feat(trader): PaperEngine 主循环(逐bar重放/next_open缓冲/current_close/双层记账/持久化)

- run(): T+1解冻→撮合上根pending(用当前bar)→喂策略收单→current_close当根/next_open缓冲→盯市入库 - 双层记账一致性(总账=分户之和), checkpoint续跑字段 - StrategyRunner +symbol 字段 3 tests passed.
2026-07-07 12:01:37 +08:00
parent f0d8fd2a03
commit 42877213ae
3 changed files with 208 additions and 1 deletions
@@ -0,0 +1,93 @@
+"""PaperEngine 主循环测试（mock data_source + mock 策略，spec §4）。"""
+from types import SimpleNamespace
+
+from sanguo_trader.account import Account
+from sanguo_trader.cta_adapter import PaperCtaEngine
+from sanguo_trader.engine import PaperEngine
+from sanguo_trader.models import AccountConfig, MatchSession
+from sanguo_trader.persistence import (
+    init_db, list_daily_balance, list_trades, save_account,
+)
+from sanguo_trader.strategy_runner import StrategyRunner
+
+
+def _bar(date, o, h, l, c):
+    return SimpleNamespace(open_price=o, high_price=h, low_price=l,
+                           close_price=c, datetime=date)
+
+
+class _FakeDataSource:
+    def __init__(self, sections):
+        self.sections = sections
+
+    def iter_bars(self, symbols, start, end, interval, adjust="qfq", cfg=None):
+        del symbols, start, end, interval, adjust, cfg
+        for date, bars in self.sections:
+            yield date, bars
+
+
+class _AlwaysBuyStrategy:
+    def __init__(self, engine, vt_symbol):
+        self.cta_engine = engine
+        self.vt_symbol = vt_symbol
+
+    def on_bar(self, bar):
+        self.cta_engine.send_order(self, "LONG", "OPEN", bar.close_price, 100)
+
+
+def _build(tmp_path, sections, match_session=MatchSession.NEXT_OPEN):
+    db = str(tmp_path / "e.db")
+    init_db(db)
+    aid = save_account(db, {"name": "t", "initial_capital": 1_000_000})
+    cfg = AccountConfig(initial_capital=1_000_000)
+    account = Account(1_000_000)
+    cta = PaperCtaEngine("s1", match_session=match_session)
+    strat = _AlwaysBuyStrategy(cta, "600000.SSE")
+    cta.set_strategy(strat)
+    runner = StrategyRunner("s1", strategy=strat, paper_cta_engine=cta, symbol="600000")
+    pe = PaperEngine(account, [runner], _FakeDataSource(sections), cfg, db, aid,
+                     symbols=["600000"], start="2024-01-01", end="2024-12-31")
+    return pe, db, aid, account, runner
+
+
+def test_engine_next_open_fills_at_next_bar_open(tmp_path):
+    sections = [
+        ("2024-01-01", {"600000": _bar("2024-01-01", 10.0, 10.5, 9.5, 10.0)}),
+        ("2024-01-02", {"600000": _bar("2024-01-02", 10.5, 11.0, 10.0, 10.8)}),
+        ("2024-01-03", {"600000": _bar("2024-01-03", 10.8, 11.5, 10.5, 11.0)}),
+    ]
+    pe, db, aid, *_ = _build(tmp_path, sections)
+    pe.run()
+    fills = [t for t in list_trades(db, aid) if not t["rejected"]]
+    # day1 信号→day2 撮合@10.5(open)；day2 信号→day3 撮合@10.8(open)；day3 信号无day4
+    assert len(fills) == 2
+    assert fills[0]["price"] == 10.5
+    assert fills[1]["price"] == 10.8
+
+
+def test_engine_current_close_fills_same_bar(tmp_path):
+    sections = [
+        ("2024-01-01", {"600000": _bar("2024-01-01", 10.0, 10.5, 9.5, 10.0)}),
+        ("2024-01-02", {"600000": _bar("2024-01-02", 10.5, 11.0, 10.0, 10.8)}),
+    ]
+    pe, db, aid, *_ = _build(tmp_path, sections, match_session=MatchSession.CURRENT_CLOSE)
+    pe.run()
+    fills = [t for t in list_trades(db, aid) if not t["rejected"]]
+    assert len(fills) == 2
+    assert fills[0]["price"] == 10.0   # 当根 close
+    assert fills[1]["price"] == 10.8
+
+
+def test_engine_daily_balance_and_consistency(tmp_path):
+    sections = [
+        ("2024-01-01", {"600000": _bar("2024-01-01", 10.0, 10.5, 9.5, 10.0)}),
+        ("2024-01-02", {"600000": _bar("2024-01-02", 10.5, 11.0, 10.0, 10.8)}),
+        ("2024-01-03", {"600000": _bar("2024-01-03", 10.8, 11.5, 10.5, 11.0)}),
+    ]
+    pe, db, aid, account, runner = _build(tmp_path, sections)
+    pe.run()
+    balances = list_daily_balance(db, aid)
+    assert len(balances) == 3
+    # 总账持仓 = 分户持仓（day2+day3 各买100 = 200）
+    assert account.positions["600000"].volume == 200
+    assert runner.positions["600000"].volume == 200