From 28aea672329803f2a3a04bbfce3561693ca37063 Mon Sep 17 00:00:00 2001 From: claude_dev Date: Tue, 7 Jul 2026 06:21:17 +0800 Subject: [PATCH] =?UTF-8?q?feat(s1):=20=E5=9B=9E=E6=B5=8B=E6=A0=B8?= =?UTF-8?q?=E5=BF=83=E7=AB=AF=E5=88=B0=E7=AB=AF=E8=B7=91=E9=80=9A=EF=BC=88?= =?UTF-8?q?vnpy=20client=20=E5=AF=B9=E9=BD=90=EF=BC=89?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit - 修 submit_cta/optimize 策略字符串→类解析（get_strategy_class） - cta_engine: worker 进程设 vnpy DB→quant_trading.db（修 0 根数据） - equity_curve 取自 calculate_result 的 daily_df（修 get_all_daily_results 对象问题） - kline 补 cfg（find_config_path 共享） - 端到端冒烟通过：DoubleMaStrategy 600000 → equity111/pnl111/trades1/kline117 --- sanguo_api/kline.py | 3 ++ sanguo_api/routes.py | 12 ++++-- sanguo_backtest/cta_engine.py | 32 +++++++++++--- sanguo_data/config.py | 14 ++++++ scripts/smoke_phase3b.py | 81 +++++++++++++++++++++++++++++++++++ 5 files changed, 132 insertions(+), 10 deletions(-) create mode 100644 scripts/smoke_phase3b.py diff --git a/sanguo_api/kline.py b/sanguo_api/kline.py index 4b5e6e1..b1801a0 100644 --- a/sanguo_api/kline.py +++ b/sanguo_api/kline.py @@ -16,7 +16,10 @@ def load_kline(symbol: str, start: str, end: str, cfg=None) -> list[dict]: cfg: Optional data config; None uses default data_platform.yaml. """ from sanguo_data.datareader import read_db_daily + from sanguo_data.config import load_config, find_config_path + if cfg is None: + cfg = load_config(find_config_path()) bars = read_db_daily(symbol, start, end, cfg) return [ { diff --git a/sanguo_api/routes.py b/sanguo_api/routes.py index 907c766..3c6842a 100644 --- a/sanguo_api/routes.py +++ b/sanguo_api/routes.py @@ -6,7 +6,7 @@ from pydantic import BaseModel from .schemas import CtaBacktestRequest, OptimizeRequest, FactorAnalysisRequest from .auth import verify_token as verify_token_impl, verify_password, create_token from .ws import manager -from .strategy_registry import list_strategies, strategy_params +from .strategy_registry import list_strategies, strategy_params, get_strategy_class from .kline import load_kline @@ -60,8 +60,11 @@ def login(req: LoginRequest): @router.post("/backtest/cta", dependencies=[Depends(verify_token)]) async def submit_cta(req: CtaBacktestRequest): """Submit CTA backtest task""" + cls = get_strategy_class(req.strategy) + if cls is None: + raise HTTPException(status_code=400, detail=f"未知策略: {req.strategy}") tid = await get_orchestrator().submit_cta( - strategy_class=req.strategy, + strategy_class=cls, symbol=req.symbol, params=req.params, start=req.start, @@ -74,8 +77,11 @@ async def submit_cta(req: CtaBacktestRequest): @router.post("/backtest/optimize", dependencies=[Depends(verify_token)]) async def submit_optimize(req: OptimizeRequest): """Submit optimization task""" + cls = get_strategy_class(req.strategy) + if cls is None: + raise HTTPException(status_code=400, detail=f"未知策略: {req.strategy}") tid = await get_orchestrator().submit_optimize( - strategy_class=req.strategy, + strategy_class=cls, symbol=req.symbol, grid=req.grid, start=req.start, diff --git a/sanguo_backtest/cta_engine.py b/sanguo_backtest/cta_engine.py index 2b6a1df..add8b9a 100644 --- a/sanguo_backtest/cta_engine.py +++ b/sanguo_backtest/cta_engine.py @@ -94,6 +94,17 @@ def run_cta_backtest(strategy_class, symbol: str, params: dict, start: str, end: # Add strategy engine.add_strategy(strategy_class, params) + # Configure vnpy DB → A-share quant_trading.db. Worker process (spawn) + # doesn't inherit main-process SETTINGS, so set before engine.load_data. + try: + from vnpy.trader.setting import SETTINGS + from sanguo_data.config import load_config, find_config_path + _dcfg = load_config(find_config_path()) + SETTINGS["database.name"] = "sqlite" + SETTINGS["database.database"] = _dcfg.data_paths["vnpy_db"] + except Exception: + pass + # Load historical data engine.load_data() @@ -110,13 +121,20 @@ def run_cta_backtest(strategy_class, symbol: str, params: dict, start: str, end: for k, v in raw_stats.items() } - # Build equity curve DataFrame (S1.2): engine.get_all_daily_results() - # returns a list of dicts; keep date + balance for the chart + parquet. - daily_results = engine.get_all_daily_results() - if isinstance(daily_results, list) and daily_results: - equity_df = pd.DataFrame(daily_results) - cols = [c for c in ("date", "balance") if c in equity_df.columns] - equity_df = equity_df[cols] if cols else pd.DataFrame() + # Build equity curve DataFrame (S1.2): use the daily_df returned by + # calculate_result (index=date, has a 'balance' column). get_all_daily_results + # returns DailyResult objects (not dicts), so prefer daily_df. + if daily_df is not None and hasattr(daily_df, "empty") and not daily_df.empty: + if "balance" in daily_df.columns: + _bal = daily_df["balance"].astype(float) + elif "net_pnl" in daily_df.columns: + _bal = daily_df["net_pnl"].astype(float).cumsum() + 1_000_000 + else: + _bal = None + equity_df = pd.DataFrame({ + "date": daily_df.index.astype(str), + "balance": _bal.tolist(), + }) if _bal is not None else pd.DataFrame() else: equity_df = pd.DataFrame() diff --git a/sanguo_data/config.py b/sanguo_data/config.py index 5259b7d..1580744 100644 --- a/sanguo_data/config.py +++ b/sanguo_data/config.py @@ -1,5 +1,6 @@ # sanguo_data/config.py from dataclasses import dataclass +import os import yaml @dataclass(frozen=True) @@ -27,3 +28,16 @@ def load_config(path: str) -> DataConfig: validation=raw.get("validation", {}), performance=raw.get("performance", {}), ) + + +def find_config_path() -> str: + """Locate data_platform.yaml: container /app/config first, then repo config/.""" + candidates = [ + "/app/config/data_platform.yaml", + os.path.join(os.path.dirname(os.path.dirname(os.path.abspath(__file__))), "config", "data_platform.yaml"), + "config/data_platform.yaml", + ] + for p in candidates: + if os.path.exists(p): + return p + return candidates[0] diff --git a/scripts/smoke_phase3b.py b/scripts/smoke_phase3b.py new file mode 100644 index 0000000..ab9d95d --- /dev/null +++ b/scripts/smoke_phase3b.py @@ -0,0 +1,81 @@ +#!/usr/bin/env python3 +"""Phase 3b S1 end-to-end smoke. + +Login -> submit CTA backtest (DoubleMaStrategy on 600000) -> poll status -> +verify the result-page endpoints (equity-curve / daily-pnl / trades / kline) +return non-empty data. + +Runs from the Mac against the NAS container (http://192.168.2.154:8000). +No third-party deps (urllib only). +""" +import json +import sys +import time +import urllib.request + +BASE = "http://192.168.2.154:8000" + + +def _request(method: str, path: str, token: str | None = None, body: dict | None = None) -> dict: + headers = {"Content-Type": "application/json"} + if token: + headers["Authorization"] = f"Bearer {token}" + data = json.dumps(body).encode() if body is not None else None + req = urllib.request.Request(BASE + path, data=data, headers=headers, method=method) + with urllib.request.urlopen(req, timeout=30) as resp: + return json.loads(resp.read()) + + +def main() -> int: + tok = _request("POST", "/api/v1/auth/login", body={"username": "admin", "password": "admin"})["token"] + print("[1] login OK") + + sub = _request("POST", "/api/v1/backtest/cta", token=tok, body={ + "symbol": "600000", + "strategy": "DoubleMaStrategy", + "params": {"fast_window": 10, "slow_window": 20, "fixed_size": 1}, + "start": "2024-01-01", + "end": "2024-06-30", + }) + tid = sub["task_id"] + print(f"[2] submitted: {tid}") + + status = "pending" + for i in range(60): + s = _request("GET", f"/api/v1/task/{tid}", token=tok) + status = s["status"] + print(f" [{i:02d}] status={status} stage={s.get('stage', '')}") + if status in ("done", "failed"): + break + time.sleep(3) + + if status != "done": + print(f"[!] backtest did not complete: {status}") + return 1 + + eq = _request("GET", f"/api/v1/task/{tid}/equity-curve", token=tok) + pnl = _request("GET", f"/api/v1/task/{tid}/daily-pnl", token=tok) + tr = _request("GET", f"/api/v1/task/{tid}/trades", token=tok) + kl = _request("GET", "/api/v1/kline?symbol=600000&start=2024-01-01&end=2024-06-30", token=tok) + + n_eq = len(eq.get("equity_curve", [])) + n_pnl = len(pnl.get("daily_pnl", [])) + n_tr = len(tr.get("trades", [])) + n_kl = len(kl.get("kline", [])) + print(f"[3] equity={n_eq} pnl={n_pnl} trades={n_tr} kline={n_kl}") + + assert n_eq > 0, "equity_curve empty" + assert n_kl > 0, "kline empty" + print("[4] SMOKE PASSED") + return 0 + + +if __name__ == "__main__": + try: + sys.exit(main()) + except AssertionError as e: + print(f"[SMOKE FAILED] {e}") + sys.exit(2) + except Exception as e: + print(f"[SMOKE ERROR] {type(e).__name__}: {e}") + sys.exit(3)