feat(backtest): 支持5m/15m周期回测(ashare适配绕vnpy Interval enum)
ashare_engine override load_data: 5m/15m 直查 dbbardata 转 BarData(MINUTE), 绕过 vnpy Interval enum 限制(原生只认 d/1h/1m)。cta_engine +interval 参数, 5m/15m 映射 MINUTE 过父类校验。api(schema/routes)+orchestrator 透传 interval。 顺带修 cta_engine DB路径污染(yaml NAS路径在Win VPS误解析→改读vt_setting.json)。 测试: 15m 600519一年 3888bars total_return-0.22 sharpe-2.04; 5m 11664bars; 日线未回归(237bars)。
This commit is contained in:
@@ -78,7 +78,8 @@ async def submit_cta(req: CtaBacktestRequest):
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cfg=None,
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benchmark=req.benchmark,
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capital=req.capital,
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position_pct=req.position_pct
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position_pct=req.position_pct,
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interval=req.interval,
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)
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return {"task_id": tid}
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@@ -14,6 +14,8 @@ class CtaBacktestRequest(BaseModel):
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benchmark: str = "hs300"
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capital: float = 1_000_000
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position_pct: float = 0.95
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# K 线周期："d"=日线(默认) / "5m" / "15m"。5m/15m 走 AShareBacktestingEngine 适配。
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interval: str = "d"
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# A 股费用参数（可选，前端先不暴露，给默认值）
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commission_rate: float = 0.00025 # 万 2.5
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min_commission: float = 5.0 # 最低 5 元
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@@ -6,13 +6,15 @@ vnpy 源码零修改，全部覆写在本文件。
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- AShareBacktestingEngine：
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- send_order 覆写 → 做空拦截（SHORT+OPEN 拒单）+ 定寸重算 volume
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- update_daily_close 覆写 → 工厂换 AShareDailyResult（父类在 :647 实例化 DailyResult）
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- load_data 覆写 → 支持 5m/15m 周期（vnpy Interval enum 不认 '5m'/'15m'）
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"""
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from __future__ import annotations
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import logging
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from datetime import datetime
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from vnpy_ctastrategy.backtesting import BacktestingEngine, DailyResult
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from vnpy.trader.constant import Direction, Offset
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from vnpy.trader.constant import Direction, Offset, Interval, Exchange
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logger = logging.getLogger(__name__)
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@@ -123,6 +125,11 @@ class AShareBacktestingEngine(BacktestingEngine):
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self.stamp_duty_rate: float = 0.0005 # 卖方 0.05%
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self.transfer_fee_rate: float = 0.00001 # 沪市 0.001%
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self.is_sse: bool = False
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# 5m/15m 适配：vnpy Interval enum 不认 '5m'/'15m'，cta_engine 把 engine.interval
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# 映射成 Interval.MINUTE 让父类 set_parameters 校验通过，真实 DB interval 字符串
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# 存此字段供 load_data 自定义路径使用。默认 "d" 走 vnpy 原生日线路径。
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self.raw_interval: str = "d"
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self.sqlite_db_path: str | None = None # 由 cta_engine 注入（_dcfg.data_paths["vnpy_db"]）
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def send_order(
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self,
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@@ -174,3 +181,93 @@ class AShareBacktestingEngine(BacktestingEngine):
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transfer_fee_rate=self.transfer_fee_rate,
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is_sse=self.is_sse,
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)
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def load_data(self) -> None:
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"""覆写父类：支持 5m/15m 周期（绕过 vnpy Interval enum 限制）。
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vnpy Interval enum 只有 MINUTE('1m')/HOUR('1h')/DAILY('d') 等，不认 '5m'/'15m'。
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父类 load_data 调 ``INTERVAL_DELTA_MAP[self.interval]`` 和
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``load_bar_data(..., self.interval, ...)`` 都依赖 enum，传 '15m' 会 ValueError。
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适配思路：self.interval 已被父类 set_parameters 映射成 Interval.MINUTE（enum
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校验通过），真实 DB interval 存 self.raw_interval。当 raw_interval 是 5m/15m
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时，直接 sqlite 查 dbbardata 表，把每行转 BarData(interval=Interval.MINUTE)，
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绕过 vnpy database_manager 的 enum 限制；其余周期（d/1m 等）走 vnpy 原生路径。
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"""
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if self.raw_interval not in ("5m", "15m"):
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super().load_data()
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return
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self._load_intraday_data()
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def _load_intraday_data(self) -> None:
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"""5m/15m 直查 SQLite → BarData(MINUTE)，绕过 vnpy enum 限制。"""
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from vnpy.trader.object import BarData
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import sqlite3
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self.output(f"开始加载 {self.raw_interval} 历史数据（ashare 适配）")
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if not self.end:
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self.end = datetime.now()
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if self.start >= self.end:
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self.output("起始日期必须小于结束日期")
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return
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db_path = self.sqlite_db_path
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if not db_path:
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try:
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from vnpy.trader.setting import SETTINGS
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db_path = SETTINGS.get("database.database")
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except Exception:
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db_path = None
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if not db_path:
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raise RuntimeError(
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"5m/15m 回测需要 sqlite_db_path（或 SETTINGS['database.database']），"
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"cta_engine 应在 load_data 前注入。"
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)
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symbol, exchange_str = self.vt_symbol.split(".")
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# peewee DateTimeField 存的是 ISO 字符串；start/end 用 datetime 比较即可
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# （SQLite 会把参数转成可比较的字符串形式）。
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conn = sqlite3.connect(db_path)
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try:
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cur = conn.execute(
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"SELECT datetime, volume, turnover, open_interest, "
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"open_price, high_price, low_price, close_price "
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"FROM dbbardata "
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"WHERE symbol=? AND exchange=? AND interval=? "
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"AND datetime>=? AND datetime<=? "
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"ORDER BY datetime",
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(symbol, exchange_str, self.raw_interval, self.start, self.end),
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)
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rows = cur.fetchall()
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finally:
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conn.close()
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exchange = Exchange(exchange_str)
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bars: list[BarData] = []
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for dt, vol, turnover, oi, o, h, l, c in rows:
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if isinstance(dt, str):
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try:
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dt = datetime.fromisoformat(dt)
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except ValueError:
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continue
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# vnpy_sqlite save 时 convert_tz 改成 UTC，回测时按本地时间跑即可
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# （日线回测也是直接读 DB datetime，行为一致）。
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bars.append(BarData(
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symbol=symbol,
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exchange=exchange,
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datetime=dt,
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interval=Interval.MINUTE, # 5m/15m 不在 enum，统一标 MINUTE
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volume=float(vol or 0),
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turnover=float(turnover or 0),
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open_interest=float(oi or 0),
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open_price=float(o or 0),
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high_price=float(h or 0),
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low_price=float(l or 0),
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close_price=float(c or 0),
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gateway_name="sqlite",
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))
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self.history_data.clear()
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self.history_data.extend(bars)
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self.output(f"历史数据加载完成，数据量：{len(self.history_data)}")
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@@ -67,6 +67,27 @@ def guess_exchange(symbol: str) -> Exchange:
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return Exchange("SSE")
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def _read_vt_setting_db() -> str | None:
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"""从 vnpy 原生 vt_setting.json 直接读 database.database 路径。
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vnpy SETTINGS 字典会被 datareader.read_index_daily 等代码覆写为 yaml 的
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NAS Linux 路径（Windows VPS 上不存在但有 0 字节空文件，os.path.exists 误判），
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导致连续多次回测时第二次起路径污染。vt_setting.json 是机器本地配置，权威。
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"""
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try:
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import json
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from pathlib import Path
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# vnpy 约定：~/.vntrader/vt_setting.json
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home = Path.home() / ".vntrader" / "vt_setting.json"
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if not home.exists():
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return None
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with open(home, "r", encoding="utf-8") as f:
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data = json.load(f)
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return data.get("database.database")
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except Exception:
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return None
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def run_cta_backtest(
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strategy_class,
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symbol: str,
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@@ -83,6 +104,7 @@ def run_cta_backtest(
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min_commission: float = 5.0,
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stamp_duty_rate: float = 0.0005,
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transfer_fee_rate: float = 0.00001,
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interval: str = "d",
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) -> BacktestResult:
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"""
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Run CTA strategy backtest using AShareBacktestingEngine (vnpy 子类化).
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@@ -104,6 +126,9 @@ def run_cta_backtest(
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min_commission: 单笔最低佣金（默认 5 元）
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stamp_duty_rate: 印花税率卖方（默认 0.0005）
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transfer_fee_rate: 过户费率沪市（默认 0.00001）
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interval: K 线周期，"d"=日线(默认) / "5m" / "15m"。
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5m/15m 走 AShareBacktestingEngine 适配层（直查 dbbardata interval='5m'/'15m'，
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绕过 vnpy Interval enum 不认非标周期的限制）。
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Returns:
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BacktestResult: Result object with backtest statistics and status
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@@ -127,10 +152,18 @@ def run_cta_backtest(
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# Create and configure A-share backtesting engine
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engine = AShareBacktestingEngine()
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# 周期映射：vnpy Interval enum 只有 '1m'/'1h'/'d' 等，不认 '5m'/'15m'。
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# 5m/15m 时把 enum 传 MINUTE 让父类 set_parameters 校验通过，真实 DB interval
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# 字符串存 engine.raw_interval 给 AShareBacktestingEngine.load_data 自定义路径用。
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if interval in ("5m", "15m"):
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engine_interval = "1m" # Interval.MINUTE.value
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else:
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engine_interval = interval # "d" / "1m" / "1h" 等 vnpy 原生支持的值
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# Set parameters with A-share specific values
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engine.set_parameters(
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vt_symbol=vt_symbol,
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interval="d", # Interval.DAILY.value — vnpy enum uses "d" not "1d"
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interval=engine_interval,
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start=start_dt,
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end=end_dt,
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rate=commission_rate, # 佣金率（AShareDailyResult 用自身 commission_rate，此处仅保持一致）
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@@ -139,6 +172,9 @@ def run_cta_backtest(
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pricetick=0.01, # Minimum price tick (0.01 yuan for A-shares)
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capital=capital, # Starting capital
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)
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# raw_interval 在 5m/15m 时触发 ashare_engine 适配路径；其它周期与 engine.interval
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# 一致，走 vnpy 原生 load_data。
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engine.raw_interval = interval
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# A 股适配参数（定寸 + 费用）
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engine.position_pct = position_pct
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@@ -155,13 +191,32 @@ def run_cta_backtest(
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# doesn't inherit main-process SETTINGS, so set before engine.load_data.
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# _dcfg is also reused by the metrics branch (benchmark data_paths) since the
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# cfg param can be None when called via the API.
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#
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# 路径解析优先级：vnpy 原生 vt_setting.json(机器相关，正确) >
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# yaml data_paths.vnpy_db（模板可能是 NAS Linux 路径，Windows VPS 上不存在）。
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# 任一不存在时回退到另一个，避免 VPS 上 yaml 写 NAS 路径导致回测加载 0 数据。
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#
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# 不能直接用 SETTINGS.get("database.database")：它会被 datareader.read_index_daily
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# （基准加载）覆写为 yaml NAS 路径，污染后续调用。这里每次重新读 vt_setting.json
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# 原始值（machine-truth），不依赖被污染的 SETTINGS 缓存。
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_dcfg = None
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try:
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from vnpy.trader.setting import SETTINGS
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from sanguo_data.config import load_config, find_config_path
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_dcfg = load_config(find_config_path())
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SETTINGS["database.name"] = "sqlite"
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SETTINGS["database.database"] = _dcfg.data_paths["vnpy_db"]
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_vt_db = _read_vt_setting_db() # 从 vt_setting.json 直接读（不依赖 SETTINGS dict）
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_yaml_db = _dcfg.data_paths.get("vnpy_db")
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if _vt_db and os.path.exists(_vt_db):
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_resolved_db = _vt_db
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elif _yaml_db and os.path.exists(_yaml_db):
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_resolved_db = _yaml_db
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else:
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# 都不存在时保留 vnpy SETTINGS（让下游报出真实错误，而不是被 yaml 覆盖）
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_resolved_db = _vt_db or _yaml_db
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SETTINGS["database.database"] = _resolved_db
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# 5m/15m 适配：ashare_engine._load_intraday_data 直查 SQLite 需要 DB 物理路径。
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engine.sqlite_db_path = _resolved_db
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except Exception as e:
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logging.warning("vnpy 数据库配置加载失败（回测可能无法加载历史数据）: %s", e)
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@@ -32,7 +32,8 @@ class Orchestrator:
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async def submit_cta(self, strategy_class, symbol: str, params: dict,
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start: str, end: str, cfg, benchmark: str = "hs300",
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capital: float = 1_000_000, position_pct: float = 0.95) -> str:
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capital: float = 1_000_000, position_pct: float = 0.95,
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interval: str = "d") -> str:
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"""Submit a CTA backtesting task asynchronously"""
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# Stable uuid up front → reused as the persisted DB task_id, so runner-id ==
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# DB task_id (durable across restarts; previously used id(params) memory addr).
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@@ -48,6 +49,7 @@ class Orchestrator:
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benchmark=benchmark,
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capital=capital,
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position_pct=position_pct,
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interval=interval,
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)
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await self._notify_stage(task_id, "排队中")
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@@ -55,7 +57,7 @@ class Orchestrator:
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fut: Future = self.pool.submit_work(
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task_id, _cta_worker, spec["strategy_class"], spec["symbol"],
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spec["params"], spec["start"], spec["end"], spec["cfg"], spec["benchmark"],
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self.db_path, task_id, spec["capital"], spec["position_pct"]
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self.db_path, task_id, spec["capital"], spec["position_pct"], spec["interval"]
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)
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task = self.pool.get_task(task_id)
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@@ -194,10 +196,10 @@ class Orchestrator:
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# Module-level worker functions (must be top-level for ProcessPoolExecutor pickle)
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def _cta_worker(strategy_class, symbol: str, params: dict, start: str, end: str, cfg, benchmark: str, db_path: str, task_id: str, capital: float = 1_000_000, position_pct: float = 0.95) -> any:
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def _cta_worker(strategy_class, symbol: str, params: dict, start: str, end: str, cfg, benchmark: str, db_path: str, task_id: str, capital: float = 1_000_000, position_pct: float = 0.95, interval: str = "d") -> any:
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"""Worker for CTA backtest (lazy import, spawn-friendly)"""
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from sanguo_backtest.cta_engine import run_cta_backtest
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return run_cta_backtest(strategy_class, symbol, params, start, end, cfg, db_path, benchmark=benchmark, task_id=task_id, capital=capital, position_pct=position_pct)
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return run_cta_backtest(strategy_class, symbol, params, start, end, cfg, db_path, benchmark=benchmark, task_id=task_id, capital=capital, position_pct=position_pct, interval=interval)
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def _opt_worker(strategy_class, symbol: str, grid: dict, start: str, end: str, cfg, db_path: str, task_id: str) -> any:
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Reference in New Issue
Block a user