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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 147a49d781 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
claude_dev e7c5defe64 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] 2026-08-20 11:41:47 +08:00
claude_dev b86af798aa 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)
 2026-08-19 22:42:30 +08:00
claude_dev 4a9208db9d 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
claude_dev 5a91be2efd 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]
 2026-08-19 22:22:42 +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 78d35baae5 fix(provider): SanguoMiniQmtProvider四缺口根治——实盘/影子momentum/small_cap共4账户8-18/8-19空转两日——①get_closes_panel(+_ex)委托本地dbbardata(与回测LocalUnifiedProvider同源同口径;base与xtdata SDK均无此方法,bullet_trade回退链终断AttributeError,momentum牛熊/small_cap动量瘫)②get_fundamentals_df补fields契约(keep=code+请求列,对齐unified;原small_cap fields=[market_cap,eps]直接TypeError)+_ex别名③get_constituent_ex(+get_index_stocks覆盖)委托constituent_unified并集(历史日期口径,治前视;表缺指数WARNING回退base最新成份,宁可降级不空转=本次事故教训)④config的db_path/data_dir透传统一provider,VPS缺省走生产库;+10测试(复刻VPS AttributeError实锤+回退路径);962绿;VPS实库冒烟panel新鲜到08-18/000985=5128只(前后端session巡检实锤清单全闭环) [vps]
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2026-08-19 10:59:48 +08:00
claude_dev e522cab9a4 fix(strategy): 数据取数失败≠策略信号——momentum假熊市清仓根治+small_cap同型误判纠正 [vps]
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前后端session 2026-08-19巡检实锤(VPS shadow_47/48,8-18/8-19连续两日09:30):
momentum _cal_buy_sign 取数失败被静默当成熊市信号,handle_data if not buy_sign 全部
清仓;有持仓时任何一次数据抖动=全仓卖出。

①momentum/_ex: _cal_buy_sign→Optional[bool](取数异常/空panel→None,handle_data
  据此跳过当日调仓保持仓);_cal_rps/_select_stocks/_stock_pool 吞异常改上抛,牛市
  计算段统一捕获→跳过当日(不清仓);False只留给真实数据算出的熊市,空index_list
  维持False(确定性配置态)
②small_cap/_ex(新发现,前后端记忆判'语义安全'系误判——8-18无交易只因空仓):
  _pick_stocks任一取数失败→[]→_rebalance空名单分支全清仓,与momentum同型事故;
  改三态:None=数据失败跳过本次调仓(持仓不动),[]=合法空名单仍清仓(原策略语义),
  list=正常目标;_stock_pool/_cal_momentum_score同步Optional化
③+7回归测试(取数失败零下单保持仓×4/直查None×2/合法空仍清仓守卫);portfolio 324绿,
  全量889绿(4失败=Mac缺bullet_trade/vnpy环境性import,与本次无关)
 2026-08-19 10:45:06 +08:00
claude_dev d2364a36c5 refactor(provider): TET Phase3老接口内部委托Fetcher——①四老方法(get_price/get_closes_panel/get_index_stocks/get_fundamentals_df)旧体删除,改调同款Fetcher(与_ex两张皮,strict契约自此对老接口生效:非法frequency/fq/count/日期/空列表→ValueError,查询失败raise;Phase2副本对照4/4语义等值已验issue#19)②qfq因子二次读库归一:_build_qfq_factor/_apply_qfq_batch拆为_read_qfq_rows+_qfq_factor_from_rows与_read_qfq_events+_apply_qfq_events(IO/纯计算),因子读全挪进extract_data,transform零IO③all_weather四处get_fundamentals_df(choice)补空守卫(空候选集=调用方业务态)④3个宽松断言回归测试改strict(1m频率/空stocks/空symbols);938绿 [vps]
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2026-08-17 09:12:47 +08:00
claude_dev e34a82f6bc perf(portfolio): #12 03 momentum_timing层2向量化—当日预取宽表+内存切片:handle_data牛市日1-2次批量SQL(熊市1次,原每日~13次:1 buy_sign+10行业rps+1-2 select,726天×13≈9000+次IO无跨日缓存,全周期>3h被_TIMEOUT kill);三处_cal_rps/_select_stocks/_cal_buy_sign切片优先+回退直查(预取失败/缺列/空切片→None回退,行为等价旧版);_panel_slice dropna(how=all)精确复刻provider直查行集语义(超集切片组外日期全NaN行会改iloc[0]/tail(N)口径,测试单stock场景抓出);_stock_pool当日缓存(预取+_find_stock_pool共享get_index_stocks+filters);+1回归测试断言牛市日get_closes_panel≤2次+每行业get_index_stocks 1次,22绿 [vps]
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2026-08-15 12:03:29 +08:00
claude_dev b1a43cba44 fix(portfolio): all_weather换仓月只卖不买根治——monthly_adjustment卖出旧仓后未重取持仓,陈旧快照len≥目标数致target_num>position_count恒False一股不买,空仓躺到下月(NAS实测2025-09-01/10-09/12-01三次调仓全中,持仓数<目标数的8-13/11-03正常买);卖出后_get_positions重取+动态持仓回归测试(复现卖5买0→修后卖5买5);老翻译bug非本轮5commit回归(VPS旧代码对照运行中) [vps]
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2026-08-15 07:06:07 +08:00
claude_dev f9322a7c48 feat(provider): TET窄试点B——P0四方法Fetcher化(_ex新接口,strict fail-fast),老接口零改动 [vps]
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2026-08-14 23:44:39 +08:00
claude_dev 2cd158286b perf(portfolio): G5-P2收尾—all_weather三调用点向量化:①filter_roic逐只循环→一次批量+fields=['roic']短路(9×)②_trend_mean get_price长表+pivot→get_closes_panel宽表(340×,count=N→start-N*2自然日+.tail(N)同momentum口径,fq均raw)③prepare_stock_list get_price(close+high_limit)→get_limit_status_batch精确涨跌停口径;测试fixture补panel/limit_batch mock(原MagicMock碰巧truthy蒙混paused剔除语义,默认改全正常);+6回归测试,portfolio全套302绿 [vps]
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2026-08-14 23:17:13 +08:00
claude_dev 61cc01efbe feat(portfolio): P1.3涨跌停/停牌过滤批量化双端—①all_weather monthly_adjustment三filter接线_get_limit_status批量预取(原不传status_map/date走无数据保留死分支,照买涨停照交易停牌;同small_cap等三策略) ②ShadowBroker涨跌停拒单(买撞涨停/卖撞跌停/停牌双向拒;limit_getter注入,未注入/异常/无状态降级放行等价旧行为) ③runner build_limit_getter(优先miniQMT实时tick lastPrice vs UpStop/DownStop与实盘同源,回退get_limit_status_batch日线口径);9新测试 [vps]
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2026-08-14 23:04:15 +08:00
claude_dev 86a13ede42 test(portfolio): 修stale测试test_small_filters_by_roe_roa—锚定e807bed放宽阈值(roe0.05/roa0.02,原0.15/0.10对中证1000命中仅~5%),保留剔除不合格股意图(换roe0.03/roa0.01样本) [nas] 2026-08-14 22:57:20 +08:00
claude_dev f00730482f feat(shadow-desk): P1-d 影子主管+通路策略增强(用户拍板): channel_test universe分6类资产各3只(宽基/行业/跨境商品ETF/主板蓝筹/中盘/创业板,个股只主板+创业板无科创北交铁律)hold 6只每日跨类型轮换;盘中4时点场景(9:35主调仓卖全买等权/10:45部分加减仓/13:45卖后买资金复用/14:30 T+1拒单探针)每天全场景,适配15m; shadow supervisor --auto轮询paper库自动拉起/停止/重启影子账户子进程(env映射SANGUO_LIVE_+SANGUO_SHADOW_契约); 11新测试 [vps]
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2026-08-14 19:14:13 +08:00
claude_dev 36db2ed5a6 feat(shadow-desk): 通路测试策略channel_test+模拟盘列表改造: 策略=每日等权轮换ETF/蓝筹(卖旧买新走全买卖通路)+T+1当日卖探针(两端应一致拒单,验证拒单通路),注册backtest/live/前端,默认universe 5只高流动ETF,4单测(坑:BrokerFacade是dataclass,子类方法被父类__init__实例属性遮蔽须实例注入); 模拟盘列表:加类型列(个股/组合)+创建时间列,标的去JSON中括号,列宽重排,模式筛选加影子 [vps]
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2026-08-14 14:32:52 +08:00
claude_dev 929f52e3c2 feat(portfolio): 组合回测加持仓变化图(daily_positions每日聚合count/value经worker/routes透传,柱=持仓数线=市值)+超额收益曲线(策略/基准净值-1,聚宽标配,前端算);2测试 [vps] 2026-08-13 20:40:03 +08:00
claude_dev 08aec403f7 feat(portfolio): 组合回测结果增强: 基准对比曲线(对齐交易日+归一化)+回撤序列+扩展指标(波动/Sortino/Calmar/超额/Alpha/Beta), worker与API透传, 结果页净值对比+回撤图 [vps]
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2026-08-13 18:22:10 +08:00
claude_dev 8862816557 feat(portfolio): B fundamentals批量 + C涨跌停filter修复(get_limit_status_batch接入) 
B: value_selection 逐只 get_value_metrics → get_value_metrics_batch(数据session)
- 01 验证 -21.85% vs 改前 -21.63%(微差0.22%, batch实现微差,可接受)

C: filters filter_limitup/limitdown/paused 接入 get_limit_status_batch(数据session)
- 修复回测死代码: filter 取 tick.get(last_price/paused) 恒None → 照买涨停/照卖跌停/照交易停牌
- 三策略调仓预取 status_map 共享一次查询, 向后兼容 all_weather(不传参=原行为)
- 03 短区间(2024Q1)验证: C前+138.7%虚高 → C后+101.6%, filter修复减少照买涨停虚增

验收: 101单测(filters 30含14新status_map口径 + 三策略71)
注意: get_limit_status_batch 44s/800只(数据session待批量化优化), 02/03全周期待优化后
 2026-07-30 07:37:03 +08:00
claude_dev 384bcc56d7 fix(data): 修三环境 session 反馈的 3 个数据层问题 
D1: 删 test_circuit_breaker.py(测已归档 raw_redownload.check_circuit_breaker 死代码,全仓零活跃引用,致 data_platform 套件 collection error)
D2: datareader.py read_db_daily/read_index_daily 两处 vnpy_db 硬访问→.get()+清晰报错防崩溃(根治切 dbbardata 读指数列待办)
D3: high_limit/low_limit close±10% 兜底是有意设计非 bug(填 NaN 会复活 bullet_trade 误判停牌)—get_price 加 round(.,2) 对齐 get_current_tick 口径;测试期望从 NaN 改兜底估算
 2026-07-29 21:17:15 +08:00
claude_dev 1cc9126abb feat(portfolio): get_limit_status_batch 回测涨跌停/停牌批量接口 
修 filter_limitup/limitdown/paused 回测失效(get_current_tick 无 last_price/paused
字段→恒不过滤→03/02 回测算出假收益)。

get_limit_status_batch(codes, date) → {code: {is_limit_up,is_limit_down,is_paused}|None}:
- dbbardata 无 high_limit 列 → high_limit=round(prev_close×(1+幅度),2) 精确算
  (pctChg 阈值高价股边界失真故不用); 窗口 ROW_NUMBER 取 T+T-1 两根日线。
- 幅度板块感知: 主板10/创业·科创20/北交30 + 历史 ST5%(valuation_baostock.isST)。
- 停牌=当日 volume==0; 方案A(返回判断好的状态); 缺失股 None。

Mac TDD 6 用例(涨停/跌停/停牌/创业板20%/正常/缺失)全绿; 45 回归通过。
策略层 filter 接入归策略 session(替 get_current_tick 逐只)。
 2026-07-29 09:10:20 +08:00
claude_dev d2cd8fa945 feat(portfolio): get_security_info_batch + get_value_metrics_batch 批量接口 
策略层提速第三轮(filters 通病 + 策略01):
- get_security_info_batch: 2 条 SQL(symbol IN chunk + GROUP BY sym,exc 拿
  min/max; constituent_unified 拿 name)替 N×2 逐只。filters.py filter_st_stock/
  filter_new_stock 自动探测批量(hasattr + isinstance dict 回退逐只, 向后兼容)。
  三策略 ST/次新过滤通病: 万次查询压成 2 条。
- get_value_metrics_batch: ThreadPool 并发逐只委托 lpp.get_value_metrics
  (多期 ROE/FCF/流动比率逻辑不变, 只并发)。策略01 价值精选提速。
- 接口3 get_ticks_batch 不做: 实证 get_current_tick 无 last_price/paused 字段
  → 回测涨跌停/停牌 filter 恒不过滤(死代码), 批量化无意义; 真问题是回测
  涨跌停检测失效(策略层另修)。

Mac TDD parity 测试全绿(batch==逐只); 93 回归通过。
 2026-07-29 08:23:21 +08:00
claude_dev 32dbcb8958 feat(portfolio): P2/P3 策略层向量化 + fundamentals批量提速解锁长回测 
P2 行情向量化(get_price→get_closes_panel,口径实证 max_abs_diff=0.0 零偏差):
- momentum_timing: _cal_rps/_select_stocks/_cal_buy_sign 三处向量化
- small_cap: _cal_momentum_score 用 close.min/max 代理 low/high(方案A)

P3 fundamentals 批量(small_cap _pick_stocks 加 fields=[market_cap,eps],
对接数据session f416a17 get_fundamentals_df 按需短路):
- 02 000985 全市场 5128只 ~19min卡死 → 195s 跑通解锁

验收: 72单测全过; VPS 03短回测+138%(口径与get_price一致diff=0)/
02全市场-11%(2024Q1小盘股灾期合理)/01沪深300可跑
 2026-07-29 07:49:35 +08:00
claude_dev f416a17b6d feat(portfolio): get_fundamentals_df 批量提速(fields= 按需短路 + ThreadPool 并发) 
策略02 _pick_stocks 对 5128 只按 market_cap+eps 排序, 旧实现逐只读 4 表(valuation+
income+balance+financial_abstract)+算 calc_roic, 首仓全 cache miss 卡死。

优化(就地, 策略代码零改动, fields=None 向后兼容):
- fields= 参数: 只读请求字段依赖的源表(策略02 只要 market_cap+eps → 跳 balance/
  financial_abstract/roic, 省一半 parquet 读)
- ThreadPool 并发逐只(>64 只; 本地文件 I/O 非 baostock 网络, 不触不并发铁律)
- _build_fundamental_row 加 need= 守卫读取(lpp + unified 两层)

Mac TDD 4 测试(子集/短路/回归/并发保序)全绿, 124 回归通过。
注: 策略02 要拿满提速需在其 get_fundamentals_df 调用加 fields=[market_cap,eps](策略层, 归策略session)
 2026-07-28 23:31:13 +08:00
claude_dev de04a8904b feat(portfolio): 移植3聚宽策略到BulletTrade + 8bug修正 + 数据缺口文档 
三策略(聚宽py2→BulletTrade 0.9.2,BrokerFacade注入跨版本兼容):
- momentum_timing 动量择时(牛熊分界+行业RPS+均线,切回10中证行业指数)
- value_selection 价值精选(6条基本面过滤,切回沪深300)
- small_cap 小市值(去IC对冲,切回000985中证全指)

框架:
- runner_backtest 加 --strategy 分发(原硬编码all_weather)
- provider 加 get_value_metrics(价值精选6条基本面,NOTICE_DATE治前视偏差)
- 72单测全过(21+27+24)

修8个回测实测发现的真bug:
- 01第⑥条EPS绝对值0.08~0.5与①大盘矛盾→6条交集恒空致全程空仓,按注释本意改净利润同比8~50%
- 03原帖calRPS取数区间错(get_price start=end只取1天)→涨跌幅恒0 RPS失效;date.today()取真实今天非回测日
- 02 universe 000985不在constituent_unified→候选池空

VPS实测(短区间验证逻辑,非长期表现): 01价值+23%/03行业轮动+48%/02选出20只小盘

数据缺口(详见docs/research/joinquant_strategies/SUMMARY.md + data_gaps_fix_plan.md):
- 三表"1/3损坏"误报已撤回(全扫5530文件/表0损坏,沪深95%+健康,仅北交所920xxx空,不做北交所)
- 真实缺口: 行业成份股(G1已补)/000985(G2已补)/IC期货(02对冲去掉)/provider批量接口(G5待做,解锁长回测)
 2026-07-28 22:20:49 +08:00
claude_dev c8f26bef80 feat(portfolio): LocalUnifiedProvider 批量行情接口 get_closes_panel (G5-Phase1) 
单条 dbbardata 参数化查询 (symbol,exchange) OR + pivot 返宽表, 替代 N 次 get_price, 为策略向量化提速铺路。raw close 口径一致, 缺失 NaN 列, symbol-exchange 配对防歧义。22 tests 含 batch-vs-逐只回归。本文件另含 get_value_metrics 透传(策略移植)。
 2026-07-28 20:36:11 +08:00
claude_dev b237c2d7e7 fix(data): 中证1000/2000 历史成份股补全(parse+migrate 聚合) 
parse_csindex_announce.py 3 处修复:
- 932000 launch xlsx header 定位"证券代码"列(原 row[0]=指数代码 bug, distinct=1)
- 000852 列表搜索用 indexCode payload 精准拉(28 -> 96 公告, 回溯到 2016)
- akshare current snapshot header 定位"成分券代码"列(原 iloc[0]=日期 bug, current=0)

migrate_constituent.py:
- 加 _read_announce_union_aggregated(): 000852/932000 用 announce_union 全集
  替换原 snapshot-only 路径, was_removed 治幸存者偏差
- 缺 announce_union 时回退旧 snapshot 逻辑(向后兼容)

TDD: tests/portfolio/test_migrate_announce_union.py 7 测全过(5 unit + 2 integration)
Mac 产出验证:
- 000852: distinct 1220 -> 1672, was_removed 0 -> 672
- 932000: distinct 1 -> 2684(launch 修复), was_removed 0 -> 684
 2026-07-23 23:45:55 +08:00
claude_dev 48c67d05d2 fix(data): 成份股 merge/migrate pipeline 可重跑(idempotent, 读 bs_index_constituent_old) 2026-07-23 09:04:00 +08:00
claude_dev 41cc6d13bf feat(portfolio): LocalUnifiedProvider spec §6 使用层落地 + VPS E2E(Task6) 
spec §6 使用层 provider — 读方案A 权威数据层, 零 online, 治幸存者偏差:
- get_price: dbbardata('d') raw + bs_adjust_factor 前复权(asof, qfq[t]=raw[t]*factor[t])
- get_index_stocks/get_constituent: constituent_unified 并集治偏差(300=940含被踢, 无date时点)
- get_fundamentals_df: baostock pe/pb/ps/pcf + akshare 市值 + 三表委托 LocalParquetProvider
- 辅助: trade_days/security_info/current_tick/split_dividend/all_securities

VPS E2E 实证修复(Mac fixture 盲区):
- dbbardata datetime 混合格式("2024-09-26" vs "2024-09-26 00:00:00")
  → pd.to_datetime format='mixed' + SQL substr(datetime,1,10) 比日期(字符串比漏边界)
- 补 TestMixedDatetimeFormat 单测覆盖

验证: VPS 真数据 E2E 全通过(600519在市raw/qfq复权/000005退市治偏差/510300ETF/
fundamentals市值+pe+eps全字段/辅助方法); Mac 37单测+149回归绿

交付: 使用说明 docs/portfolio_local_unified_provider.md(其他 session 直用)+
plan+probe+E2E 脚本
 2026-07-23 08:25:44 +08:00
claude_dev 9243f86773 feat(portfolio): LocalUnifiedProvider 辅助方法(Task4) 2026-07-23 08:12:34 +08:00
claude_dev 011c9d4ddb feat(portfolio): LocalUnifiedProvider fundamentals baostock估值+akshare市值(Task3) 2026-07-23 08:11:35 +08:00
claude_dev b46a0c26c8 feat(portfolio): LocalUnifiedProvider 成份股并集治偏差(Task2) 2026-07-23 08:07:37 +08:00
claude_dev 4b4dca2f44 feat(portfolio): LocalUnifiedProvider get_price+前复权(Task1) 2026-07-23 08:06:45 +08:00
claude_dev e12c66acd5 feat(portfolio): LocalUnifiedProvider 代码转换+复权因子(Task0) 2026-07-23 08:05:09 +08:00
claude_dev b270faf4b9 feat(portfolio): 本地数据 provider 层(baostock/local_parquet) 
- BaostockProvider: 读 VPS daily_baostock_full(本地,不调online,守 provider-local-data-only 铁律)
- LocalParquetProvider: 读 parquet 兜底,回测117交易日0.4s/月出JSON
- all_weather 策略 + runner_backtest 适配
- 数据源融合使用层(单 Provider 内部路由,见 data-fusion spec §6)
 2026-07-22 10:35:23 +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