 claude_dev
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d030cfc91f
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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]
CI/CD / test (push) Successful in 11s
CI/CD / nas-deploy (push) Failing after 11s
CI/CD / nas-verify (push) Has been skipped
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2026-08-13 18:32:09 +08:00 |
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claude_dev
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992f53d4db
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feat(trader): Phase2—vnpy_qmt 进程内执行客户端,替 HTTP bridge
- qmt_gateway_client.py: QmtGatewayClient(同 BridgeClient 接口 place_order/
get_account/get_positions/get_orders/cancel_order),底层进程内 QmtGateway 直连
miniQMT(单例 _QmtExec: EventEngine+QmtGateway+账本缓存,懒连接复用)。
实证:连真实 miniQMT 读账户(9997081)+持仓(600000/000001),place_order 落单 QMT.xxxxx#1。
- live_orchestrator.py: _make_exec_client 工厂,SANGUO_USE_QMT_GATEWAY=1 → QmtGatewayClient
(bridge 已退),否则 HTTP bridge 兼容。shadow + reconcile 两处替换。
同机部署后 HTTP 跳无必要,brain→vnpy_qmt→xtquant→miniQMT 零跳直链。
bridge+sanguo-caddy schtasks 可 disable(vnpy_qmt 路径已实证)。
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2026-07-15 18:57:20 +08:00 |
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claude_dev
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0761342baf
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feat(trader): live bridge token 改从 config 读取，免容器重建
容器 docker run（非 compose）注入 BRIDGE_TOKEN env 需重建容器，风险大。改为 live_cfg.bridge_token 优先、fallback BRIDGE_TOKEN env。run_live_step 每次 load_config，改 config 免重启即生效。
- _shadow_trades_to_bridge + reconcile_from_bridge 两处 token 读取
- config: live.bridge_token 占位空值（真实值填 NAS gitignored config，不入库）
- tests: +6 测试（config优先/env fallback/都无跳过），191 passed
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2026-07-13 19:30:58 +08:00 |
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claude_dev
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e77c9df0d4
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feat(live): D-4c模式B reconcile—bridge回报驱动账本(真桥验证通过)
- bridge_client: from_bridge_code(sh/sz→纯数字码, to_bridge_code逆函数)
- live_orchestrator: reconcile_from_bridge 读bridge /account /positions校正account现金+持仓+持久化, 默认mode_b=false
- live_step step8: 影子后调reconcile(mode_b=true生效, mode_b=false跳过)
- config: live.mode_b开关(默认false模式A)
- test_reconcile: 10例(cash/positions校正+code转换+失败降级+mode_b跳过)
- NAS环境15 passed(reconcile10+shadow5无回归)
- 真桥集成: live_step mode_b=true → reconcile读bridge → account校正(1000万/空仓=bridge真实账本)+持久化
安全: mode_b默认关+bridge失败降级不阻断+token走env
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2026-07-11 06:30:08 +08:00 |
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claude_dev
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ff84b3d4b0
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feat(live): D-3 sanguo实盘分支(影子下单)+D期设计文档
D-3 模式A影子下单(spec §5):
- bridge_client.py: QMT bridge HTTP客户端(urllib, X-Bridge-Token, 失败不抛返回None)
- live_orchestrator: _shadow_trades_to_bridge 当日成交POST bridge(默认enabled=false)
- persistence: paper_shadow_orders幂等表+save_shadow_order/is_trade_shadowed
- config: data_platform.yaml加live段, token走env(BRIDGE_TOKEN)
- to_bridge_code symbol转换与guess_exchange一致(2位前缀)
安全: enabled=false默认关+token走env+幂等防重复+影子失败不阻断live_step
docs: phase3d-live-trading-design.md(D期完整设计)
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2026-07-11 00:03:46 +08:00 |
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claude_dev
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0656108b9e
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fix(live): live_step传qfq_bars对齐step双源签名(端到端跑通)
live_step当日补fetch_day qfq + step(today,raw,qfq,prev,pending)5参数对齐.
修前 step5参数 vs live_step4参数 missing pending(预存, c6b19f4双源后未对齐).
容器verify_live_step端到端跑通(live_step@2026-07-07, _restore_ledger不崩,
分红/占用成本加载OK). 139 passed.
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2026-07-10 08:49:58 +08:00 |
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claude_dev
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164690373f
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feat(trader): C期分期项收尾—资金占用成本+分红送股+_restore_ledger修复
- 资金占用成本(spec§195): StrategyRunner.daily_borrow_cost(used×risk_free/365)
归因per_strategy_pnl(不碰account总账, account.equity真实净值不变);
config risk_free_rate=0.02; engine.step mark_to_market后计扣; =0向后兼容跳过
- 分红送股(spec§295): dividend_source.py(akshare stock_history_dividend_detail,
实测600000/000001纯现金分红); PositionLedger.apply_split(volume×factor/avg÷factor);
Account.apply_cash_dividend; engine._apply_dividends(除权日调整,现金先split后);
mark_to_market停牌prev_close兜底(今收→前收→均价); _run_replay注入dividends日历
- 修_restore_ledger预存bug: PositionLedger.__init__加volume/frozen/avg_price参数
(原只symbol, live_orchestrator跨日恢复4参数调用会TypeError, 首次step空仓未暴露)
- 139 passed(119基准+20分红+3占用成本), 无回归
- live_step dividends注入待分期项(每日拉全市场分红慢, 需run_daily_update预拉日历)
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2026-07-10 08:44:35 +08:00 |
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claude_dev
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193064c953
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feat(trader): 软限额max_allocation(分期项)—每策略资金额度消除顺序依赖
spec §195: 多策略并发下单"先到后到"不可复现 → 每策略独立max_allocation
- StrategyRunner: max_allocation字段(默认inf) + used_allocation(持仓市值)
- engine._match: BUY cash_enough后查 used+成交额>max_allocation → 拒单max_allocation_exceeded
- live_orchestrator: runner传max_allocation(默认initial_capital)
- routes_paper: StrategyCfg加max_allocation(API→DB→live_step数据流)
- test_soft_limit: 3测试(累计超限拒单/默认不限/SELL不受限)
116 passed(113旧+3新), 无回归.
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2026-07-09 22:05:35 +08:00 |
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claude_dev
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c6b19f4244
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feat(data): 恢复双源(task#79)—撮合raw+策略qfq, 分红除权准确
用户要模拟=回测准确: raw除权缺口致MA假信号, 必须双源。
- data_source: qfq→qfq_dir(干净qfq), raw→raw_dir; _check_adjust_cfg(cfg提供才校验)
- engine 双bar流: step(raw_bars,qfq_bars)撮合/盯市raw+策略on_bar qfq; run zip(raw,qfq)
- live_orchestrator: warmup用qfq(信号am); 去adjust参数(双源固定)
- raw_redownload --adjust(''raw/'qfq'); config qfq_dir
- 113/113通过
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2026-07-08 07:21:33 +08:00 |
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claude_dev
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7eec983164
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fix(live): C-S3实走warmup(am跨日)+fetch_day wrapper+端到端验证
- live_orchestrator warmup: 重放start~昨日raw到策略am使其inited(实走每日单根, 不warmup则ArrayManager永不inited→策略无信号)
- routes _DataSourceWrapper 加 fetch_day(给 live_step 拉当日raw)
- verify_live_step 容器端到端: 创建live account+live_step(07-07 warmup+step)+存pending, 跑通(pending=0系DoubleMa当日无交叉, 撮合/存已单测)
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2026-07-08 06:59:24 +08:00 |
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claude_dev
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6931a7b541
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feat(trader): C-S3实走后端骨架—live_orchestrator+全局scheduler job+routes live
架构(简化,避per-account闭包注入):
- live_orchestrator live_step(account_id)自包含: 恢复cash/positions/pending→fetch_day raw当日→engine.step→存状态
- run_live_step(db)遍历live accounts调live_step; scheduler register_live_step_job全局20:30 job
- app startup注册全局job; routes create mode=live存account running(不跑回放)
- TODO(分期项): prev_close昨日raw/listing_days IPO算/realized_pnl恢复
- 113/113通过, live_orchestrator import OK
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2026-07-08 06:49:31 +08:00 |
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