fix(optimize): 参数优化端到端修复(空statistics/500/不跳页)

根因: vnpy run_optimization 孙进程 spawn re-import setting.py 重置 DB → load 0根 → 空 statistics;连带 task_id 不一致 + statistics 含 date/numpy 序列化失败 + 前端单页轮询 180s 超时。
修复(不动 vnpy 源码):
- cta_optimizer: vt_setting.json 适配(vnpy 原生机制 setting.py:43 load_json,孙进程拿到正确 DB) + task_id 贯通 + 主聚合持久化(combos) + 过滤空 statistics 记录
- result_store: _json_default(date→isoformat + numpy→原生),save_result 两处 json.dumps 加 default
- routes: optimization-results 改读 DB 主聚合, fallback 内存(重启不丢)
- runner: _opt_worker 加 task_id 参数 + submit_optimize 传递(对齐 _cta_worker)
- 前端: Optimize 提交后跳 progress;Progress 用 opt_ 前缀判断跳 optimize-result;新建 OptimizeResult 参数表格页;router 加路由
验证: 端到端 optimization-results http=200 + 4组合非空 statistics + 浏览器提交→跳 optimize-result 页表格渲染。
This commit is contained in:
2026-07-17 10:58:49 +08:00
parent 799292d89c
commit 6ed71ed8cf
8 changed files with 282 additions and 154 deletions
+1
View File
@@ -13,6 +13,7 @@ const routes: RouteRecordRaw[] = [
{ path: 'backtest/progress/:id', name: 'bt-progress', component: () => import('@/views/backtest/Progress.vue') },
{ path: 'backtest/result/:id', name: 'bt-result', component: () => import('@/views/backtest/Result.vue') },
{ path: 'backtest/optimize', name: 'bt-optimize', component: () => import('@/views/backtest/Optimize.vue') },
{ path: 'backtest/optimize-result/:id', name: 'bt-optimize-result', component: () => import('@/views/backtest/OptimizeResult.vue') },
{ path: 'backtest/history', name: 'bt-history', component: () => import('@/views/backtest/History.vue') },
{ path: 'factor/new', name: 'fc-new', component: () => import('@/views/factor/New.vue') },
{ path: 'factor/progress/:id', name: 'fc-progress', component: () => import('@/views/backtest/Progress.vue') },
+8 -124
View File
@@ -1,15 +1,14 @@
<script setup lang="ts">
import { ref, reactive, computed, onMounted } from 'vue'
import { ref, reactive, onMounted } from 'vue'
import { useRouter } from 'vue-router'
import { ElMessage } from 'element-plus'
import { getStrategies, type StrategyItem } from '@/api/strategy'
import { submitOptimize, getOptimizationResults, getStatus, type OptRow } from '@/api/backtest'
import { submitOptimize } from '@/api/backtest'
const router = useRouter()
const strategies = ref<StrategyItem[]>([])
const loading = ref(false)
const submitting = ref(false)
const polling = ref(false)
const stageText = ref('')
const results = ref<OptRow[]>([])
const form = reactive({
strategy: '',
@@ -43,91 +42,21 @@ function parseGrid(): Record<string, [number, number, number]> | null {
return grid
}
const statColumns = computed(() => {
const set = new Set<string>()
results.value.forEach((r) => Object.keys(r.statistics || {}).forEach((k) => set.add(k)))
return Array.from(set)
})
// 排序
const sortKey = ref('')
const sortDir = ref<'desc' | 'asc'>('desc')
function setSort(k: string): void {
if (sortKey.value === k) {
sortDir.value = sortDir.value === 'desc' ? 'asc' : 'desc'
} else {
sortKey.value = k
sortDir.value = 'desc'
}
}
const sortedResults = computed(() => {
if (!sortKey.value) return results.value
const k = sortKey.value
const dir = sortDir.value === 'desc' ? -1 : 1
return [...results.value].sort((a, b) => {
const va = Number(a.statistics?.[k] ?? NaN)
const vb = Number(b.statistics?.[k] ?? NaN)
if (!Number.isFinite(va) && !Number.isFinite(vb)) return 0
if (!Number.isFinite(va)) return 1
if (!Number.isFinite(vb)) return -1
return (va - vb) * dir
})
})
// Top1 行(按当前排序首项)
const topParamsKey = computed(() => {
if (!sortedResults.value.length) return ''
return JSON.stringify(sortedResults.value[0].params)
})
function topRowClass({ row }: { row: OptRow }): string {
return JSON.stringify(row.params) === topParamsKey.value ? 'top-row' : ''
}
function fmt(v: unknown): string {
return typeof v === 'number' ? (Math.round(v * 10000) / 10000).toString() : v == null ? '' : String(v)
}
function isUp(k: string): boolean {
return /return|收益|sharpe|夏普|alpha|ir/i.test(k)
}
async function onSubmit(): Promise<void> {
const grid = parseGrid()
if (!grid) return
submitting.value = true
results.value = []
try {
const tid = await submitOptimize({
symbol: form.symbol, strategy: form.strategy, grid,
start: form.start, end: form.end,
})
ElMessage.success('优化已提交,轮询中…')
submitting.value = false
polling.value = true
let status = 'pending'
for (let i = 0; i < 60; i++) {
const s = await getStatus(tid)
status = s.status
stageText.value = s.stage
if (status === 'done' || status === 'failed') break
await new Promise((r) => setTimeout(r, 3000))
}
polling.value = false
if (status !== 'done') {
ElMessage.error('优化未完成: ' + status)
return
}
results.value = await getOptimizationResults(tid)
// 默认按总收益降序
const retKey = statColumns.value.find((k) => /return|收益/i.test(k))
if (retKey) { sortKey.value = retKey; sortDir.value = 'desc' }
ElMessage.success('优化已提交')
router.push(`/backtest/progress/${tid}`)
} catch {
ElMessage.error('提交失败')
} finally {
submitting.value = false
polling.value = false
}
}
</script>
@@ -137,11 +66,11 @@ async function onSubmit(): Promise<void> {
<div class="page-head">
<div>
<h2 class="page-title">参数优化</h2>
<p class="page-subtitle">参数网格搜索 · 自动轮询 · 结果可排序Top1 高亮</p>
<p class="page-subtitle">参数网格搜索 · 提交后进入进度跟踪</p>
</div>
</div>
<el-card class="blk" shadow="never" v-loading="loading || polling" :element-loading-text="stageText || '优化中…'">
<el-card class="blk" shadow="never" v-loading="loading">
<template #header><span class="section-title">网格配置</span></template>
<el-form :model="form" label-width="120px">
<el-form-item label="策略">
@@ -167,39 +96,6 @@ async function onSubmit(): Promise<void> {
</el-form-item>
</el-form>
</el-card>
<el-card v-if="results.length" class="blk" shadow="never">
<template #header>
<span class="section-title">优化结果 <span class="count-badge">{{ results.length }}</span></span>
<span class="muted sort-hint">点击列头排序 · 当前
<strong v-if="sortKey" class="mono">{{ sortKey }} ({{ sortDir === 'desc' ? '降序' : '升序' }})</strong>
<em v-else>未排序</em>
</span>
</template>
<el-table :data="sortedResults" size="small" :row-class-name="topRowClass">
<el-table-column label="参数" min-width="220">
<template #default="{ row }">
<span v-for="(v, k) in row.params" :key="String(k)" class="param-pair mono">
{{ k }}=<strong>{{ fmt(v) }}</strong>
</span>
</template>
</el-table-column>
<el-table-column
v-for="k in statColumns" :key="k" :label="k" :align="isUp(k) ? 'right' : 'right'"
:class-name="isUp(k) ? 'num up-col' : 'num'"
>
<template #header>
<span class="th-sort" :class="{ active: sortKey === k }" @click="setSort(k)">
{{ k }}
<span v-if="sortKey === k">{{ sortDir === 'desc' ? '' : '' }}</span>
</span>
</template>
<template #default="{ row }">
<span class="mono">{{ fmt(row.statistics?.[k]) }}</span>
</template>
</el-table-column>
</el-table>
</el-card>
</div>
</template>
@@ -207,16 +103,4 @@ async function onSubmit(): Promise<void> {
.opt-page { display: flex; flex-direction: column; gap: 16px; }
.blk { border: 1px solid var(--border-2); }
.form-hint { margin-left: 10px; }
.sort-hint { margin-left: 12px; font-size: 12px; }
.th-sort { cursor: pointer; user-select: none; }
.th-sort.active { color: var(--brand); font-weight: 700; }
.th-sort:hover { color: var(--brand); }
.param-pair { margin-right: 10px; color: var(--text-2); }
.param-pair strong { color: var(--text); }
:deep(.num) { font-family: var(--mono); }
:deep(.top-row) { background: rgba(63, 185, 80, 0.10) !important; }
:deep(.top-row td) { font-weight: 600; }
</style>
@@ -0,0 +1,138 @@
<script setup lang="ts">
import { ref, computed, onMounted } from 'vue'
import { useRoute } from 'vue-router'
import { ElMessage } from 'element-plus'
import { getOptimizationResults, type OptRow } from '@/api/backtest'
const route = useRoute()
const taskId = String(route.params.id)
const loading = ref(false)
const results = ref<OptRow[]>([])
onMounted(async () => {
loading.value = true
try {
results.value = await getOptimizationResults(taskId)
// 默认按总收益降序
const retKey = statColumns.value.find((k) => /return|收益/i.test(k))
if (retKey) { sortKey.value = retKey; sortDir.value = 'desc' }
} catch {
ElMessage.error('优化结果加载失败')
} finally {
loading.value = false
}
})
const statColumns = computed(() => {
const set = new Set<string>()
results.value.forEach((r) => Object.keys(r.statistics || {}).forEach((k) => set.add(k)))
return Array.from(set)
})
// 排序
const sortKey = ref('')
const sortDir = ref<'desc' | 'asc'>('desc')
function setSort(k: string): void {
if (sortKey.value === k) {
sortDir.value = sortDir.value === 'desc' ? 'asc' : 'desc'
} else {
sortKey.value = k
sortDir.value = 'desc'
}
}
const sortedResults = computed(() => {
if (!sortKey.value) return results.value
const k = sortKey.value
const dir = sortDir.value === 'desc' ? -1 : 1
return [...results.value].sort((a, b) => {
const va = Number(a.statistics?.[k] ?? NaN)
const vb = Number(b.statistics?.[k] ?? NaN)
if (!Number.isFinite(va) && !Number.isFinite(vb)) return 0
if (!Number.isFinite(va)) return 1
if (!Number.isFinite(vb)) return -1
return (va - vb) * dir
})
})
// Top1 行(按当前排序首项)
const topParamsKey = computed(() => {
if (!sortedResults.value.length) return ''
return JSON.stringify(sortedResults.value[0].params)
})
function topRowClass({ row }: { row: OptRow }): string {
return JSON.stringify(row.params) === topParamsKey.value ? 'top-row' : ''
}
function fmt(v: unknown): string {
return typeof v === 'number' ? (Math.round(v * 10000) / 10000).toString() : v == null ? '' : String(v)
}
function isUp(k: string): boolean {
return /return|收益|sharpe|夏普|alpha|ir/i.test(k)
}
</script>
<template>
<div class="page opt-result-page">
<div class="page-head">
<div>
<h2 class="page-title">优化结果</h2>
<p class="page-subtitle">任务 ID<span class="mono">{{ taskId }}</span></p>
</div>
</div>
<el-card class="blk" shadow="never" v-loading="loading">
<template #header>
<span class="section-title">参数组合 <span class="count-badge">{{ results.length }}</span></span>
<span class="muted sort-hint">点击列头排序 · 当前
<strong v-if="sortKey" class="mono">{{ sortKey }} ({{ sortDir === 'desc' ? '降序' : '升序' }})</strong>
<em v-else>未排序</em>
</span>
</template>
<el-table v-if="results.length" :data="sortedResults" size="small" :row-class-name="topRowClass">
<el-table-column label="参数" min-width="220">
<template #default="{ row }">
<span v-for="(v, k) in row.params" :key="String(k)" class="param-pair mono">
{{ k }}=<strong>{{ fmt(v) }}</strong>
</span>
</template>
</el-table-column>
<el-table-column
v-for="k in statColumns" :key="k" :label="k" :align="isUp(k) ? 'right' : 'right'"
:class-name="isUp(k) ? 'num up-col' : 'num'"
>
<template #header>
<span class="th-sort" :class="{ active: sortKey === k }" @click="setSort(k)">
{{ k }}
<span v-if="sortKey === k">{{ sortDir === 'desc' ? '' : '' }}</span>
</span>
</template>
<template #default="{ row }">
<span class="mono">{{ fmt(row.statistics?.[k]) }}</span>
</template>
</el-table-column>
</el-table>
<span v-else class="muted">无有效优化结果</span>
</el-card>
</div>
</template>
<style scoped>
.opt-result-page { display: flex; flex-direction: column; gap: 16px; }
.blk { border: 1px solid var(--border-2); }
.sort-hint { margin-left: 12px; font-size: 12px; }
.th-sort { cursor: pointer; user-select: none; }
.th-sort.active { color: var(--brand); font-weight: 700; }
.th-sort:hover { color: var(--brand); }
.param-pair { margin-right: 10px; color: var(--text-2); }
.param-pair strong { color: var(--text); }
:deep(.num) { font-family: var(--mono); }
:deep(.top-row) { background: rgba(63, 185, 80, 0.10) !important; }
:deep(.top-row td) { font-weight: 600; }
</style>
+9 -3
View File
@@ -8,6 +8,7 @@ const route = useRoute()
const router = useRouter()
const taskId = String(route.params.id)
const isFactor = computed(() => route.path.startsWith('/factor'))
const isOptimize = computed(() => taskId.startsWith('opt_'))
const { status, stage, start } = useTask(taskId)
@@ -37,8 +38,13 @@ onUnmounted(() => {
watch(status, (s) => {
if (s === 'done') {
const base = isFactor.value ? '/factor' : '/backtest'
router.push(`${base}/result/${taskId}`)
if (isFactor.value) {
router.push(`/factor/result/${taskId}`)
} else if (isOptimize.value) {
router.push(`/backtest/optimize-result/${taskId}`)
} else {
router.push(`/backtest/result/${taskId}`)
}
}
})
@@ -89,7 +95,7 @@ const statusChipClass: Record<string, string> = { running: 'st-running', done: '
<div class="page progress-page">
<div class="page-head">
<div>
<h2 class="page-title">{{ isFactor ? '因子分析' : '回测' }}进行中</h2>
<h2 class="page-title">{{ isFactor ? '因子分析' : isOptimize ? '参数优化' : '回测' }}进行中</h2>
<p class="page-subtitle">任务 ID<span class="mono">{{ taskId }}</span></p>
</div>
<span class="chip" :class="statusChipClass[status]">{{ statusLabel[status] }}</span>
+15 -2
View File
@@ -316,8 +316,21 @@ def list_tasks(type: str | None = None, status: str | None = None):
@router.get("/task/{task_id}/optimization-results", dependencies=[Depends(verify_token)])
def optimization_results(task_id: str):
"""Optimization results: list of {params, statistics} per parameter combo."""
raw = get_orchestrator().get_raw_result(task_id)
"""Optimization results: list of {params, statistics} per parameter combo.
Bug2: Read from DB aggregate record (persistent across restarts).
Falls back to in-memory raw_result for backward compat (in-flight tasks).
"""
orch = get_orchestrator()
# Primary: DB aggregate record (survives API restart)
from sanguo_backtest.result_store import load_result_by_task_id
agg = load_result_by_task_id(task_id, orch.db_path)
if agg and agg.statistics and "combos" in agg.statistics:
return {"task_id": task_id, "results": agg.statistics["combos"]}
# Fallback: in-memory raw_result (backward compat for in-flight tasks)
raw = orch.get_raw_result(task_id)
if raw is None:
raise HTTPException(status_code=404, detail="optimization results not ready")
rows = []
+86 -20
View File
@@ -1,6 +1,8 @@
"""CTA strategy parameter optimization wrapper using vnpy_ctastrategy.backtesting."""
import sys
import os
import json
import logging
import traceback
import uuid
from datetime import datetime
@@ -16,6 +18,46 @@ if _VNPY_SRC not in sys.path:
from sanguo_backtest.result_store import BacktestResult, save_result
from sanguo_backtest.cta_engine import guess_exchange, Exchange
logger = logging.getLogger(__name__)
def _ensure_vnpy_settings_for_spawn(cfg) -> None:
"""Write vt_setting.json so vnpy multiprocessing spawn grandchildren inherit
the correct database path.
Background: vnpy's run_optimization uses multiprocessing spawn, which
re-imports vnpy.trader.setting in each grandchild process. On re-import,
SETTINGS resets to defaults (database.database="database.db"), losing the
DB path configured in the parent. However, setting.py also runs
SETTINGS.update(load_json("vt_setting.json")) on import, reading from
Path.home()/.vntrader/vt_setting.json. Since sanguo-api runs as
Administrator (home=C:\\Users\\Administrator) and spawn children inherit
the same home, writing this file ensures grandchildren also load the
correct DB → load_data succeeds → calculate_result produces real
statistics instead of empty {}.
Adapter only — vnpy_v4.4.0/ source is untouched.
"""
try:
# Resolve vnpy data DB path: prefer cfg param, fall back to config file
# (same independent load as the SETTINGS setup below — cfg may be None)
if cfg and hasattr(cfg, "data_paths") and cfg.data_paths.get("vnpy_db"):
vnpy_db = cfg.data_paths["vnpy_db"]
else:
from sanguo_data.config import load_config, find_config_path
vnpy_db = load_config(find_config_path()).data_paths["vnpy_db"]
vntrader_dir = Path.home() / ".vntrader"
vntrader_dir.mkdir(parents=True, exist_ok=True)
setting = {
"database.name": "sqlite",
"database.database": vnpy_db,
}
with open(vntrader_dir / "vt_setting.json", "w", encoding="utf-8") as f:
json.dump(setting, f, ensure_ascii=False, indent=2)
except Exception as e:
logger.warning("vt_setting.json adapter failed (spawn may use default DB): %s", e)
def run_cta_optimization(
strategy_class,
@@ -25,7 +67,8 @@ def run_cta_optimization(
end: str,
cfg,
db_path: str,
max_workers: int = 2
max_workers: int = 2,
task_id: str = None
) -> List[BacktestResult]:
"""
Run CTA strategy parameter optimization using vnpy_ctastrategy BacktestingEngine.
@@ -43,8 +86,14 @@ def run_cta_optimization(
Returns:
List[BacktestResult]: List of result objects with optimization statistics
"""
# Generate unique task ID for this optimization run
task_id = f"opt_{uuid.uuid4().hex[:8]}"
# Generate unique task ID for this optimization run (use caller-provided task_id if any)
if not task_id:
task_id = f"opt_{uuid.uuid4().hex[:8]}"
# Bug1 fix: vnpy multiprocessing spawn grandchildren re-import setting.py,
# resetting SETTINGS to defaults (database.db). Write vt_setting.json so they
# load the correct DB path. Adapter only — vnpy source untouched.
_ensure_vnpy_settings_for_spawn(cfg)
try:
# Lazy import of BacktestingEngine and OptimizationSetting
@@ -107,6 +156,7 @@ def run_cta_optimization(
# Parse optimization results and convert to BacktestResult objects
results = []
combos = [] # Bug2: collect valid combos for aggregate record
for item in optimization_results:
try:
# Handle both tuple format (params, target_value, statistics)
@@ -121,6 +171,11 @@ def run_cta_optimization(
# Unknown format, skip this result
continue
# Bug2 fix: skip items with empty statistics (vnpy returns these
# for combos that loaded 0 bars or failed). Don't persist empty records.
if not statistics or not isinstance(statistics, dict):
continue
# Create individual result for each optimization run
result = BacktestResult(
task_id=f"opt_{uuid.uuid4().hex[:8]}", # Unique ID per result
@@ -139,25 +194,36 @@ def run_cta_optimization(
# Save each result to database
save_result(result, db_path=db_path)
combos.append({"params": params, "statistics": statistics})
except Exception as e:
# Handle individual result parsing error
error_result = BacktestResult(
task_id=f"opt_{uuid.uuid4().hex[:8]}",
type="optimize",
status="failed",
strategy=strategy_class.__name__,
symbol=symbol,
params={},
start=start,
end=end,
statistics={},
equity_curve=None,
trades=None,
error_msg=f"Result parsing error: {type(e).__name__}: {e}"
)
results.append(error_result)
save_result(error_result, db_path=db_path)
# Bug2: log parse errors but don't save empty error records
logger.warning("optimize: skipped result parse error: %s: %s",
type(e).__name__, e)
# Bug2: save aggregate record under the main task_id for persistence.
# Stores all valid combos in statistics["combos"] so results survive
# API restart and can be retrieved by the optimization-results endpoint.
if combos:
grid_summary = {name: list(rng) for name, rng in grid.items()}
aggregate = BacktestResult(
task_id=task_id,
type="optimize",
status="done",
strategy=strategy_class.__name__,
symbol=symbol,
params={
"strategy": strategy_class.__name__,
"symbol": symbol,
"grid": grid_summary,
},
start=start,
end=end,
statistics={"combos": combos},
equity_curve=None,
trades=None,
)
save_result(aggregate, db_path=db_path)
return results
+22 -2
View File
@@ -10,6 +10,26 @@ import pandas as pd
logger = logging.getLogger(__name__)
def _json_default(obj):
"""json.dumps default: vnpy calculate_result 的 statistics 含 numpy.int64/float64,
标准 json 不能序列化(optimize 的统计直接来自 vnpy,未像 cta 那样被 compute_metrics
覆盖成 python float)。用 duck typing 把 numpy 标量/数组转原生,不引入 numpy 硬依赖。"""
import datetime as _dt
if isinstance(obj, (_dt.date, _dt.datetime)):
return obj.isoformat()
if hasattr(obj, "item") and callable(getattr(obj, "item")):
try:
return obj.item()
except Exception:
pass
if hasattr(obj, "tolist") and callable(getattr(obj, "tolist")):
try:
return obj.tolist()
except Exception:
pass
raise TypeError(f"Object of type {type(obj).__name__} is not JSON serializable")
@dataclass
class BacktestResult:
"""Backtest result data structure."""
@@ -96,10 +116,10 @@ def save_result(result: BacktestResult, db_path: str, file_dir: Optional[str] =
result.status,
result.strategy,
result.symbol,
json.dumps(result.params),
json.dumps(result.params, default=_json_default),
result.start,
result.end,
json.dumps(result.statistics),
json.dumps(result.statistics, default=_json_default),
equity_path,
trades_path,
result.error_msg
+3 -3
View File
@@ -82,7 +82,7 @@ class Orchestrator:
spec = self._pending[task_id]
fut: Future = self.pool.submit_work(
task_id, _opt_worker, spec["strategy_class"], spec["symbol"],
spec["grid"], spec["start"], spec["end"], spec["cfg"], self.db_path
spec["grid"], spec["start"], spec["end"], spec["cfg"], self.db_path, task_id
)
task = self.pool.get_task(task_id)
@@ -178,10 +178,10 @@ def _cta_worker(strategy_class, symbol: str, params: dict, start: str, end: str,
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)
def _opt_worker(strategy_class, symbol: str, grid: dict, start: str, end: str, cfg, db_path: str) -> any:
def _opt_worker(strategy_class, symbol: str, grid: dict, start: str, end: str, cfg, db_path: str, task_id: str) -> any:
"""Worker for CTA optimization (lazy import, spawn-friendly)"""
from sanguo_backtest.cta_optimizer import run_cta_optimization
return run_cta_optimization(strategy_class, symbol, grid, start, end, cfg, db_path)
return run_cta_optimization(strategy_class, symbol, grid, start, end, cfg, db_path, task_id=task_id)
def _factor_worker(symbols: list, factor_names: list, start: str, end: str, cfg, output_dir: str) -> any: