fix(strategy): channel_test探针盘后下单双守卫——09-01 18:48轮换重启实锤:随启随验run_daily锚定now+90s=18:50,探针16笔真单盘后全挂柜台(~107万买单冻结排队次日集合竞价);且run_daily为每日重复锚定,08-30周日13:07重启即埋下「每天13:09盘后风格漂移」隐患,jq_strategy调度恢复失败回退注册当前时刻是第三路径;修=①注册侧:锚点落非交易时段(工作日09:25-11:35/12:55-15:05)不注册+大声告警②执行侧:probe_all首行守卫,盘外触发整轮跳过零下单(兜调度错锚/回退路径);墙钟抽_now()可注入,测试autouse钉盘中防CI时段漂移;+3守卫测试+11边界参数化;25/25 [vps]
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@@ -23,12 +23,33 @@ import logging
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import os
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from dataclasses import dataclass, field
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from datetime import datetime, timedelta
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from typing import Any, Dict, List, Optional, Tuple
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from typing import Any, Dict, List, Optional
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from .all_weather import BrokerFacade, _available_cash, _get_positions
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logger = logging.getLogger(__name__)
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# ---------------- 盘后下单防护(2026-09-01 实锤) ----------------
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def _now() -> datetime:
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"""当前时刻(独立函数便于测试 monkeypatch;测试禁依赖墙钟)。"""
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return datetime.now()
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def _in_trading_session(now: datetime) -> bool:
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"""A股交易时段(含集合竞价/收盘缓冲):工作日 09:25-11:35 / 12:55-15:05。
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09-01 实锤:盘后 18:48 轮换重启 → 随启随验 run_daily 锚定 18:50 → 探针
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16 笔真单盘后全挂柜台(~107 万排队次日集合竞价)。live 探针的**注册**与
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**执行**双处守卫;jq_strategy 调度恢复失败回退注册到当前时刻的路径由
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执行侧守卫兜底。影子/回测撮合 24h 安全不受影响。
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"""
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if now.weekday() >= 5:
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return False
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hm = now.hour * 60 + now.minute
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return (9 * 60 + 25 <= hm <= 11 * 60 + 35
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or 12 * 60 + 55 <= hm <= 15 * 60 + 5)
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# universe 按类型分组；轮换时从每组轮流取 → 每天的持仓组合跨类型
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UNIVERSE_BY_TYPE: Dict[str, List[str]] = {
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"宽基ETF": ["510300.XSHG", "510050.XSHG", "510500.XSHG", "159915.XSHE"],
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@@ -79,8 +100,16 @@ class ChannelTestStrategy:
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# 随启随验:只注册一个"启动后约90秒"的探针任务。必须经 facade.run_daily
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# 注册而非直接调用——回调才会收到 B2 包装的代理 context(实例预算视图),
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# 绕过它探针就测不到定寸虚拟化。重启实例(停止→启动)即再验一轮。
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h, m = self._probe_time()
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b.run_daily(self.probe_all, f"{h}:{m:02d}")
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# 盘前/盘后/周末重启不注册(锚点在时段外=盘后真单挂柜台,09-01 实锤)。
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probe_at = _now() + timedelta(seconds=90)
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if not _in_trading_session(probe_at):
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logger.warning(
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"[PROBE] 重启于非交易时段(探针锚定 %s),跳过随启随验注册"
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"——防盘后挂单排队次日集合竞价;下次盘中重启再验",
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probe_at.strftime("%H:%M"))
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return
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b.run_daily(self.probe_all,
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probe_at.strftime("%H:%M"))
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return
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b.run_daily(self.rotate, "9:35") # 主调仓:卖旧买新
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if self.config.intraday_partial:
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@@ -97,15 +126,13 @@ class ChannelTestStrategy:
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return self.config.on_demand
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return bool(os.environ.get("SANGUO_LIVE_STRATEGY"))
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@staticmethod
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def _probe_time() -> Tuple[int, int]:
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"""探针触发时刻=启动后约 90 秒(留足引擎 bootstrap;时:分对齐 "9:35" 风格)。"""
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t = datetime.now() + timedelta(seconds=90)
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return int(t.strftime("%H")), int(t.strftime("%M"))
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def probe_all(self, context: Any) -> None:
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"""一轮打满全场景,每步 [PROBE-n] 留痕(日志即验收凭据)。
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非交易时段整轮跳过(执行侧守卫):调度错锚/jq_strategy 恢复失败回退
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注册到当前时刻等路径把探针拖到盘外时,绝不让真单挂柜台排队次日
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集合竞价(2026-09-01 18:50 实锤,16 笔 ~107 万)。
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- PROBE-0 实例视图快照:cash/持仓应为**本实例预算切片**(B2 生效的标志,
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≠全账户 990 万;实盘闭市时下单被 QMT 拒不阻断,决策层输出已在日志可验);
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- PROBE-1 主调仓(rotate):定寸=实例视图等权 → sizing 证明;
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@@ -115,6 +142,11 @@ class ChannelTestStrategy:
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重启第二轮起有票可试);
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- PROBE-4 资金复用(swap_one):卖昨日仓→即刻买新(空仓时跳过)。
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"""
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if not _in_trading_session(_now()):
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logger.warning(
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"[PROBE] 非交易时段触发(调度错锚/恢复回退),整轮跳过"
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"——防盘后挂单排队次日集合竞价")
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return
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cash = _available_cash(context)
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positions = _get_positions(context, self.broker)
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logger.info("[PROBE-0] 实例视图 cash=%.2f 持仓=%s (应=本实例预算切片,非全账户)",
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@@ -6,6 +6,11 @@
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"""
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from __future__ import annotations
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from datetime import datetime
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import pytest
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import sanguo_portfolio.strategies.channel_test as ct
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from sanguo_portfolio.strategies import ChannelTestConfig, ChannelTestStrategy
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from sanguo_portfolio.strategies.all_weather import BrokerFacade
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from sanguo_portfolio.strategies.channel_test import UNIVERSE_BY_TYPE
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@@ -154,7 +159,7 @@ def test_initialize_on_demand_registers_single_probe(monkeypatch):
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name, t = registered[0]
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assert name == "probe_all"
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hh, mm = t.split(":")
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now = datetime.now()
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now = ct._now() # 墙钟可注入(盘后防护 _now 缝),断言跟注入钟走
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delta = (int(hh) * 60 + int(mm)) - (now.hour * 60 + now.minute)
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assert 0 <= delta <= 3 # 未来 ~90 秒(±跨分钟容差)
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@@ -192,3 +197,78 @@ def test_probe_all_runs_sizing_sell_t1_swap_sequence():
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assert "510300.XSHG" in sells # T+1 探针卖 own 第一只(或 rotate 换仓卖出)
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swap_buy = [c for m, c, v in broker.calls if m == "ov" and v > 0]
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assert swap_buy # 资金复用:卖后另买未持有票
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# ======================== 盘后下单防护(2026-09-01 实锤) ========================
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@pytest.fixture(autouse=True)
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def _pin_now_in_session(monkeypatch):
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"""钉住守卫墙钟=盘中(周二 10:00),既有探针测试不随 CI 运行时段漂移;
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守卫自身的界外用例各自显式 monkeypatch 覆盖。"""
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ct._now = lambda: datetime(2026, 9, 1, 10, 0) # type: ignore[assignment]
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@pytest.mark.parametrize("ts,expected", [
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("2026-09-01 09:24", False), # 集合竞价前
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("2026-09-01 09:26", True), # 竞价缓冲内
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("2026-09-01 11:34", True), # 午前收盘缓冲
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("2026-09-01 11:36", False), # 午休
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("2026-09-01 12:54", False),
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("2026-09-01 12:56", True), # 午后
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("2026-09-01 15:04", True), # 收盘缓冲
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("2026-09-01 15:06", False),
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("2026-09-01 18:50", False), # 09-01 事故时刻(盘后轮换锚点)
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("2026-09-05 10:00", False), # 周六
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("2026-09-06 10:00", False), # 周日
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])
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def test_in_trading_session_boundaries(ts, expected):
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assert ct._in_trading_session(datetime.fromisoformat(ts)) is expected
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def test_probe_all_skips_out_of_session(monkeypatch, caplog):
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"""盘外触发(调度错锚/恢复回退)整轮跳过:零下单 + 告警留痕。"""
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ct._now = lambda: datetime(2026, 9, 1, 18, 50) # type: ignore[assignment]
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broker = _MockBroker()
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s = ChannelTestStrategy(provider=None, broker=broker,
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config=ChannelTestConfig(hold_n=2, on_demand=True))
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ctx = _Ctx({"510300.XSHG": _Pos(5000)}, cash=100000)
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with caplog.at_level("WARNING"):
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s.probe_all(ctx)
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assert broker.calls == [] # 一笔单都不许挂
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assert any("非交易时段" in r.message for r in caplog.records)
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def test_initialize_on_demand_after_hours_skips_registration(monkeypatch, caplog):
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"""盘后重启(live env)不注册随启随验——run_daily 锚点落在时段外必跳过,
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否则 16 笔真单挂柜台排队次日集合竞价(09-01 18:48 轮换实锤)。"""
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monkeypatch.setenv("SANGUO_LIVE_STRATEGY", "channel_test")
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ct._now = lambda: datetime(2026, 9, 1, 18, 48) # type: ignore[assignment]
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registered: list = []
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class _RegBroker(_MockBroker):
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def __init__(self) -> None:
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super().__init__() # dataclass 字段会遮蔽子类方法,注入须在 super 后
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self.run_daily = lambda fn, t: registered.append(
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(getattr(fn, "__name__", str(fn)), t))
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s = ChannelTestStrategy(provider=None, broker=_RegBroker(),
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config=ChannelTestConfig(on_demand=True))
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with caplog.at_level("WARNING"):
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s.initialize(object())
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assert registered == [] # 不注册
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assert any("非交易时段" in r.message for r in caplog.records)
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def test_initialize_on_demand_in_session_still_registers():
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"""盘中重启注册行为不变(回归锚定时间=now+90s 落在盘中)。"""
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registered: list = []
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class _RegBroker2(_MockBroker):
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def __init__(self) -> None:
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super().__init__() # dataclass 字段会遮蔽子类方法,注入须在 super 后
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self.run_daily = lambda fn, t: registered.append(
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(getattr(fn, "__name__", str(fn)), t))
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s = ChannelTestStrategy(provider=None, broker=_RegBroker2(),
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config=ChannelTestConfig(on_demand=True))
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s.initialize(object())
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assert registered == [("probe_all", "10:01")] # 10:00 + 90s
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