feat(portfolio): 组合回测接入A股费用(佣金/印花税/最低佣金/滑点)对齐个股回测; BulletTrade set_order_cost/set_slippage [vps]

frontend/src/api/portfolio.ts

@@ -8,6 +8,11 @@ export interface PortfolioBacktestReq {
   end_date: string
   initial_cash: number
   benchmark?: string
+  // A 股费用(对齐个股回测)
+  commission_rate?: number
+  stamp_duty_rate?: number
+  min_commission?: number
+  slippage?: number
 }
 
 export interface EquityPoint {

frontend/src/views/backtest/PortfolioBacktest.vue

@@ -57,6 +57,11 @@ const form = reactive({
   end: dr.end,
   cash: 1_000_000,
   benchmark: '000300.XSHG',
+  // A 股费用(对齐个股回测)
+  commission_rate: 0.0003,
+  stamp_duty_rate: 0.001,
+  min_commission: 5,
+  slippage: 0.001,
 })
 watch(
   () => [form.start, form.end],
@@ -199,6 +204,10 @@ async function onSubmit(): Promise<void> {
       end_date: form.end,
       initial_cash: form.cash,
       benchmark: form.benchmark,
+      commission_rate: Number(form.commission_rate),
+      stamp_duty_rate: Number(form.stamp_duty_rate),
+      min_commission: Number(form.min_commission),
+      slippage: Number(form.slippage),
     })
     try {
       localStorage.setItem('last_portfolio_task', tid)
@@ -328,6 +337,22 @@ function fmtNum(v: number | null | undefined, digits = 2): string {
             <el-option v-for="b in BENCHMARK_OPTIONS" :key="b.value" :label="b.label" :value="b.value" />
           </el-select>
         </el-form-item>
+        <el-form-item label="佣金率">
+          <el-input v-model="form.commission_rate" style="width: 160px" />
+          <span class="muted form-hint">0.0003=万3(双边,最低5元)</span>
+        </el-form-item>
+        <el-form-item label="印花税率">
+          <el-input v-model="form.stamp_duty_rate" style="width: 160px" />
+          <span class="muted form-hint">0.001=千1(仅卖出)</span>
+        </el-form-item>
+        <el-form-item label="最低佣金">
+          <el-input v-model="form.min_commission" style="width: 160px" />
+          <span class="muted form-hint">元/笔</span>
+        </el-form-item>
+        <el-form-item label="滑点(比率)">
+          <el-input v-model="form.slippage" style="width: 160px" />
+          <span class="muted form-hint">0.001=万10,0=不加</span>
+        </el-form-item>
       </el-form>
       <div class="submit-bar">
         <el-button type="primary" size="large" @click="onSubmit">开始回测</el-button>

sanguo_api/routes_portfolio.py

@@ -38,6 +38,11 @@ class PortfolioBacktestRequest(BaseModel):
         description="策略: all_weather/momentum_timing/value_selection/small_cap",
     )
     max_pool: int = Field(default=30, description="选股池上限: 0=全市场不限, N=前N只(MVP验证用)")
+    # A 股费用(对齐个股回测)
+    commission_rate: float = Field(default=0.0003, description="佣金率双边(万3=0.0003)")
+    stamp_duty_rate: float = Field(default=0.001, description="印花税率卖出(千1=0.001)")
+    min_commission: float = Field(default=5.0, description="单笔最低佣金(元)")
+    slippage: float = Field(default=0.0, description="滑点比率(万10=0.001,0=不加)")
 
 
 @router.post("/portfolio/backtest", dependencies=[Depends(verify_token)])
@@ -51,6 +56,10 @@ async def run_portfolio_backtest(req: PortfolioBacktestRequest):
         strategy=req.strategy,
         max_pool=req.max_pool,
         provider_config=None,
+        commission_rate=req.commission_rate,
+        stamp_duty_rate=req.stamp_duty_rate,
+        min_commission=req.min_commission,
+        slippage=req.slippage,
     )
     return {"task_id": tid}
 

sanguo_orchestrator/portfolio_worker.py

@@ -60,7 +60,11 @@ def run_portfolio_task(spec: dict) -> Any:
     db_path = spec.get("db_path", "")
     file_dir = spec.get("file_dir")
 
-    argv, cwd = _build_argv(start, end, cash, benchmark, max_pool, provider_config, strategy)
+    argv, cwd = _build_argv(
+        start, end, cash, benchmark, max_pool, provider_config, strategy,
+        spec.get("commission_rate", 0.0003), spec.get("stamp_duty_rate", 0.001),
+        spec.get("min_commission", 5.0), spec.get("slippage", 0.0),
+    )
     logger.info("[portfolio_worker] task=%s running: %s", task_id, " ".join(argv[3:]))
 
     try:
@@ -130,6 +134,8 @@ def _build_argv(
     start: str, end: str, cash: float, benchmark: str,
     max_pool: int, provider_config: Optional[dict],
     strategy: str = "all_weather",
+    commission_rate: float = 0.0003, stamp_duty_rate: float = 0.001,
+    min_commission: float = 5.0, slippage: float = 0.0,
 ) -> tuple[list[str], Optional[str]]:
     """Three-machine adaptive argv construction.
 
@@ -146,6 +152,10 @@ def _build_argv(
             "--cash", str(cash), "--benchmark", benchmark,
             "--strategy", strategy,
             "--max-pool", str(max_pool),
+            "--commission-rate", str(commission_rate),
+            "--stamp-duty-rate", str(stamp_duty_rate),
+            "--min-commission", str(min_commission),
+            "--slippage", str(slippage),
         ]
         # NAS container: unified provider reads NAS authoritative data layer
         # (dbbardata + parquet). VPS keeps default provider (cwd=_VPS_WORKDIR).
@@ -168,7 +178,9 @@ def _build_argv(
         f"--start {start} --end {end} "
         f"--cash {cash} --benchmark {benchmark} "
         f"--strategy {strategy} "
-        f"--max-pool {max_pool}"
+        f"--max-pool {max_pool} "
+        f"--commission-rate {commission_rate} --stamp-duty-rate {stamp_duty_rate} "
+        f"--min-commission {min_commission} --slippage {slippage}"
     )
     ssh_argv = [
         "ssh", "-o", "ConnectTimeout=15", "-o", "StrictHostKeyChecking=no",

sanguo_orchestrator/runner.py

@@ -124,7 +124,11 @@ class Orchestrator:
     async def submit_portfolio(self, start: str, end: str, cash: float,
                                benchmark: str, strategy: str = "all_weather",
                                max_pool: int = 30,
-                               provider_config=None) -> str:
+                               provider_config=None,
+                               commission_rate: float = 0.0003,
+                               stamp_duty_rate: float = 0.001,
+                               min_commission: float = 5.0,
+                               slippage: float = 0.0) -> str:
         """Submit a portfolio backtest task asynchronously.
 
         Runs runner_backtest as a subprocess (3600s hard cap) inside the
@@ -143,6 +147,10 @@ class Orchestrator:
             strategy=strategy,
             max_pool=max_pool,
             provider_config=provider_config,
+            commission_rate=commission_rate,
+            stamp_duty_rate=stamp_duty_rate,
+            min_commission=min_commission,
+            slippage=slippage,
             db_path=self.db_path,
             file_dir=file_dir,
         )

sanguo_portfolio/runner_backtest.py

@@ -49,6 +49,11 @@ def parse_args() -> argparse.Namespace:
     p.add_argument("--benchmark", default="000300.XSHG", help="基准代码")
     p.add_argument("--max-pool", type=int, default=0, help="限制选股池前N只(0=不限,MVP验证用)")
     p.add_argument("--frequency", default="day", help="回测频率 day/minute")
+    # A 股费用(对齐个股回测;BulletTrade 默认仅印花税千1+最低5元,这里显式可配)
+    p.add_argument("--commission-rate", type=float, default=0.0003, help="佣金率双边(万3=0.0003)")
+    p.add_argument("--stamp-duty-rate", type=float, default=0.001, help="印花税率卖出(千1=0.001)")
+    p.add_argument("--min-commission", type=float, default=5.0, help="单笔最低佣金(元)")
+    p.add_argument("--slippage", type=float, default=0.0, help="滑点比率(万10=0.001,0=不加)")
     p.add_argument(
         "--strategy", default="all_weather",
         choices=["all_weather", "momentum_timing", "value_selection", "small_cap"],
@@ -237,6 +242,21 @@ def run_backtest(args: argparse.Namespace) -> Dict[str, Any]:
         # 才能真正设到 bullet_trade settings → fq_mode=pre 与 get_current_data 一致, 买入才成交
         holder["broker"] = build_broker_facade_inner(strategy, context)
         strategy.broker = holder["broker"]
+        # A 股费用 + 滑点(聚宽风格全局函数,对齐个股回测;BulletTrade 默认费用不全)
+        from bullet_trade.core.api import set_order_cost, set_slippage  # type: ignore
+        from bullet_trade.core.settings import OrderCost, FixedSlippage  # type: ignore
+        set_order_cost(
+            OrderCost(
+                open_tax=0.0,
+                close_tax=args.stamp_duty_rate,
+                open_commission=args.commission_rate,
+                close_commission=args.commission_rate,
+                min_commission=args.min_commission,
+            ),
+            type="stock",
+        )
+        if args.slippage:
+            set_slippage(FixedSlippage(value=args.slippage))
         strategy.initialize(context)
 
     def build_broker_facade_inner(strategy: Any, context: Any):