Gahow Wang
42218741d4
Backtesting engine supporting 11 strategies across US (S&P 500) and CN (CSI 300) markets with open-to-close execution, proportional + fixed per-trade fees. Daily trader (trader.py) with auto/morning/evening/simulate/status commands and cron-friendly `auto` mode for unattended daily runs on a server. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
248 lines
11 KiB
Python
248 lines
11 KiB
Python
"""
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Persistent local data store for price history.
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Layout:
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data/us.csv — S&P 500 + SPY adjusted close prices
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data/us_open.csv — S&P 500 + SPY adjusted open prices
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data/cn.csv — CSI 300 + 000300.SS adjusted close prices
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data/cn_open.csv — CSI 300 + 000300.SS adjusted open prices
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On first run: downloads full 10-year history.
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On subsequent runs: reads existing file, downloads only new dates, appends.
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New tickers (index rebalance) are backfilled automatically.
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"""
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import os
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from datetime import datetime, timedelta
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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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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(market: str, price_type: str = "close") -> pd.DataFrame | None:
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"""Load existing data file, or None if it doesn't exist."""
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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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df = pd.read_csv(path, index_col=0, parse_dates=True)
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return df
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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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if len(tickers) > 1:
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result[field] = raw[field]
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else:
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result[field] = raw[field].to_frame(name=tickers[0])
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else:
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result[field] = pd.DataFrame()
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return result
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def _download_period(tickers: list[str], period: str,
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fields: list[str] | None = None) -> dict[str, pd.DataFrame]:
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"""Download using period-based API (for small gaps)."""
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if fields is None:
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fields = ["Close"]
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raw = yf.download(tickers, period=period, auto_adjust=True)
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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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if len(tickers) > 1:
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result[field] = raw[field]
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else:
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result[field] = raw[field].to_frame(name=tickers[0])
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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(data: pd.DataFrame) -> pd.DataFrame:
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"""Drop tickers with >50% missing data, forward-fill, drop all-NaN rows."""
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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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data = data.ffill().dropna(how="all")
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return data
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def update(market: str, tickers: list[str],
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with_open: bool = False) -> pd.DataFrame | tuple[pd.DataFrame, pd.DataFrame]:
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"""
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Load existing data, download new dates and new tickers, save back.
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Parameters
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----------
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with_open : bool
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If True, also download/maintain Open prices and return (close, open) tuple.
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Returns
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-------
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pd.DataFrame or (close_df, open_df)
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Price data ready for backtesting.
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"""
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os.makedirs(DATA_DIR, exist_ok=True)
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fields = ["Close", "Open"] if with_open else ["Close"]
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existing_close = load(market, "close")
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existing_open = load(market, "open") if with_open else None
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# If we need open prices but don't have them cached, force a full re-download
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need_full_open = with_open and existing_open is None and existing_close is not None
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if existing_close is None:
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# First run: download full 10-year history
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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=fields)
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close_data = downloaded["Close"]
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open_data = downloaded.get("Open", pd.DataFrame()) if with_open else None
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elif need_full_open:
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# Have close data but need open data — download open prices for full range
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close_data = existing_close
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start = close_data.index[0].strftime("%Y-%m-%d")
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known_tickers = [t for t in close_data.columns if t in tickers]
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print(f"--- Downloading Open prices for {len(known_tickers)} tickers (first time) ---")
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downloaded = _download(known_tickers, start=start, fields=["Open"])
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open_data = downloaded.get("Open", pd.DataFrame())
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last_date = close_data.index[-1]
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# Still need to append new close dates and backfill new tickers
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next_day = (last_date + timedelta(days=1)).strftime("%Y-%m-%d")
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today = datetime.now().strftime("%Y-%m-%d")
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if next_day < today:
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if known_tickers:
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gap_days = (datetime.now() - last_date.to_pydatetime().replace(tzinfo=None)).days
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if gap_days <= 7:
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print(f"--- Fetching last {gap_days + 5}d to append ---")
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new = _download_period(known_tickers, f"{gap_days + 5}d", fields=fields)
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new_close = new["Close"]
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new_close = new_close[new_close.index > last_date]
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else:
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new = _download(known_tickers, start=next_day, fields=fields)
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new_close = new["Close"]
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if not new_close.empty:
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close_data = pd.concat([close_data, new_close]).sort_index()
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close_data = close_data[~close_data.index.duplicated(keep="last")]
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print(f"--- Appended {len(new_close)} new days ---")
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else:
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print("--- No new trading days to append ---")
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new_tickers = [t for t in tickers if t not in close_data.columns]
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if new_tickers:
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start = close_data.index[0].strftime("%Y-%m-%d")
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backfill = _download(new_tickers, start=start, fields=fields)
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backfill_close = backfill["Close"]
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backfill_open = backfill.get("Open", pd.DataFrame())
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if not backfill_close.empty:
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backfill_close = backfill_close.reindex(close_data.index)
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close_data = pd.concat([close_data, backfill_close], axis=1)
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if not backfill_open.empty and open_data is not None:
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backfill_open = backfill_open.reindex(open_data.index)
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open_data = pd.concat([open_data, backfill_open], axis=1)
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print(f"--- Backfilled {len(new_tickers)} new tickers ---")
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else:
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close_data = existing_close
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open_data = existing_open if with_open else None
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last_date = close_data.index[-1]
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# 1) Append new dates for existing tickers
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next_day = (last_date + timedelta(days=1)).strftime("%Y-%m-%d")
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today = datetime.now().strftime("%Y-%m-%d")
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if next_day < today:
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known_tickers = [t for t in close_data.columns if t in tickers]
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if known_tickers:
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gap_days = (datetime.now() - last_date.to_pydatetime().replace(tzinfo=None)).days
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if gap_days <= 7:
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print(f"--- Fetching last {gap_days + 5}d to append ---")
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new = _download_period(known_tickers, f"{gap_days + 5}d", fields=fields)
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new_close = new["Close"]
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new_close = new_close[new_close.index > last_date]
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new_open = new.get("Open", pd.DataFrame())
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if not new_open.empty:
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new_open = new_open[new_open.index > last_date]
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else:
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new = _download(known_tickers, start=next_day, fields=fields)
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new_close = new["Close"]
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new_open = new.get("Open", pd.DataFrame())
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if not new_close.empty:
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close_data = pd.concat([close_data, new_close]).sort_index()
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close_data = close_data[~close_data.index.duplicated(keep="last")]
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print(f"--- Appended {len(new_close)} new days ---")
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if with_open and not new_open.empty and open_data is not None:
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open_data = pd.concat([open_data, new_open]).sort_index()
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open_data = open_data[~open_data.index.duplicated(keep="last")]
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else:
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print("--- No new trading days to append ---")
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# 2) Backfill any new tickers not in existing data
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new_tickers = [t for t in tickers if t not in close_data.columns]
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if new_tickers:
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start = close_data.index[0].strftime("%Y-%m-%d")
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backfill = _download(new_tickers, start=start, fields=fields)
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backfill_close = backfill["Close"]
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backfill_open = backfill.get("Open", pd.DataFrame())
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if not backfill_close.empty:
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backfill_close = backfill_close.reindex(close_data.index)
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close_data = pd.concat([close_data, backfill_close], axis=1)
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print(f"--- Backfilled {len(new_tickers)} new tickers ---")
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if with_open and not backfill_open.empty and open_data is not None:
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backfill_open = backfill_open.reindex(open_data.index)
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open_data = pd.concat([open_data, backfill_open], axis=1)
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# Clean and save close
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close_data = _clean(close_data)
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close_path = _data_path(market, "close")
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close_data.to_csv(close_path)
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print(f"--- Saved {close_data.shape[0]} days x {close_data.shape[1]} tickers to {close_path} ---")
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if with_open and open_data is not None and not open_data.empty:
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# Align open data to same tickers/dates as close
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open_data = open_data.reindex(index=close_data.index, columns=close_data.columns)
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open_data = open_data.ffill().dropna(how="all")
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# Where open is missing, fall back to close
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open_data = open_data.fillna(close_data)
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open_path = _data_path(market, "open")
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open_data.to_csv(open_path)
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print(f"--- Saved {open_data.shape[0]} days x {open_data.shape[1]} tickers to {open_path} ---")
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return close_data, open_data
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return close_data
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