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10 Commits

Author SHA1 Message Date
claude_dev 191270c884 fix(trader): 卖后买现金窗口B修法——下单返回即时归因入账,台账cash不再等60s轮询
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2026-08-25 事故:small_cap同轮「全卖19只→马上全买20只」在两轮归因轮询间隙
读台账现金,卖出回款不可见→20笔买入全部目标0、全天空仓;momentum同型撞运
只入账首笔79k/6=13.2k缩水44%仓;value无卖后买序列满额(反证)。QMT无责
(0.5s filled/券商现金即时/下单线程同步见filled),gap=runner_live.py归因
poller 60s一轮才调ledger.apply_trade(唯一cash更新入口,DB落库时间戳恰差60s
铁证)。

修法(B,治本现金新鲜度):
- LiveInstanceLedger.on_order_done钩子+notify_order_done(未注入/抛错静默,
  绝不阻断下单;漏单由轮询兜底);apply_trade幂等判定整体移入锁内——钩子
  (策略线程)与轮询(poller线程)并发同步同一笔成交时恰好一笔入账,防双计
- live_strategy._instance_order_wrappers:所有真实委托(bt_order/透传)返回后
  _done()触发即时归因;决策层不下单的路径不触发
- runner_live:engine装配后注入on_order_done=_sync_instance_trades闭包;
  60s轮询保留兜底(部分成交后续/异步路径)

测试+8:钩子三态(nop/触发/吞异常)+8线程同trade_id并发恰入账一次(竞态回归)
+wrapper卖出/买入/透传触发+不下单不触发;portfolio 459绿+api 170绿

[vps]
 2026-08-25 19:47:13 +08:00
claude_dev f214e2f0e4 fix(live): max_pool 全链默认 30→0(0=不限)——08-24巡检定罪MVP限流泄漏生产,选股池=代码序前30只失真 [vps]
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根因(策略session 08-24 午休探针实证):runtime/live_strategy.py SANGUO_LIVE_MAX_POOL
默认30经env注入全部实盘+影子+paper实例,_stock_pool截断成份池为「代码序前30只」:
small_cap「全市场最小市值」实际在000001平安银行等30只固定代码里选(平安银行≈3800亿
出现在小市值买入=market_cap开盘NaN排序失效叠bug);momentum每行业RPS只在代码序前
30里排;value 0/30+零委托史同源。注释自曝「MVP验证用」=限流遗留泄漏生产,上线
首日起全部选股失真。

改动(9处默认位一致30→0;语义0=不限,与策略层max_pool>0才截断一致):
- sanguo_portfolio/live_strategy.py 适配器env默认+docstring
- sanguo_live/runner.py _portfolio_env_for(存量DB显式值不篡改,缺列/0→"0")
- sanguo_trader/shadow/supervisor.py 影子env默认
- sanguo_portfolio/runner_live.py live_env默认
- sanguo_trader/portfolio_paper.py + sanguo_api/routes_paper.py paper默认
- sanguo_api/routes_live.py create setdefault
- frontend live/paper New.vue 表单默认

测试:env mapping三态断言(缺列/0→"0",显式30不篡改)+live_env默认"0"
(RED→GREEN);CI范围642绿。存量实例DB仍存显式30,激活需配套DB迁移,必须与数据
session的get_security_info_batch SQL治本(101s→亚秒)同车部署——池放大×慢SQL=更糟。
 2026-08-24 13:34:01 +08:00
claude_dev b436adef1b fix(live): 成交时间1970守卫——08-20探针首日实锤9笔traded_at=1970-01-01 00:00:01(QMT原始时间经引擎pd.to_datetime失败形态落epoch),前端『今日成交』按日期过滤全空+账本trade_date失真(当日仓被当历史仓,T+1视图frozen=0);修=_effective_trade_time守卫:年份<2000一律回退当前时刻(归因轮询≤60s,日期误差仅跨日60s窗口);+2测试(1970回退当日记账且frozen生效/有效时间原样保留);附带已治疗VPS存量9行(从引擎日志按标的+数量回填13:03/13:05真实时刻,#18今日成交即时可见);portfolio 29+398绿 [vps] 2026-08-20 13:32:54 +08:00
claude_dev dae56e29aa fix(live): instance虚拟账本+成交归因+实盘日志黑洞——共享QMT账户三害根治第一步 [vps]
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2026-08-19盘后QMT实锤:①互卖当日真实发生(518880两个实例各卖183700、
600036两实例各卖42900)②买入sizing被全账户污染(channel_test实盘买
183700股@9.12≈168万=全账户995万/6,影子才16.8万=100万/6)③QMT委托带
remark=bt:live_strateg:<hash>实例指纹(归因可交叉验证)。

①live_instance_ledger(新模块):每live实例一份虚拟子账本(现金=初始−Σ买
−Σ费+Σ卖,持仓+移动加权成本+T+1当日买入锁定,线程安全锁),由**本实例
真实成交**驱动——engine.get_trades()按order_id∈engine.get_orders()归因
(引擎_broker_order_index已映射回本实例id空间),别家实例/手动单不进账;
卖超账面/无账面卖出如实留痕不崩;restore_from_trades重启恢复。
②runner_live:_sync_trades旧轮询(写不进live_trades的坏件)替换为归因
落库(方向取自订单is_buy);快照落库从context.portfolio全账户改**实例视图**
(positions=账本持仓T+1冻结;balance=虚拟现金+市值,现价取全账户快照/退
加权成本)——治8实例同写一份全账户持仓+收益率=全账户/初始资金无意义;
balance节流:有成交立即写否则≥5分钟(治1440行/天/实例量偏大遗留)。
③通道注入:BrokerFacade.get_instance_positions字段+live_strategy._setup
读get_active()注入positions_view(策略session消费,getattr兜底回退
context.portfolio;回测/单测无账本=保持None)。
④实盘引擎日志黑洞根治:supervisor子进程stdout/stderr落logs/live_{aid}.log
(>5MB截断+spawn标记,对齐影子#88同款修法;8-17起实盘委托/成交零留存)。
+15测试(算术/归因过滤/幂等/快照实例视图/通道注入/日志重定向);
portfolio+live+shadow 400绿。
 2026-08-19 18:39:13 +08:00
claude_dev f49154266d fix(live): 监控页三修——①收益率改首快照基线(与列表同口径,治共用QMT账户下cap兜底的假900%)②组合实盘成交落库_sync_trades(轮询broker当日成交→live_trades,此前完全没人写成交表)③updated_at北京时间显示+策略参数JSON改表格 [vps]
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2026-08-14 22:07:30 +08:00
claude_dev f73810a6da fix(live): 组合实盘快照守卫——cash<=0(持仓先到资金未同步)不落balance;2026-08-14实况=首条total=2931成收益率基线→前端341080%假收益率;抽出_snapshot_once可测+回归测试 [vps]
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2026-08-14 21:54:56 +08:00
claude_dev b27c3b479c fix(live/shadow): 实例锁第二层——按账户复制策略适配文件(live_3/live_5共用QMT账号被误判重复实例拒启);bullet_trade实例锁判重键=主机+strategy_path+broker+account_identity,同账号多策略是合法场景须路径互异 [vps]
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2026-08-14 20:28:14 +08:00
claude_dev e1cafac451 fix(live/shadow): bullet_trade单实例runtime锁按账户分目录(live_{id}/shadow_{id});VPS实况=影子进程持默认./runtime锁,两个组合实盘LiveLockBusyError起不来;多实盘并行+双轨§8的前提 [vps]
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2026-08-14 20:14:23 +08:00
claude_dev fd0b9d0c36 feat(live): 组合策略实盘(R3-1): live_accounts加strategy_type/pool/max_pool/benchmark列(ALTER迁移); supervisor对组合行拉runner_live子进程(env传参+崩溃检测); runner_live重写适配bullet_trade 0.9.2新API(strategy_file+broker_factory,旧initialize=/broker=已废弃)+live_strategy.py适配文件挂StrategyTemplate; 前端live/New双卡表单+列表组合徽标; 8测试 [vps]
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2026-08-13 19:57:23 +08:00
claude_dev a68cf4905e feat(portfolio): sanguo_portfolio 组合策略框架(BulletTrade+miniQMT,不用jqdatasdk) 
把聚宽"全天候轮动"(post48819)搬到 BulletTrade。融合=pip+扩展点注入
(SanguoMiniQmtProvider 继承 MiniQMTProvider 只 override get_fundamentals,
set_data_provider 公开 API 注入, BulletTrade 源码 0 改动)。

- providers: SanguoMiniQmtProvider 补 get_fundamentals(PershareIndex+自算PE/PS/PB/PCF/市值/ROIC)
- strategies/all_weather: 4选股函数+大小盘轮动+ETF兜底+涨停止损(聚宽风格翻译)
- factors(估值/ROIC自算) + filters(ST/涨跌停/次新/停牌)
- 88/88 测试 Mac+VPS 双过; VPS 回测 pipeline 跑通(修9bug:Capital单位/日期格式/百分数口径/11字段alias)
- 实盘 runner_live+runbook 就绪等交易日; DEFAULT_DATA_PROVIDER=miniqmt env 不装 jqdatasdk
- 文档: sanguo_portfolio_plan / portfolio_backtest_result / portfolio_live_runbook
 2026-07-18 19:08:18 +08:00