feat(paper): 组合策略接入模拟盘实走(E1+E2): paper_accounts加strategy_type列(含迁移); portfolio_paper每晚20:30全量重放→当日成交/末日持仓/净值落paper表(幂等,回测引擎为单一真相源); run_live_step按类型分流; create支持portfolio(仅live); 前端新建模拟盘策略类型选择+组合字段(策略/池/上限/基准) [vps]

2026-08-13 18:32:09 +08:00
parent 3e7d40ad5f
commit d030cfc91f
7 changed files with 434 additions and 19 deletions
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+"""组合策略模拟盘实走 step 单测（E1）：mock run_backtest_json 验证落库/幂等/分流。"""
+import json
+
+import pytest
+
+from sanguo_trader import portfolio_paper
+from sanguo_trader.persistence import (
+    init_db, load_last_balance, load_positions, list_trades, save_account,
+    update_account_status,
+)
+
+
+def _mk_account(db, strategy_type="portfolio", status="running"):
+    aid = save_account(db, {
+        "name": "pf1", "mode": "live", "strategy_type": strategy_type,
+        "symbols": ["hs300_subset"],
+        "strategies": [{"name": "all_weather",
+                        "params": {"max_pool": 30, "benchmark": "000300.XSHG"}}],
+        "initial_capital": 1_000_000, "start": "2026-01-01", "end": "2026-12-31",
+    })
+    update_account_status(db, aid, status)
+    return aid
+
+
+def _fake_result(date="2026-08-13", equity=1_050_000.0):
+    return {
+        "strategy": "all_weather",
+        "equity_curve": [{"date": "2026-08-12", "equity": 1_040_000.0},
+                         {"date": date, "equity": equity}],
+        "stocks_selected": [
+            {"code": "600000", "amount": 1000, "avg_cost": 10.0, "price": 10.5, "value": 10500.0},
+        ],
+        "trades": [
+            {"date": f"{date} 14:50:00", "code": "600000", "side": "buy",
+             "filled_amount": 1000, "filled_price": 10.5, "commission": 5.0},
+            {"date": "2026-08-12 14:50:00", "code": "000001", "side": "buy",
+             "filled_amount": 500, "filled_price": 11.0},
+        ],
+        "metrics": {},
+    }
+
+
+def test_step_writes_balance_positions_today_trades(tmp_path, monkeypatch):
+    db = str(tmp_path / "paper.db")
+    init_db(db)
+    aid = _mk_account(db)
+    monkeypatch.setattr("sanguo_portfolio.runner_backtest.run_backtest_json",
+                        lambda params: _fake_result())
+    out = portfolio_paper.run_portfolio_live_step(db, aid, today="2026-08-13")
+    assert out["date"] == "2026-08-13"
+    assert out["trades"] == 1  # 只落当日成交
+
+    bal = load_last_balance(db, aid)
+    assert bal["date"] == "2026-08-13"
+    assert bal["total_equity"] == pytest.approx(1_050_000.0)
+    assert bal["cash"] == pytest.approx(1_050_000.0 - 10500.0)
+
+    pos = load_positions(db, aid, "account")
+    assert pos["600000"]["volume"] == 1000
+
+    trades = list_trades(db, aid)
+    assert len(trades) == 1
+    assert trades[0]["symbol"] == "600000"
+    assert trades[0]["strategy_id"] == "all_weather"
+
+
+def test_step_idempotent_same_day(tmp_path, monkeypatch):
+    db = str(tmp_path / "paper.db")
+    init_db(db)
+    aid = _mk_account(db)
+    calls = []
+    monkeypatch.setattr("sanguo_portfolio.runner_backtest.run_backtest_json",
+                        lambda p: calls.append(1) or _fake_result())
+    r1 = portfolio_paper.run_portfolio_live_step(db, aid, today="2026-08-13")
+    r2 = portfolio_paper.run_portfolio_live_step(db, aid, today="2026-08-13")
+    assert r1.get("date") == "2026-08-13"
+    assert r2.get("skipped") == "already stepped today"
+    assert len(calls) == 1
+
+
+def test_step_skips_no_new_trading_day(tmp_path, monkeypatch):
+    db = str(tmp_path / "paper.db")
+    init_db(db)
+    aid = _mk_account(db)
+    # 数据滞后：回放末日仍 08-12（账户已结算到 08-13 前先结算到 12）
+    monkeypatch.setattr("sanguo_portfolio.runner_backtest.run_backtest_json",
+                        lambda p: _fake_result(date="2026-08-11", equity=1_030_000.0))
+    portfolio_paper.run_portfolio_live_step(db, aid, today="2026-08-12")
+    monkeypatch.setattr("sanguo_portfolio.runner_backtest.run_backtest_json",
+                        lambda p: _fake_result(date="2026-08-11", equity=1_030_000.0))
+    r = portfolio_paper.run_portfolio_live_step(db, aid, today="2026-08-13")
+    assert r.get("skipped") == "no new trading day"
+
+
+def test_step_stopped_account_skipped(tmp_path, monkeypatch):
+    db = str(tmp_path / "paper.db")
+    init_db(db)
+    aid = _mk_account(db, status="stopped")
+    monkeypatch.setattr("sanguo_portfolio.runner_backtest.run_backtest_json",
+                        lambda p: (_ for _ in ()).throw(AssertionError("不应跑引擎")))
+    r = portfolio_paper.run_portfolio_live_step(db, aid, today="2026-08-13")
+    assert r.get("skipped") == "status=stopped"
+
+
+def test_step_rejects_cta_account(tmp_path):
+    db = str(tmp_path / "paper.db")
+    init_db(db)
+    aid = _mk_account(db, strategy_type="cta")
+    with pytest.raises(ValueError):
+        portfolio_paper.run_portfolio_live_step(db, aid)
+
+
+def test_is_portfolio_branch(tmp_path):
+    from sanguo_trader.live_orchestrator import _is_portfolio_account
+    db = str(tmp_path / "paper.db")
+    init_db(db)
+    p_aid = _mk_account(db, strategy_type="portfolio")
+    c_aid = _mk_account(db, strategy_type="cta")
+    assert _is_portfolio_account(db, p_aid) is True
+    assert _is_portfolio_account(db, c_aid) is False