claude_dev
1ed7b72aca
根因: daily_dir mixed-adjust(hfq bulk+akshare raw tail)致3-30 -94%假跌。 方案(Linus三问简化单raw, 除权留分期项#3): - datareader read_parquet_daily/15min 加 dir_key 参数 - data_source iter_bars/fetch_day: adjust=raw→raw_dir(缺配置报错防混源), qfq→daily_dir - engine PaperEngine 默认 adjust=raw - config 加 raw_dir; scripts/raw_redownload.py 新浪源adjust='' 直连+单线程限速 - 验证: 浦发606行close 6.5/14.6 mean10.08 0跳变, 撮合成交价9.71-10.25真实 - 测试9/9+trader全量108/108通过
67 lines
2.4 KiB
Python
67 lines
2.4 KiB
Python
#!/usr/bin/env python3
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"""raw 双源回放验证（容器内跑，task #79 Phase C）。
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确认 engine.adjust=raw → iter_bars 路由 raw_dir → 撮合在真实价上跑（无 mixed 假跌）。
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用法（容器内）：python3 /app/scripts/verify_raw_replay.py
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"""
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import os
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import sys
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sys.path.insert(0, "/app")
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from sanguo_data.config import find_config_path, load_config
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from sanguo_data.datareader import guess_exchange
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from sanguo_trader.account import Account
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from sanguo_trader.cta_adapter import PaperCtaEngine
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from sanguo_trader.engine import PaperEngine
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from sanguo_trader.models import AccountConfig
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from sanguo_trader.persistence import init_db, list_daily_balance, list_trades, save_account
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from sanguo_trader.strategy_runner import StrategyRunner
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from sanguo_api.routes_paper import _DataSourceWrapper
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from sanguo_api.strategy_registry import get_strategy_class
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from vnpy.trader.utility import ArrayManager
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def main(symbol="600000", start="2026-01-01", end="2026-07-07"):
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cfg = load_config(find_config_path())
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db = "/tmp/raw_verify.db"
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if os.path.exists(db):
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os.remove(db)
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init_db(db)
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aid = save_account(db, {"name": "raw_verify", "initial_capital": 1_000_000})
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cls = get_strategy_class("DoubleMaStrategy")
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cta = PaperCtaEngine("s1", match_session="next_open", listing_days=0, size=100)
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vt_symbol = symbol + "." + guess_exchange(symbol).value
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strat = cls(cta, "s1", vt_symbol, {"fast_window": 5, "slow_window": 10})
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strat.trading = True
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strat.am = ArrayManager(20)
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cta.set_strategy(strat)
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runner = StrategyRunner("s1", strategy=strat, paper_cta_engine=cta, symbol=symbol)
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pe = PaperEngine(
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Account(1_000_000), [runner], _DataSourceWrapper(cfg),
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AccountConfig(initial_capital=1_000_000),
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db, aid, [symbol], start, end, "d",
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)
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print("engine.adjust =", pe.adjust)
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pe.run()
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trades = [t for t in list_trades(db, aid) if not t["rejected"]]
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print("fills:", len(trades))
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for t in trades[:8]:
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print(" ", t["bar_date"], t["direction"], "@", t["price"], "vol", t["volume"])
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bal = list_daily_balance(db, aid)
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if bal:
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print("净值点数:", len(bal), "首:", round(bal[0]["equity"]), "末:", round(bal[-1]["equity"]))
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prices = [t["price"] for t in trades]
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if prices:
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print("成交价 min/max:", min(prices), max(prices),
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"→", "REAL ✓" if max(prices) < 20 else "MIXED!")
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if __name__ == "__main__":
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main()
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