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