feat: 实盘模拟(live) + 组合回测MVP(portfolio)

[live] 实盘模拟 vnpy+miniQMT 直连(supervisor 轮询, 前后端): - sanguo_live: LiveTradingEngine + AShareCtaTemplate(定寸/禁做空) + runner_supervisor(DB驱动) + persistence(4表WAL) - sanguo_api/routes_live: 9路由(create/start/stop/positions/trades/account/status) - frontend live: New/List/Monitor + api/live.ts; config/live.yaml [portfolio] 组合回测 MVP(BulletTrade, 链路代码完成待验证): - runner_backtest 加 JSON 入口(--json, BacktestEngine 顶层 import) - sanguo_api/routes_portfolio: POST /portfolio/backtest SSH 触发 VPS 跑 - frontend PortfolioBacktest.vue + api/portfolio.ts: 表单+结果+净值曲线 - 路由/菜单注册(/backtest/portfolio 组合回测) - 已知: MVP 链路未端到端验证, agent 改至中途被停; 待 Mac 起服务联调
2026-07-18 20:04:16 +08:00
parent a68cf4905e
commit 96b1924fd5
24 changed files with 3550 additions and 9 deletions
@@ -0,0 +1,370 @@
+"""实盘模拟 API + 持久化单测（task #4）。
+
+两层：
+  (1) persistence CRUD —— sqlite tmp，纯 Python，Mac 跑通；
+  (2) routes_live API —— FastAPI TestClient，不实例化 LiveTradingEngine
+      （supervisor 才起 engine，本模块只测 DB CRUD 路由）。
+
+Mac 跑：``pytest tests/test_live_api.py -v``
+"""
+from __future__ import annotations
+
+import os
+
+from fastapi.testclient import TestClient
+
+from sanguo_api.app import create_app
+from sanguo_api.auth import create_token, set_jwt_config
+from sanguo_api.routes_live import set_db_path
+
+
+# =============================================================================
+# 层 1：persistence CRUD
+# =============================================================================
+
+def _db(tmp_path) -> str:
+    from sanguo_live.persistence import init_db
+    db = os.path.join(str(tmp_path), "live.db")
+    init_db(db)
+    return db
+
+
+def test_save_and_get_account(tmp_path):
+    from sanguo_live.persistence import save_account, get_account
+
+    db = _db(tmp_path)
+    aid = save_account(db, {
+        "name": "live1", "account": "12345678",
+        "vt_symbol": "600000.SSE", "strategy_name": "dm1",
+        "setting": {"fast_window": 5}, "initial_capital": 5e5,
+    })
+    assert aid > 0
+    acc = get_account(db, aid)
+    assert acc["account"] == "12345678"
+    assert acc["status"] == "stopped"  # 默认 stopped
+    assert acc["vt_symbol"] == "600000.SSE"
+    assert "\"fast_window\": 5" in acc["setting"]  # JSON 字符串
+
+
+def test_list_accounts_and_default_status(tmp_path):
+    from sanguo_live.persistence import save_account, list_accounts
+
+    db = _db(tmp_path)
+    save_account(db, {"account": "1", "strategy_name": "s1"})
+    save_account(db, {"account": "2", "strategy_name": "s2"})
+    rows = list_accounts(db)
+    assert len(rows) == 2
+    # DESC 排序：最新建的在前
+    assert rows[0]["account"] == "2"
+    assert all(r["status"] == "stopped" for r in rows)
+
+
+def test_update_account_status(tmp_path):
+    from sanguo_live.persistence import (
+        save_account, update_account_status, get_account,
+        list_running_accounts,
+    )
+
+    db = _db(tmp_path)
+    aid = save_account(db, {"account": "999", "strategy_name": "s"})
+    update_account_status(db, aid, "running")
+    assert get_account(db, aid)["status"] == "running"
+    assert len(list_running_accounts(db)) == 1
+    update_account_status(db, aid, "stopped", "test error")
+    assert get_account(db, aid)["status"] == "stopped"
+    assert get_account(db, aid)["error_msg"] == "test error"
+    assert list_running_accounts(db) == []
+
+
+def test_save_and_list_trades(tmp_path):
+    from sanguo_live.persistence import save_account, save_trade, list_trades
+
+    db = _db(tmp_path)
+    aid = save_account(db, {"account": "1", "strategy_name": "s"})
+    tid1 = save_trade(db, aid, {"symbol": "600000.SSE", "direction": "long",
+                                "offset": "open", "price": 10.5, "volume": 100,
+                                "traded_at": "2026-07-17T10:00:00",
+                                "vt_tradeid": "T1"})
+    tid2 = save_trade(db, aid, {"symbol": "600000.SSE", "direction": "short",
+                                "offset": "close", "price": 11.0, "volume": 100,
+                                "traded_at": "2026-07-17T11:00:00",
+                                "vt_tradeid": "T2"})
+    assert tid1 > 0 and tid2 > tid1
+    trades = list_trades(db, aid)
+    assert len(trades) == 2
+    assert trades[0]["vt_tradeid"] == "T1"
+    assert trades[1]["price"] == 11.0
+
+
+def test_save_positions_overwrites_snapshot(tmp_path):
+    """positions 覆盖式快照：第二次 save 完全替换第一次。"""
+    from sanguo_live.persistence import (
+        save_account, save_positions, load_positions,
+    )
+
+    db = _db(tmp_path)
+    aid = save_account(db, {"account": "1", "strategy_name": "s"})
+    save_positions(db, aid, {
+        "600000.SSE": {"volume": 100, "frozen": 0, "avg_price": 10.0},
+        "000001.SZSE": {"volume": 200, "frozen": 50, "avg_price": 15.0},
+    })
+    pos = load_positions(db, aid)
+    assert len(pos) == 2
+    # 覆盖（600000 减仓，000001 清仓）
+    save_positions(db, aid, {
+        "600000.SSE": {"volume": 50, "frozen": 0, "avg_price": 10.0},
+    })
+    pos2 = load_positions(db, aid)
+    assert len(pos2) == 1
+    assert pos2[0]["symbol"] == "600000.SSE"
+    assert pos2[0]["volume"] == 50
+
+
+def test_save_positions_skips_zero_volume(tmp_path):
+    from sanguo_live.persistence import save_account, save_positions, load_positions
+
+    db = _db(tmp_path)
+    aid = save_account(db, {"account": "1", "strategy_name": "s"})
+    save_positions(db, aid, {
+        "600000.SSE": {"volume": 0, "frozen": 0, "avg_price": 0},
+        "000001.SZSE": {"volume": 100, "frozen": 0, "avg_price": 15.0},
+    })
+    pos = load_positions(db, aid)
+    assert len(pos) == 1
+    assert pos[0]["symbol"] == "000001.SZSE"
+
+
+def test_save_and_get_last_balance(tmp_path):
+    from sanguo_live.persistence import (
+        save_account, save_balance, list_balance, get_last_balance,
+    )
+
+    db = _db(tmp_path)
+    aid = save_account(db, {"account": "1", "strategy_name": "s"})
+    save_balance(db, aid, "2026-07-17 10:00:00", 5e5, 1e5, 6e5)
+    save_balance(db, aid, "2026-07-17 11:00:00", 4e5, 2e5, 6e5)
+    all_bal = list_balance(db, aid)
+    assert len(all_bal) == 2
+    last = get_last_balance(db, aid)
+    assert last["cash"] == 4e5
+    assert last["total"] == 6e5
+    assert last["date"] == "2026-07-17 11:00:00"
+
+
+def test_get_last_balance_empty(tmp_path):
+    from sanguo_live.persistence import save_account, get_last_balance
+
+    db = _db(tmp_path)
+    aid = save_account(db, {"account": "1", "strategy_name": "s"})
+    assert get_last_balance(db, aid) is None
+
+
+# =============================================================================
+# 层 2：routes_live API（TestClient，不依赖 vnpy）
+# =============================================================================
+
+def _client(tmp_path):
+    set_jwt_config(secret="t", expire_minutes=60)
+    db = os.path.join(str(tmp_path), "live_api.db")
+    app = create_app(db_path=db)
+    set_db_path(db)
+    return TestClient(app), create_token("admin")
+
+
+def _auth(token):
+    return {"Authorization": f"Bearer {token}"}
+
+
+def test_create_live(tmp_path):
+    c, token = _client(tmp_path)
+    resp = c.post(
+        "/api/v1/live/create",
+        json={
+            "name": "live1", "account": "12345678",
+            "vt_symbol": "600000.SSE", "strategy_name": "dm1",
+            "setting": {"fast_window": 5}, "initial_capital": 5e5,
+        },
+        headers=_auth(token),
+    )
+    assert resp.status_code == 200
+    body = resp.json()
+    assert body["account_id"] > 0
+    assert body["status"] == "stopped"  # create 后默认 stopped
+
+
+def test_list_and_get_live(tmp_path):
+    c, token = _client(tmp_path)
+    aid = c.post(
+        "/api/v1/live/create",
+        json={"account": "123", "strategy_name": "dm1"},
+        headers=_auth(token),
+    ).json()["account_id"]
+    # 列表
+    lst = c.get("/api/v1/live", headers=_auth(token)).json()
+    assert len(lst["accounts"]) == 1
+    assert lst["accounts"][0]["id"] == aid
+    assert lst["accounts"][0]["total_return"] is None  # 无 balance
+    assert lst["accounts"][0]["position_count"] == 0
+    # 详情
+    detail = c.get(f"/api/v1/live/{aid}", headers=_auth(token)).json()
+    assert detail["account"] == "123"
+    assert detail["status"] == "stopped"
+
+
+def test_start_and_stop(tmp_path):
+    c, token = _client(tmp_path)
+    aid = c.post(
+        "/api/v1/live/create",
+        json={"account": "123", "strategy_name": "dm1"},
+        headers=_auth(token),
+    ).json()["account_id"]
+    # start
+    r = c.post(f"/api/v1/live/{aid}/start", headers=_auth(token))
+    assert r.status_code == 200
+    assert r.json()["status"] == "running"
+    assert c.get(f"/api/v1/live/{aid}/status",
+                 headers=_auth(token)).json()["status"] == "running"
+    # stop
+    r = c.post(f"/api/v1/live/{aid}/stop", headers=_auth(token))
+    assert r.json()["status"] == "stopped"
+    assert c.get(f"/api/v1/live/{aid}/status",
+                 headers=_auth(token)).json()["status"] == "stopped"
+
+
+def test_start_empty_account_rejected(tmp_path):
+    """account 字段空 → start 返回 400。"""
+    c, token = _client(tmp_path)
+    aid = c.post(
+        "/api/v1/live/create",
+        json={"account": "", "strategy_name": "dm1"},
+        headers=_auth(token),
+    ).json()["account_id"]
+    r = c.post(f"/api/v1/live/{aid}/start", headers=_auth(token))
+    assert r.status_code == 400
+
+
+def test_empty_trades_positions_account(tmp_path):
+    """新建实例：trades / positions / account 应返回空结构。"""
+    c, token = _client(tmp_path)
+    aid = c.post(
+        "/api/v1/live/create",
+        json={"account": "123", "strategy_name": "dm1"},
+        headers=_auth(token),
+    ).json()["account_id"]
+    assert c.get(f"/api/v1/live/{aid}/trades",
+                 headers=_auth(token)).json() == []
+    assert c.get(f"/api/v1/live/{aid}/positions",
+                 headers=_auth(token)).json() == []
+    assert c.get(f"/api/v1/live/{aid}/account",
+                 headers=_auth(token)).json() == {}
+
+
+def test_get_live_404(tmp_path):
+    c, token = _client(tmp_path)
+    assert c.get("/api/v1/live/999", headers=_auth(token)).status_code == 404
+    assert c.get("/api/v1/live/999/status",
+                 headers=_auth(token)).status_code == 404
+    assert c.post("/api/v1/live/999/start",
+                  headers=_auth(token)).status_code == 404
+
+
+def test_unauthorized_401(tmp_path):
+    c, _ = _client(tmp_path)
+    assert c.get("/api/v1/live").status_code == 401
+    assert c.post("/api/v1/live/create",
+                  json={"account": "1", "strategy_name": "s"}).status_code == 401
+
+
+def test_create_live_mini_path_default_when_empty(monkeypatch, tmp_path):
+    """create 不传 mini_path → 后端 env/内置默认兜底,落库 mini_path 非空。
+
+    避免空 mini_path 导致 connect=-1(task #6a 冒烟发现)。
+    """
+    monkeypatch.delenv("SANGUO_QMT_PATH", raising=False)
+    c, token = _client(tmp_path)
+    aid = c.post(
+        "/api/v1/live/create",
+        json={"account": "123", "strategy_name": "dm1"},  # 不传 mini_path
+        headers=_auth(token),
+    ).json()["account_id"]
+    from sanguo_live.persistence import get_account
+    db = os.path.join(str(tmp_path), "live_api.db")
+    acc = get_account(db, aid)
+    assert acc["mini_path"]  # 非空
+    assert "userdata_mini" in acc["mini_path"]  # 内置默认
+
+
+def test_create_live_mini_path_env_fallback(monkeypatch, tmp_path):
+    """req.mini_path 空 → env SANGUO_QMT_PATH 兜底(优先于内置默认)。"""
+    monkeypatch.setenv("SANGUO_QMT_PATH", "/from/env/mini")
+    c, token = _client(tmp_path)
+    aid = c.post(
+        "/api/v1/live/create",
+        json={"account": "123", "strategy_name": "dm1", "mini_path": ""},
+        headers=_auth(token),
+    ).json()["account_id"]
+    from sanguo_live.persistence import get_account
+    db = os.path.join(str(tmp_path), "live_api.db")
+    assert get_account(db, aid)["mini_path"] == "/from/env/mini"
+
+
+def test_list_lives_total_return_uses_first_snapshot_baseline(tmp_path):
+    """list 收益率按首快照 total 为 baseline,不是 initial_capital。
+
+    场景:initial_capital=6e5,但首快照 total=5e5(模拟入金后立刻记录)。
+    两条 balance:5e5 → 5.5e5,收益率应为 (5.5e5 - 5e5) / 5e5 = 0.1,
+    而非按 initial_capital 6e5 算的 -0.0833。
+    """
+    from sanguo_live.persistence import save_balance
+    c, token = _client(tmp_path)
+    aid = c.post(
+        "/api/v1/live/create",
+        json={"account": "123", "strategy_name": "dm1",
+              "initial_capital": 6e5},
+        headers=_auth(token),
+    ).json()["account_id"]
+    db = os.path.join(str(tmp_path), "live_api.db")
+    save_balance(db, aid, "2026-07-17 09:30:00", 5e5, 0, 5e5)     # baseline
+    save_balance(db, aid, "2026-07-17 15:00:00", 5e5, 0.5e5, 5.5e5)
+
+    item = c.get("/api/v1/live", headers=_auth(token)).json()["accounts"][0]
+    assert item["latest_equity"] == 5.5e5
+    # (5.5e5 - 5e5) / 5e5 = 0.1
+    assert abs(item["total_return"] - 0.1) < 1e-9
+
+
+def test_routes_reflect_db_writes(tmp_path):
+    """直接写 DB（模拟 supervisor 落库）→ API 路由读到。"""
+    from sanguo_live.persistence import (
+        save_trade, save_positions, save_balance,
+    )
+
+    c, token = _client(tmp_path)
+    aid = c.post(
+        "/api/v1/live/create",
+        json={"account": "123", "strategy_name": "dm1",
+              "initial_capital": 6e5},
+        headers=_auth(token),
+    ).json()["account_id"]
+    db = os.path.join(str(tmp_path), "live_api.db")
+    save_trade(db, aid, {"symbol": "600000.SSE", "direction": "long",
+                         "offset": "open", "price": 10.0, "volume": 100,
+                         "traded_at": "2026-07-17T10:00:00"})
+    save_positions(db, aid, {"600000.SSE": {"volume": 100, "frozen": 0,
+                                            "avg_price": 10.0}})
+    save_balance(db, aid, "2026-07-17 10:00:00", 5e5, 1e5, 6e5)
+
+    trades = c.get(f"/api/v1/live/{aid}/trades", headers=_auth(token)).json()
+    assert len(trades) == 1
+    assert trades[0]["price"] == 10.0
+    pos = c.get(f"/api/v1/live/{aid}/positions", headers=_auth(token)).json()
+    assert len(pos) == 1 and pos[0]["symbol"] == "600000.SSE"
+    acc = c.get(f"/api/v1/live/{aid}/account", headers=_auth(token)).json()
+    assert acc["total"] == 6e5
+
+    # 列表汇总：有 balance 后 total_return 应非 None
+    lst = c.get("/api/v1/live", headers=_auth(token)).json()
+    item = lst["accounts"][0]
+    assert item["latest_equity"] == 6e5
+    assert item["total_return"] == 0.0  # 6e5 == 初始 6e5
+    assert item["position_count"] == 1