feat(trader): PaperCtaEngine 策略适配器(拦截send_order→PaperOrder)

2026-07-07 12:00:14 +08:00
parent b2c5d8fd79
commit f0d8fd2a03
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+"""PaperCtaEngine：vnpy_ctastrategy CtaTemplate 的纸面适配器（spec §5）。
+
+实现 CtaTemplate 所需的 cta_engine 接口（send_order/cancel_order），
+拦截 send_order → 构造 PaperOrder → 收集到 pending_orders，
+供 PaperEngine 撮合。参考 vnpy_ctastrategy BacktestingEngine 的策略桥接
+（它也是假 cta_engine）。
+
+vnpy_ctastrategy 是 pip 依赖（容器有，本机可能无）——本模块不顶部 import 它，
+只在 load_strategy 时 lazy import；本机用 mock 策略测 send_order 收集逻辑。
+"""
+import logging
+
+from .models import MatchSession, OrderSide, PaperOrder
+
+logger = logging.getLogger(__name__)
+
+
+def _direction_to_side(direction) -> OrderSide:
+    """vnpy Direction.LONG/SHORT（或 '多'/'空'）→ OrderSide。"""
+    s = str(direction)
+    if "LONG" in s or "多" in s:
+        return OrderSide.BUY
+    if "SHORT" in s or "空" in s:
+        return OrderSide.SELL
+    return OrderSide.BUY
+
+
+class PaperCtaEngine:
+    """纸面 cta_engine：拦截 CtaTemplate.send_order 转 PaperOrder。"""
+
+    def __init__(self, strategy_id: str,
+                 match_session: MatchSession | str = MatchSession.NEXT_OPEN,
+                 listing_days: int = 0) -> None:
+        self.strategy_id = strategy_id
+        self.match_session = MatchSession(match_session) if isinstance(match_session, str) else match_session
+        self.listing_days = listing_days
+        self.strategy = None
+        self.pending_orders: list[PaperOrder] = []
+
+    def set_strategy(self, strategy) -> None:
+        self.strategy = strategy
+
+    def send_order(self, strategy, direction, offset, price, volume,
+                   stop: bool = False, lock: bool = False, net: bool = False) -> list[str]:
+        """拦截 CtaTemplate.send_order → 收集 PaperOrder。返回假 vt_orderids。"""
+        del stop, lock, net  # 未用（首版不支持 stop/lock/net）
+        vt_symbol = getattr(strategy, "vt_symbol", "")
+        symbol = vt_symbol.split(".")[0] if vt_symbol else getattr(strategy, "symbol", "")
+        order = PaperOrder(
+            strategy_id=self.strategy_id,
+            symbol=symbol,
+            side=_direction_to_side(direction),
+            price=float(price),
+            volume=int(volume),
+            is_market=True,
+            match_session=self.match_session,
+            listing_days=self.listing_days,
+        )
+        self.pending_orders.append(order)
+        return [f"paper.{self.strategy_id}.{len(self.pending_orders)}"]
+
+    def cancel_order(self, vt_orderid) -> None:
+        """首版简化：取消从 pending 移除（未撮合的）。"""
+        if isinstance(vt_orderid, (list, tuple)):
+            for oid in vt_orderid:
+                self._cancel_one(oid)
+        else:
+            self._cancel_one(vt_orderid)
+
+    def _cancel_one(self, vt_orderid: str) -> None:
+        try:
+            idx = int(vt_orderid.rsplit(".", 1)[-1]) - 1
+            if 0 <= idx < len(self.pending_orders):
+                self.pending_orders.pop(idx)
+        except (ValueError, IndexError):
+            logger.warning("cancel_order 找不到 %s", vt_orderid)
+
+    def on_bar(self, bar) -> None:
+        """逐根 bar：清空上一根 pending，转发策略 on_bar（策略内调 send_order 收集新单）。"""
+        self.pending_orders = []
+        if self.strategy is not None:
+            self.strategy.on_bar(bar)
+
+    def pop_orders(self) -> list[PaperOrder]:
+        """PaperEngine 撮合后取走 pending_orders。"""
+        orders = self.pending_orders
+        self.pending_orders = []
+        return orders
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+"""PaperCtaEngine 适配器测试（mock 策略，不依赖 vnpy_ctastrategy，spec §5）。"""
+import pytest
+from sanguo_trader.cta_adapter import PaperCtaEngine, _direction_to_side
+from sanguo_trader.models import MatchSession, OrderSide, PaperOrder
+
+
+class MockStrategy:
+    """模拟 CtaTemplate：on_bar 调 cta_engine.send_order。"""
+    def __init__(self, engine, vt_symbol="600000.SSE"):
+        self.cta_engine = engine
+        self.vt_symbol = vt_symbol
+
+    def on_bar(self, bar):
+        # 模拟策略：每根 bar 买 100 股 @10.0
+        self.cta_engine.send_order(self, "LONG", "OPEN", 10.0, 100)
+
+
+def test_send_order_collects_paper_order():
+    engine = PaperCtaEngine("s1")
+    strat = MockStrategy(engine)
+    engine.set_strategy(strat)
+    engine.on_bar(None)   # 触发策略 on_bar → send_order
+    orders = engine.pop_orders()
+    assert len(orders) == 1
+    assert isinstance(orders[0], PaperOrder)
+    assert orders[0].strategy_id == "s1"
+    assert orders[0].symbol == "600000"
+    assert orders[0].side == OrderSide.BUY
+    assert orders[0].price == 10.0
+
+
+def test_match_session_propagates():
+    engine = PaperCtaEngine("s1", match_session="current_close")
+    strat = MockStrategy(engine)
+    engine.set_strategy(strat)
+    engine.on_bar(None)
+    orders = engine.pop_orders()
+    assert orders[0].match_session == MatchSession.CURRENT_CLOSE
+
+
+def test_on_bar_clears_previous_pending():
+    engine = PaperCtaEngine("s1")
+    engine.pending_orders.append(PaperOrder("s1", "600000", OrderSide.BUY, 10, 100))
+    strat = MockStrategy(engine)
+    engine.set_strategy(strat)
+    engine.on_bar(None)   # 应清空上一根，只留本根 1 单
+    assert len(engine.pending_orders) == 1
+
+
+def test_cancel_order_removes_pending():
+    engine = PaperCtaEngine("s1")
+    strat = MockStrategy(engine)
+    engine.set_strategy(strat)
+    engine.on_bar(None)
+    oids = engine.send_order(strat, "LONG", "OPEN", 11.0, 200)  # 第 2 单
+    assert len(engine.pending_orders) == 2
+    engine.cancel_order(oids[0])
+    assert len(engine.pending_orders) == 1
+
+
+def test_direction_mapping():
+    assert _direction_to_side("LONG") == OrderSide.BUY
+    assert _direction_to_side("SHORT") == OrderSide.SELL
+    assert _direction_to_side("多") == OrderSide.BUY
+    assert _direction_to_side("空") == OrderSide.SELL