Metadata-Version: 2.4
Name: rqalpha-futu-datasource
Version: 3.0.2
Summary: Futu datasource for rqalpha
Author-email: nange <cctonange@gmail.com>
License:                                  Apache License
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License-File: LICENSE
Classifier: Intended Audience :: Developers
Classifier: License :: OSI Approved :: Apache Software License
Classifier: Operating System :: OS Independent
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3 :: Only
Classifier: Programming Language :: Python :: 3.11
Classifier: Programming Language :: Python :: 3.12
Classifier: Programming Language :: Python :: 3.13
Classifier: Programming Language :: Python :: 3.14
Classifier: Topic :: Software Development :: Libraries
Requires-Python: <4.0,>=3.11
Requires-Dist: futu-api>=10.4.6408
Requires-Dist: rqalpha-plus>=6.1.3.5
Description-Content-Type: text/markdown

# rqalpha-futu-datasource

由于RQAlpha回测框架提供的数据，需要付费(还挺贵)，并且只有A股的数据。
因此为RQAlpha框架提供自定义的Futu(富途)数据源，同时支持A股、港股、美股数据。用于基于rqalpha框架的股票和场内基金(ETF/LOF)回测。

**注意：本项目依赖的rqalpha框架是fork自官方的版本[rqalpha-plus](https://github.com/nange/rqalpha-plus)，以同时支持A股、港股、美股回测交易。在编写回测代码时，原本依赖的rqalpha框架，需要替换为rqalpha-plus。**

## 用法

### 本地开发

推荐使用`uv`工具管理项目依赖。执行以下命令安装项目依赖：

```bash
make sync
```

后续即可做开发和测试。

### 安装

- `pip install rqalpha-futu-datasource` 或 `uv add rqalpha-futu-datasource`(uv管理依赖)

### 下载富途原始数据到本地

- 启动本地 OpenD(默认 `127.0.0.1:11111`)
- 运行下载脚本，将数据保存为 CSV：
  - `python -m rqalpha_futu_datasource.download --data-dir data --codes 000001.XSHE,600000.XSHG,00700.XHKG,AAPL.XNAS --periods 1m,3m,5m,1d,1w --start 2024-01-01 --end 2024-12-31`
  - 或使用代码文件：`python -m rqalpha_futu_datasource.download --data-dir data --code-file ./codes.txt`
- 目录结构：`data/<MARKET>/<ORDER_BOOK_ID>/<period>.csv`，例如：`data/CN/000001.XSHE/1d.csv`, `data/HK/00700.XHKG/1d.csv`, `data/US/AAPL.XNAS/1d.csv`
- 可通过环境变量指定目录：`set FUTU_DATA_PATH=...`（Windows）

> 注意：
>
> - 下载富途原始数据时，也可以指定富途OpenD的地址和端口号，如"--host 192.168.0.2 --port 22222"
> - `--codes` 只支持 `RQAlpha` 的股票代码格式（如 `000001.XSHE`、`600000.XSHG`、`00700.XHKG`、`AAPL.XNAS`）。
> - 同样，`--code-file` 参数指定的文件中，每个股票代码占一行，也必须是 `RQAlpha` 格式。

### 在 RQAlpha 中启用 Futu 数据源

通过扩展模块替换默认DataSource。参考：[test_rqalpha.py](tests/test_rqalpha.py), [mod_futu_ds.py](src/rqalpha_futu_datasource/mod_futu_ds.py)

#### 1. 基础配置

```python
from rqalpha import run_func


def test_run_with_futu_datasource():
    config = {
        "base": {
            "start_date": "2024-11-01",
            "end_date": "2024-11-06",
            "accounts": {"stock": 100000},
            "frequency": "1m",
            "data_bundle_path": os.path.abspath("tests/data"),
        },
        "extra": {
            "log_level": "info",
        },
        "mod": {
            "futu_ds": {
                "enabled": True,
                "lib": "rqalpha_futu_datasource.mod_futu_ds",
            }
        },
    }
    run_func(init=init, handle_bar=handle_bar, config=config)
```

#### 2. 配置港股每手（Board Lot）

为避免网络依赖，港股每手数量支持以本地方式配置。如果不配置港股每手映射表，默认每手为100。支持以下两种方式（优先使用内存字典）：

- **通过 CSV 文件路径**：配置 `hk_lot_map_path`。CSV 需包含 `code` 与 `lot_size`（或 `lot`/`board_lot`）列。
- **通过内存字典**：配置 `hk_lot_map`。

配置示例：

```python
config = {
    "mod": {
        "futu_ds": {
            "enabled": True,
            "lib": "rqalpha_futu_datasource.mod_futu_ds",
            # 方式一：指定 CSV 文件路径
            "hk_lot_map_path": os.path.abspath("tests/data/hk_lot_map.csv"),
            # 方式二：直接传入字典 (优先级更高)
            "hk_lot_map": {"00700": 200, "00005": 500},
        }
    },
}
```

CSV 文件示例：

```csv
code,lot_size
00700,200
00005,500
```

#### 3. 配置交易日历范围（Markets）

`rqalpha-futu-datasource` 需要知道在哪个市场中查找交易日历数据，可用数据时间范围以及加载那个市场的`Instrument`信息等，这可以通过 `rqalpha` 的 `base` 配置中的 `market` 参数来确定：

```python
config = {
    "base": {
        "market": "cn",  # 可选值: "cn" (默认), "hk", "us" (不区分大小写), 也可同时指定多个市场, 如: ["cn", "hk", "us"]
        # ... 其他 base 配置
    },
    "mod": {
        "futu_ds": {
            "enabled": True,
            # ... 其他配置
        }
    }
}
```

- `cn`: 对应 A 股市场（包含 SH 和 SZ）。
- `hk`: 对应港股市场（HK）。
- `us`: 对应美股市场（US）。

如果未配置 `base.market`，默认使用 `cn`。

### 指定富途数据存储目录有三种方式

1. 在RQAlpha的模块配置中指定：

   ```python
   config = {
      "mod": {
            "futu_ds": {
                "enabled": True,
                "lib": "rqalpha_futu_datasource.mod_futu_ds",
                "futu_data_path": "path/to/futu/data",
            }
        },
   }
   ```

2. 在RQAlpha base配置中指定：

   ```python
   config = {
       "base": {
           "data_bundle_path": "path/to/futu/data",
       },
   }
   ```

3. 在环境变量中指定：

   ```bash
   export FUTU_DATA_PATH=path/to/futu/data
   ```

优先级按此顺序：模块配置 > base配置 > 环境变量。

### 限制及说明

- RQAlpha与富途股票代码之间的对应关系是：
  - A股：`000001.XSHE` -> `SZ.000001` (深圳交易所)
  - A股：`603728.XSHG` -> `SH.603728` (上海交易所)
  - 港股：`00700.XHKG` -> `HK.00700`  (香港交易所)
  - 美股：`AAPL.XNAS` -> `US.AAPL`  (纳斯达克交易所)
  - 美股：`TSM.XNYS` -> `US.TSM`  (纽约交易所)
- 限制：
  - 仅支持股票和场内基金(包含A股和港股的ETF/LOF，美股ETF按股票处理)，不支持期货、期权等其他品种。
  - 原始从富途下载的数据就只能是前复权数据。不支持其他复权方式。
  - 数据不能增量更新，有新数据需求只能重新下载全量数据(富途的OpenD进程会本地缓存数据，所以不用太担心此问题)。
  - 回测频率支持周期 `1m`、`1d`(RQAlpha框架限制)，在handle_bar回调函数中，可以查询的历史数据周期为:`1m`, `3m`, `5m`, `1d`, `1w`(RQAlpha框架限制，无法支持到月级别)。
