""" L2 数据加载器(基于 HF 数据集,按需下载单日文件)。 数据集: kangkangchen/a-share-l2-600809 kangkangchen/a-share-tushare-context-600809 """ from __future__ import annotations import os from typing import Dict, Iterable, List import pandas as pd from huggingface_hub import hf_hub_download L2_REPO = "kangkangchen/a-share-l2-600809" TUSHARE_REPO = "kangkangchen/a-share-tushare-context-600809" TS_CODE = "600809.SH" # 2025-09-25: 上交所被动方 order-link 命中率异常,整日剔除 BLACKLIST_DATES = {20230102, 20250925} L2_TABLES = ("level2_trades", "level2_orders") def _parquet_path(table: str, date: int) -> str: ds = str(date) year, month = ds[:4], ds[4:6] if table in ("level2_quotes", "level2_orders", "level2_trades"): return f"data/{table}/year={year}/month={month}/ts_code={TS_CODE}/{ds}.parquet" # tushare tables if table == "moneyflow_hsgt_daily": return f"data/{table}/year={year}/month={month}/*.parquet" # market-level, no ts_code return f"data/{table}/year={year}/month={month}/ts_code={TS_CODE}/*.parquet" def download_l2_table(table: str, date: int) -> str: """下载单日单张 L2 表,返回本地 parquet 路径(使用 HF 缓存)。""" if date in BLACKLIST_DATES: raise ValueError(f"date {date} is blacklisted") path = _parquet_path(table, date) return hf_hub_download(L2_REPO, path, repo_type="dataset") def load_trades(date: int) -> pd.DataFrame: """加载单日逐笔成交。""" p = download_l2_table("level2_trades", date) return pd.read_parquet(p) def load_orders(date: int) -> pd.DataFrame: """加载单日逐笔委托。""" p = download_l2_table("level2_orders", date) return pd.read_parquet(p) def load_l2_day(date: int) -> Dict[str, pd.DataFrame]: """加载单日 trades + orders。""" return { "trades": load_trades(date), "orders": load_orders(date), } def list_available_dates( start: int = 20230101, end: int = 20260331 ) -> List[int]: """ 通过 HF API 列出可用日期。 注意:这需要一次 API 调用。在 sandbox 里可以直接扫描快照目录。 本地测试时手动指定日期范围即可。 """ from huggingface_hub import list_repo_tree dates = set() for table in ("level2_quotes", "level2_orders", "level2_trades"): tree = list_repo_tree( L2_REPO, repo_type="dataset", recursive=True ) for item in tree: path = item.path if path.endswith(".parquet") and "ts_code=600809.SH" in path: try: d = int(os.path.splitext(os.path.basename(path))[0]) if start <= d <= end and d not in BLACKLIST_DATES: dates.add(d) except ValueError: pass return sorted(dates) def load_tushare_table(root: str, table: str) -> pd.DataFrame: """加载 tushare 单表全量。root 是 HF snapshot 本地路径。""" import glob if table == "moneyflow_hsgt_daily": pattern = f"{root}/data/{table}/year=*/month=*/*.parquet" else: pattern = f"{root}/data/{table}/year=*/month=*/ts_code={TS_CODE}/*.parquet" files = sorted(glob.glob(pattern)) if not files: return pd.DataFrame() dfs = [pd.read_parquet(f) for f in files] df = pd.concat(dfs, ignore_index=True) if "trade_date" in df.columns: df = df.sort_values("trade_date").reset_index(drop=True) return df