first) & (pos <= last + ALIVE_GRACE_ROWS)
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coverage = notna.sum(axis=1) / np.maximum(alive.sum(axis=1), 1)
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keep = coverage >= MIN_ROW_COVERAGE
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if not keep.all():
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dropped = [str(d.date()) for d in df.index[~keep]]
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print(f"--- Dropped {len(dropped)} sparse non-trading rows: {dropped[:5]} ---")
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return df[keep]
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def _adjustment_ratio(old: pd.Series, new: pd.Series) -> float | None:
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"""Factor to rescale older history when Yahoo re-adjusted the overlap window.
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Uses the median ratio over the earliest overlapping bars so a couple of
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bad stored values cannot fake an adjustment.
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"""
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both = pd.concat([old, new], axis=1, keys=["old", "new"]).dropna()
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both = both[both["old"] > 0].head(5)
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if len(both) < 2:
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return None
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ratio = float((both["new"] / both["old"]).median())
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if not np.isfinite(ratio) or abs(ratio - 1.0) <= RESCALE_TOLERANCE:
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return None
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return ratio
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def _merge_refresh(existing: pd.DataFrame | None, new: pd.DataFrame,
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window_start: pd.Timestamp | None) -> pd.DataFrame:
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"""Overwrite requested tickers from ``window_start`` on with freshly downloaded bars."""
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new = new.dropna(axis=1, how="all")
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if existing is None or existing.empty:
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return _drop_sparse_rows(new.sort_index())
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out = existing.copy()
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if window_start is None:
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window_start = new.index.min() if not new.empty else out.index.max()
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rescaled = []
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for col in new.columns:
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if col not in out.columns:
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continue
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ratio = _adjustment_ratio(out.loc[out.index >= window_start, col], new[col])
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if ratio is not None:
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out.loc[out.index < window_start, col] *= ratio
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rescaled.append(f"{col}x{ratio:.4f}")
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if rescaled:
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print(f"--- Rescaled history for re-adjusted tickers: {rescaled[:8]} ---")
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out = out.reindex(index=out.index.union(new.index),
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columns=list(out.columns) + [c for c in new.columns if c not in out.columns])
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window = out.index >= window_start
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out.loc[window, new.columns] = new.reindex(out.index[window]).to_numpy()
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return _drop_sparse_rows(out.sort_index())
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def _fill_open(close: pd.DataFrame, open_raw: pd.DataFrame | None) -> pd.DataFrame:
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"""Align open prices to the close panel; fall back to close where open is missing."""
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if open_raw is None or open_raw.empty:
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return close.copy()
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aligned = open_raw.reindex(index=close.index, columns=close.columns).ffill()
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return aligned.fillna(close)
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YAHOO_FIELDS = {"close": "Close", "open": "Open", "high": "High", "low": "Low", "volume": "Volume"}
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def _backfill(tickers: list[str], start: str, yahoo_fields: list[str],
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index: pd.DatetimeIndex) -> tuple[dict[str, pd.DataFrame], list[str]]:
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"""Download new tickers over ``index``; return (panels, tickers still missing).
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yfinance reports a ticker it failed to fetch (rate limit, proxy error) the
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same way as a ticker it has no data for, so tickers missing from the first
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batch are downloaded once more on their own before being given up on.
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"""
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def fetch(batch: list[str]) -> dict[str, pd.DataFrame]:
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raw = _download(batch, start=start, fields=yahoo_fields)
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close = raw["Close"].dropna(axis=1, how="all").reindex(index=index).dropna(axis=1, how="all")
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return {f: raw.get(f, pd.DataFrame()).reindex(index=index, columns=close.columns)
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for f in yahoo_fields}
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got = fetch(tickers)
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missing = [t for t in tickers if t not in got["Close"].columns]
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if missing and len(missing) < len(tickers):
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retry = fetch(missing)
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if not retry["Close"].empty:
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got = {f: pd.concat([got[f], retry[f]], axis=1) for f in yahoo_fields}
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missing = [t for t in missing if t not in retry["Close"].columns]
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return got, missing
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def update(market: str, tickers: list[str], with_open: bool = False,
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fields: list[str] | None = None):
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"""
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Refresh the stored panels for ``tickers`` and return them forward-filled.
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- First run: downloads 10 years of history.
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- Every run: re-downloads the last ``REFRESH_DAYS`` calendar days for the
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requested tickers already in the panel and overwrites them.
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- New tickers are backfilled over the panel's full date range; tickers
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Yahoo has no data for are remembered and retried weekly.
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- A field requested for the first time (e.g. ``high``) is downloaded for
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every ticker in the stored close panel.
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Returns the close panel, ``(close, open)`` when ``with_open`` is True, or
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``{field: panel}`` when ``fields`` is given. Open/high/low fall back to the
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close where a bar is missing; volume is returned raw (NaN = no print).
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"""
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names = list(fields) if fields is not None else (["close", "open"] if with_open else ["close"])
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if "close" not in names:
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names = ["close"] + names
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unknown = [f for f in names if f not in YAHOO_FIELDS]
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if unknown:
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raise ValueError(f"Unsupported market data field(s): {unknown}")
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yahoo = [YAHOO_FIELDS[f] for f in names]
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with _panel_lock(market):
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raw = {f: load_raw(market, f) for f in names}
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unavailable = _load_unavailable(market)
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today = datetime.now()
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if raw["close"] is None:
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start = (today - timedelta(days=365 * 10)).strftime("%Y-%m-%d")
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downloaded = _download(tickers, start=start, fields=yahoo)
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for f, y in zip(names, yahoo):
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raw[f] = _merge_refresh(None, downloaded.get(y, pd.DataFrame()), None)
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else:
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close_raw = raw["close"]
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first = [(f, y) for f, y in zip(names, yahoo) if raw[f] is None]
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if first:
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print(f"--- Downloading {[y for _, y in first]} for the full panel (first time) ---")
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got = _download(list(close_raw.columns), start=close_raw.index[0].strftime("%Y-%m-%d"),
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fields=[y for _, y in first])
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for f, y in first:
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raw[f] = _merge_refresh(None, got[y], None)
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known = [t for t in tickers if t in close_raw.columns]
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if known:
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window_start = close_raw.index[-1] - pd.Timedelta(days=REFRESH_DAYS)
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fresh = _download(known, start=window_start.strftime("%Y-%m-%d"), fields=yahoo)
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if not fresh["Close"].empty:
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for f, y in zip(names, yahoo):
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raw[f] = _merge_refresh(raw[f], fresh.get(y, pd.DataFrame()), window_start)
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else:
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print("--- Refresh download returned no data; keeping stored panel ---")
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cutoff = (today - timedelta(days=UNAVAILABLE_RETRY_DAYS)).strftime("%Y-%m-%d")
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new_tickers = [t for t in tickers
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if t not in raw["close"].columns and unavailable.get(t, "") < cutoff]
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if new_tickers:
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got, missing = _backfill(new_tickers, raw["close"].index[0].strftime("%Y-%m-%d"),
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yahoo, raw["close"].index)
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added = list(got["Close"].columns)
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for t in added:
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unavailable.pop(t, None)
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# A batch that returned nothing at all is a failed request, not
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# evidence the tickers have no data: retry those next run.
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if added:
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for t in missing:
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unavailable[t] = today.strftime("%Y-%m-%d")
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if added:
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for f, y in zip(names, yahoo):
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panel = got[y].reindex(index=raw[f].index)
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raw[f] = pd.concat([raw[f], panel], axis=1)
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print(f"--- Backfilled {len(added)} new tickers ---")
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if missing:
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print(f"--- {len(missing)} tickers have no Yahoo data; retry after "
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f"{UNAVAILABLE_RETRY_DAYS} days ---")
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for f in names:
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raw[f] = raw[f].loc[:, ~raw[f].columns.duplicated()]
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_write_atomic(raw[f], _data_path(market, f))
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print(f"--- Saved {raw['close'].shape[0]} days x {raw['close'].shape[1]} tickers to "
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f"{_data_path(market, 'close')} ---")
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_save_unavailable(market, unavailable)
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close = raw["close"].ffill()
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out = {"close": close}
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for f in names:
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if f in ("open", "high", "low"):
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out[f] = _fill_open(close, raw[f])
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elif f == "volume":
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out[f] = raw[f].reindex(index=close.index, columns=close.columns)
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if fields is not None:
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return out
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if with_open:
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return close, out["open"]
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return close
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def load_fields(market: str, fields: list[str]) -> dict[str, pd.DataFrame]:
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"""Stored panels without refreshing, aligned and filled the way ``update`` returns them."""
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close = load(market, "close")
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out = {"close": close}
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for f in fields:
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if f == "close":
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continue
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stored = load_raw(market, f)
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if f == "volume":
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out[f] = (stored.reindex(index=close.index, columns=close.columns)
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if stored is not None else pd.DataFrame(np.nan, index=close.index, columns=close.columns))
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else:
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out[f] = _fill_open(close, stored)
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return out
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def rebuild(market: str, with_open: bool = True, years: int = 10) -> None:
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"""Re-download the full history of every ticker in a stored panel.
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Used to repair panels written by the old append-only updater. Tickers
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Yahoo no longer serves keep their stored history.
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"""
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with _panel_lock(market):
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old_close = load_raw(market, "close")
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old_open = load_raw(market, "open")
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if old_close is None:
|
|
raise FileNotFoundError(_data_path(market, "close"))
|
|
tickers = list(old_close.columns)
|
|
start = (datetime.now() - timedelta(days=365 * years)).strftime("%Y-%m-%d")
|
|
fields = ["Close", "Open"] if with_open else ["Close"]
|
|
fresh = _download(tickers, start=start, fields=fields)
|
|
close = _merge_refresh(None, fresh["Close"], None)
|
|
kept = [t for t in tickers if t not in close.columns]
|
|
if kept:
|
|
close = close.combine_first(old_close[kept].reindex(close.index))
|
|
print(f"--- Kept stored history for {len(kept)} tickers Yahoo no longer serves ---")
|
|
close = close[[t for t in tickers if t in close.columns]]
|
|
_write_atomic(close, _data_path(market, "close"))
|
|
print(f"--- Rebuilt {market}: {close.shape[0]} days x {close.shape[1]} tickers ---")
|
|
if with_open:
|
|
opens = fresh.get("Open", pd.DataFrame()).dropna(axis=1, how="all")
|
|
opens = opens.reindex(index=close.index)
|
|
if old_open is not None:
|
|
missing = [t for t in close.columns if t not in opens.columns and t in old_open.columns]
|
|
if missing:
|
|
opens = pd.concat([opens, old_open[missing].reindex(close.index)], axis=1)
|
|
_write_atomic(opens, _data_path(market, "open"))
|