333 lines
14 KiB
Python
333 lines
14 KiB
Python
"""模拟盘 SQLite 持久化（4 表 + pending + checkpoint + WAL，spec §8 / §9.1）。
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表：paper_accounts / paper_trades / paper_positions / paper_daily_balance
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/ paper_pending_orders（C-S3 实走跨日 pending）
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WAL 模式支持 worker 进程写 + 主进程读（spec §9.1 共享 DB 进度）。
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"""
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import json
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import sqlite3
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from datetime import datetime, timezone
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from pathlib import Path
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from typing import Any
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SCHEMA = """
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CREATE TABLE IF NOT EXISTS paper_accounts (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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task_id TEXT, owner_id TEXT DEFAULT 'admin', name TEXT,
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strategy_type TEXT DEFAULT 'cta',
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mode TEXT, interval TEXT,
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symbols TEXT, strategies TEXT,
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initial_capital REAL, rate REAL, slippage REAL, size REAL, pricetick REAL,
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stamp_duty_rate REAL, transfer_fee_rate REAL, min_commission REAL,
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status TEXT, start_date TEXT, end_date TEXT,
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last_run_date TEXT, next_run_at TEXT, scheduler_job_id TEXT,
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checkpoint_date TEXT, error_msg TEXT,
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created_at TEXT, updated_at TEXT
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);
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CREATE TABLE IF NOT EXISTS paper_trades (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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account_id INTEGER, strategy_id TEXT, datetime TEXT, symbol TEXT,
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direction TEXT, offset TEXT, match_session TEXT,
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price REAL, volume INTEGER,
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commission REAL, stamp_duty REAL, transfer_fee REAL,
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rejected INTEGER, reject_reason TEXT, bar_date TEXT,
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blocked_by_strategy_id TEXT
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);
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CREATE TABLE IF NOT EXISTS paper_positions (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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account_id INTEGER, scope TEXT, symbol TEXT, date TEXT,
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volume INTEGER, frozen INTEGER, avg_price REAL, market_value REAL,
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updated_at TEXT
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);
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CREATE TABLE IF NOT EXISTS paper_daily_balance (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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account_id INTEGER, date TEXT,
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cash REAL, market_value REAL, total_equity REAL,
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per_strategy_pnl TEXT, is_checkpoint INTEGER
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);
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CREATE TABLE IF NOT EXISTS paper_pending_orders (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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account_id INTEGER, strategy_id TEXT, symbol TEXT,
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side TEXT, price REAL, volume INTEGER,
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is_market INTEGER, match_session TEXT, listing_days INTEGER,
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created_at TEXT
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);
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CREATE TABLE IF NOT EXISTS paper_shadow_orders (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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account_id INTEGER, trade_id INTEGER, bridge_order_id INTEGER,
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status TEXT, posted_at TEXT,
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UNIQUE(account_id, trade_id)
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);
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"""
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def _now() -> str:
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return datetime.now(timezone.utc).isoformat()
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def init_db(db_path: str) -> None:
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Path(db_path).parent.mkdir(parents=True, exist_ok=True)
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with sqlite3.connect(db_path) as conn:
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conn.executescript(SCHEMA)
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# 迁移：老库补 strategy_type 列（组合策略实走，E1）
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try:
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conn.execute("ALTER TABLE paper_accounts ADD COLUMN strategy_type TEXT DEFAULT 'cta'")
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except sqlite3.OperationalError:
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pass # 列已存在
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conn.execute("PRAGMA journal_mode=WAL")
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conn.commit()
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def save_account(db_path: str, account: dict[str, Any]) -> int:
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with sqlite3.connect(db_path) as conn:
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cur = conn.execute(
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"""INSERT INTO paper_accounts
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(task_id, owner_id, name, strategy_type, mode, interval, symbols, strategies,
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initial_capital, rate, slippage, size, pricetick,
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stamp_duty_rate, transfer_fee_rate, min_commission,
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status, start_date, end_date, created_at, updated_at)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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account.get("task_id"), account.get("owner_id", "admin"),
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account.get("name"), account.get("strategy_type", "cta"),
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account.get("mode"), account.get("interval"),
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json.dumps(account.get("symbols", [])),
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json.dumps(account.get("strategies", [])),
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account.get("initial_capital", 0), account.get("rate", 0.0003),
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account.get("slippage", 0), account.get("size", 1),
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account.get("pricetick", 0.01),
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account.get("stamp_duty_rate", 0.0005),
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account.get("transfer_fee_rate", 0.00001),
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account.get("min_commission", 5.0),
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account.get("status", "pending"),
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account.get("start_date") or account.get("start"),
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account.get("end_date") or account.get("end"),
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_now(), _now(),
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),
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)
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conn.commit()
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return cur.lastrowid
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def update_account_status(db_path: str, account_id: int, status: str,
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error_msg: str = "") -> None:
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with sqlite3.connect(db_path) as conn:
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conn.execute(
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"UPDATE paper_accounts SET status=?, error_msg=?, updated_at=? WHERE id=?",
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(status, error_msg, _now(), account_id),
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)
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conn.commit()
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def save_trade(db_path: str, account_id: int, trade: dict[str, Any],
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rejected: bool = False, reject_reason: str = "") -> int:
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with sqlite3.connect(db_path) as conn:
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cur = conn.execute(
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"""INSERT INTO paper_trades
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(account_id, strategy_id, datetime, symbol, direction, offset,
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match_session, price, volume, commission, stamp_duty, transfer_fee,
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rejected, reject_reason, bar_date, blocked_by_strategy_id)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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(
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account_id, trade.get("strategy_id", ""), trade.get("datetime", ""),
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trade.get("symbol", ""), trade.get("direction", ""),
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trade.get("offset", ""), trade.get("match_session", ""),
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trade.get("price", 0), trade.get("volume", 0),
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trade.get("commission", 0), trade.get("stamp_duty", 0),
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trade.get("transfer_fee", 0),
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1 if rejected else 0, reject_reason, trade.get("bar_date", ""),
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trade.get("blocked_by_strategy_id"),
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),
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)
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conn.commit()
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return cur.lastrowid
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def save_daily_balance(db_path: str, account_id: int, date: str, cash: float,
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market_value: float, total_equity: float,
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per_strategy_pnl: dict | None = None,
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is_checkpoint: bool = False) -> None:
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with sqlite3.connect(db_path) as conn:
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conn.execute(
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"""INSERT INTO paper_daily_balance
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(account_id, date, cash, market_value, total_equity,
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per_strategy_pnl, is_checkpoint)
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VALUES (?,?,?,?,?,?,?)""",
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(account_id, date, cash, market_value, total_equity,
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json.dumps(per_strategy_pnl or {}), 1 if is_checkpoint else 0),
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)
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conn.commit()
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def update_checkpoint(db_path: str, account_id: int, date: str) -> None:
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with sqlite3.connect(db_path) as conn:
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conn.execute(
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"UPDATE paper_accounts SET checkpoint_date=?, updated_at=? WHERE id=?",
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(date, _now(), account_id),
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)
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conn.commit()
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def load_checkpoint(db_path: str, account_id: int) -> str | None:
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with sqlite3.connect(db_path) as conn:
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cur = conn.execute(
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"SELECT checkpoint_date FROM paper_accounts WHERE id=?", (account_id,)
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)
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row = cur.fetchone()
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return row[0] if row else None
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def list_trades(db_path: str, account_id: int) -> list[dict]:
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT * FROM paper_trades WHERE account_id=? ORDER BY id", (account_id,)
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)
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return [dict(r) for r in cur.fetchall()]
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def list_daily_balance(db_path: str, account_id: int) -> list[dict]:
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT * FROM paper_daily_balance WHERE account_id=? ORDER BY date",
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(account_id,),
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)
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return [dict(r) for r in cur.fetchall()]
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def list_strategy_summary(db_path: str, account_id: int) -> list[dict]:
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"""按 strategy_id 聚合成交/拒单/费用（分户归因，spec §7）。"""
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"""SELECT strategy_id,
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COUNT(*) AS total_orders,
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SUM(CASE WHEN rejected=0 THEN 1 ELSE 0 END) AS filled,
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SUM(CASE WHEN rejected=1 THEN 1 ELSE 0 END) AS rejected,
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SUM(commission) AS commission,
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SUM(stamp_duty) AS stamp_duty,
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SUM(transfer_fee) AS transfer_fee
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FROM paper_trades WHERE account_id=?
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GROUP BY strategy_id ORDER BY strategy_id""",
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(account_id,),
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)
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return [dict(r) for r in cur.fetchall()]
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# ---- C-S3 实走跨日状态（pending 订单 + positions 恢复）----
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def save_pending_orders(db_path: str, account_id: int, orders: list[dict]) -> None:
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"""持久化跨日 pending 订单（NEXT_OPEN 昨日发今日撮合）。覆盖式（每根 step 后重写）。"""
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with sqlite3.connect(db_path) as conn:
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conn.execute(
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"DELETE FROM paper_pending_orders WHERE account_id=?", (account_id,)
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)
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conn.executemany(
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"""INSERT INTO paper_pending_orders
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(account_id, strategy_id, symbol, side, price, volume,
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is_market, match_session, listing_days, created_at)
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VALUES (?,?,?,?,?,?,?,?,?,?)""",
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[
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(account_id, o.get("strategy_id", ""), o.get("symbol", ""),
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o.get("side", ""), o.get("price", 0), o.get("volume", 0),
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1 if o.get("is_market") else 0, o.get("match_session", ""),
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o.get("listing_days", 0), _now())
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for o in orders
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],
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)
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conn.commit()
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def load_pending_orders(db_path: str, account_id: int) -> list[dict]:
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"""恢复跨日 pending 订单（实走 step 前读）。"""
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT strategy_id, symbol, side, price, volume, "
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"is_market, match_session, listing_days "
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"FROM paper_pending_orders WHERE account_id=? ORDER BY id",
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(account_id,),
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)
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rows = [dict(r) for r in cur.fetchall()]
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for r in rows:
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r["is_market"] = bool(r["is_market"])
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return rows
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def save_positions(db_path: str, account_id: int, scope: str,
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positions: dict, date: str) -> None:
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"""持久化持仓快照（实走跨日恢复）。positions={symbol:{volume,frozen,avg_price}}。"""
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with sqlite3.connect(db_path) as conn:
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conn.execute(
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"DELETE FROM paper_positions WHERE account_id=? AND scope=?",
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(account_id, scope),
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)
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conn.executemany(
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"""INSERT INTO paper_positions
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(account_id, scope, symbol, date, volume, frozen, avg_price, updated_at)
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VALUES (?,?,?,?,?,?,?,?)""",
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[
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(account_id, scope, sym, date, p["volume"], p.get("frozen", 0),
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p["avg_price"], _now())
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for sym, p in positions.items() if p.get("volume", 0) > 0
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],
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)
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conn.commit()
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def load_positions(db_path: str, account_id: int, scope: str) -> dict:
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"""恢复持仓快照 → {symbol:{volume,frozen,avg_price}}。"""
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT symbol, volume, frozen, avg_price FROM paper_positions "
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"WHERE account_id=? AND scope=?",
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(account_id, scope),
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)
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return {r["symbol"]: {"volume": r["volume"], "frozen": r["frozen"],
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"avg_price": r["avg_price"]}
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for r in cur.fetchall()}
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def load_last_balance(db_path: str, account_id: int) -> dict | None:
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"""实走恢复：最后一条余额（cash 用于恢复 account.cash）。"""
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with sqlite3.connect(db_path) as conn:
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conn.row_factory = sqlite3.Row
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cur = conn.execute(
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"SELECT cash, market_value, total_equity, date FROM paper_daily_balance "
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"WHERE account_id=? ORDER BY date DESC LIMIT 1",
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(account_id,),
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)
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row = cur.fetchone()
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return dict(row) if row else None
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# ---- D-3 影子下单幂等（spec §5 模式 A）----
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def save_shadow_order(db_path: str, account_id: int, trade_id: int,
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bridge_order_id: int | None, status: str) -> None:
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"""记录影子下单结果（幂等：UNIQUE(account_id, trade_id)，重复 INSERT 被 IGNORE）。
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无论 ok/failed 都记录 —— 保证 scheduler 重跑不重复 POST（「不能重复下单」硬约束）。
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status 取值：'ok'（bridge 返回 ok=true）/ 'failed'（ok=false 或网络失败）。
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"""
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with sqlite3.connect(db_path) as conn:
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conn.execute(
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"""INSERT OR IGNORE INTO paper_shadow_orders
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(account_id, trade_id, bridge_order_id, status, posted_at)
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VALUES (?,?,?,?,?)""",
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(account_id, trade_id, bridge_order_id, status, _now()),
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)
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conn.commit()
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def is_trade_shadowed(db_path: str, account_id: int, trade_id: int) -> bool:
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"""该成交是否已影子下单（幂等去重，避免 scheduler 重试重复 POST）。"""
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with sqlite3.connect(db_path) as conn:
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cur = conn.execute(
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"SELECT 1 FROM paper_shadow_orders WHERE account_id=? AND trade_id=?",
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(account_id, trade_id),
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)
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return cur.fetchone() is not None
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