"""模拟盘 API 路由（spec §10）。 create 建 paper_account（持久化配置）；GET 查询净值/成交/状态。 回放执行（engine.run）由 orchestrator 异步触发或容器内同步跑，端到端冒烟在容器 （本机无 NAS parquet + vnpy 完整依赖），本模块只做 account 管理 + 查询。 """ import sqlite3 from fastapi import APIRouter, Depends, Header, HTTPException from pydantic import BaseModel from .auth import verify_token as verify_token_impl router = APIRouter() _db_path = {"path": None} def set_db_path(p): _db_path["path"] = p if p: from sanguo_trader.persistence import init_db init_db(p) # app 启动建表（幂等），保证 GET 查询不报 no such table async def verify_token(authorization: str | None = Header(None)): if authorization is None or not authorization.startswith("Bearer "): raise HTTPException(401, "Missing/invalid authorization") return verify_token_impl(authorization.split(" ", 1)[1]) class StrategyCfg(BaseModel): name: str params: dict = {} match_session: str = "next_open" symbol: str listing_days: int = 0 max_allocation: float | None = None # 软限额（spec §195），None=用 initial_capital class PaperCreateRequest(BaseModel): name: str = "paper" mode: str = "replay" interval: str = "d" symbols: list[str] strategies: list[StrategyCfg] initial_capital: float = 1_000_000 rate: float = 0.0003 slippage: float = 0.0 pricetick: float = 0.01 stamp_duty_rate: float = 0.0005 transfer_fee_rate: float = 0.00001 min_commission: float = 5.0 start: str end: str @router.post("/paper/create", dependencies=[Depends(verify_token)]) def create_paper(req: PaperCreateRequest): from sanguo_trader.persistence import init_db, save_account import threading db = _db_path["path"] or ":memory:" init_db(db) aid = save_account(db, req.model_dump()) status = "created" if req.mode == "replay": # 回放后台线程跑，create 立即返回（避免阻塞 worker 502） def _bg(): from sanguo_trader.persistence import update_account_status try: _run_replay(db, aid, req) update_account_status(db, aid, "done") except Exception as e: # noqa: BLE001 update_account_status(db, aid, "failed", str(e)) threading.Thread(target=_bg, daemon=True).start() status = "running" elif req.mode == "live": # 实走：全局 job 每日 20:30 遍历 step（不跑回放） from sanguo_trader.persistence import update_account_status update_account_status(db, aid, "running") status = "running" return {"account_id": aid, "status": status} @router.get("/paper", dependencies=[Depends(verify_token)]) def list_papers(): """模拟盘列表（启用聚宽级模拟交易列表页）。每行带最新净值 + 收益率。""" from sanguo_trader.persistence import load_last_balance db = _db_path["path"] with sqlite3.connect(db) as conn: conn.row_factory = sqlite3.Row rows = conn.execute( "SELECT * FROM paper_accounts ORDER BY id DESC" ).fetchall() out = [] for r in rows: item = dict(r) cap = item.get("initial_capital") or 0 last = load_last_balance(db, item["id"]) if last and cap: item["latest_equity"] = last.get("total_equity") item["latest_date"] = last.get("date") item["total_return"] = (last.get("total_equity", 0) - cap) / cap else: item["latest_equity"] = None item["latest_date"] = None item["total_return"] = None out.append(item) return {"accounts": out} @router.get("/paper/{aid}", dependencies=[Depends(verify_token)]) def get_paper(aid: int): db = _db_path["path"] with sqlite3.connect(db) as conn: conn.row_factory = sqlite3.Row row = conn.execute( "SELECT * FROM paper_accounts WHERE id=?", (aid,) ).fetchone() if not row: raise HTTPException(404, "account not found") return dict(row) @router.get("/paper/{aid}/equity", dependencies=[Depends(verify_token)]) def get_equity(aid: int): from sanguo_trader.persistence import list_daily_balance return list_daily_balance(_db_path["path"], aid) @router.get("/paper/{aid}/trades", dependencies=[Depends(verify_token)]) def get_trades(aid: int): from sanguo_trader.persistence import list_trades return list_trades(_db_path["path"], aid) @router.get("/paper/{aid}/strategies", dependencies=[Depends(verify_token)]) def get_strategies(aid: int): """分策略归因：成交/拒单/费用聚合（spec §7）。""" from sanguo_trader.persistence import list_strategy_summary return list_strategy_summary(_db_path["path"], aid) @router.get("/paper/{aid}/positions", dependencies=[Depends(verify_token)]) def get_positions(aid: int): """当前持仓快照（实走监控，Phase 3c）。{symbol:{volume,frozen,avg_price}} → list。""" from sanguo_trader.persistence import load_positions pos = load_positions(_db_path["path"], aid, "account") return [ {"symbol": sym, "volume": p["volume"], "frozen": p.get("frozen", 0), "avg_price": p["avg_price"]} for sym, p in pos.items() ] @router.get("/paper/{aid}/pending", dependencies=[Depends(verify_token)]) def get_pending(aid: int): """跨日 pending 订单（实走监控，Phase 3c）。""" from sanguo_trader.persistence import load_pending_orders return load_pending_orders(_db_path["path"], aid) class _DataSourceWrapper: """包装 iter_bars/fetch_day 给 PaperEngine/live_orchestrator。""" def __init__(self, cfg): self.cfg = cfg def iter_bars(self, symbols, start, end, interval, adjust="qfq", cfg=None): from sanguo_trader.data_source import iter_bars return iter_bars(symbols, start, end, interval, adjust, cfg or self.cfg) def fetch_day(self, symbol, date, interval, adjust="qfq", cfg=None): from sanguo_trader.data_source import fetch_day return fetch_day(symbol, date, interval, adjust, cfg or self.cfg) def _run_replay(db, aid, req: PaperCreateRequest): """构造引擎 + 跑回放（容器内有 vnpy_ctastrategy + NAS parquet，本机仅空转）。""" from sanguo_trader.account import Account from sanguo_trader.cta_adapter import PaperCtaEngine from sanguo_trader.engine import PaperEngine from sanguo_trader.models import AccountConfig from sanguo_trader.strategy_runner import StrategyRunner from sanguo_data.config import find_config_path, load_config from sanguo_data.datareader import guess_exchange from .strategy_registry import get_strategy_class data_cfg = load_config(find_config_path()) acc_cfg = AccountConfig( initial_capital=req.initial_capital, rate=req.rate, slippage=req.slippage, pricetick=req.pricetick, stamp_duty_rate=req.stamp_duty_rate, transfer_fee_rate=req.transfer_fee_rate, min_commission=req.min_commission, ) account = Account(req.initial_capital) runners: list = [] for s in req.strategies: cls = get_strategy_class(s.name) if cls is None: continue # 策略不可用（本机无 vnpy_ctastrategy）→ 跳过 from sanguo_trader.limit import lot_size_for cta = PaperCtaEngine(s.name, match_session=s.match_session, listing_days=s.listing_days, size=lot_size_for(s.symbol)) # 主板 100 / 科创 200 股一手 vt_symbol = f"{s.symbol}.{guess_exchange(s.symbol).value}" strat = cls(cta, s.name, vt_symbol, s.params) # CtaTemplate(cta_engine, name, vt_symbol, setting) strat.trading = True # 允许 send_order（等价 on_start） try: from vnpy.trader.utility import ArrayManager if not hasattr(strat, "am"): strat.am = ArrayManager(20) # 默认 100 根才 inited，短区间不够；用 20 兼容 except Exception: pass cta.set_strategy(strat) runners.append(StrategyRunner( s.name, strategy=strat, paper_cta_engine=cta, symbol=s.symbol, max_allocation=(s.max_allocation if s.max_allocation is not None else req.initial_capital))) from sanguo_data.dividend_source import build_dividend_calendar div_calendar = build_dividend_calendar(req.symbols, req.start, req.end) pe = PaperEngine(account, runners, _DataSourceWrapper(data_cfg), acc_cfg, db, aid, req.symbols, req.start, req.end, req.interval, risk_free_rate=getattr(data_cfg, "risk_free_rate", 0.0), dividends_by_date=div_calendar) pe.run()