feat(trader): 软限额max_allocation(分期项)—每策略资金额度消除顺序依赖
spec §195: 多策略并发下单"先到后到"不可复现 → 每策略独立max_allocation - StrategyRunner: max_allocation字段(默认inf) + used_allocation(持仓市值) - engine._match: BUY cash_enough后查 used+成交额>max_allocation → 拒单max_allocation_exceeded - live_orchestrator: runner传max_allocation(默认initial_capital) - routes_paper: StrategyCfg加max_allocation(API→DB→live_step数据流) - test_soft_limit: 3测试(累计超限拒单/默认不限/SELL不受限) 116 passed(113旧+3新), 无回归.
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@@ -34,6 +34,7 @@ class StrategyCfg(BaseModel):
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match_session: str = "next_open"
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symbol: str
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listing_days: int = 0
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max_allocation: float | None = None # 软限额（spec §195），None=用 initial_capital
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class PaperCreateRequest(BaseModel):
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@@ -168,8 +169,10 @@ def _run_replay(db, aid, req: PaperCreateRequest):
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except Exception:
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pass
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cta.set_strategy(strat)
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runners.append(StrategyRunner(s.name, strategy=strat, paper_cta_engine=cta,
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symbol=s.symbol))
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runners.append(StrategyRunner(
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s.name, strategy=strat, paper_cta_engine=cta, symbol=s.symbol,
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max_allocation=(s.max_allocation if s.max_allocation is not None
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else req.initial_capital)))
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pe = PaperEngine(account, runners, _DataSourceWrapper(data_cfg), acc_cfg,
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db, aid, req.symbols, req.start, req.end, req.interval)
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pe.run()
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@@ -120,6 +120,18 @@ class PaperEngine:
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reject_reason="insufficient_position_no_short")
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return
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if self.account.cash_enough(result):
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# 软限额：BUY 检查该策略已用额度（消除多策略撮合顺序依赖，spec §195）
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if result.side == OrderSide.BUY:
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closes = {sym: b.close_price for sym, b in bars.items()}
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if (runner.used_allocation(closes) + result.price * result.volume
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> runner.max_allocation):
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save_trade(self.db_path, self.account_id,
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{"strategy_id": order.strategy_id,
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"symbol": order.symbol,
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"bar_date": str(bar_date)},
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rejected=True,
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reject_reason="max_allocation_exceeded")
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return
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self.account.apply_trade(result)
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runner.apply_trade(result)
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save_trade(self.db_path, self.account_id,
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@@ -80,8 +80,10 @@ def live_step(db_path: str, account_id: int, data_source, cfg, today: str | None
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if not hasattr(strat, "am"):
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strat.am = ArrayManager(20)
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cta.set_strategy(strat)
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max_a = s.get("max_allocation")
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runner = StrategyRunner(s["name"], strategy=strat, paper_cta_engine=cta,
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symbol=s["symbol"])
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symbol=s["symbol"],
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max_allocation=max_a if max_a is not None else initial)
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runner.positions = _restore_ledger(
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load_positions(db_path, account_id, f"strategy:{s['name']}"))
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runners.append(runner)
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@@ -8,15 +8,27 @@ from .position_ledger import PositionLedger
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class StrategyRunner:
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def __init__(self, strategy_id: str, strategy=None, paper_cta_engine=None,
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symbol: str = "") -> None:
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symbol: str = "", max_allocation: float = float("inf")) -> None:
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self.strategy_id: str = strategy_id
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self.strategy = strategy
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self.paper_cta_engine = paper_cta_engine
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self.symbol: str = symbol
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self.max_allocation: float = max_allocation # 软限额（spec §195），默认不限
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self.positions: dict[str, PositionLedger] = {}
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self.realized_pnl: float = 0.0
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self.commission_paid: float = 0.0
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def used_allocation(self, closes: dict[str, float] | None = None) -> float:
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"""该策略已占用资金 = 持仓市值（spec §195 软限额检查用）。
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closes 为当日 raw 收盘价 {symbol: price}；缺省股票用 avg_price 兜底。
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"""
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closes = closes or {}
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return sum(
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p.volume * closes.get(sym, p.avg_price)
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for sym, p in self.positions.items() if p.volume > 0
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)
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def _position(self, symbol: str) -> PositionLedger:
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if symbol not in self.positions:
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self.positions[symbol] = PositionLedger(symbol)
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@@ -0,0 +1,132 @@
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"""软限额（每策略 max_allocation）测试（spec §195）。
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消除多策略并发撮合的顺序依赖：BUY 检查该策略已用额度，超限拒单。
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"""
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from types import SimpleNamespace
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from sanguo_trader.account import Account
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from sanguo_trader.cta_adapter import PaperCtaEngine
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from sanguo_trader.engine import PaperEngine
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from sanguo_trader.models import (
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AccountConfig, MatchSession, OrderSide, PaperOrder,
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)
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from sanguo_trader.persistence import init_db, list_trades, save_account
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from sanguo_trader.position_ledger import PositionLedger
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from sanguo_trader.strategy_runner import StrategyRunner
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def _bar(date, o, h, l, c):
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return SimpleNamespace(open_price=o, high_price=h, low_price=l,
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close_price=c, datetime=date)
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class _FakeDataSource:
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def __init__(self, sections):
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self.sections = sections
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def iter_bars(self, symbols, start, end, interval, adjust="qfq", cfg=None):
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del symbols, start, end, interval, adjust, cfg
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for date, bars in self.sections:
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yield date, bars
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class _BuyEveryBar:
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"""每根 bar 发一张 BUY 单（volume 可配，用于累加测试）。"""
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def __init__(self, engine, vt_symbol, volume=100):
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self.cta_engine = engine
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self.vt_symbol = vt_symbol
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self.volume = volume
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def on_bar(self, bar):
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self.cta_engine.send_order(self, "LONG", "OPEN", bar.close_price, self.volume)
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def _build(tmp_path, sections, max_allocation=None, match_session=MatchSession.CURRENT_CLOSE):
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"""构造单策略 engine。max_allocation=None 表示不限（默认）。"""
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db = str(tmp_path / "soft.db")
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init_db(db)
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aid = save_account(db, {"name": "t", "initial_capital": 1_000_000})
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cfg = AccountConfig(initial_capital=1_000_000)
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account = Account(1_000_000)
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cta = PaperCtaEngine("s1", match_session=match_session)
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strat = _BuyEveryBar(cta, "600000.SSE")
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cta.set_strategy(strat)
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kwargs = {"max_allocation": max_allocation} if max_allocation is not None else {}
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runner = StrategyRunner("s1", strategy=strat, paper_cta_engine=cta,
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symbol="600000", **kwargs)
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pe = PaperEngine(account, [runner], _FakeDataSource(sections), cfg, db, aid,
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symbols=["600000"], start="2024-01-01", end="2024-12-31")
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return pe, db, aid, account, runner
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def test_buy_accumulation_beyond_max_allocation_rejected(tmp_path):
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# Arrange：每 bar 买 100 股 @~10（turnover≈1000），max_allocation=2500
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# d1 fill→pos100；d2 fill→pos200(used2000+1000=3000>2500 看的是 d3)
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# d3: used=200×10=2000，+1000=3000 > 2500 → 拒单
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sections = [
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("2024-01-01", {"600000": _bar("2024-01-01", 10.0, 10.5, 9.5, 10.0)}),
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("2024-01-02", {"600000": _bar("2024-01-02", 10.0, 10.5, 9.5, 10.0)}),
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("2024-01-03", {"600000": _bar("2024-01-03", 10.0, 10.5, 9.5, 10.0)}),
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]
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pe, db, aid, *_ = _build(tmp_path, sections, max_allocation=2500)
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# Act
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pe.run()
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# Assert：2 成交 + 1 拒单（max_allocation_exceeded）
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trades = list_trades(db, aid)
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fills = [t for t in trades if not t["rejected"]]
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rejects = [t for t in trades if t["rejected"]]
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assert len(fills) == 2
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assert len(rejects) == 1
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assert rejects[0]["reject_reason"] == "max_allocation_exceeded"
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def test_default_max_allocation_unlimited(tmp_path):
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# Arrange：未设 max_allocation（默认不限）→ 同样 3 bar 全部成交
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sections = [
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("2024-01-01", {"600000": _bar("2024-01-01", 10.0, 10.5, 9.5, 10.0)}),
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("2024-01-02", {"600000": _bar("2024-01-02", 10.0, 10.5, 9.5, 10.0)}),
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("2024-01-03", {"600000": _bar("2024-01-03", 10.0, 10.5, 9.5, 10.0)}),
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]
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pe, db, aid, *_ = _build(tmp_path, sections) # 不传 max_allocation
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# Act
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pe.run()
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# Assert：3 成交 0 拒单
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trades = list_trades(db, aid)
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fills = [t for t in trades if not t["rejected"]]
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rejects = [t for t in trades if t["rejected"]]
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assert len(fills) == 3
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assert len(rejects) == 0
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def test_sell_not_limited_by_max_allocation(tmp_path):
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# Arrange：预置持仓已超 max_allocation（200 股×10=2000 > 1000），发 SELL
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db = str(tmp_path / "sell.db")
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init_db(db)
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aid = save_account(db, {"name": "t", "initial_capital": 1_000_000})
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cfg = AccountConfig(initial_capital=1_000_000)
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account = Account(1_000_000)
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runner = StrategyRunner("s1", symbol="600000", max_allocation=1000)
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for r in (account, runner):
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pos = PositionLedger("600000")
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pos.volume = 200
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pos.avg_price = 10.0
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r.positions["600000"] = pos
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pe = PaperEngine(account, [runner], None, cfg, db, aid,
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["600000"], "x", "y")
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sell_order = PaperOrder("s1", "600000", OrderSide.SELL, 10.0, 100,
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match_session=MatchSession.CURRENT_CLOSE)
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bars = {"600000": _bar("2024-01-01", 10.0, 10.5, 9.5, 10.0)}
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# Act：直接驱动 _match（SELL 路径）
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pe._match(sell_order, runner, bars, {"600000": 10.0}, "2024-01-01")
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# Assert：SELL 成交，不受 max_allocation 限制
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trades = list_trades(db, aid)
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assert len(trades) == 1
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assert not trades[0]["rejected"]
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assert runner.positions["600000"].volume == 100
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