fix(monitor): 策略监控v1.2二审两修——fills双轨配对逐对账+no_restart盘窗口径重设计 [vps]
10-01 二次审计 P1-3/P2-3 处置(抗辩记录在案:P3-2 同日不复活=alerts_store 既有设计决策、P3-3 expected=7 为告警设定值非事实硬编码,均维持现状): ①P1-3 fills_vs_paper 全表总量口径在 live 桌回归日必误红——重设计为 _dual_track_pairs(instance_id 优先精确配对,回退 strategies 首名, reconcile_report v2 语义镜像)逐对笔数+金额对账;配对内 0:1=真双轨分歧 照红;无 running live 账户=n/a 绿(09-30 语义保留)。 ②P2-3 no_restart 旧「creation>=当日00:00」双失效(盘中重启次日必绿+ 08:05 当日必然未确认→red 恒降黄)——重设计为近 3 个确认交易日盘窗 (09:15-15:30)内出生=违例:违例日皆已确认→red 可达;夜间/盘前出生= 合法 deploy 窗;连休无新增确认日自然绿。 附带:_count_running 排除 mode='live'(同族口径,wmic needle 数的是 shadow 进程);registry titles 随 LOG_GLOBS/新语义更新(P3-4); runbook 注记三处同步+连休预期形态注(P3-1)。 fixture 增双轨配对(8=live↔7=shadow);测试 24 绿(新增盘窗红/deploy 窗 绿/未确认日缓评估/降级载体迁 is_identity_resid/配对全状态链)。 Co-Authored-By: Claude Code <noreply@anthropic.com>
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@@ -84,15 +84,79 @@ def _ro(path):
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def _count_running(db_path):
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"""running 账户数, 排除 live 桌(mode='live', live_orchestrator 权威口径)——
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本检查族的 wmic needle 数的是 shadow 进程, live 桌回归日口径不再混桌
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(10-01 二次审计 P1-3 同族; mode 未标 NULL/其它=影子/eod 舰队都计入)."""
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conn = _ro(db_path)
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try:
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return int(conn.execute(
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"SELECT COUNT(*) FROM paper_accounts WHERE status='running'"
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"SELECT COUNT(*) FROM paper_accounts "
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"WHERE status='running' AND (mode IS NULL OR mode!='live')"
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).fetchone()[0])
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finally:
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conn.close()
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def _desk_accounts(db_path, mode):
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"""desk 账户行 [(id, instance_id, strategies_json)]; live 桌=mode='live'."""
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conn = _ro(db_path)
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try:
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return conn.execute(
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"SELECT id, instance_id, strategies FROM paper_accounts "
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"WHERE mode=? AND status='running'", (mode,)).fetchall()
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finally:
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conn.close()
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def _dual_track_pairs(db_path):
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"""live↔shadow 配对 [(live_id, shadow_id)](reconcile_report v2 语义镜像:
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instance_id 优先精确配对, 缺 instance 回退 strategies 首名; 10-01 审计
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P1-3——全表总量口径在 live 桌回归日必误红, 逐对账才是双轨本义)."""
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import json as _json
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def _first_name(s):
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try:
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return (_json.loads(s or "[]") or [{}])[0].get("name", "")
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except (ValueError, IndexError, KeyError):
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return ""
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lives = [(r[0], r[1], _first_name(r[2]))
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for r in _desk_accounts(db_path, "live")]
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shadows = [(r[0], r[1], _first_name(r[2]))
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for r in _desk_accounts(db_path, "shadow")]
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pairs, used = [], set()
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for lid, linst, lname in lives:
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cand = next(((s, ) for s, sinst, _ in shadows
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if sinst and sinst == linst and s not in used), None) \
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or next(((s, ) for s, _, sname in shadows
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if not (linst or None) and lname and sname == lname
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and s not in used), None)
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if cand:
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used.add(cand[0])
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pairs.append((lid, cand[0]))
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return pairs
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def _day_fills(db_path, table, account_id, today):
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"""当日某账户成交 (笔数, 金额)——live_trades 按 traded_at 前缀,
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paper_trades 只数 rejected=0 按 bar_date."""
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conn = _ro(db_path)
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try:
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if table == "live_trades":
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row = conn.execute(
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"SELECT COUNT(*), COALESCE(SUM(price*volume),0) FROM live_trades "
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"WHERE account_id=? AND traded_at LIKE ?",
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(account_id, today + "%")).fetchone()
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else:
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row = conn.execute(
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"SELECT COUNT(*), COALESCE(SUM(price*volume),0) FROM paper_trades "
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"WHERE account_id=? AND rejected=0 AND bar_date=?",
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(account_id, today)).fetchone()
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return int(row[0]), float(row[1] or 0)
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finally:
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conn.close()
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def _pipeline_one(ctx, sql, args=()):
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conn = _ro(ctx["pipeline_db"])
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try:
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@@ -125,13 +189,29 @@ def engines_actual(ctx, e):
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def engines_no_restart(ctx, e):
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"""全 shadow 进程 CreationDate < 当日 00:00(盘前出生=昨夜/今晨被重启)."""
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"""近 N 个**确认**交易日盘窗(09:15~15:30)内出生的 shadow 进程=会话日重启
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(§11.0; 10-01 二次审计 P2-3 重设计)。旧「creation>=当日00:00」双失效:
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盘中重启次日必绿(只盖 00:00-08:05)且 08:05 当日必然未确认→red 恒降黄。
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新语义: 违例日均为已确认交易日→red 可达, 不经未确认日降级; 夜间/盘前
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出生=合法 deploy 窗不计; 连休无新增确认日=自然绿。"""
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shadows = shadow_processes(run_wmic())
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bad = [{"cmd": cmd, "created": c.isoformat() if c else None}
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for cmd, c in shadows if c is None or c >= ctx["midnight"]]
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days = trading_days(ctx["main_db"], ctx["now"].date())
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windows = []
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for d in sorted(days)[-e["lookback_confirmed"]:]:
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ymd = d.replace("-", "")
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windows.append((ymd + "0915", ymd + "1530"))
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bad = []
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for cmd, c in shadows:
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if c is None:
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bad.append({"cmd": cmd, "created": None})
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continue
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ts = c.strftime("%Y%m%d%H%M")
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if any(a <= ts <= b for a, b in windows):
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bad.append({"cmd": cmd, "created": c.isoformat()})
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status = "green" if not bad else e["severity"]
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return _done(e, status, f"<{ctx['midnight'].isoformat()}", len(bad),
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{"violations": bad[:20], "procs": len(shadows)})
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return _done(e, status, 0, len(bad),
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{"violations": bad[:20], "procs": len(shadows),
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"windows": [f"{a[:8]}" for a, _ in windows]})
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# ---------- 盘前班: 日志面 ----------
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@@ -217,33 +297,28 @@ def orders_leftover(ctx, e):
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def fills_vs_paper(ctx, e):
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"""当日 live_trades vs paper_trades(rejected=0 才是成交, 一表两态)笔数+金额
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双对账; live 侧当日零行=绿 n/a(09-30 复盘修订)——shadow 桌本地撮合订单不出门
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(runner.py 源码+paper_shadow_orders 全史 0 行+QMT 两日 cash/mktval 恒定三证),
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LIVE=0 时代 live_trades 结构性为空, shadow 独走日(28/201/32)不构成对账对象;
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live 桌回归出成交即自动武装。柜台↔台账恒等式仍归 15:10 仪式(infra 域)。"""
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conn = _ro(ctx["main_db"])
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try:
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live = conn.execute(
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"SELECT COUNT(*), COALESCE(SUM(price*volume),0) FROM live_trades "
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"WHERE traded_at LIKE ?", (ctx["today"] + "%",)).fetchone()
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paper = conn.execute(
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"SELECT COUNT(*), COALESCE(SUM(price*volume),0) FROM paper_trades "
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"WHERE rejected=0 AND bar_date=?", (ctx["today"],)).fetchone()
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finally:
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conn.close()
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ln, lam = int(live[0]), float(live[1] or 0)
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pn, pam = int(paper[0]), float(paper[1] or 0)
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if ln == 0:
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return _done(e, "green", "n/a", "no-live-fills",
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{"live_count": 0, "paper_count": pn,
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"paper_amount": round(pam, 2)})
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ok = ln == pn and abs(lam - pam) <= e["amount_tol"]
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status = "green" if ok else e["severity"]
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return _done(e, status, f"count相等 且 金额±{e['amount_tol']}",
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f"{ln}:{pn} {lam:.2f}:{pam:.2f}",
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{"live_count": ln, "live_amount": round(lam, 2),
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"paper_count": pn, "paper_amount": round(pam, 2)})
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"""当日双轨配对逐对账: live 账户 vs 其 shadow 镜像(笔数+金额, 容差内)。
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10-01 二次审计 P1-3 重设计——全表总量口径无账户配对, live 桌回归日两桌
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各跑各的策略必总量不平=误红; 逐对账才是「同策略同参数分别接真/假 broker」
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的双轨本义。无 running live 账户=n/a 绿(09-30 修订保留: shadow 桌本地撮合
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订单不出门, LIVE=0 时代 shadow 独走日不构成对账对象); 配对内 0:1 也算不平
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(影子镜像未跟=真双轨分歧)。柜台↔台账恒等式仍归 15:10 仪式(infra 域)。"""
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pairs = _dual_track_pairs(ctx["main_db"])
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if not pairs:
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return _done(e, "green", "n/a", "no-live-desk",
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{"pairs": 0, "note": "无 running live 账户, 双轨对账不适用"})
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bad = []
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for lid, sid in pairs:
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ln, lam = _day_fills(ctx["main_db"], "live_trades", lid, ctx["today"])
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pn, pam = _day_fills(ctx["main_db"], "paper_trades", sid, ctx["today"])
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if not (ln == pn and abs(lam - pam) <= e["amount_tol"]):
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bad.append({"live": lid, "shadow": sid,
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"live_count": ln, "live_amount": round(lam, 2),
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"paper_count": pn, "paper_amount": round(pam, 2)})
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status = "green" if not bad else e["severity"]
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return _done(e, status, f"逐对count相等 且 金额±{e['amount_tol']}",
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f"{len(pairs) - len(bad)}/{len(pairs)}对平",
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{"pairs": len(pairs), "mismatch": bad[:10]})
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def weekly_ran(ctx, e):
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@@ -20,17 +20,17 @@ REGISTRY = [
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"enabled": True,
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"title": "wmic 实存 shadow 进程数≠DB running 数"},
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{"key": "strategy.engines_no_restart", "fn": "engines_no_restart",
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"shifts": ("morn", "noon"), "severity": "red", "trading_day": True,
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"enabled": True,
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"title": "引擎盘前重生(日内重启嫌疑)"},
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"shifts": ("morn", "noon"), "severity": "red", "trading_day": False,
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"lookback_confirmed": 3, "enabled": True,
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"title": "引擎会话日盘窗重生(§11.0,近3确认交易日 09:15-15:30)"},
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{"key": "strategy.logs_error_storm", "fn": "logs_error_storm",
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"shifts": ("morn", "noon"), "severity": "yellow", "trading_day": False,
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"window_hours": 26, "max_errors": 20, "enabled": True,
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"title": "live 日志 26h 窗 ERROR/Traceback 超带"},
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"title": "引擎日志(live+shadow)26h 窗 ERROR/Traceback 超带"},
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{"key": "strategy.logs_stale", "fn": "logs_stale",
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"shifts": ("morn",), "severity": "yellow", "trading_day": False,
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"weekday": True, "max_age_days": 4, "enabled": True,
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"title": "live 日志停滞(>4 天无新写)"},
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"title": "引擎日志(live+shadow)停滞(>4 天无新写)"},
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{"key": "strategy.is_report_ran", "fn": "is_report_ran",
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"shifts": ("eve",), "severity": "yellow", "trading_day": True,
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"enabled": True,
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@@ -46,7 +46,7 @@ REGISTRY = [
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{"key": "strategy.fills_vs_paper", "fn": "fills_vs_paper",
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"shifts": ("eve",), "severity": "red", "trading_day": True,
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"amount_tol": 0.01, "enabled": True,
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"title": "live vs paper 当日成交对账不平"},
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"title": "双轨配对当日成交对账不平(live↔shadow 逐对)"},
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{"key": "strategy.weekly_ran", "fn": "weekly_ran",
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"shifts": ("eve",), "severity": "yellow", "trading_day": True,
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"enabled": True,
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