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
126 lines
5.5 KiB
Python
126 lines
5.5 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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run()：逐 bar → T+1 解冻 → 撮合上一根 next_open pending（用当前 bar）→ 喂策略
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on_bar 收新单 → current_close 当根撮合 / next_open 缓冲到下根 → 盯市 → 入库。
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adjust 默认 raw（真实价）：撮合/涨跌停/成交价/信号共用一套真实价 bar。
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除权缺口对 MA 信号的影响留分期项（分红除权）处理。
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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", adjust: str = "raw") -> 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.adjust = adjust
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def run(self) -> None:
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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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bar_count = 0
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for bar_date, bars in self.data_source.iter_bars(
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self.symbols, self.start, self.end, self.interval, self.adjust, None
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):
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bar_count += 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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# 1. 撮合上一根 pending（next_open，用当前 bar）
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if pending:
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for order, runner in pending:
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self._match(order, runner, bars, prev_close, bar_date)
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pending = []
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# 2. 喂策略 on_bar → 收新单
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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 bars:
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runner.paper_cta_engine.on_bar(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
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self._match(order, runner, bars, prev_close, bar_date)
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# 3. 盯市 + 入库
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closes = {s: bars[s].close_price for s in bars}
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self.account.mark_to_market(closes)
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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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is_checkpoint=(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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prev_close = closes
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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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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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