 claude_dev
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a2fe51b4b0
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fix(nas): bs_5m失败股尾部补扫一轮——03:0x同步链持写锁60s busy_timeout耗尽database is locked(每晚1-5只)+偶发网络错(600247),原形态=该片窗口永久小洞;修=_sweep返failed清单,run尾部(07:40+同步链早已收工)chunk/inc各自失败集各补扫一轮自愈,补扫query计入swept配额、rlr并入exit语义;+2测试(双窗口失败→双retry=6调用自愈/零失败无retry回归);venv310 644绿 [nas]
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2026-08-25 21:32:28 +08:00 |
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claude_dev
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7ad0cbea76
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fix(nas): merge_increment计数免疫并发写者——inserted改用Connection.total_changes(只计本连接INSERT生效行),原after-before会被03:00合并窗口并发的bs_5m写入污染(08-25实锤skipped(dup)=-4881,5m插的行被记成merge的inserted);+2测试钉计数契约(新/dup/混掺/他源行不计入);venv310 644绿 [nas]
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2026-08-25 21:32:28 +08:00 |
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claude_dev
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41495b0c08
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fix(live): 卖出闸门无价透传改fail-closed拒单——issue#38修复一A收尾 [vps]
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08-24 300059 跨实例互卖定罪(issue#38):闸门虽有台账硬顶,但两处「无有效价格」
路径透传引擎原函数=数据源退化回全账户视图(引擎按账户算target,账户有量会替
别家卖到目标值/按账户卖出)——正是「账户可卖视图放行18归属4400股」的变体洞。
改动(_instance_order_wrappers):
- otv value>0 无价(市价拿不到且账本无此票无成本可回退)→ 拒单fail-closed,
不再透传bt_otv引擎target语义(宁可少买不可互卖,策略session定夺=拒单语义)
- 负order_value无价 → 拒单,不再透传bt_ov按全账户卖出
- 事故主洞(同窗双卖吃到60s归因间隙)已由191270c即时归因关闭:新增钉死测试
「双卖窗口阻断」——第一笔4400即时归因(on_order_done钩子)→第二笔闸门读
账本可卖0拒单;闸门每调用现读positions_view的B链路行为从此有回归锚
测试:test_live_instance_orders +3(双卖窗口阻断/otv无价拒单/负ov无价拒单),
17/17绿;portfolio+data_platform+api全量819绿。B2 closeable口径已走账本
(InstancePosition直读账本info,无改动);账本bootstrap/重归=15:10恒等式
reconcile既有runbook。issue#38验收(恒等式连续3日PASS)按issue标准观察。
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2026-08-25 21:30:49 +08:00 |
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claude_dev
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894c547297
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feat(factor): 批量评估断点续跑——run_id复用+已落库因子跳过+空续跑免load直收尾;跨session CI容器重启只损失在途1因子,重挂即续 [vps]
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2026-08-25 20:56:22 +08:00 |
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claude_dev
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3304ff46b2
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perf(data): 四热路径日期区间SARGable化——substr(datetime,1,10)对索引列套函数打不进复合索引datetime列,每股扫全量日线史取短窗——08-25晨9:30生产实锤:momentum选股1/2(RPS池)174s未达<60s验收,阶段日志精确定罪(过滤段含双seek仅7.8s);病根=PanelFetcher的30天窗SQL每只股扫~5000行日线史取~22行,3226只≈1600万行=174s量级吻合。修=裸列datetime>=start AND datetime<end+1天排他上界(与按日期前10位比较在d裸日期/15m·5m时间戳两格式下语义严格等价,含end当日全部行排除次日),区间打进复合索引第4列每股只扫窗口行。四处同病同修:PanelFetcher宽表/PriceFetcher逐只get_price/limit-status近2根90天窗(原substr版90天下界同样打不进索引)/datareader CTA回测K线。+3测试:防回潮扫描(三文件钉死禁substr谓词)+双格式边界行为(d裸日期与15m时间戳end当日含次日排)+get_price同语义;portfolio+data_platform 644绿;待VPS探针终验计时 [vps]
CI/CD / test (push) Successful in 3s
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2026-08-25 20:54:40 +08:00 |
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claude_dev
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841ea1536e
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fix(live): 三策略定寸现金→总资产口径(卖后买现金窗口A修法,回原JQ语义) [vps]
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08-25 9:30 事故(前后端session移交):small_cap同轮「全卖19只→马上全买20只」,
台账现金只被runner_live 60s归因轮询更新(唯一cash入口),买入定寸落在两轮之间
→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/只(44%仓)。B修法(191270c,下单返回即时归因)已做;本A修法=
防御纵深第二层:定寸口径回总资产,归因异常/漏单时定寸也不再依赖未入账现金。
改动:
- all_weather.py 共享helper _total_value:B2 InstancePortfolio.total_value
(=台账equity,实时价缺价回退成本)/jq原生total_value直接读;缺属性回退
现金+Σ持仓市值(同语义)
- momentum_timing_ex/small_cap_ex/value_selection_ex 三处轮动定寸
per_value=cash/N→total/N,守卫cash<=0→total<=0
- momentum 尾部卖出+买入抽独立方法 _rotate_positions(纯移动零逻辑变化,
便于回归直接钉死)
- 原JQ语义per_value=stock_value/len本就是总资产口径,cash口径是移植失真;
all_weather/channel_test的cash读取(递增建仓/现金铺余位语义)按移交指示不动
- 清三文件因此孤儿化的_available_cash import
测试:tests/portfolio/test_sizing_total_value.py 5条——helper 2(直读/回退)
+每策略1条「卖出未入账时定寸不缩水」(fake现金旧值+持仓仍显示旧仓→per_value
=总资产/3=3500而非现金/3≈333;目标3>旧仓2=事故真实形状,防买守卫提前break)。
portfolio+data_platform+api全量811绿。验收=08-26 9:30 momentum补仓满额
(~490k/6);与191270c同车推VPS(NAS恢复后)。
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2026-08-25 20:49:01 +08:00 |
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claude_dev
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191270c884
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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
CI/CD / test (push) Failing after 6s
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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]
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2026-08-25 19:47:13 +08:00 |
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claude_dev
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f438c6cd65
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perf(factor): metrics热路径numpy/scipy化——rank_corr/quantile_mask/decile的pandas rank改scipy rankdata(axis=1)C实现,宽矩阵压力下分钟级→秒级;接口与数值不变,测试原样全绿+速度护栏 [vps]
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2026-08-25 10:29:43 +08:00 |
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claude_dev
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5fdcd8b5d7
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perf(factor): 原生polars快速算子库覆盖vnpy慢rolling_map——ts_corr/ts_rank/ts_decay_linear/ts_quantile/ts_cov/ts_slope族共8算子shift展开或rolling原生,EXPRESSION_FUNCTIONS官方扩展点注册,等价性测试精确对齐原版;ts_argmax/argmin并列场景原生恒等式不成立留原版(25因子另批处理) [vps]
CI/CD / test (push) Successful in 8s
CI/CD / nas-deploy (push) Successful in 37s
CI/CD / nas-verify (push) Successful in 12s
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2026-08-25 06:29:31 +08:00 |
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claude_dev
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0d038548ae
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perf(factor): 股票池枚举改无过滤DISTINCT覆盖索引扫——带WHERE(interval/datetime/LIKE)版本在26G库退化全表扫NAS实测>5min不归,前缀python侧滤,周期/窗口由数据查询天然过滤(语义不变,15m-only股锁定测试) [vps]
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2026-08-25 01:01:48 +08:00 |
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claude_dev
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f0e9860316
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feat(api): 因子批量评估四端点(runs/leaderboard/detail/submit)+orchestrator任务接线——leaderboard服务端扁平化排序,worker落factor_eval.db+任务中心摘要 [vps]
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2026-08-25 00:31:12 +08:00 |
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claude_dev
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3f9a4fc681
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feat(factor): 批量评估引擎——进程内逐因子calculate_by_expression(弃spawn池整df pickle),单因子失败不中断,结果增量落盘 [vps]
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2026-08-25 00:21:54 +08:00 |
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claude_dev
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afe969e307
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feat(factor): 评估结果存储 factor_eval.db——runs/results两表,metrics按周期JSON,SANGUO_FACTOR_EVAL_DB可覆盖 [vps]
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2026-08-25 00:17:47 +08:00 |
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claude_dev
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89a8dd1487
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feat(factor): 向量化评估指标——RankIC逐行秩相关/ICIR/t/胜率/多空年化/换手/十分组/月度IC/结论分级 [vps]
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2026-08-25 00:12:35 +08:00 |
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claude_dev
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d00ad7d81d
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fix(factor): WARMUP_BARS 60→120 恢复spec剔新口径(修夹具130根预热而非改口径)+evaluation_filter改datetime对象比较(9M行免逐行strftime) [vps]
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2026-08-25 00:09:31 +08:00 |
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claude_dev
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cfb604588c
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feat(factor): 评估股票池加载器——dbbardata分块直读polars,前缀60/00/30,300天lookback+45天forward缓冲,vwap派生,bar_idx预热 [vps]
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2026-08-25 00:07:37 +08:00 |
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claude_dev
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51137a8268
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feat(factor): 挂载 vnpy Alpha101(82)+Alpha158(158) 全量表达式进注册表——空df实例化零成本提取,导入即注册,幂等 [vps]
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2026-08-25 00:01:41 +08:00 |
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claude_dev
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ec5a55c5f7
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feat(factor): data_adapter 补 vwap 派生列(turnover/volume,零量置null)——Alpha101 表达式 59 处引用 vwap,dbbardata 无此列 [vps]
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2026-08-24 23:57:19 +08:00 |
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claude_dev
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31596f58f9
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fix(shadow): 双轨对账count_match改按票+方向聚合总量——QMT部分成交拆行致27vs5恒False纯计数噪音 [vps]
CI/CD / test (push) Successful in 14s
CI/CD / nas-deploy (push) Successful in 24s
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08-24实录: momentum一笔3800股被QMT拆19笔fill,对账27vs5恒count_match=False,总量却分毫不差。旧口径按原始行数比(注释自称'差异如实呈现待归因',实则部分成交属成交粒度非分歧)。修=按聚合桶live_volume==shadow_volume判;原始行数保留在live_count/shadow_count供归因。真量差仍判False(新增测试钉死)。trader 254绿。
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2026-08-24 23:07:12 +08:00 |
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claude_dev
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e2dc473682
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fix(shadow): 影子市价单成交基准改实时行情——旧按委托保护价记账恒差1.5%,08-24双轨4/6红根因 [vps]
根因(代码级实锤): broker._ref_price 优先用下单传入price,而市价单的price是保护性委托上限(策略侧行情×1.015,BrokerBase契明文'可用作保护价/参考价'非期望成交价)→影子每笔买入虚高~1.5%,卖侧对称低~1.5%。08-24证据三连:momentum/small_cap首次真实成交日25票价差紧聚-150bps(-112~-189);卖侧510500同样-1.54%(排除'晚一根bar随行情'解释);级联=虚价吃掉影子现金6k+→002038买第6只差1678元资金不足拒单(shadow_60日志)。排除用户初判的滑点/费率参数不一致(影子账户slippage=0.0费率正常)。回测/实走无此问题(matcher.py按bar开收价,另一套)。
修: _ref_price(security,price,market)——市价单成交基准=price_getter实时行情,行情不可得退回委托价(告警,可用性优先);限价单沿用传入价(触价语义,旧行为);buy/sell补市价转限价封顶(行情超保护上限按上限成交不追高,卖侧对称)。
+5测试(市价买卖按行情/超上限封顶/无行情退委托价/限价语义不变),trader 254绿+api 171绿。
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2026-08-24 23:07:12 +08:00 |
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claude_dev
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aafa5baa67
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perf(data): min/max改逐对双seek——INDEXED BY批IN形态VPS实测仍不达标(30只冷8.1s/热0.25s,大池冷态分钟级),ORDER BY ±datetime LIMIT 1三列全等前缀每股恰2次寻位冷热皆毫秒级——上一发(80fc517)生产探针续测定形态:①原IN+GROUP BY劣化计划101s冷;②钉复合索引后计划翻转(TEMP B-TREE消失)但仍逐股扫全部interval条目(d+15m+5m),30只冷8.1s→momentum池~2000只外推冷态≈9min过不了<60s验收;③行值IN变体在本SQLite对(row-value IN+INDEXED BY)走全索引扫描7min不归(弃);终态=逐对双seek,symbol/exchange/interval三列全等直落d子区间两端,连15m/5m条目都不碰;无日线对不落minmax(下游.get默认(None,None)同旧GROUP BY语义);测试5个重写到seek API(双索引名/回退/EXPLAIN计划签名interval=?直落+无TEMP B-TREE/batch==逐只等价);628绿;待VPS探针终验双seek计时 [vps]
CI/CD / test (push) Successful in 9s
CI/CD / nas-deploy (push) Successful in 25s
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2026-08-24 14:14:11 +08:00 |
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claude_dev
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40908b51f8
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fix(live): 市值改本地估值委托——开盘不再依赖盘中Capital下载(策略session 08-24移交P0)——实锤:开盘miniQMT Capital表下载常超时(代码注释自曝trading hours常超时)→close×total_capital=NaN→策略sort_values无操作保持代码序,平安银行(≈3800亿)混进small_cap买入清单。修=get_fundamentals_df组装后增Step3.5:_apply_local_market_caps把market_cap/circulating_market_cap优先委托self._unified.get_fundamentals_df(fields=两列,估值parquet EOD,亿元同单位,全池同一时点口径);单股本地缺(NaN/新股)保留xt Capital已算值,unified整体异常静默回退开盘永不挂;date=None传今天(EOD取最新≤今天);_fetch_close本就读xtdata本地缓存不动。+6测试(本地优先/补NaN/空回退/异常回退/NaN不清值/date=None传today);628绿。验收=部署后首个9:30 small_cap买入清单不再0000xx连号不含超大盘 [vps]
CI/CD / test (push) Successful in 6s
CI/CD / nas-deploy (push) Successful in 38s
CI/CD / nas-verify (push) Successful in 10s
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2026-08-24 13:49:24 +08:00 |
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claude_dev
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80fc517531
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fix(data): get_security_info_batch SQL计划劣化治本——INDEXED BY钉死复合索引(运行时探测索引名)——策略session 08-24移交P0:VPS生产EXPLAIN实锤min/max批量SQL被选去单列idx_dbbardata_interval整扫~21M日线行+USE TEMP B-TREE(interval IN列表作废),30只冷跑101s=开盘选股38-51min主根因;复合唯一索引存在但无统计信息计划不选。修=SQL加INDEXED BY钉死(symbol,exchange,interval,datetime);索引名跨环境不同(ensure_schema长名/NAS副本merge_increment建uq_dbbardata)故sqlite_master运行时探测+实例缓存(哨兵区分None),探不到回退裸查询不劣于现状;GROUP BY(symbol,exchange)=索引前缀→TEMP B-TREE消失(测试EXPLAIN断言钉死);+5测试(双索引名/回退/计划签名/hint下batch==逐只等价);628绿。配套:今晚VPS/NAS库ANALYZE灌统计(建议a一并落地) [vps]
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2026-08-24 13:49:24 +08:00 |
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claude_dev
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7a6e9c8c52
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test(api): 修channel_test随启随验过时断言——实盘=单probe_all定时(启动+90s随墙钟),四时点改由无env直测钉死 [nas]
策略session 08-24移交项#2: test_facade_injects_run_daily_for_channel_test 在HEAD恒红,非flaky——原断言的9:35/10:45/13:45/14:30四时点是回测/无env路径;实盘(SANGUO_LIVE_STRATEGY置位)自随启随验(channel_test.py:78-84)只注册一个「启动+90s」的probe_all,时:分随墙钟(13:33/13:34/13:35三跑三变之源)。
修=断言随启随验设计:单probe_all+时刻落在[注册前+90s,注册后+90s]取分窗口(纯时刻比较防1900年日期陷阱,容忍跨午夜);新增无env直测(ChannelTestConfig(on_demand=False))钉死四时点路径,原断言价值不丢。
3跑稳定;tests/api 165全绿。
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2026-08-24 13:49:21 +08:00 |
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claude_dev
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f214e2f0e4
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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]
CI/CD / test (push) Failing after 12m2s
CI/CD / nas-deploy (push) Has been skipped
CI/CD / nas-verify (push) Has been skipped
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。
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2026-08-24 13:34:01 +08:00 |
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claude_dev
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136d087b34
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test(ci): CI扩跑tests/portfolio+钉死测试归一——issue#35方案B,440组合引擎题进门禁 [nas]
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前置已消失:2197fea时点的13个Mac环境性失败,已被08-14 bullet_trade 0.9.2升齐+08-15补22个lock包
两次依赖治理顺带清零(本次实测440绿/1.74s,此前无人回头验收过);CI runner=本机Mac同venv310,本地绿即CI绿。
改动三件(不只加一行,用户点破冗余):
- 钉死测试迁至独立文件tests/portfolio/test_provider_method_surface.py:单一真相+保留
fail-not-skip牙齿。原位置挂模块级requires_bullet_trade mark,conftest会在bullet_trade
缺失时自动skip=钉死虚标(#35重演形态),必须移出mark覆盖面
- 删tests/data_platform/test_provider_method_parity.py(4aad65a方案A的复制版,
「两处同步改」人工契约随之消亡)
- ci-cd.yml pytest行扩为 tests/data_platform tests/portfolio
验证:组合跑(CI同款命令)=617 passed/2 skipped/6.07s(177+440,副本删除-1,迁移+1);
conftest合并无冲突;钉死测试在新位置实跑通过。
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2026-08-22 22:51:57 +08:00 |
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claude_dev
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4aad65aad9
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test(ci): 方法面钉死测试复制进CI执行范围——issue#35方案A,ff05207「缺任一CI红」从虚标变成立 [nas]
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钉死测试(test_method_surface_no_gap_left)原在tests/portfolio/test_provider.py,
而ci-cd.yml pytest只跑tests/data_platform→CI从不执行=钉死虚标(issue#35)。
本commit把该测试逐字复制到tests/data_platform/test_provider_method_parity.py
(复制契约:两处同步改),CI 零改动零新依赖,其他测试零影响:
- 牙齿自检:bullet_trade不可用直接FAIL非skip(skip=环境劣化时钉死无声失效,
重蹈#35;单测失败不中断同批其他测试)
- RED实证:给unified源码临时加假公共方法zz_fake_parity_gap→
AssertionError「回测有实盘无:['zz_fake_parity_gap']」→还原复绿
- venv310按CI原样跑全套tests/data_platform:178绿(原177+新增1)
方案B(CI扩跑整个tests/portfolio,需先清13个Mac环境性失败)仍为可选增强,不阻塞
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2026-08-22 20:54:32 +08:00 |
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claude_dev
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42894fe884
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fix(nas): bs_5m --limit冒烟禁推chunk state——2026-08-22 09:17独立容器冒烟(--limit 3)实锤把state从2025-08-20多推到2025-02-18,[2025-02-18,2025-08-20]半年片被3只股'代表'5548只跳过(当日上午巡检发现:state mtime 09:17恰=冒烟时刻,窗口算术反推+代码链路三证合一);根因=limit_reached只盯DAILY_LIMIT配额防线(bs_5m_eod.py:220),--limit预截断列表后循环'正常跑完'lr=False,286行推进守卫畅通;修=chunk state推进闸门加not args.limit;+测试钉死冒烟不落state(Red复现→Green);NAS侧state两步手动补回(今晚23:5x→2025-08-20补跳过片,明晨完工后→2024-08-19跳过重跑);venv310全套177绿 [nas]
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2026-08-22 09:43:03 +08:00 |
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claude_dev
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ff05207f48
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fix(provider): 实盘provider方法面全兜齐+CI钉死——用户拍板「不论有无消费方,统一堵光同款洞」:补最后两个裸名缺口①get_constituent(=get_index_stocks纯别名,对齐unified spec§6语义)②get_price_ex(转发base get_price xtdata成熟路径零新逻辑,签名/默认值对齐unified,fq默认'raw'而非base裸名'pre'保跨环境同语义);核心=新增方法面钉死测试:unified全部公共方法在SanguoMiniQmt(+MiniQMTProvider基类)逐一存在,缺任一CI直接红——「回测有实盘无」洞从巡检发现升级为结构性防住,未来unified加新公共方法必须同步实盘侧否则测试fail;+4测试(别名等值/转发参数含fq=raw钉/kwargs透传/方法面零缺口) [vps]
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2026-08-22 08:50:30 +08:00 |
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claude_dev
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27ed4b1416
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fix(provider): 实盘SanguoMiniQmtProvider补get_limit_status_batch+get_value_metrics——2026-08-21策略session巡检实锤:方法缺失→实盘策略_get_limit_status getattr(...,None)静默返{}→filter_limitup/limitdown/paused全走'无数据保留'分支=实盘涨跌停/停牌过滤完全失效(涨停股照买/停牌股照挂单),回测LocalUnifiedProvider有此方法实盘缺,第5个同款洞。修=①历史日期(<今日,实盘主路径策略传previous_date,昨晚bs-daily已写昨日bar)委托self._unified同回测口径(prev_close×板块幅度+ST5%+volume==0判停牌,None条目语义原样透传);②当日盘中单次批量xtdata.get_full_tick拿lastPrice/lastClose,幅度复用_limit_pct板块感知(主板10/创业科创20/北交30/ST5),线程超时15s(2197fea开盘QMT忙挂死同款教训);③失败一律返'全清白map'(每code {False,False,False})而非{}——filter_paused对map内缺失code是剔除语义,返{}会全剔除(空转事故形态),全清白=只丢过滤不丢选股;tick缺code/价无效不猜停牌(宁错过不误杀)。另+方法面对照加固(策略session建议):diff两provider扫出get_value_metrics(+batch)同款洞(value_selection未入舰队=提前堵,委托unified三表parquet);get_price_ex/get_constituent裸名零消费不堵;+21测试(委托涨停/停牌/无bar/委托失败全清白/今日走tick/创业板20%钉/缺tick全清白非None/挂死超时/value_metrics四态) [vps]
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2026-08-22 08:37:56 +08:00 |
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claude_dev
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2197feac33
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fix(strategy): 实盘选股挂死根治——证券信息批量委托本地库替600次xtdata RPC + 选股阶段耗时日志 [vps]
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2026-08-21 实锤(live_19/shadow_60 同卡):momentum 9:30:06 buy_sign=True 后
47min 零输出被重启;small_cap 同型(fundamentals 超时120s后沉默)。channel_test
正常(不走走filters重取数)。value_selection/all_weather 月度未到期=零成交正常。
根因(VPS离场时段探针27s跑完全路径反推):filters.filter_st/filter_new 逐只
get_security_info,每只2次xtdata RPC(_detect_instrument_type+get_instrument_detail)
且无超时——momentum 10指数×30只×2过滤=600次RPC,开盘时段QMT忙时47min+不归;
provider无get_security_info_batch→filters._batch_security_info回退逐只(风暴路径)。
修法:
- SanguoMiniQmtProvider.get_security_info_batch:委托内部LocalUnifiedProvider
(2条本地SQL替N×2次RPC,与78d35ba get_closes_panel/get_constituent_ex同款
委托模式);失败/非dict返None→filters自动回退逐只(不崩策略);全部策略
(aw/mom/sc/vs含_ex)经共享filters即时受益,影子/回测同速
- momentum/_ex+small_cap/_ex 选股段加阶段耗时日志(池预取/宽表/过滤3段,
下个9:30若仍有卡点日志直接钉死位置)
- 遗留已报issue:SanguoMiniQmtProvider无get_limit_status_batch→实盘涨跌停/
停牌filter静默失效(涨停股照买),归数据session按本地公式+单次批量tick根治
测试:+5(委托/失败回退None/非dict回退/filters消费批量零逐只RPC×2,__new__
绕过Mac无bullet_trade的构造raise);portfolio 380绿(13失败全=Mac缺bullet_trade
环境性,NAS CI过)
[vps]
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2026-08-21 22:58:57 +08:00 |
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claude_dev
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be315a0fd8
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fix(live): P0 order_target_value执行层跨实例互卖根治——2026-08-20 14:06实锤#22探针otv(513030,0)(own仅100股)按引擎全账户target把#18的43,500股(~8.3万)一起卖了,当晚15:10恒等式如实报警(unattributed -83,346/-19.09%>0.5%);所有真实策略卖出全是同款写法(aw:191/409·mom:472·sc:392·vs:383),不修则9:30轮换同代码票必互卖——修法=facade层实例相对化(_instance_order_wrappers):有账本时otv换算 目标-持有 增量下显式股数单(买入差额/卖出硬顶own closeable,清仓允许零股尾巴,减仓整手化,可卖0一单不下·绝不卖别家),负order_value同款硬顶,正order_value买入不动;价格取get_current_data实时价,拿不到回退账本加权成本,双失效才透传引擎旧语义;无账本(回测/单测)原样透传行为零改动;+10测试(只卖自己恰好-100/P0原样复现own空再清仓零下单/T+1当日买closeable=0拒/半仓锁定只卖可卖600/加仓差额2400/减仓整手5000/负ov硬顶1000/正ov透传/无账本identity/价格回退avg_cost);portfolio 410绿 [vps]
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2026-08-20 20:05:33 +08:00 |
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claude_dev
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f28f9cf308
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fix(data): bs_eod挂死根治——login/logout纳入_with_timeout保护伞+中文系统运行判定三词修正。①根因(08-20 19:26实锤,日志形态逐字吻合):bs.login()打印success后仍有后续往返,baostock recv不遵守socket default timeout,主线程卡死在login内部recv(50min+零输出,连60s超时err都没有);fetch早已套_with_timeout但login/logout是裸调——relogin/login_once全部纳入(login60s/logout30s),超时按登录失败处理走既有重试链;②bs_fundamentals._is_running_text:中文系统实际输出「正在运行」不含连续子串「运行中」,原两词判定在中文VPS恒False=守卫恒fail-open(当晚若不禁用bs-fund将真撞车);三词都认+回归钉测试;③check_task_running.py通用探针(修复版)替换VPS上带同bug的check_bs_eod.py;+4测试(登录超时返False/relogin全程超时不raise/login与logout必经保护伞契约/正在运行判定) [vps]
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2026-08-20 20:04:51 +08:00 |
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claude_dev
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952cc5adf8
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feat(data): sanguo-bs-daily单入口串行编排(bs_eod→bs_fundamentals)——2026-08-20数据任务重组阶段1:根治当日撞点(bs_eod加指数段后ETA 23:00+与旧23:05 bs-fund重叠=同IP双baostock连接封禁红线),合并进同一schtask两腿先后子进程,leg1进程退出(logout+消亡)连接才释放leg2才login;bs_daily_main只做顺序+退出码透传({0,3}=OK,3=按预算graceful不算失败)+[BS-DAILY]腿起止时间线日志(验收'eod logout后fund才login'直接证据);leg2无条件跑(leg1致命不连坐,连接已释放fund独立作业);wrapper传BS_DAILY_LIMIT=15000收紧eod病态重试硬顶(常态~11.1k不受影响,与fund30000合计≤45.1k<48k/IP/天);--smoke零配额链路自检;bs_fundamentals._bs_eod_running补注释:旧任务名已删探测必失败fail-open=设计行为勿修复(探新名会探到父任务永久让路);+15测试(顺序铁律/leg2无条件/退出码聚合9组合/smoke零子进程) [vps]
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2026-08-20 19:49:00 +08:00 |
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claude_dev
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b436adef1b
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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]
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2026-08-20 13:32:54 +08:00 |
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claude_dev
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147a49d781
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feat(strategy): channel_test随启随验探针模式(用户拍板2026-08-20:开盘窗口不再是验证瓶颈,随时启动随时验全场景)——on_demand=None自动:LiveEngine进程(supervisor注入SANGUO_LIVE_STRATEGY)→启动/重启后~90s经facade.run_daily注册probe_all打一轮全场景;必须走facade注册而非直接调用:回调才收到B2包装的代理context(实例预算视图),绕过它探针测不到定寸虚拟化;影子柜台24h可验(收盘价撮合),实盘闭市下单被QMT拒亦属验证项(决策层输出已在日志);重启实例=再验一轮;[PROBE-0]实例视图快照(cash=预算切片非全账户=B2生效标志)/[PROBE-1]rotate主调仓定寸=实例视图等权/[PROBE-2]只卖自己(卖出对象全部来自own账本,对照前端账户实况实例分解)/[PROBE-3]T+1当日买立即卖应拒(冷启动空仓跳过,第二轮起有票)/[PROBE-4]swap_one资金复用;回测/单测无env维持四时点旧行为,显式True/False覆盖;+3测试(env下仅注册1个未来~90s的probe_all/显式off保四时点/probe_all全序列下单断言);旧四时点测试补delenv防环境串扰 [vps]
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2026-08-20 11:41:56 +08:00 |
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claude_dev
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e7c5defe64
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fix(live): runtime副本孤立加载ImportError根治——2026-08-20晨12引擎崩溃循环事故(6实盘+6影子自建队07:10起每60s崩,当日0成交,9:05/9:30/9:35全未触发)——根因=live_strategy.py台账/B2两行相对导入(from . import live_instance_ledger/from .live_portfolio_proxy):文件被_instance_adapter逐字节复制到runtime/<实例>/后bullet_trade以顶层模块加载(无包上下文)→ImportError;测试全绿盲区=测试以包成员导入相对导入合法,生产孤立加载才崩,nas-verify不启引擎——修=改绝对导入from sanguo_portfolio import(引擎进程项目根在sys.path,同文件其它绝对导入生产已验证可跑);抽_ledger_tools()单函数两种加载上下文单测直打;+3测试(孤立副本顶层import_module复现事故点/包内上下文/静态禁from .回潮);_instance_adapter启动时内容比对自动重拷→VPS落地后下轮引擎重启自愈免手工清runtime;顺手修2个日期硬编码测试(proxy fixture与snapshot的trade_date=2026-08-19→动态今天,当日买入跨日T+1断言必翻红,CI不跑此套件故昨日未暴露);portfolio 398绿 [vps]
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2026-08-20 11:41:47 +08:00 |
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claude_dev
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9fa2f933ee
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refactor(data): 5m回灌改每日分片——用户拍板2026-08-20'每天固定下一些',废弃--full一趟灌满——①每日一跑=回灌片(若有)+每日增量(回灌期也跑,近端7天始终新鲜)②片=半年窗口newest-first(近端先到先可用,回测最常用的近期数据第一天就有),state(bs_5m_state.json next_end)逐片向2020-01-03推进;整片扫完才推进,断点/达限次日重拉同片(OR REPLACE幂等)③全程~14片≈两周补完,每片~5.5k query/~3200万行/3-4h;片+增量每日~11k query,NAS IP独立48k配额内④DAILY_LIMIT守卫改跨窗口累计计数(swept);删FULL_TIMEOUT(半年片5.8k行/股,60s超时足够);+3测试(首片=最近半年/逐片向2020走+完结盖章/损坏state重头),main测试改双sweep断言(片+增量4调用/完结后单sweep2调用);data_platform 158绿 [nas]
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2026-08-20 10:42:34 +08:00 |
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claude_dev
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20ff70e85d
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refactor(data): 5m改同库设计——用户二次拍板2026-08-20:放弃独立库,5m直接写NAS副本主库dbbardata表(interval='5m'与镜像行d/15m唯一键正交=结构性互不干扰)——①bs_5m_eod缺省库改/volume1/stock/sanguo_vnpy_v2/data_backup/quant_trading.db(=同步目标=NAS回测provider读的库portfolio_worker.py:180),NAS就地5m回测/回放reader零改动,未来VPS扩容导interval='5m'反向merge一次迁移②同库安全性实证:同步链export不带id列+NAS侧INSERT OR IGNORE按UNIQUE去重→键永不相交双向碰不到;纯merge无文件覆盖NAS本地行不会被删;id由NAS AUTOINCREMENT自分配无跨库冲突③ensure_schema防重复索引:PRAGMA index_list/index_info识别已有同列唯一索引(NAS侧uq_dbbardata)跳过,免数GB无谓开销+双倍写放大④merge_increment补busy_timeout=60000(副本库从此有第二个写者,无它撞写锁当场locked失败,60s与5m侧对齐)⑤写锁竞争说明:双写者WAL+busy_timeout串行化,与每日增量merge(秒级)重叠单股失败次日LOOKBACK=7自愈;+2测试(缺省库契约钉死/副本已有索引不重复建);40+153绿(data_platform 155) [nas]
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2026-08-20 10:10:04 +08:00 |
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claude_dev
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a6f924e950
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feat(data): NAS独立5分钟线备份——bs_5m_eod新脚本(NAS专属,VPS永不跑)——用户拍板2026-08-20:NAS既有数据全是VPS同步镜像(nas_sync零接触),5m是NAS唯一自主从baostock下载数据,落独立库BS_5M_DB(缺省/volume1/stock/sanguo_5m/dbbardata_5m.db容器内外同路径),绝不写同步目标data_backup/quant_trading.db;①首次自建schema+唯一索引(REPLACE去重)②缺省每日增量LOOKBACK=7(DSM任务计划~19:05);--full一次性回灌2020-01-03+(baostock分钟固定起点非滚动;全区间每股恰1次调用=~5.5k query一趟≈3.6亿行,数小时级,per-stock短事务断点续跑幂等;FULL_TIMEOUT=300s防大payload误杀)③配额:NAS出口IP独立核算48k/天与VPS互不相干,DAILY_LIMIT守卫保留④单实例锁bs_5m.lock(pid活性检测,死锁自动覆盖/PermissionError按在跑)防DSM定时与--full长跑撞车=同IP双baostock连接红线⑤复用bs_eod四件套+datetime拼接/数值口径与15m完全同款;+13测试(schema/REPLACE不双行/per-stock原子/full vs daily窗口/锁三态/main四条);data_platform 153绿 [nas]
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2026-08-20 09:58:00 +08:00 |
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claude_dev
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d0a538ced3
|
feat(data): P1+P2+P3季频财务+业绩报告——bs_fundamentals新脚本(sanguo-bs-fund schtask 23:05,VPS)——①P2回灌:profit利润+dupont杜邦2015Q1+按季分片,state文件推进日预算自适应续跑(约2季/天≈3周自动跑完;预算不够整季不拉半季,半段落库也幂等)②P1增量:回灌完成后拉当季+上一季(兜住8-31晚披季报)③P3业绩报告:forecast预告2003+/express快报,每股一次调用与区间无关→月首周日全区间恒定2N query幂等拉齐(--reports-now冒烟)④落parquet data/fundamentals_baostock/保留pubDate列(读侧pubDate<=date过滤防前视,同fundamentals-lookahead-bias-fix模式);去重(code,pubDate,statDate)restated后写者胜,键不足2列退全列绝不按单列丢历史⑤预算铁律(48000/天):bs_eod~11k+本脚本DAILY_CAP=30000串行=≤41k,月首周日叠reports 44.3k<48k余3.7k;开跑前schtasks探sanguo-bs-eod(极端尾22:41)在跑则exit0次日幂等补——同IP永不双连接⑥复用bs_eod四件套(login_with_retry/relogin/_with_timeout/全A清单)+周期relogin+失败relogin兜底;字段名读rs.fields不硬编码;+14测试(季度边界/parquet幂等+防呆/state损坏重头/动态字段+计数/回灌2季cap推进/state超前零拉/增量当季+上季/报告月首周日窗口/守卫文本/main跳过+exit2);data_platform 140绿 [vps]
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2026-08-20 09:53:33 +08:00 |
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claude_dev
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dbb5ed5aa8
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feat(data): P0指数日K双源——bs_eod主循环后追加baostock指数段(2006+全量REPLACE)——治指数点位单源停更史(000300曾停7-16/000938停2023/932000三源无):①INDEX_CODES 15只=探针实证有数(300/500/1000/上证50/中证100/上证综指/深成/创业板+399303国证2000替932000+中证行业6只928/931-935;932000/000938/000985/929/930/936/937 baostock无→不进列表免每日warning刷屏)②同PK(symbol,exchange,datetime,interval)唯一索引INSERT OR REPLACE,与sina idx-eod存量行互备后写者胜,datetime归一纯日期同格式③段在主循环后:query达限跳过守DAILY_LIMIT预算;段内单指数fetch/upsert异常只log不外抛,退出码语义不变(schtask结果码可见)④fetch复用fetch_k_with_timeout(计QUERY_COUNT约15query/天可忽略)+relogin兜底;+10测试(sh/sz映射/REPLACE不双行/空行跳过/容错续跑/代码表卫生/达限跳过/正常跑调用);relogin计数3测试补run_index_eod隔离mock(指数段自身relogin是预期新行为);data_platform 126绿 [vps]
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2026-08-20 09:49:13 +08:00 |
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claude_dev
|
95bdf8a27d
|
fix(data): bs_eod启动登录重试——治08-18型瞬断整天缺口——main()登录失败不再当场exit2,改login_with_retry串行重试(1+2轮,间隔120s/300s,无并发不触封禁红线;用户拍板2026-08-20:优先自身健壮性,实测无频繁重连/超48k配额);瞬时闪断(10054/10002007)秒~分钟级恢复,2/5分钟两轮覆盖;仍失败才exit2,次日18:05例行LOOKBACK=7自愈(自愈机制本就完好,重试只是把'当晚瞬断'消掉);+4测试(首试成功不等待/第2次恢复/3次全败False/集成exit2契约保持);data_platform 116绿 [vps]
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2026-08-20 08:49:53 +08:00 |
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claude_dev
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b86af798aa
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test(strategy): A3预检——B2定寸虚拟化×A1通道三明治集成测试5条(issue#29) [vps]
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复刻 live_strategy._setup 实盘接线(A1 broker通道注入+B2 wrap_scheduler代理
context 同开=VPS重建后将运行的真实状态),真实 LiveInstanceLedger+真策略驱动:
①available_cash 过代理=账本现金(99.3万预算口径,非全账户396万)
②channel_test 等权买入 per=(账本现金+Σ自己市值)/N≈50万/只(hold_n=2),
精确断言 spec §A3 验收口径(非168万=995万/6量级)
③三明治下轮换只卖台账标的(别家600036不动)
④止损链路三层通:账本avg_cost+真账户现价透传(6.0<7.0*0.92触发,只卖自己)
⑤无账本 make_proxy_context 原样返回(模拟盘零改动铁律)
19/19绿;portfolio 367绿(3失败=Mac缺bullet_trade环境性,NAS CI过)
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2026-08-19 22:42:30 +08:00 |
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claude_dev
|
4a9208db9d
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feat(portfolio): B2定寸虚拟化InstancePortfolio代理——策略决策层脱离全账户污染(spec§B2+A2清单issue#29)——①live_portfolio_proxy:InstanceContextProxy(portfolio→账本视图,其余属性透传真context,property+__getattr__实现)+InstancePortfolio(每次访问现算)②覆盖A2清单全集:available_cash/cash=账本现金(168万/只定寸污染根治点,.cash fallback同源);positions=账本jq对象(total_amount/amount/closeable_amount(T+1)/avg_cost(台账口径=成交价)/cost_basis/security)+price/last_sale_price从真portfolio同名标的透传(市场数据非所有权,缺→None止损跳过);value/market_value/total_value=现价×量(缺价→0偏保守不误卖);total_value/positions_value=账本equity(现价优先成本兜底);locked_cash=0③清单外属性AttributeError fail-fast(真值=全账户数字,静默透传=污染复发,宁可崩=A1同款house style)④wrap_scheduler包装facade的run_daily/run_monthly(发生在策略initialize注册任务之前,策略代码零改动);functools.wraps保任务名;无账本原样返回=回测/影子零改动⑤live_strategy._setup接线(_ledger None→wrap直通);引擎内部撮合/风控仍看真实账户;+13测试(定寸现金/T+1/现价透传/缺价保守/equity兜底/fail-fast/调度代理注入/无账本零改动/_setup接线两态);portfolio 373绿 [vps]
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2026-08-19 22:37:16 +08:00 |
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claude_dev
|
ed15c24db8
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feat(trader): B5对账恒等式优先——15:10日终报表加『全账户=Σ实例账本+未归因』层(spec§B5)——①build_identity_report:每QMT账号一行,快照市值vs Σ实例账本市值(live_balance最新,dae56e2起=实例视图),未归因MV+占比,容差0.5%(价格时点差);逐票未归因=快照持仓−Σ实例持仓(6位码对齐)单列(重建后应≈0,大数=遗留/手动仓)②状态四态:pass/no_instances(重建期无实例=恒等式成立)/snapshot_missing(如实FAIL)/unattributed_over_tol(旧全账户行叠加期呈现大额负未归因)③save/load落库identity_reconcile(account+date主键)④15:10调度(_maybe_daily_reconcile)与CLI恒等式先行,再逐对live↔shadow(配对v2不变);+7测试(容差内过/未归因票单列/负未归因/无快照/无实例/多实例Σ不串账号/落库回读);trader 248绿 [vps]
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2026-08-19 22:32:00 +08:00 |
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claude_dev
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537fd2d571
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feat(live): B4前端三层展示+预算表单+账户实况端点(spec§B4)——①新建实盘表单:起始资金升级『实例预算』,默认值=剩余可分配(budget-info,用户改过不跟随),占用率进度条(已分配+本次 vs 现金),超限红条+禁提交,快照不可用警告条(与后端fail-closed双保险)②监控页三层重构:本策略买卖(live_trades归因,今日/全部)/本策略账本+持仓(实例视图,现金/市值/净值语义重命名)/账户实况(新卡:现金/市值/总资产+Σ实例市值+未归因市值=账户市值−Σ实例+实例分解表+QMT全账户持仓表)③列表页:每QMT账号一条占用率横幅,存量超限亮黄条⚠④后端补GET /live/account-snapshot(注册在{aid}前):全局快照+同账号实例最新账本分解+unattributed_mv,快照缺失fresh=False数值None;⑤live.ts补BudgetInfo/AccountSnapshotView类型+updateLive带initial_capital;+3端点测试(分解算术/无快照降级/跨账号过滤);api 164绿;npm run build绿 [vps]
CI/CD / test (push) Successful in 15s
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2026-08-19 22:26:41 +08:00 |
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claude_dev
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5a91be2efd
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fix(strategy): A1 卖出只卖自己——共享QMT账户互卖根治,持仓读取优先实例账本视图(spec §A1)
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2026-08-19 盘后实锤:8路实盘共享miniQMT账户66639661,context.portfolio是
全账户视图→'卖掉所有不在目标里的持仓'卖掉别家持仓(518880/600036双实例
各卖当日真实发生)。spec: docs/design/multi-strategy-instance-budget-spec.md
- _get_positions(context, broker=None)(all_weather共享helper+all_weather_ex
同构副本):broker.get_instance_positions存在(runner_live注入台账,dae56e2)
→只返回本实例持仓(_InstancePosition:数量/成本取台账,price/value从共享
视图同名标的补=市场数据非所有权);否则回测/影子原context.portfolio不变,
模拟盘零改动;通道返非dict→TypeError fail-fast(回退=互卖,宁可崩)
- 视图空dict→轮换退化'只买不卖'(spec:正确行为不是bug)
- 逐个卖出腿过一遍(spec清单):channel_test rotate/partial_adjust/swap_one/
t1_probe、momentum/_ex熊市清仓+调仓+买入去重、small_cap/_ex _rebalance、
value_selection/_ex月度卖出、all_weather/_ex prepare/stop_loss/monthly
- 附带修:channel_test加仓腿市值未知时跳过,绝不order_target_value(code,0)
把加仓变清仓
- 测试:test_instance_view_isolation.py 14条(helper5+channel_test5+momentum
熊市2+small_cap1+all_weather止损1),含'实例视图空→零卖出'×3策略;
strategy 126全绿;A2属性清单已发issue#29给前后端(B2虚拟化输入)
- 注:工作树另有前后端session未提交WIP(routes_live.py B3预算),不混入本commit
[vps]
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2026-08-19 22:22:42 +08:00 |
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claude_dev
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f9b6d77ebd
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feat(live): B3预算硬限制+GET /live/budget-info——实例预算制闸门(spec§B3)——①_budget_state:剩余=QMT账户现金−Σ同账户其他实盘实例预算(不分运行/停止,停止实例持仓仍占资金);快照缺失/过期(>10min)→fresh=False+remaining=None,fail-closed不猜数②create_live落库前_enforce_budget:超限400报文带现金/已分配/剩余三数;快照不可用400(重建期QMT关闭时创建被正确拒绝)③update_live补initial_capital可编辑+校验(仅预算或账号变更触发,改名不触发;exclude自身旧值防重复计入Σ)④GET /live/budget-info(必须注册在/live/{aid}前,FastAPI路径匹配不按类型分流否则422)→{account_cash,allocated,remaining,fresh,snapshot_at}供前端默认值+占用率条⑤存量不追溯(仅新建/修改走校验);+14预算测试,旧测试fixture补快照播种(test_portfolio_live/test_instance_binding,B3后create新契约);api+data_platform 273绿 [vps]
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2026-08-19 22:21:10 +08:00 |
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claude_dev
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e68c497f40
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feat(live): B1全局账户监视器+qmt_account_snapshot快照表——预算制地基(多策略共享账户spec§B1)——①supervisor内daemon线程AccountMonitor:专属probe连接(session id=880811 int,远离bullet_trade的time*1000量级)60s查QMT资金+持仓,upsert单行全局快照(account主键,不挂实例,positions JSON)②账户来源三并集=sticky快照行(实例删光仍记得账号+mini_path,重建期校验不断供)<live_accounts行<config watch_accounts/env③断连自愈:asset None→关旧连接下轮重建,失败日志节流(首败WARN+每30败心跳)④零实盘实例也运行;xtquant缺失(NAS/Mac)warning后空转不炸supervisor⑤get_fresh_account_snapshot(10min过期→None)供B3预算校验fail-closed;+12测试(假xtquant注入,union/断连重建/sticky路径/过期判定);策略session在途A1修改(strategies/*+test_instance_view_isolation)不属本commit [vps]
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2026-08-19 22:15:40 +08:00 |
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