claude_dev
164690373f
- 资金占用成本(spec§195): StrategyRunner.daily_borrow_cost(used×risk_free/365) 归因per_strategy_pnl(不碰account总账, account.equity真实净值不变); config risk_free_rate=0.02; engine.step mark_to_market后计扣; =0向后兼容跳过 - 分红送股(spec§295): dividend_source.py(akshare stock_history_dividend_detail, 实测600000/000001纯现金分红); PositionLedger.apply_split(volume×factor/avg÷factor); Account.apply_cash_dividend; engine._apply_dividends(除权日调整,现金先split后); mark_to_market停牌prev_close兜底(今收→前收→均价); _run_replay注入dividends日历 - 修_restore_ledger预存bug: PositionLedger.__init__加volume/frozen/avg_price参数 (原只symbol, live_orchestrator跨日恢复4参数调用会TypeError, 首次step空仓未暴露) - 139 passed(119基准+20分红+3占用成本), 无回归 - live_step dividends注入待分期项(每日拉全市场分红慢, 需run_daily_update预拉日历)
188 lines
9.0 KiB
Python
188 lines
9.0 KiB
Python
"""PaperEngine 模拟盘主循环（逐根 bar 重放 + 双层记账 + 持久化，spec §4/§9）。
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双源（分红除权准确方案，task #79 恢复）：
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- 撮合/涨跌停/盯市用 **raw**（真实价，涨跌停/成交真实）
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- 策略 on_bar 信号用 **qfq**（前复权，无除权缺口 → MA 信号准）
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run() 双迭代器 zip(raw, qfq) 同日期对齐；step(raw_bars, qfq_bars)。
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"""
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import logging
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import pandas as pd
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from .account import Account
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from .matcher import cross_order
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from .models import MatchSession, OrderSide, PaperTrade
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from .persistence import save_daily_balance, save_trade, update_checkpoint
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from .strategy_runner import StrategyRunner
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logger = logging.getLogger(__name__)
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def _to_series(bar) -> pd.Series:
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return pd.Series({
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"open": bar.open_price, "high": bar.high_price,
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"low": bar.low_price, "close": bar.close_price,
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"date": getattr(bar, "datetime", ""),
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})
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def _trade_to_dict(t: PaperTrade, bar_date) -> dict:
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return {
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"strategy_id": t.strategy_id, "symbol": t.symbol,
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"direction": t.side.value, "price": t.price, "volume": t.volume,
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"commission": t.commission, "stamp_duty": t.stamp_duty,
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"transfer_fee": t.transfer_fee,
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"bar_date": str(bar_date), "match_session": t.match_session.value,
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}
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class PaperEngine:
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def __init__(self, account: Account, runners: list[StrategyRunner],
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data_source, cfg, db_path: str, account_id: int,
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symbols: list[str], start: str, end: str,
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interval: str = "d", risk_free_rate: float = 0.0,
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dividends_by_date: dict | None = None) -> None:
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self.account = account
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self.runners = runners
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self.data_source = data_source
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self.cfg = cfg
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self.db_path = db_path
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self.account_id = account_id
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self.symbols = symbols
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self.start = start
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self.end = end
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self.interval = interval
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self.risk_free_rate = risk_free_rate # spec §195 资金占用成本归因
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# spec §295 分红送股日历 {ex_date_str: {symbol: DividendEvent}}（缺省空=不处理）
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self.dividends_by_date = dividends_by_date or {}
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def step(self, bar_date, raw_bars, qfq_bars, prev_close, pending):
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"""单根 bar 推进（回放 run 循环调；实走 live_step 调）。
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撮合/盯市用 raw_bars（真实价）；策略 on_bar 用 qfq_bars（信号准）。
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返回 (新 pending, 当根 closes)。
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"""
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self._bar_count = getattr(self, "_bar_count", 0) + 1
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self.account.unfreeze_all()
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for r in self.runners:
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r.unfreeze_all()
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# 0. 除权除息日：分红送股调整（开盘前持仓享权，spec §295）
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self._apply_dividends(bar_date)
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# 1. 撮合上一根 pending（next_open，用当日 raw bar）
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if pending:
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for order, runner in pending:
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self._match(order, runner, raw_bars, prev_close, bar_date)
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pending = []
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# 2. 喂策略 on_bar（qfq 信号）→ 收新单 → 当根撮合 raw / 缓冲 next_open
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for runner in self.runners:
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sym = runner.symbol
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if sym and sym in qfq_bars:
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runner.paper_cta_engine.on_bar(qfq_bars[sym])
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for order in runner.paper_cta_engine.pop_orders():
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if order.match_session == MatchSession.NEXT_OPEN:
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pending.append((order, runner))
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else: # current_close 当根撮合（raw）
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self._match(order, runner, raw_bars, prev_close, bar_date)
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# 3. 盯市 raw + 入库（停牌缺 bar 用 prev_close 兜底，spec §295）
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closes = {s: raw_bars[s].close_price for s in raw_bars}
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self.account.mark_to_market(closes, prev_close)
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# 资金占用成本归因（spec §195）：每策略持仓按无风险利率日扣，仅记 per_strategy_pnl
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# 不扣 account.cash —— 总账净值保持真实，占用成本是分策略展示用归因
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per_strategy_pnl: dict = {}
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if self.risk_free_rate > 0:
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for r in self.runners:
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cost = r.daily_borrow_cost(closes, self.risk_free_rate)
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per_strategy_pnl[r.strategy_id] = {"borrow_cost": cost}
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save_daily_balance(
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self.db_path, self.account_id, str(bar_date),
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self.account.cash, self.account.market_value, self.account.equity,
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per_strategy_pnl=per_strategy_pnl or None,
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is_checkpoint=(self._bar_count % 500 == 0),
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)
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update_checkpoint(self.db_path, self.account_id, str(bar_date))
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return pending, closes
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def run(self) -> None:
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"""双源 zip(raw, qfq) 同日期对齐，逐根 step。
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分红送股日历由调用方经 dividends_by_date 注入（见 __init__）；
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回测脚本可用 sanguo_data.dividend_source.build_dividend_calendar 预拉。
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"""
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prev_close: dict[str, float] = {}
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pending: list = [] # [(order, runner)] next_open 待下根撮合
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raw_iter = self.data_source.iter_bars(
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self.symbols, self.start, self.end, self.interval, "raw", None
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)
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qfq_iter = self.data_source.iter_bars(
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self.symbols, self.start, self.end, self.interval, "qfq", None
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)
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for (rdate, raw_bars), (_qdate, qfq_bars) in zip(raw_iter, qfq_iter):
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pending, closes = self.step(rdate, raw_bars, qfq_bars, prev_close, pending)
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prev_close = closes
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def _apply_dividends(self, bar_date) -> None:
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"""除权除息日调整持仓（spec §295）：现金分红按除权前持仓量，再 apply_split。
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双层记账一致性：Account 与各 StrategyRunner 分户同步 split。
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"""
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events = self.dividends_by_date.get(str(bar_date))
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if not events:
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return
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for sym, ev in events.items():
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pos = self.account.positions.get(sym)
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if pos is None or pos.volume <= 0:
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continue
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# 现金分红用除权前持仓量（apply_split 前的 volume）
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self.account.apply_cash_dividend(sym, ev.cash_per_share)
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pos.apply_split(ev.split_factor)
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# 分户同步 split（保持总账=分户之和）
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for r in self.runners:
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rpos = r.positions.get(sym)
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if rpos is not None and rpos.volume > 0:
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rpos.apply_split(ev.split_factor)
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def _match(self, order, runner, bars, prev_close, bar_date) -> None:
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if order.symbol not in bars:
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return
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match_bar = _to_series(bars[order.symbol])
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pc = prev_close.get(order.symbol, order.price)
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result = cross_order(order, match_bar, pc, self.cfg)
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if isinstance(result, PaperTrade):
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if result.side == OrderSide.SELL:
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# A 股不能做空：SELL 超过可卖持仓 → 拒单（不开空仓）
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pos = self.account.positions.get(order.symbol)
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if pos is None or pos.available < result.volume:
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save_trade(self.db_path, self.account_id,
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{"strategy_id": order.strategy_id, "symbol": order.symbol,
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"bar_date": str(bar_date)},
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rejected=True,
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reject_reason="insufficient_position_no_short")
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return
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if self.account.cash_enough(result):
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# 软限额：BUY 检查该策略已用额度（消除多策略撮合顺序依赖，spec §195）
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if result.side == OrderSide.BUY:
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closes = {sym: b.close_price for sym, b in bars.items()}
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if (runner.used_allocation(closes) + result.price * result.volume
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> runner.max_allocation):
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save_trade(self.db_path, self.account_id,
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{"strategy_id": order.strategy_id,
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"symbol": order.symbol,
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"bar_date": str(bar_date)},
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rejected=True,
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reject_reason="max_allocation_exceeded")
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return
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self.account.apply_trade(result)
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runner.apply_trade(result)
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save_trade(self.db_path, self.account_id,
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_trade_to_dict(result, bar_date))
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else:
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save_trade(self.db_path, self.account_id,
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{"strategy_id": order.strategy_id, "symbol": order.symbol,
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"bar_date": str(bar_date)},
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rejected=True, reject_reason="insufficient_cash")
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else: # PaperReject
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save_trade(self.db_path, self.account_id,
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{"strategy_id": order.strategy_id, "symbol": order.symbol,
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"bar_date": str(bar_date)},
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rejected=True, reject_reason=result.reason)
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